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: March 28, 2013
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 |
RBENF-ANN-0313x0314
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TABLE OF CONTENTS
| THE RYDEX FUNDS ANNUAL REPORT | 1 |
March 28, 2013
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for 26 of our Rydex Funds.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
Guggenheim Distributors, LLC is the distributor of the Funds. Guggenheim Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.
This report covers performance of the following Funds for the one-year period ended March 28, 2013:
| | 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 |
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
| 2 | THE RYDEX FUNDS ANNUAL REPORT |
March 28, 2013
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
April 30, 2013
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.
Inverse and leveraged Funds are not suitable for all investors. • These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. • The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. • Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. • The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. • Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. • Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the 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. 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. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. • For more on these and other risks, please read the prospectus.
| THE RYDEX FUNDS ANNUAL REPORT | 3 |
March 28, 2013
The Fixed Income Funds may not be suitable for all investors. • The Funds’ market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. • You may have a gain or loss when you sell your shares. • It is important to note that the Fund is not guaranteed by the U.S. government. • Certain Funds may have exposure to high yield securities, municipal securities, foreign securities, derivative instruments, real estate, commodity markets and other fixed income securities. • Exposure to high yield securities may subject a Fund to greater volatility. • Investments in municipal securities can be affected by events that affect the municipal bond market. • Investments in foreign securities carry additional risks when compared to U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question (investments in emerging markets securities are generally subject to an even greater level of risks). • Investments in derivative instruments, may be more volatile and less liquid, increasing the risk of loss when compared to traditional securities. Certain of the derivative instruments are also subject to the risks of counterparty default and adverse tax treatment. • Investments in real estate securities subject a Fund to the same risks as direct investments in real estate, which is particularly sensitive to economic downturns. • Please see each Fund’s prospectus for more information on these and other risks.
Pure Style Funds may not be suitable for all investors. • The Funds are subject to the risk that large, medium and small-capitalization stocks may under-perform other segments of the equity market or the equity market as a whole • Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. • The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. • Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities. • The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Funds’ ability to achieve their investment objective and may decrease the Funds’ performance. • These Funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. • Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. Read the Funds’ prospectus carefully before investing.
The Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. • The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. • The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will appreciate in value relative to the U.S. dollar. • The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. • Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. See the prospectus for more details.
The Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. • The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. • The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. • The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. • Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. See the prospectus for more details.
Sector funds may not be suitable for all investors. Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the fund’s holdings in issuers of the same or similar offerings. These Funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund.
The U.S. Government Money Market Fund may not be suitable for all investors. • An investment in the U.S. Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the fund.
| 4 | THE RYDEX FUNDS ANNUAL REPORT |
| ECONOMIC AND MARKET OVERVIEW | March 28, 2013 |
Recent economic results have been solid, powered by the monetary accommodation from central banks around the world. The U.S. Federal Reserve has signaled that it is likely to continue with its asset purchase program throughout 2013 in an effort to combat long-term structural unemployment. This, coupled with rebound in the housing market, has provided a tailwind for the economy. The run-up in U.S. equity prices, with some major indices testing or exceeding their all-time highs, has also contributed to heightened expectations about the economy and markets. In the fixed income domain, abundant liquidity and the continuation of open-ended quantitative easing have produced a benign credit environment with low default rates.
Following Congress’ New Year’s reprieve on the Fiscal Cliff, markets turned their attention to the impact of sequestration, as well as ongoing tax and spending debates. Despite some uncertainty created by recent political partisanship in Washington, the U.S. economy seems to be on firm footing. Construction spending has been rising, state and local employment has been contributing to GDP and employment growth has been fairly strong. Investors have benefited from the themes that have dominated the environment since the recovery began: tighter credit spreads, low interest rates, improving employment, modest inflation and sustained economic growth. Moreover, the U.S. economic expansion has withstood recent less-than-favorable Chinese economic data and Europe’s continued growth problems and banking crises in certain periphery countries.
For the one-year period ended March 28, 2013, the Standard & Poor’s 500 (“S&P 500”)Index*, which is generally regarded as an indicator of the broad U.S. stock market, returned 13.96%. Foreign developed markets performed in a comparable manner: 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 11.25%. Global growth concerns affected emerging markets. The return of the MSCI Emerging Markets Index* was 1.96%.
In the bond market, higher quality issues underperformed lower-rated bonds, as investors embraced risk. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, posted a 3.77% return for the period, while the Barclays U.S. High Yield Index* returned 13.13%. Reflecting the Fed’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 0.12% for the one-year period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
| THE RYDEX FUNDS ANNUAL REPORT | 5 |
| ECONOMIC AND MARKET OVERVIEW (concluded) | March 28, 2013 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
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. 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.
Barclays Long Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and non convertible. The Long U.S. Treasury Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
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.
Europe STOXX 50® Index provides a blue-chip representation of super-sector leaders in Europe. The index covers 50 stocks from developed European countries such as Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI U.S. REIT Index is a free float market capitalization weighted index that is comprised of equity real estate investment trust (“REIT”) securities that belong to the MSCI U.S. Investable Market 2500 Index. The MSCI U.S. REIT Index includes only REIT securities that are of reasonable size in terms of full and free float-adjusted market capitalization to ensure that the performance of the equity REIT universe can be captured and replicated in actual institutional and retail portfolios of different sizes.
NASDAQ-100® Index includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.
Nikkei-225 Stock Average Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
Russell 2000® Index measures the performance of the small-cap value segment of the U.S. equity universe.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The index covers approximately 7% of the U.S. equity market, and seeks to remain an accurate measure of mid-sized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis.
S&P 500® Pure Growth Index is narrow in focus, containing only those S&P 500 Index companies with strong growth characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P 500® Pure Value Index is narrow in focus, containing only those S&P 500 Index companies with strong value characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P MidCap 400® Pure Growth Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong growth characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P MidCap 400® Pure Value Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong value characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Growth Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong growth characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Value Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong value characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
The USD or U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: Euro (EUR), 57.6% + Japanese Yen (JPY), 13.6% + Pound Sterling (GBP), 11.9% + Canadian Dollar (CAD), 9.1% + Swedish Krona (SEK), 4.2% + Swiss Franc (CHF) 3.6%.
| 6 | THE RYDEX FUNDS ANNUAL REPORT |
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.
| THE RYDEX FUNDS ANNUAL REPORT | 7 |
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 September 30, 2012 and ending March 28, 2013.
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.
| 8 | THE RYDEX FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | |
| Nova Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.28 | % | | | 14.58 | % | | | $1,000.00 | | | | $1,145.80 | | | | $6.73 | |
| Advisor Class | | | 1.78 | % | | | 14.15 | % | | | 1,000.00 | | | | 1,141.50 | | | | 9.35 | |
| A-Class | | | 1.53 | % | | | 14.41 | % | | | 1,000.00 | | | | 1,144.10 | | | | 8.04 | |
| C-Class | | | 2.28 | % | | | 13.98 | % | | | 1,000.00 | | | | 1,139.80 | | | | 11.96 | |
| S&P 500® Fund | | | | | | | | | | | �� | | | | | | | | | |
| A-Class | | | 1.52 | % | | | 9.29 | % | | | 1,000.00 | | | | 1,092.90 | | | | 7.80 | |
| C-Class | | | 2.31 | % | | | 8.83 | % | | | 1,000.00 | | | | 1,088.30 | | | | 11.83 | |
| H-Class | | | 1.52 | % | | | 9.25 | % | | | 1,000.00 | | | | 1,092.50 | | | | 7.80 | |
| Inverse S&P 500® Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.43 | % | | | (10.36 | %) | | | 1,000.00 | | | | 896.40 | | | | 6.65 | |
| Advisor Class | | | 1.93 | % | | | (10.56 | %) | | | 1,000.00 | | | | 894.40 | | | | 8.97 | |
| A-Class | | | 1.68 | % | | | (10.46 | %) | | | 1,000.00 | | | | 895.40 | | | | 7.81 | |
| C-Class | | | 2.43 | % | | | (10.82 | %) | | | 1,000.00 | | | | 891.80 | | | | 11.27 | |
| NASDAQ-100® Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.29 | % | | | 0.77 | % | | | 1,000.00 | | | | 1,007.70 | | | | 6.35 | |
| Advisor Class | | | 1.79 | % | | | 0.53 | % | | | 1,000.00 | | | | 1,005.30 | | | | 8.80 | |
| A-Class | | | 1.54 | % | | | 0.64 | % | | | 1,000.00 | | | | 1,006.40 | | | | 7.58 | |
| C-Class | | | 2.29 | % | | | 0.25 | % | | | 1,000.00 | | | | 1,002.50 | | | | 11.24 | |
| Inverse NASDAQ-100® Strategy Fund | | | | | | | | | | | | | |
| Investor Class | | | 1.46 | % | | | (2.55 | %) | | | 1,000.00 | | | | 974.50 | | | | 7.07 | |
| Advisor Class | | | 1.96 | % | | | (3.01 | %) | | | 1,000.00 | | | | 969.90 | | | | 9.47 | |
| A-Class | | | 1.71 | % | | | (2.96 | %) | | | 1,000.00 | | | | 970.40 | | | | 8.26 | |
| C-Class | | | 2.46 | % | | | (3.40 | %) | | | 1,000.00 | | | | 966.00 | | | | 11.86 | |
| Mid-Cap 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 25.86 | % | | | 1,000.00 | | | | 1,258.60 | | | | 9.30 | |
| C-Class | | | 2.43 | % | | | 25.41 | % | | | 1,000.00 | | | | 1,254.10 | | | | 13.43 | |
| H-Class | | | 1.68 | % | | | 25.89 | % | | | 1,000.00 | | | | 1,258.90 | | | | 9.31 | |
| Inverse Mid-Cap Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | (16.26 | %) | | | 1,000.00 | | | | 837.40 | | | | 7.57 | |
| C-Class | | | 2.42 | % | | | (16.59 | %) | | | 1,000.00 | | | | 834.10 | | | | 10.88 | |
| H-Class | | | 1.68 | % | | | (16.28 | %) | | | 1,000.00 | | | | 837.20 | | | | 7.57 | |
| Russell 2000® 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 20.69 | % | | | 1,000.00 | | | | 1,206.90 | | | | 9.31 | |
| C-Class | | | 2.47 | % | | | 20.23 | % | | | 1,000.00 | | | | 1,202.30 | | | | 13.34 | |
| H-Class | | | 1.72 | % | | | 20.66 | % | | | 1,000.00 | | | | 1,206.60 | | | | 9.31 | |
| Russell 2000® Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.60 | % | | | 13.43 | % | | | 1,000.00 | | | | 1,134.30 | | | | 8.37 | |
| C-Class | | | 2.40 | % | | | 13.07 | % | | | 1,000.00 | | | | 1,130.70 | | | | 12.54 | |
| H-Class | | | 1.56 | % | | | 13.48 | % | | | 1,000.00 | | | | 1,134.80 | | | | 8.17 | |
| Inverse Russell 2000® Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | (14.03 | %) | | | 1,000.00 | | | | 859.70 | | | | 7.84 | |
| C-Class | | | 2.47 | % | | | (14.40 | %) | | | 1,000.00 | | | | 856.00 | | | | 11.24 | |
| H-Class | | | 1.72 | % | | | (14.06 | %) | | | 1,000.00 | | | | 859.40 | | | | 7.84 | |
| S&P 500® Pure Growth Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 13.00 | % | | | 1,000.00 | | | | 1,130.00 | | | | 7.99 | |
| C-Class | | | 2.28 | % | | | 12.57 | % | | | 1,000.00 | | | | 1,125.70 | | | | 11.88 | |
| H-Class | | | 1.53 | % | | | 13.01 | % | | | 1,000.00 | | | | 1,130.10 | | | | 7.99 | |
| THE RYDEX FUNDS ANNUAL REPORT | 9 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| S&P 500® Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 21.73 | % | | | $1,000.00 | | | | $1,217.30 | | | | $8.32 | |
| C-Class | | | 2.28 | % | | | 21.29 | % | | | 1,000.00 | | | | 1,212.90 | | | | 12.37 | |
| H-Class | | | 1.53 | % | | | 21.73 | % | | | 1,000.00 | | | | 1,217.30 | | | | 8.32 | |
| S&P MidCap 400® Pure Growth Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 13.35 | % | | | 1,000.00 | | | | 1,133.50 | | | | 8.00 | |
| C-Class | | | 2.27 | % | | | 12.95 | % | | | 1,000.00 | | | | 1,129.50 | | | | 11.85 | |
| H-Class | | | 1.52 | % | | | 13.36 | % | | | 1,000.00 | | | | 1,133.60 | | | | 7.95 | |
| S&P MidCap 400® Pure Value Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 21.65 | % | | | 1,000.00 | | | | 1,216.50 | | | | 8.32 | |
| C-Class | | | 2.28 | % | | | 21.19 | % | | | 1,000.00 | | | | 1,211.90 | | | | 12.37 | |
| H-Class | | | 1.53 | % | | | 21.67 | % | | | 1,000.00 | | | | 1,216.70 | | | | 8.32 | |
| S&P SmallCap 600® Pure Growth Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 9.36 | % | | | 1,000.00 | | | | 1,093.60 | | | | 7.85 | |
| C-Class | | | 2.28 | % | | | 8.97 | % | | | 1,000.00 | | | | 1,089.70 | | | | 11.68 | |
| H-Class | | | 1.53 | % | | | 9.33 | % | | | 1,000.00 | | | | 1,093.30 | | | | 7.85 | |
| S&P SmallCap 600® Pure Value Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 14.19 | % | | | 1,000.00 | | | | 1,141.90 | | | | 8.04 | |
| C-Class | | | 2.28 | % | | | 13.78 | % | | | 1,000.00 | | | | 1,137.80 | | | | 11.95 | |
| H-Class | | | 1.53 | % | | | 14.19 | % | | | 1,000.00 | | | | 1,141.90 | | | | 8.04 | |
| Europe 1.25x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 10.72 | % | | | 1,000.00 | | | | 1,107.20 | | | | 8.68 | |
| C-Class | | | 2.43 | % | | | 10.37 | % | | | 1,000.00 | | | | 1,103.70 | | | | 12.53 | |
| H-Class | | | 1.69 | % | | | 10.77 | % | | | 1,000.00 | | | | 1,107.70 | | | | 8.73 | |
| Japan 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.52 | % | | | 32.85 | % | | | 1,000.00 | | | | 1,328.50 | | | | 8.68 | |
| C-Class | | | 2.27 | % | | | 32.49 | % | | | 1,000.00 | | | | 1,324.90 | | | | 12.94 | |
| H-Class | | | 1.52 | % | | | 32.93 | % | | | 1,000.00 | | | | 1,329.30 | | | | 8.68 | |
| Strengthening Dollar 2x Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 6.11 | % | | | 1,000.00 | | | | 1,061.10 | | | | 8.69 | |
| C-Class | | | 2.47 | % | | | 5.77 | % | | | 1,000.00 | | | | 1,057.70 | | | | 12.46 | |
| H-Class | | | 1.72 | % | | | 6.13 | % | | | 1,000.00 | | | | 1,061.30 | | | | 8.69 | |
| Weakening Dollar 2x Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | (8.08 | %) | | | 1,000.00 | | | | 919.20 | | | | 8.09 | |
| C-Class | | | 2.47 | % | | | (8.46 | %) | | | 1,000.00 | | | | 915.40 | | | | 11.60 | |
| H-Class | | | 1.72 | % | | | (8.09 | %) | | | 1,000.00 | | | | 919.10 | | | | 8.09 | |
| Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.62 | % | | | 10.65 | % | | | 1,000.00 | | | | 1,106.50 | | | | 8.37 | |
| C-Class | | | 2.36 | % | | | 10.25 | % | | | 1,000.00 | | | | 1,102.50 | | | | 12.17 | |
| H-Class | | | 1.62 | % | | | 10.60 | % | | | 1,000.00 | | | | 1,106.00 | | | | 8.37 | |
| Government Long Bond 1.2x Strategy Fund | | | | | | | | | | | | | | |
| Investor Class | | | 0.97 | % | | | (4.91 | %) | | | 1,000.00 | | | | 950.90 | | | | 4.64 | |
| Advisor Class | | | 1.47 | % | | | (5.03 | %) | | | 1,000.00 | | | | 949.70 | | | | 7.03 | |
| A-Class | | | 1.22 | % | | | (4.84 | %) | | | 1,000.00 | | | | 951.60 | | | | 5.84 | |
| C-Class | | | 1.97 | % | | | (5.22 | %) | | | 1,000.00 | | | | 947.80 | | | | 9.41 | |
| Inverse Government Long Bond Strategy Fund | | | | | | | | | | |
| Investor Class | | | 2.91 | % | | | 4.39 | % | | | 1,000.00 | | | | 1,043.90 | | | | 14.58 | |
| Advisor Class | | | 3.28 | % | | | 3.99 | % | | | 1,000.00 | | | | 1,039.90 | | | | 16.41 | |
| A-Class | | | 3.28 | % | | | 4.14 | % | | | 1,000.00 | | | | 1,041.40 | | | | 16.42 | |
| C-Class | | | 4.03 | % | | | 3.73 | % | | | 1,000.00 | | | | 1,037.30 | | | | 20.13 | |
| 10 | THE RYDEX FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.51 | % | | | 6.15 | % | | | $1,000.00 | | | | $1,061.50 | | | | $7.63 | |
| C-Class | | | 2.26 | % | | | 5.76 | % | | | 1,000.00 | | | | 1,057.60 | | | | 11.40 | |
| H-Class | | | 1.51 | % | | | 6.16 | % | | | 1,000.00 | | | | 1,061.60 | | | | 7.63 | |
| Inverse High Yield Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.51 | % | | | (7.41 | %) | | | 1,000.00 | | | | 925.90 | | | | 7.13 | |
| C-Class | | | 2.27 | % | | | (7.86 | %) | | | 1,000.00 | | | | 921.40 | | | | 10.69 | |
| H-Class | | | 1.52 | % | | | (7.43 | %) | | | 1,000.00 | | | | 925.70 | | | | 7.18 | |
| U.S. Government Money Market Fund | | | | | | | | | | | | | | | | | | | | |
| Money Market Class | | | 0.17 | % | | | 0.00 | % | | | 1,000.00 | | | | 1,000.00 | | | | 0.83 | |
| THE RYDEX FUNDS ANNUAL REPORT | 11 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| Table 2. Based on hypothetical 5% return (before expenses)5 | |
| Nova Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.28 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,018.55 | | | | $6.44 | |
| Advisor Class | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.06 | | | | 8.95 | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| S&P 500® Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| C-Class | | | 2.31 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.41 | | | | 11.60 | |
| H-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| Inverse S&P 500® Strategy Fund | | | | | | | | | | | | | | |
| Investor Class | | | 1.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.80 | | | | 7.19 | |
| Advisor Class | | | 1.93 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.31 | | | | 9.70 | |
| A-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| C-Class | | | 2.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.81 | | | | 12.19 | |
| NASDAQ-100® Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.29 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.50 | | | | 6.49 | |
| Advisor Class | | | 1.79 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.01 | | | | 9.00 | |
| A-Class | | | 1.54 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.25 | | | | 7.75 | |
| C-Class | | | 2.29 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.51 | | | | 11.50 | |
| Inverse NASDAQ-100®Strategy Fund | | | | | | | | | | | | | | |
| Investor Class | | | 1.46 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.65 | | | | 7.34 | |
| Advisor Class | | | 1.96 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.16 | | | | 9.85 | |
| A-Class | | | 1.71 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.40 | | | | 8.60 | |
| C-Class | | | 2.46 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.67 | | | | 12.34 | |
| Mid-Cap 1.5x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| C-Class | | | 2.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.81 | | | | 12.19 | |
| H-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| Inverse Mid-Cap Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| C-Class | | | 2.42 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.86 | | | | 12.14 | |
| H-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| Russell 2000® 1.5x Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| C-Class | | | 2.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.62 | | | | 12.39 | |
| H-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| Russell 2000® Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.60 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.95 | | | | 8.05 | |
| C-Class | | | 2.40 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.96 | | | | 12.04 | |
| H-Class | | | 1.56 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.15 | | | | 7.85 | |
| Inverse Russell 2000® Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| C-Class | | | 2.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.62 | | | | 12.39 | |
| H-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| S&P 500® Pure Growth Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| H-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| 12 | THE RYDEX FUNDS ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| S&P 500® Pure Value Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,017.30 | | | | $7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| H-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| S&P MidCap 400® Pure Growth Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.27 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.61 | | | | 11.40 | |
| H-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| S&P MidCap 400® Pure Value Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| H-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| S&P SmallCap 600® Pure Growth Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| H-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| S&P SmallCap 600® Pure Value Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| H-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| Europe 1.25x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| C-Class | | | 2.43 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.81 | | | | 12.19 | |
| H-Class | | | 1.69 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.50 | | | | 8.50 | |
| Japan 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| C-Class | | | 2.27 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.61 | | | | 11.40 | |
| H-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| Strengthening Dollar 2x Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| C-Class | | | 2.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.62 | | | | 12.39 | |
| H-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| Weakening Dollar 2x Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| C-Class | | | 2.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.62 | | | | 12.39 | |
| H-Class | | | 1.72 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.36 | | | | 8.65 | |
| Real Estate Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.36 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.16 | | | | 11.85 | |
| H-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| Government Long Bond 1.2x Strategy Fund | | | | | | | | | | | | | | |
| Investor Class | | | 0.97 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,020.09 | | | | 4.89 | |
| Advisor Class | | | 1.47 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.60 | | | | 7.39 | |
| A-Class | | | 1.22 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.85 | | | | 6.14 | |
| C-Class | | | 1.97 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.11 | | | | 9.90 | |
| Inverse Government Long Bond Strategy Fund | | | | | | | | | | |
| Investor Class | | | 2.91 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,010.42 | | | | 14.59 | |
| Advisor Class | | | 3.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,008.58 | | | | 16.43 | |
| A-Class | | | 3.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,008.58 | | | | 16.43 | |
| C-Class | | | 4.03 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,004.84 | | | | 20.14 | |
| THE RYDEX FUNDS ANNUAL REPORT | 13 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| High Yield Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A-Class | | | 1.51 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,017.40 | | | | $7.59 | |
| C-Class | | | 2.26 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.66 | | | | 11.35 | |
| H-Class | | | 1.51 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.40 | | | | 7.59 | |
| Inverse High Yield Strategy Fund | | | | | | | | | | | | | | |
| A-Class | | | 1.51 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.40 | | | | 7.59 | |
| C-Class | | | 2.27 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.61 | | | | 11.40 | |
| H-Class | | | 1.52 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.35 | | | | 7.64 | |
| U.S. Government Money Market Fund | | | | | | | | | | | | | | |
| Money Market Class | | | 0.17 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,024.08 | | | | 0.86 | |
| 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 1.49%, 1.37%, 1.61%, and 1.61% 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 179/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period September 30, 2012 to March 28, 2013. |
| 4 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | Hypothetical return for the period September 30, 2012 to March 31, 2013. |
| 14 | | THE RYDEX FUNDS ANNUAL REPORT |
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| THE RYDEX FUNDS ANNUAL REPORT | 15 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. Nova Fund Investor Class returned 19.62%, while the S&P 500 Index gained 13.96% over the same period.
Sectors contributing most to performance of the underlying index were Health Care and Financials. The sector contributing least was Materials. Information Technology was the only sector that detracted from performance of the underlying index.
Johnson & Johnson, Pfizer, Inc. and AT&T, Inc. were the holdings contributing the most to performance of the underlying index for the period. Apple, Inc., Microsoft Corp. and Intel Corp. detracted the most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| Investor Class | | July 12, 1993 |
| Advisor Class | | October 15, 1998 |
| A-Class | | March 31, 2004 |
| C-Class | | March 14, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | |
| Apple, Inc. | | 2.0% |
| Exxon Mobil Corp. | | 1.9% |
| General Electric Co. | | 1.2% |
| Chevron Corp. | | 1.1% |
| Johnson & Johnson | | 1.1% |
| International Business Machines Corp. | | 1.1% |
| Microsoft Corp. | | 1.0% |
| Google, Inc. — Class A | | 1.0% |
| Procter & Gamble Co. | | 1.0% |
| Pfizer, Inc. | | 1.0% |
| Top Ten Total | | 12.4% |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 16 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 19.62 | % | | | 4.53 | % | | | 8.93 | % |
| Advisor Class Shares | | | 18.93 | % | | | 3.99 | % | | | 8.37 | % |
| C-Class Shares | | | 18.39 | % | | | 3.49 | % | | | 7.85 | % |
| C-Class Shares with CDSC‡ | | | 17.39 | % | | | 3.49 | % | | | 7.85 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| | | | | | | | | Since | |
| | | | | | | | | | | Inception | |
| | | | | | | | | | | (03/31/04) | |
| A-Class Shares | | | 19.28 | % | | | 4.26 | % | | | 4.45 | % |
| A-Class Shares with sales charge† | | | 13.59 | % | | | 3.25 | % | | | 3.89 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 5.92 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 17 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| NOVA FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 67.2% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 12.1% | | | | | | | | |
| Apple, Inc. | | | 3,384 | | | $ | 1,497,860 | |
| International Business Machines Corp. | | | 3,770 | | | | 804,141 | |
| Microsoft Corp. | | | 27,126 | | | | 776,075 | |
| Google, Inc. — Class A* | | | 961 | | | | 763,063 | |
| Oracle Corp. | | | 13,287 | | | | 429,702 | |
| QUALCOMM, Inc. | | | 6,186 | | | | 414,153 | |
| Cisco Systems, Inc. | | | 19,188 | | | | 401,221 | |
| Intel Corp. | | | 17,797 | | | | 388,864 | |
| Visa, Inc. — Class A | | | 1,856 | | | | 315,223 | |
| eBay, Inc.* | | | 4,201 | | | | 227,778 | |
| Mastercard, Inc. — Class A | | | 378 | | | | 204,547 | |
| EMC Corp.* | | | 7,572 | | | | 180,895 | |
| Accenture plc — Class A | | | 2,317 | | | | 176,023 | |
| Hewlett-Packard Co. | | | 7,026 | | | | 167,500 | |
| Texas Instruments, Inc. | | | 3,975 | | | | 141,033 | |
| Automatic Data Processing, Inc. | | | 1,750 | | | | 113,785 | |
| Salesforce.com, Inc.* | | | 488 | | | | 87,269 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 1,086 | | | | 83,198 | |
| Yahoo!, Inc.* | | | 3,487 | | | | 82,049 | |
| Adobe Systems, Inc.* | | | 1,796 | | | | 78,144 | |
| Dell, Inc. | | | 5,258 | | | | 75,347 | |
| Corning, Inc. | | | 5,298 | | | | 70,623 | |
| Intuit, Inc. | | | 1,003 | | | | 65,847 | |
| Broadcom Corp. — Class A | | | 1,887 | | | | 65,422 | |
| Motorola Solutions, Inc. | | | 993 | | | | 63,582 | |
| TE Connectivity Ltd. | | | 1,512 | | | | 63,398 | |
| Symantec Corp.* | | | 2,480 | | | | 61,206 | |
| Applied Materials, Inc. | | | 4,321 | | | | 58,247 | |
| Analog Devices, Inc. | | | 1,102 | | | | 51,232 | |
| Citrix Systems, Inc.* | | | 667 | | | | 48,131 | |
| SanDisk Corp.* | | | 870 | | | | 47,850 | |
| NetApp, Inc.* | | | 1,300 | | | | 44,408 | |
| Amphenol Corp. — Class A | | | 576 | | | | 42,998 | |
| Seagate Technology plc | | | 1,149 | | | | 42,007 | |
| Fiserv, Inc.* | | | 478 | | | | 41,983 | |
| Fidelity National Information | | | | | | | | |
| Services, Inc. | | | 1,055 | | | | 41,799 | |
| Altera Corp. | | | 1,150 | | | | 40,791 | |
| Paychex, Inc. | | | 1,163 | | | | 40,786 | |
| Western Digital Corp. | | | 778 | | | | 39,118 | |
| Xerox Corp. | | | 4,404 | | | | 37,874 | |
| Micron Technology, Inc.* | | | 3,681 | | | | 36,736 | |
| Xilinx, Inc. | | | 946 | | | | 36,109 | |
| Red Hat, Inc.* | | | 695 | | | | 35,139 | |
| Teradata Corp.* | | | 597 | | | | 34,930 | |
| Juniper Networks, Inc.* | | | 1,860 | | | | 34,484 | |
| Autodesk, Inc.* | | | 809 | | | | 33,363 | |
| Linear Technology Corp. | | | 834 | | | | 32,001 | |
| KLA-Tencor Corp. | | | 596 | | | | 31,433 | |
| Western Union Co. | | | 2,047 | | | | 30,787 | |
| CA, Inc. | | | 1,198 | | | | 30,154 | |
| NVIDIA Corp. | | | 2,251 | | | | 28,858 | |
| Computer Sciences Corp. | | | 552 | | | | 27,175 | |
| VeriSign, Inc.* | | | 549 | | | | 25,957 | |
| Microchip Technology, Inc. | | | 700 | | | | 25,732 | |
| F5 Networks, Inc.* | | | 282 | | | | 25,121 | |
| Lam Research Corp.* | | | 584 | | | | 24,213 | |
| Akamai Technologies, Inc.* | | | 637 | | | | 22,480 | |
| BMC Software, Inc.* | | | 473 | | | | 21,914 | |
| Electronic Arts, Inc.* | | | 1,080 | | | | 19,116 | |
| Harris Corp. | | | 404 | | | | 18,721 | |
| Molex, Inc. | | | 494 | | | | 14,464 | |
| Total System Services, Inc. | | | 582 | | | | 14,422 | |
| SAIC, Inc. | | | 1,019 | | | | 13,807 | |
| FLIR Systems, Inc. | | | 522 | | | | 13,577 | |
| LSI Corp.* | | | 1,978 | | | | 13,411 | |
| Jabil Circuit, Inc. | | | 662 | | | | 12,234 | |
| JDS Uniphase Corp.* | | | 847 | | | | 11,324 | |
| Teradyne, Inc.* | | | 686 | | | | 11,127 | |
| First Solar, Inc.* | | | 215 | | | | 5,796 | |
| Advanced Micro Devices, Inc.*,1 | | | 2,189 | | | | 5,582 | |
| Total Information Technology | | | | | | | 9,065,339 | |
| Financials - 10.7% | | | | | | | | |
| Berkshire Hathaway, Inc. — Class B* | | | 6,561 | | | | 683,657 | |
| JPMorgan Chase & Co. | | | 13,777 | | | | 653,857 | |
| Wells Fargo & Co. | | | 17,635 | | | | 652,319 | |
| Citigroup, Inc. | | | 10,931 | | | | 483,587 | |
| Bank of America Corp. | | | 38,936 | | | | 474,240 | |
| American Express Co. | | | 3,458 | | | | 233,276 | |
| Goldman Sachs Group, Inc. | | | 1,574 | | | | 231,614 | |
| U.S. Bancorp | | | 6,705 | | | | 227,501 | |
| American International Group, Inc.* | | | 5,308 | | | | 206,056 | |
| Simon Property Group, Inc. | | | 1,127 | | | | 178,698 | |
| MetLife, Inc. | | | 3,934 | | | | 149,570 | |
| PNC Financial Services Group, Inc. | | | 1,905 | | | | 126,683 | |
| Bank of New York Mellon Corp. | | | 4,187 | | | | 117,193 | |
| BlackRock, Inc. — Class A | | | 451 | | | | 115,853 | |
| Capital One Financial Corp. | | | 2,099 | | | | 115,340 | |
| Travelers Companies, Inc. | | | 1,360 | | | | 114,498 | |
| American Tower Corp. — Class A | | | 1,422 | | | | 109,380 | |
| Morgan Stanley | | | 4,940 | | | | 108,581 | |
| ACE Ltd. | | | 1,217 | | | | 108,276 | |
| Prudential Financial, Inc. | | | 1,673 | | | | 98,690 | |
| State Street Corp. | | | 1,644 | | | | 97,144 | |
| Aflac, Inc. | | | 1,683 | | | | 87,550 | |
| Allstate Corp. | | | 1,718 | | | | 84,302 | |
| Chubb Corp. | | | 939 | | | | 82,191 | |
| HCP, Inc. | | | 1,627 | | | | 81,122 | |
| Discover Financial Services | | | 1,783 | | | | 79,950 | |
| Public Storage | | | 524 | | | | 79,816 | |
| BB&T Corp. | | | 2,517 | | | | 79,009 | |
| Ventas, Inc. | | | 1,050 | | | | 76,860 | |
| Marsh & McLennan Companies, Inc. | | | 1,974 | | | | 74,952 | |
| Franklin Resources, Inc. | | | 494 | | | | 74,500 | |
| Charles Schwab Corp. | | | 3,954 | | | | 69,946 | |
| T. Rowe Price Group, Inc. | | | 932 | | | | 69,779 | |
| Aon plc | | | 1,121 | | | | 68,942 | |
| CME Group, Inc. — Class A | | | 1,109 | | | | 68,082 | |
| Prologis, Inc. | | | 1,669 | | | | 66,727 | |
| Health Care REIT, Inc. | | | 941 | | | | 63,903 | |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| NOVA fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Equity Residential | | | 1,153 | | | $ | 63,484 | |
| Weyerhaeuser Co. | | | 1,965 | | | | 61,662 | |
| SunTrust Banks, Inc. | | | 1,940 | | | | 55,891 | |
| Boston Properties, Inc. | | | 547 | | | | 55,280 | |
| Ameriprise Financial, Inc. | | | 732 | | | | 53,912 | |
| McGraw-Hill Companies, Inc. | | | 1,013 | | | | 52,757 | |
| AvalonBay Communities, Inc. | | | 409 | | | | 51,808 | |
| Fifth Third Bancorp | | | 3,149 | | | | 51,360 | |
| Vornado Realty Trust | | | 610 | | | | 51,020 | |
| Progressive Corp. | | | 1,999 | | | | 50,515 | |
| Loews Corp. | | | 1,114 | | | | 49,094 | |
| Invesco Ltd. | | | 1,587 | | | | 45,960 | |
| M&T Bank Corp. | | | 445 | | | | 45,906 | |
| Host Hotels & Resorts, Inc. | | | 2,613 | | | | 45,701 | |
| Northern Trust Corp. | | | 779 | | | | 42,502 | |
| IntercontinentalExchange, Inc.* | | | 258 | | | | 42,072 | |
| Regions Financial Corp. | | | 5,090 | | | | 41,687 | |
| Hartford Financial Services Group, Inc. | | | 1,576 | | | | 40,661 | |
| Moody’s Corp. | | | 697 | | | | 37,164 | |
| NYSE Euronext | | | 874 | | | | 33,771 | |
| Principal Financial Group, Inc. | | | 992 | | | | 33,758 | |
| SLM Corp. | | | 1,631 | | | | 33,403 | |
| KeyCorp | | | 3,324 | | | | 33,107 | |
| Kimco Realty Corp. | | | 1,471 | | | | 32,950 | |
| XL Group plc — Class A | | | 1,061 | | | | 32,148 | |
| Lincoln National Corp. | | | 977 | | | | 31,860 | |
| Plum Creek Timber Company, Inc. | | | 584 | | | | 30,485 | |
| Leucadia National Corp. | | | 1,052 | | | | 28,856 | |
| CBRE Group, Inc. — Class A* | | | 1,096 | | | | 27,674 | |
| Unum Group | | | 971 | | | | 27,431 | |
| Cincinnati Financial Corp. | | | 533 | | | | 25,152 | |
| Comerica, Inc. | | | 675 | | | | 24,266 | |
| Huntington Bancshares, Inc. | | | 3,030 | | | | 22,392 | |
| Torchmark Corp. | | | 336 | | | | 20,093 | |
| Genworth Financial, Inc. — Class A* | | | 1,770 | | | | 17,700 | |
| Zions Bancorporation | | | 662 | | | | 16,543 | |
| People���s United Financial, Inc. | | | 1,219 | | | | 16,384 | |
| Apartment Investment & Management Co. — Class A | | | 530 | | | | 16,250 | |
| Hudson City Bancorp, Inc. | | | 1,707 | | | | 14,748 | |
| NASDAQ OMX Group, Inc. | | | 420 | | | | 13,566 | |
| Legg Mason, Inc. | | | 413 | | | | 13,278 | |
| Assurant, Inc. | | | 280 | | | | 12,603 | |
| E*TRADE Financial Corp.* | | | 929 | | | | 9,950 | |
| First Horizon National Corp. | | | 876 | | | | 9,356 | |
| Total Financials | | | | | | | 8,009,804 | |
| Health Care - 8.4% | | | | | | | | |
| Johnson & Johnson | | | 10,057 | | | | 819,947 | |
| Pfizer, Inc. | | | 25,868 | | | | 746,550 | |
| Merck & Company, Inc. | | | 10,875 | | | | 481,001 | |
| Amgen, Inc. | | | 2,693 | | | | 276,059 | |
| Gilead Sciences, Inc.* | | | 5,482 | | | | 268,234 | |
| Bristol-Myers Squibb Co. | | | 5,892 | | | | 242,691 | |
| AbbVie, Inc. | | | 5,687 | | | | 231,916 | |
| UnitedHealth Group, Inc. | | | 3,686 | | | | 210,875 | |
| Eli Lilly & Co. | | | 3,592 | | | | 203,990 | |
| Abbott Laboratories | | | 5,652 | | | | 199,629 | |
| Celgene Corp.* | | | 1,507 | | | | 174,676 | |
| Medtronic, Inc. | | | 3,641 | | | | 170,980 | |
| Express Scripts Holding Co.* | | | 2,943 | | | | 169,664 | |
| Biogen Idec, Inc.* | | | 847 | | | | 163,395 | |
| Baxter International, Inc. | | | 1,964 | | | | 142,665 | |
| Allergan, Inc. | | | 1,110 | | | | 123,909 | |
| Covidien plc | | | 1,695 | | | | 114,989 | |
| Thermo Fisher Scientific, Inc. | | | 1,287 | | | | 98,443 | |
| McKesson Corp. | | | 838 | | | | 90,470 | |
| WellPoint, Inc. | | | 1,090 | | | | 72,191 | |
| Intuitive Surgical, Inc.* | | | 146 | | | | 71,714 | |
| Stryker Corp. | | | 1,043 | | | | 68,045 | |
| Becton Dickinson and Co. | | | 698 | | | | 66,736 | |
| Alexion Pharmaceuticals, Inc.* | | | 705 | | | | 64,959 | |
| Cigna Corp. | | | 1,031 | | | | 64,303 | |
| Aetna, Inc. | | | 1,180 | | | | 60,322 | |
| Agilent Technologies, Inc. | | | 1,247 | | | | 52,337 | |
| Cardinal Health, Inc. | | | 1,226 | | | | 51,026 | |
| Cerner Corp.* | | | 532 | | | | 50,407 | |
| Zimmer Holdings, Inc. | | | 609 | | | | 45,809 | |
| Actavis, Inc.* | | | 465 | | | | 42,831 | |
| AmerisourceBergen Corp. — Class A | | | 828 | | | | 42,601 | |
| Mylan, Inc.* | | | 1,423 | | | | 41,182 | |
| St. Jude Medical, Inc. | | | 1,015 | | | | 41,047 | |
| Life Technologies Corp.* | | | 619 | | | | 40,006 | |
| Humana, Inc. | | | 569 | | | | 39,324 | |
| Boston Scientific Corp.* | | | 4,884 | | | | 38,144 | |
| Perrigo Co. | | | 317 | | | | 37,637 | |
| DaVita HealthCare Partners, Inc.* | | | 308 | | | | 36,526 | |
| Edwards Lifesciences Corp.* | | | 411 | | | | 33,768 | |
| Forest Laboratories, Inc.* | | | 845 | | | | 32,144 | |
| Quest Diagnostics, Inc. | | | 569 | | | | 32,120 | |
| Laboratory Corporation of America Holdings* | | | 331 | | | | 29,856 | |
| Waters Corp.* | | | 309 | | | | 29,018 | |
| Varian Medical Systems, Inc.* | | | 393 | | | | 28,296 | |
| CareFusion Corp.* | | | 802 | | | | 28,062 | |
| CR Bard, Inc. | | | 274 | | | | 27,614 | |
| Coventry Health Care, Inc. | | | 484 | | | | 22,763 | |
| DENTSPLY International, Inc. | | | 515 | | | | 21,846 | |
| Hospira, Inc.* | | | 595 | | | | 19,534 | |
| Tenet Healthcare Corp.* | | | 375 | | | | 17,843 | |
| PerkinElmer, Inc. | | | 409 | | | | 13,759 | |
| Patterson Companies, Inc. | | | 298 | | | | 11,336 | |
| Total Health Care | | | | | | | 6,305,189 | |
| Consumer Discretionary - 7.8% | | | | | | | | |
| Comcast Corp. — Class A | | | 9,498 | | | | 399,010 | |
| Home Depot, Inc. | | | 5,382 | | | | 375,556 | |
| Walt Disney Co. | | | 6,493 | | | | 368,802 | |
| McDonald’s Corp. | | | 3,606 | | | | 359,482 | |
| Amazon.com, Inc.* | | | 1,311 | | | | 349,368 | |
| News Corp. — Class A | | | 7,195 | | | | 219,591 | |
| Time Warner, Inc. | | | 3,364 | | | | 193,834 | |
| Ford Motor Co. | | | 14,112 | | | | 185,573 | |
| Target Corp. | | | 2,344 | | | | 160,447 | |
| NIKE, Inc. — Class B | | | 2,611 | | | | 154,075 | |
| Starbucks Corp. | | | 2,692 | | | | 153,336 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| NOVA fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Lowe’s Companies, Inc. | | | 3,994 | | | $ | 151,452 | |
| TJX Companies, Inc. | | | 2,623 | | | | 122,624 | |
| Priceline.com, Inc.* | | | 176 | | | | 121,076 | |
| DIRECTV* | | | 2,066 | | | | 116,956 | |
| Yum! Brands, Inc. | | | 1,621 | | | | 116,615 | |
| Time Warner Cable, Inc. | | | 1,063 | | | | 102,112 | |
| Viacom, Inc. — Class B | | | 1,639 | | | | 100,913 | |
| CBS Corp. — Class B | | | 2,105 | | | | 98,283 | |
| Johnson Controls, Inc. | | | 2,462 | | | | 86,343 | |
| Discovery Communications, Inc. — Class A* | | | 880 | | | | 69,291 | |
| Macy’s, Inc. | | | 1,427 | | | | 59,706 | |
| Omnicom Group, Inc. | | | 941 | | | | 55,425 | |
| Dollar General Corp.* | | | 1,088 | | | | 55,031 | |
| Carnival Corp. | | | 1,597 | | | | 54,777 | |
| Mattel, Inc. | | | 1,240 | | | | 54,300 | |
| VF Corp. | | | 322 | | | | 54,015 | |
| Bed Bath & Beyond, Inc.* | | | 814 | | | | 52,438 | |
| AutoZone, Inc.* | | | 131 | | | | 51,976 | |
| Coach, Inc. | | | 1,009 | | | | 50,440 | |
| Ross Stores, Inc. | | | 798 | | | | 48,375 | |
| Delphi Automotive plc | | | 1,055 | | | | 46,842 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 697 | | | | 44,420 | |
| Genuine Parts Co. | | | 557 | | | | 43,446 | |
| Harley-Davidson, Inc. | | | 812 | | | | 43,280 | |
| O’Reilly Automotive, Inc.* | | | 401 | | | | 41,123 | |
| Dollar Tree, Inc.* | | | 818 | | | | 39,616 | |
| L Brands, Inc. | | | 860 | | | | 38,408 | |
| Netflix, Inc.* | | | 201 | | | | 38,071 | |
| The Gap, Inc. | | | 1,075 | | | | 38,055 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 114 | | | | 37,149 | |
| Marriott International, Inc. — Class A | | | 877 | | | | 37,036 | |
| Ralph Lauren Corp. — Class A | | | 215 | | | | 36,402 | |
| Wynn Resorts Ltd. | | | 283 | | | | 35,420 | |
| Kohl’s Corp. | | | 766 | | | | 35,336 | |
| CarMax, Inc.* | | | 818 | | | | 34,111 | |
| Whirlpool Corp. | | | 284 | | | | 33,643 | |
| Staples, Inc. | | | 2,423 | | | | 32,541 | |
| BorgWarner, Inc.* | | | 416 | | | | 32,173 | |
| Wyndham Worldwide Corp. | | | 492 | | | | 31,724 | |
| PVH Corp. | | | 280 | | | | 29,907 | |
| Tiffany & Co. | | | 429 | | | | 29,833 | |
| Nordstrom, Inc. | | | 539 | | | | 29,769 | |
| H&R Block, Inc. | | | 981 | | | | 28,861 | |
| Newell Rubbermaid, Inc. | | | 1,031 | | | | 26,909 | |
| PulteGroup, Inc.* | | | 1,221 | | | | 24,713 | |
| Lennar Corp. — Class A | | | 594 | | | | 24,639 | |
| DR Horton, Inc. | | | 1,002 | | | | 24,349 | |
| Darden Restaurants, Inc. | | | 461 | | | | 23,824 | |
| PetSmart, Inc. | | | 383 | | | | 23,784 | |
| Best Buy Company, Inc. | | | 957 | | | | 21,197 | |
| TripAdvisor, Inc.* | | | 398 | | | | 20,903 | |
| Family Dollar Stores, Inc. | | | 345 | | | | 20,372 | |
| Expedia, Inc. | | | 335 | | | | 20,103 | |
| Scripps Networks Interactive, Inc. — Class A | | | 310 | | | | 19,945 | |
| Interpublic Group of Companies, Inc. | | | 1,489 | | | | 19,402 | |
| Fossil, Inc.* | | | 192 | | | | 18,547 | |
| Hasbro, Inc.1 | | | 412 | | | | 18,103 | |
| Gannett Company, Inc. | | | 824 | | | | 18,021 | |
| Leggett & Platt, Inc. | | | 515 | | | | 17,397 | |
| International Game Technology | | | 951 | | | | 15,692 | |
| Urban Outfitters, Inc.* | | | 390 | | | | 15,109 | |
| Garmin Ltd. | | | 398 | | | | 13,150 | |
| Abercrombie & Fitch Co. — Class A | | | 283 | | | | 13,075 | |
| GameStop Corp. — Class A1 | | | 436 | | | | 12,195 | |
| Cablevision Systems Corp. — Class A | | | 777 | | | | 11,624 | |
| Goodyear Tire & Rubber Co.* | | | 882 | | | | 11,122 | |
| Harman International Industries, Inc. | | | 244 | | | | 10,890 | |
| JC Penney Company, Inc.1 | | | 512 | | | | 7,736 | |
| Apollo Group, Inc. — Class A* | | | 363 | | | | 6,313 | |
| Washington Post Co. — Class B | | | 14 | | | | 6,258 | |
| AutoNation, Inc.* | | | 137 | | | | 5,994 | |
| Total Consumer Discretionary | | | | | | | 5,849,754 | |
| Consumer Staples - 7.4% | | | | | | | | |
| Procter & Gamble Co. | | | 9,830 | | | | 757,503 | |
| Coca-Cola Co. | | | 13,791 | | | | 557,709 | |
| Philip Morris International, Inc. | | | 5,929 | | | | 549,678 | |
| Wal-Mart Stores, Inc. | | | 6,016 | | | | 450,177 | |
| PepsiCo, Inc. | | | 5,550 | | | | 439,061 | |
| Altria Group, Inc. | | | 7,232 | | | | 248,708 | |
| CVS Caremark Corp. | | | 4,430 | | | | 243,606 | |
| Mondelez International, Inc. — Class A | | | 6,404 | | | | 196,026 | |
| Colgate-Palmolive Co. | | | 1,582 | | | | 186,723 | |
| Costco Wholesale Corp. | | | 1,564 | | | | 165,956 | |
| Walgreen Co. | | | 3,099 | | | | 147,760 | |
| Kimberly-Clark Corp. | | | 1,395 | | | | 136,682 | |
| General Mills, Inc. | | | 2,325 | | | | 114,646 | |
| Kraft Foods Group, Inc. | | | 2,133 | | | | 109,913 | |
| HJ Heinz Co. | | | 1,154 | | | | 83,400 | |
| Archer-Daniels-Midland Co. | | | 2,366 | | | | 79,805 | |
| Sysco Corp. | | | 2,106 | | | | 74,068 | |
| Kroger Co. | | | 1,864 | | | | 61,772 | |
| Kellogg Co. | | | 899 | | | | 57,923 | |
| Mead Johnson Nutrition Co. — Class A | | | 729 | | | | 56,461 | |
| Estee Lauder Companies, Inc. — Class A | | | 868 | | | | 55,578 | |
| Lorillard, Inc. | | | 1,365 | | | | 55,078 | |
| Whole Foods Market, Inc. | | | 625 | | | | 54,219 | |
| ConAgra Foods, Inc. | | | 1,493 | | | | 53,464 | |
| Reynolds American, Inc. | | | 1,158 | | | | 51,519 | |
| Hershey Co. | | | 543 | | | | 47,529 | |
| Clorox Co. | | | 471 | | | | 41,698 | |
| Brown-Forman Corp. — Class B | | | 541 | | | | 38,627 | |
| JM Smucker Co. | | | 386 | | | | 38,276 | |
| Beam, Inc. | | | 577 | | | | 36,663 | |
| McCormick & Company, Inc. | | | 481 | | | | 35,378 | |
| Coca-Cola Enterprises, Inc. | | | 944 | | | | 34,852 | |
| Dr Pepper Snapple Group, Inc. | | | 733 | | | | 34,414 | |
| Avon Products, Inc. | | | 1,560 | | | | 32,339 | |
| Campbell Soup Co. | | | 645 | | | | 29,257 | |
| Molson Coors Brewing Co. — Class B | | | 562 | | | | 27,499 | |
| Constellation Brands, Inc. — Class A* | | | 551 | | | | 26,250 | |
| Tyson Foods, Inc. — Class A | | | 1,021 | | | | 25,341 | |
| Monster Beverage Corp.* | | | 518 | | | | 24,729 | |
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| NOVA fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Safeway, Inc. | | | 862 | | | $ | 22,714 | |
| Hormel Foods Corp. | | | 487 | | | | 20,123 | |
| Dean Foods Co.* | | | 671 | | | | 12,165 | |
| Total Consumer Staples | | | | | | | 5,515,289 | |
| Energy - 7.3% | | | | | | | | |
| Exxon Mobil Corp. | | | 16,122 | | | | 1,452,752 | |
| Chevron Corp. | | | 6,990 | | | | 830,552 | |
| Schlumberger Ltd. | | | 4,778 | | | | 357,824 | |
| ConocoPhillips | | | 4,397 | | | | 264,260 | |
| Occidental Petroleum Corp. | | | 2,898 | | | | 227,116 | |
| Anadarko Petroleum Corp. | | | 1,800 | | | | 157,410 | |
| Phillips 66 | | | 2,233 | | | | 156,242 | |
| Halliburton Co. | | | 3,355 | | | | 135,576 | |
| EOG Resources, Inc. | | | 975 | | | | 124,868 | |
| National Oilwell Varco, Inc. | | | 1,540 | | | | 108,955 | |
| Apache Corp. | | | 1,412 | | | | 108,950 | |
| Marathon Petroleum Corp. | | | 1,193 | | | | 106,893 | |
| Williams Companies, Inc. | | | 2,449 | | | | 91,740 | |
| Valero Energy Corp. | | | 1,989 | | | | 90,480 | |
| Kinder Morgan, Inc. | | | 2,270 | | | | 87,804 | |
| Marathon Oil Corp. | | | 2,551 | | | | 86,020 | |
| Devon Energy Corp. | | | 1,362 | | | | 76,844 | |
| Hess Corp. | | | 1,069 | | | | 76,551 | |
| Noble Energy, Inc. | | | 650 | | | | 75,179 | |
| Spectra Energy Corp. | | | 2,403 | | | | 73,892 | |
| Baker Hughes, Inc. | | | 1,590 | | | | 73,792 | |
| Pioneer Natural Resources Co. | | | 472 | | | | 58,646 | |
| Cameron International Corp.* | | | 890 | | | | 58,028 | |
| Cabot Oil & Gas Corp. | | | 760 | | | | 51,384 | |
| Ensco plc — Class A | | | 839 | | | | 50,340 | |
| Range Resources Corp. | | | 582 | | | | 47,165 | |
| Southwestern Energy Co.* | | | 1,263 | | | | 47,059 | |
| FMC Technologies, Inc.* | | | 855 | | | | 46,503 | |
| Murphy Oil Corp. | | | 652 | | | | 41,552 | |
| Chesapeake Energy Corp. | | | 1,870 | | | | 38,167 | |
| Equities Corp. | | | 544 | | | | 36,856 | |
| Noble Corp. | | | 909 | | | | 34,678 | |
| Tesoro Corp. | | | 494 | | | | 28,924 | |
| CONSOL Energy, Inc. | | | 821 | | | | 27,627 | |
| Denbury Resources, Inc.* | | | 1,344 | | | | 25,066 | |
| Helmerich & Payne, Inc. | | | 384 | | | | 23,309 | |
| QEP Resources, Inc. | | | 646 | | | | 20,569 | |
| Peabody Energy Corp. | | | 966 | | | | 20,431 | |
| Diamond Offshore Drilling, Inc. | | | 249 | | | | 17,320 | |
| Nabors Industries Ltd. | | | 1,048 | | | | 16,999 | |
| Rowan Companies plc — Class A* | | | 446 | | | | 15,771 | |
| WPX Energy, Inc.* | | | 721 | | | | 11,550 | |
| Newfield Exploration Co.* | | | 484 | | | | 10,851 | |
| Total Energy | | | | | | | 5,492,495 | |
| Industrials - 6.8% | | | | | | | | |
| General Electric Co. | | | 37,415 | | | | 865,034 | |
| United Technologies Corp. | | | 3,037 | | | | 283,747 | |
| 3M Co. | | | 2,281 | | | | 242,493 | |
| Union Pacific Corp. | | | 1,690 | | | | 240,673 | |
| United Parcel Service, Inc. — Class B | | | 2,576 | | | | 221,278 | |
| Honeywell International, Inc. | | | 2,824 | | | | 212,788 | |
| Boeing Co. | | | 2,454 | | | | 210,676 | |
| Caterpillar, Inc. | | | 2,355 | | | | 204,815 | |
| Emerson Electric Co. | | | 2,596 | | | | 145,038 | |
| Danaher Corp. | | | 2,086 | | | | 129,644 | |
| Deere & Co. | | | 1,402 | | | | 120,544 | |
| Eaton Corporation plc | | | 1,695 | | | | 103,819 | |
| FedEx Corp. | | | 1,048 | | | | 102,914 | |
| Precision Castparts Corp. | | | 531 | | | | 100,688 | |
| Lockheed Martin Corp. | | | 961 | | | | 92,756 | |
| Illinois Tool Works, Inc. | | | 1,494 | | | | 91,044 | |
| CSX Corp. | | | 3,673 | | | | 90,466 | |
| Norfolk Southern Corp. | | | 1,130 | | | | 87,100 | |
| General Dynamics Corp. | | | 1,197 | | | | 84,400 | |
| Cummins, Inc. | | | 635 | | | | 73,539 | |
| Raytheon Co. | | | 1,171 | | | | 68,843 | |
| PACCAR, Inc. | | | 1,272 | | | | 64,312 | |
| Waste Management, Inc. | | | 1,573 | | | | 61,678 | |
| Northrop Grumman Corp. | | | 853 | | | | 59,838 | |
| Ingersoll-Rand plc | | | 992 | | | | 54,570 | |
| Tyco International Ltd. | | | 1,675 | | | | 53,600 | |
| Fastenal Co. | | | 976 | | | | 50,117 | |
| Parker Hannifin Corp. | | | 538 | | | | 49,270 | |
| WW Grainger, Inc. | | | 215 | | | | 48,371 | |
| Stanley Black & Decker, Inc. | | | 577 | | | | 46,720 | |
| Dover Corp. | | | 629 | | | | 45,842 | |
| Roper Industries, Inc. | | | 360 | | | | 45,832 | |
| Rockwell Automation, Inc. | | | 505 | | | | 43,607 | |
| ADT Corp. | | | 832 | | | | 40,718 | |
| Pentair Ltd. | | | 742 | | | | 39,141 | |
| Fluor Corp. | | | 585 | | | | 38,802 | |
| Southwest Airlines Co. | | | 2,620 | | | | 35,318 | |
| Republic Services, Inc. — Class A | | | 1,070 | | | | 35,310 | |
| CH Robinson Worldwide, Inc. | | | 585 | | | | 34,784 | |
| Stericycle, Inc.* | | | 307 | | | | 32,597 | |
| Rockwell Collins, Inc. | | | 491 | | | | 30,992 | |
| Textron, Inc. | | | 977 | | | | 29,124 | |
| Flowserve Corp. | | | 173 | | | | 29,014 | |
| Pall Corp. | | | 400 | | | | 27,348 | |
| Expeditors International of Washington, Inc. | | | 743 | | | | 26,533 | |
| Jacobs Engineering Group, Inc.* | | | 465 | | | | 26,152 | |
| L-3 Communications Holdings, Inc. | | | 323 | | | | 26,137 | |
| Masco Corp. | | | 1,288 | | | | 26,082 | |
| Equifax, Inc. | | | 438 | | | | 25,224 | |
| Joy Global, Inc. | | | 378 | | | | 22,499 | |
| Iron Mountain, Inc. | | | 605 | | | | 21,968 | |
| Quanta Services, Inc.* | | | 763 | | | | 21,807 | |
| Robert Half International, Inc. | | | 502 | | | | 18,840 | |
| Xylem, Inc. | | | 670 | | | | 18,465 | |
| Snap-on, Inc. | | | 210 | | | | 17,367 | |
| Cintas Corp. | | | 377 | | | | 16,637 | |
| Avery Dennison Corp. | | | 357 | | | | 15,376 | |
| Dun & Bradstreet Corp. | | | 147 | | | | 12,297 | |
| Ryder System, Inc. | | | 190 | | | | 11,353 | |
| Pitney Bowes, Inc.1 | | | 724 | | | | 10,759 | |
| Total Industrials | | | | | | | 5,086,700 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| NOVA fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Utilities - 2.4% | | | | | | | | |
| Duke Energy Corp. | | | 2,537 | | | $ | 184,161 | |
| Southern Co. | | | 3,127 | | | | 146,719 | |
| Dominion Resources, Inc. | | | 2,077 | | | | 120,840 | |
| NextEra Energy, Inc. | | | 1,523 | | | | 118,307 | |
| Exelon Corp. | | | 3,077 | | | | 106,095 | |
| American Electric Power Company, Inc. | | | 1,751 | | | | 85,151 | |
| PG&E Corp. | | | 1,576 | | | | 70,179 | |
| PPL Corp. | | | 2,096 | | | | 65,626 | |
| Sempra Energy | | | 812 | | | | 64,911 | |
| Consolidated Edison, Inc. | | | 1,054 | | | | 64,326 | |
| FirstEnergy Corp. | | | 1,507 | | | | 63,595 | |
| Public Service Enterprise Group, Inc. | | | 1,817 | | | | 62,396 | |
| Edison International | | | 1,175 | | | | 59,126 | |
| Xcel Energy, Inc. | | | 1,762 | | | | 52,331 | |
| Northeast Utilities | | | 1,129 | | | | 49,066 | |
| DTE Energy Co. | | | 621 | | | | 42,439 | |
| Entergy Corp. | | | 644 | | | | 40,727 | |
| CenterPoint Energy, Inc. | | | 1,537 | | | | 36,827 | |
| Wisconsin Energy Corp. | | | 824 | | | | 35,341 | |
| ONEOK, Inc. | | | 737 | | | | 35,132 | |
| NiSource, Inc. | | | 1,124 | | | | 32,978 | |
| NRG Energy, Inc. | | | 1,167 | | | | 30,914 | |
| Ameren Corp. | | | 878 | | | | 30,748 | |
| AES Corp. | | | 2,230 | | | | 28,031 | |
| CMS Energy Corp. | | | 956 | | | | 26,711 | |
| SCANA Corp. | | | 475 | | | | 24,301 | |
| Pinnacle West Capital Corp. | | | 392 | | | | 22,693 | |
| AGL Resources, Inc. | | | 426 | | | | 17,871 | |
| Pepco Holdings, Inc. | | | 833 | | | | 17,826 | |
| Integrys Energy Group, Inc. | | | 287 | | | | 16,692 | |
| TECO Energy, Inc. | | | 733 | | | | 13,062 | |
| Total Utilities | | | | | | | 1,765,122 | |
| Materials - 2.3% | | | | | | | | |
| Monsanto Co. | | | 1,933 | | | | 204,183 | |
| EI du Pont de Nemours & Co. | | | 3,360 | | | | 165,177 | |
| Dow Chemical Co. | | | 4,330 | | | | 137,867 | |
| Praxair, Inc. | | | 1,066 | | | | 118,902 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 3,414 | | | | 113,003 | |
| LyondellBasell Industries N.V. — Class A | | | 1,369 | | | | 86,644 | |
| Ecolab, Inc. | | | 954 | | | | 76,492 | |
| Newmont Mining Corp. | | | 1,789 | | | | 74,941 | |
| International Paper Co. | | | 1,590 | | | | 74,062 | |
| PPG Industries, Inc. | | | 514 | | | | 68,845 | |
| Air Products & Chemicals, Inc. | | | 747 | | | | 65,079 | |
| Mosaic Co. | | | 995 | | | | 59,312 | |
| Nucor Corp. | | | 1,143 | | | | 52,749 | |
| Sherwin-Williams Co. | | | 305 | | | | 51,511 | |
| CF Industries Holdings, Inc. | | | 225 | | | | 42,833 | |
| Eastman Chemical Co. | | | 557 | | | | 38,918 | |
| Sigma-Aldrich Corp. | | | 433 | | | | 33,635 | |
| Alcoa, Inc. | | | 3,851 | | | | 32,811 | |
| FMC Corp. | | | 496 | | | | 28,287 | |
| Ball Corp. | | | 538 | | | | 25,598 | |
| Airgas, Inc. | | | 246 | | | | 24,393 | |
| Vulcan Materials Co. | | | 465 | | | | 24,041 | |
| MeadWestvaco Corp. | | | 634 | | | | 23,014 | |
| International Flavors & Fragrances, Inc. | | | 289 | | | | 22,158 | |
| Sealed Air Corp. | | | 700 | | | | 16,877 | |
| Owens-Illinois, Inc.* | | | 590 | | | | 15,724 | |
| Bemis Company, Inc. | | | 371 | | | | 14,974 | |
| Allegheny Technologies, Inc. | | | 392 | | | | 12,430 | |
| Cliffs Natural Resources, Inc. | | | 550 | | | | 10,456 | |
| United States Steel Corp.1 | | | 516 | | | | 10,062 | |
| Total Materials | | | | | | | 1,724,978 | |
| Telecommunication Services - 2.0% | | | | | | | | |
| AT&T, Inc. | | | 19,760 | | | | 724,995 | |
| Verizon Communications, Inc. | | | 10,289 | | | | 505,704 | |
| CenturyLink, Inc. | | | 2,257 | | | | 79,288 | |
| Crown Castle International Corp.* | | | 1,055 | | | | 73,470 | |
| Sprint Nextel Corp.* | | | 10,832 | | | | 67,267 | |
| Windstream Corp.1 | | | 2,129 | | | | 16,926 | |
| Frontier Communications Corp.1 | | | 3,592 | | | | 14,296 | |
| MetroPCS Communications, Inc.* | | | 1,152 | | | | 12,557 | |
| Total Telecommunication Services | | | | | | | 1,494,503 | |
| Total Common Stocks | | | | | | | | |
| (Cost $34,712,016) | | | | | | | 50,309,173 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 30.1% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 9,579,165 | | | | 9,579,165 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 7,858,815 | | | | 7,858,815 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 4,257,459 | | | | 4,257,459 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 796,621 | | | | 796,621 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $22,492,060) | | | | | | | 22,492,060 | |
| SECURITIES LENDING COLLATERAL††,4 - 0.1% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 23,384 | | | | 23,384 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 18,396 | | | | 18,396 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $41,780) | | | | | | | 41,780 | |
| Total Investments - 97.4% | | | | | | | | |
| (Cost $57,245,856) | | | | | | $ | 72,843,013 | |
| Other Assets & Liabilities, net - 2.6% | | | | | | | 1,977,967 | |
| Total Net Assets - 100.0% | | | | | | $ | 74,820,980 | |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| NOVA fund | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $702,563) | | | 9 | | | $ | 8,562 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $38,501,259) | | | 24,536 | | | $ | 154,332 | |
| Goldman Sachs International | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $18,989,109) | | | 12,101 | | | | 66,405 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $3,476,307) | | | 2,215 | | | | 14,122 | |
| (Total Notional Value $60,966,675) | | | | | | $ | 234,859 | |
| | * | 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 March 28, 2013 — 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 March 28, 2013. |
| | 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 ANNUAL REPORT | 23 |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $40,988 of securities loaned | | | | |
| (cost $34,712,016) | | $ | 50,309,173 | |
| Repurchase agreements, at value | | | | |
| (cost $22,533,840) | | | 22,533,840 | |
| Total investments | | | | |
| (cost $57,245,856) | | | 72,843,013 | |
| Segregated cash with broker | | | 2,601,500 | |
| Unrealized appreciation on swap agreements | | | 234,859 | |
| Cash | | | 9,466 | |
| Receivable for swap settlement | | | 3,981 | |
| Receivables: | | | | |
| Dividends | | | 62,845 | |
| Fund shares sold | | | 39,197 | |
| Variation margin | | | 2,003 | |
| Interest | | | 307 | |
| Total assets | | | 75,797,171 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 800,596 | |
| Management fees | | | 45,985 | |
| Upon return of securities loaned | | | 41,780 | |
| Transfer agent and administrative fees | | | 15,328 | |
| Distribution and service fees | | | 12,605 | |
| Securities purchased | | | 6,929 | |
| Portfolio accounting fees | | | 6,131 | |
| Miscellaneous | | | 46,837 | |
| Total liabilities | | | 976,191 | |
| Net assets | | $ | 74,820,980 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 93,494,696 | |
| Accumulated net investment loss | | | (10,845 | ) |
| Accumulated net realized loss on investments | | | (34,503,449 | ) |
| Net unrealized appreciation on investments | | | 15,840,578 | |
| Net assets | | $ | 74,820,980 | |
| Investor Class: | | | | |
| Net assets | | $ | 52,785,310 | |
| Capital shares outstanding | | | 1,647,082 | |
| Net asset value per share | | $ | 32.05 | |
| Advisor Class: | | | | |
| Net assets | | $ | 12,140,978 | |
| Capital shares outstanding | | | 411,434 | |
| Net asset value per share | | $ | 29.51 | |
| A-Class: | | | | |
| Net assets | | $ | 1,189,425 | |
| Capital shares outstanding | | | 39,343 | |
| Net asset value per share | | $ | 30.23 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 31.74 | |
| C-Class: | | | | |
| Net assets | | $ | 8,705,267 | |
| Capital shares outstanding | | | 309,650 | |
| Net asset value per share | | $ | 28.11 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $567) | | $ | 958,389 | |
| Interest | | | 29,728 | |
| Income from securities lending, net | | | 383 | |
| Total investment income | | | 988,500 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 515,228 | |
| Transfer agent and administrative fees | | | 171,743 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 52,405 | |
| A-Class | | | 3,019 | |
| C-Class | | | 83,515 | |
| Portfolio accounting fees | | | 68,696 | |
| Custodian fees | | | 10,562 | |
| Trustees’ fees* | | | 6,683 | |
| Miscellaneous | | | 92,231 | |
| Total expenses | | | 1,004,082 | |
| Net investment loss | | | (15,582 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 9,849,504 | |
| Swap agreements | | | 5,733,212 | |
| Futures contracts | | | (883,490 | ) |
| Net realized gain | | | 14,699,226 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (3,528,611 | ) |
| Swap agreements | | | 238,988 | |
| Futures contracts | | | (44,736 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,334,359 | ) |
| Net realized and unrealized gain | | | 11,364,867 | |
| Net increase in net assets resulting from operations | | $ | 11,349,285 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| nova fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (15,582 | ) | | $ | 72,406 | |
| Net realized gain on investments | | | 14,699,226 | | | | 6,937,460 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,334,359 | ) | | | (1,576,607 | ) |
| Net increase in net assets resulting from operations | | | 11,349,285 | | | | 5,433,259 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (57,812 | ) | | | — | |
| Advisor Class | | | (4,536 | ) | | | — | |
| A-Class | | | (1,140 | ) | | | — | |
| C-Class | | | (8,918 | ) | | | — | |
| Total distributions to shareholders | | | (72,406 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 318,487,378 | | | | 237,071,389 | |
| Advisor Class | | | 349,562,781 | | | | 121,207,207 | |
| A-Class | | | 553,775 | | | | 3,329,240 | |
| C-Class | | | 3,903,743 | | | | 5,615,480 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 56,051 | | | | — | |
| Advisor Class | | | 4,491 | | | | — | |
| A-Class | | | 985 | | | | — | |
| C-Class | | | 8,561 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (328,304,032 | ) | | | (250,073,204 | ) |
| Advisor Class | | | (350,291,346 | ) | | | (118,799,399 | ) |
| A-Class | | | (1,019,449 | ) | | | (7,696,519 | ) |
| C-Class | | | (5,430,052 | ) | | | (7,800,732 | ) |
| Net decrease from capital share transactions | | | (12,467,114 | ) | | | (17,146,538 | ) |
| Net decrease in net assets | | | (1,190,235 | ) | | | (11,713,279 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 76,011,215 | | | | 87,724,494 | |
| End of year | | $ | 74,820,980 | | | $ | 76,011,215 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | (10,845 | ) | | $ | 72,406 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 11,739,305 | | | | 10,119,764 | |
| Advisor Class | | | 14,143,960 | | | | 5,689,047 | |
| A-Class | | | 22,082 | | | | 144,349 | |
| C-Class | | | 165,288 | | | | 268,080 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 2,049 | | | | — | |
| Advisor Class | | | 178 | | | | — | |
| A-Class | | | 38 | | | | — | |
| C-Class | | | 356 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (12,129,842 | ) | | | (10,732,141 | ) |
| Advisor Class | | | (14,179,836 | ) | | | (5,518,034 | ) |
| A-Class | | | (40,802 | ) | | | (336,896 | ) |
| C-Class | | | (227,471 | ) | | | (371,985 | ) |
| Net decrease in shares | | | (504,695 | ) | | | (737,816 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
NOVA FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.82 | | | $ | 24.59 | | | $ | 20.28 | | | $ | 11.40 | | | $ | 26.13 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .05 | | | | .08 | | | | .02 | | | | .06 | | | | .19 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.21 | | | | 2.15 | | | | 4.31 | | | | 8.97 | | | | (14.83 | ) |
| Total from investment operations | | | 5.26 | | | | 2.23 | | | | 4.33 | | | | 9.03 | | | | (14.64 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Total distributions | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 32.05 | | | $ | 26.82 | | | $ | 24.59 | | | $ | 20.28 | | | $ | 11.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 19.62 | % | | | 9.07 | % | | | 21.38 | % | | | 79.36 | % | | | (56.06 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 52,785 | | | $ | 54,598 | | | $ | 65,102 | | | $ | 77,268 | | | $ | 32,603 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.20 | % | | | 0.36 | % | | | 0.11 | % | | | 0.33 | % | | | 0.93 | % |
| Total expenses | | | 1.26 | % | | | 1.26 | % | | | 1.29 | % | | | 1.28 | % | | | 1.29 | % |
| Portfolio turnover rate | | | 137 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.85 | | | $ | 22.88 | | | $ | 18.97 | | | $ | 10.73 | | | $ | 24.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.11 | ) | | | (.04 | ) | | | (.07 | ) | | | (.01 | ) | | | .08 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.80 | | | | 2.01 | | | | 4.00 | | | | 8.40 | | | | (13.98 | ) |
| Total from investment operations | | | 4.69 | | | | 1.97 | | | | 3.93 | | | | 8.39 | | | | (13.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Total distributions | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 29.51 | | | $ | 24.85 | | | $ | 22.88 | | | $ | 18.97 | | | $ | 10.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.93 | % | | | 8.57 | % | | | 20.75 | % | | | 78.35 | % | | | (56.26 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,141 | | | $ | 11,112 | | | $ | 6,318 | | | $ | 11,746 | | | $ | 10,853 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.43 | %) | | | (0.18 | %) | | | (0.37 | %) | | | (0.03 | %) | | | 0.45 | % |
| Total expenses | | | 1.75 | % | | | 1.75 | % | | | 1.79 | % | | | 1.78 | % | | | 1.79 | % |
| Portfolio turnover rate | | | 137 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % |
| 26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| nova fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.38 | | | $ | 23.32 | | | $ | 19.28 | | | $ | 10.88 | | | $ | 24.99 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.01 | ) | | | .01 | | | | (.02 | ) | | | .03 | | | | .13 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.89 | | | | 2.05 | | | | 4.08 | | | | 8.52 | | | | (14.15 | ) |
| Total from investment operations | | | 4.88 | | | | 2.06 | | | | 4.06 | | | | 8.55 | | | | (14.02 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Total distributions | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 30.23 | | | $ | 25.38 | | | $ | 23.32 | | | $ | 19.28 | | | $ | 10.88 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 19.28 | % | | | 8.79 | % | | | 21.09 | % | | | 78.74 | % | | | (56.13 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,189 | | | $ | 1,472 | | | $ | 5,843 | | | $ | 1,876 | | | $ | 3,612 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.04 | %) | | | 0.06 | % | | | (0.11 | %) | | | 0.18 | % | | | 0.70 | % |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.54 | % | | | 1.54 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 137 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.77 | | | $ | 22.01 | | | $ | 18.33 | | | $ | 10.42 | | | $ | 24.14 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.19 | ) | | | (.13 | ) | | | (.16 | ) | | | (.09 | ) | | | (.01 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.56 | | | | 1.89 | | | | 3.86 | | | | 8.15 | | | | (13.62 | ) |
| Total from investment operations | | | 4.37 | | | | 1.76 | | | | 3.70 | | | | 8.06 | | | | (13.63 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Total distributions | | | (.03 | ) | | | — | | | | (.02 | ) | | | (.15 | ) | | | (.09 | ) |
| Net asset value, end of period | | $ | 28.11 | | | $ | 23.77 | | | $ | 22.01 | | | $ | 18.33 | | | $ | 10.42 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.39 | % | | | 8.00 | % | | | 20.22 | % | | | 77.51 | % | | | (56.49 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,705 | | | $ | 8,829 | | | $ | 10,461 | | | $ | 10,661 | | | $ | 9,314 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.79 | %) | | | (0.62 | %) | | | (0.85 | %) | | | (0.61 | %) | | | (0.05 | %) |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 137 | % | | | 116 | % | | | 53 | % | | | 68 | % | | | 143 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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”).
The broad-market S&P 500 Index returned 13.96% for the one-year period ended March 28, 2013, while the S&P 500® Fund H-Class returned 12.16% for the same period. The Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the S&P 500 Index.
Sectors contributing most to performance of the underlying index were Health Care and Financials. The sector contributing least was Materials. Information Technology was the only sector that detracted from performance of the underlying index.
Johnson & Johnson, Pfizer, Inc. and AT&T, Inc. were the holdings contributing the most to performance of the underlying index for the period. Apple, Inc., Microsoft Corp. and Intel Corp. detracted the most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | May 31, 2006 |
| C-Class | May 31, 2006 |
| H-Class | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | | | 2.2 | % |
| Exxon Mobil Corp. | | | 2.2 | % |
| General Electric Co. | | | 1.3 | % |
| Chevron Corp. | | | 1.2 | % |
| Johnson & Johnson | | | 1.2 | % |
| International Business Machines Corp. | | | 1.2 | % |
| Microsoft Corp. | | | 1.2 | % |
| Google, Inc. — Class A | | | 1.1 | % |
| Procter & Gamble Co. | | | 1.1 | % |
| Pfizer, Inc. | | | 1.1 | % |
| Top Ten Total | | | 13.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 28 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (05/31/06) | |
| A-Class Shares | | | 12.16 | % | | | 4.21 | % | | | 3.97 | % |
| A-Class Shares with sales charge† | | | 6.82 | % | | | 3.21 | % | | | 3.23 | % |
| C-Class Shares | | | 11.29 | % | | | 3.38 | % | | | 3.14 | % |
| C-Class Shares with CDSC‡ | | | 10.29 | % | | | 3.38 | % | | | 3.14 | % |
| H-Class Shares | | | 12.16 | % | | | 4.23 | % | | | 3.97 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 5.38 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† Fund returns are calculated using the maximum sales charge of 4.75%.
‡ Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.
| THE RYDEX FUNDS ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P 500® fund | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 75.0% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 13.5% | | | | | | | | |
| Apple, Inc. | | | 14,486 | | | $ | 6,411,937 | |
| International Business Machines Corp. | | | 16,163 | | | | 3,447,568 | |
| Microsoft Corp. | | | 116,308 | | | | 3,327,573 | |
| Google, Inc. — Class A* | | | 4,118 | | | | 3,269,815 | |
| Oracle Corp. | | | 56,973 | | | | 1,842,507 | |
| QUALCOMM, Inc. | | | 26,508 | | | | 1,774,710 | |
| Cisco Systems, Inc. | | | 82,266 | | | | 1,720,182 | |
| Intel Corp. | | | 76,309 | | | | 1,667,351 | |
| Visa, Inc. — Class A | | | 7,956 | | | | 1,351,246 | |
| eBay, Inc.* | | | 18,006 | | | | 976,285 | |
| Mastercard, Inc. — Class A | | | 1,629 | | | | 881,501 | |
| EMC Corp.* | | | 32,469 | | | | 775,684 | |
| Accenture plc — Class A | | | 9,937 | | | | 754,913 | |
| Hewlett-Packard Co. | | | 30,127 | | | | 718,228 | |
| Texas Instruments, Inc. | | | 17,045 | | | | 604,756 | |
| Automatic Data Processing, Inc. | | | 7,484 | | | | 486,610 | |
| Salesforce.com, Inc.* | | | 2,082 | | | | 372,325 | |
| Cognizant Technology Solutions Corp. — Class A* | | | 4,660 | | | | 357,003 | |
| Yahoo!, Inc.* | | | 14,952 | | | | 351,821 | |
| Adobe Systems, Inc.* | | | 7,694 | | | | 334,766 | |
| Dell, Inc. | | | 22,535 | | | | 322,927 | |
| Corning, Inc. | | | 22,717 | | | | 302,817 | |
| Intuit, Inc. | | | 4,297 | | | | 282,098 | |
| Broadcom Corp. — Class A | | | 8,080 | | | | 280,134 | |
| Motorola Solutions, Inc. | | | 4,258 | | | | 272,640 | |
| TE Connectivity Ltd. | | | 6,484 | | | | 271,874 | |
| Symantec Corp.* | | | 10,633 | | | | 262,422 | |
| Applied Materials, Inc. | | | 18,519 | | | | 249,636 | |
| Analog Devices, Inc. | | | 4,726 | | | | 219,712 | |
| Citrix Systems, Inc.* | | | 2,878 | | | | 207,676 | |
| SanDisk Corp.* | | | 3,735 | | | | 205,425 | |
| NetApp, Inc.* | | | 5,563 | | | | 190,032 | |
| Amphenol Corp. — Class A | | | 2,464 | | | | 183,938 | |
| Fiserv, Inc.* | | | 2,059 | | | | 180,842 | |
| Seagate Technology plc | | | 4,928 | | | | 180,168 | |
| Fidelity National Information Services, Inc. | | | 4,528 | | | | 179,399 | |
| Altera Corp. | | | 4,937 | | | | 175,115 | |
| Paychex, Inc. | | | 4,993 | | | | 175,105 | |
| Western Digital Corp. | | | 3,342 | | | | 168,036 | |
| Xerox Corp. | | | 18,882 | | | | 162,385 | |
| Micron Technology, Inc.* | | | 15,764 | | | | 157,325 | |
| Xilinx, Inc. | | | 4,033 | | | | 153,940 | |
| Red Hat, Inc.* | | | 2,979 | | | | 150,618 | |
| Teradata Corp.* | | | 2,558 | | | | 149,669 | |
| Juniper Networks, Inc.* | | | 7,958 | | | | 147,541 | |
| Autodesk, Inc.* | | | 3,463 | | | | 142,814 | |
| Linear Technology Corp. | | | 3,591 | | | | 137,787 | |
| KLA-Tencor Corp. | | | 2,563 | | | | 135,173 | |
| Western Union Co. | | | 8,775 | | | | 131,976 | |
| CA, Inc. | | | 5,135 | | | | 129,248 | |
| NVIDIA Corp. | | | 9,645 | | | | 123,649 | |
| Computer Sciences Corp. | | | 2,368 | | | | 116,577 | |
| VeriSign, Inc.* | | | 2,354 | | | | 111,297 | |
| Microchip Technology, Inc. | | | 3,012 | | | | 110,721 | |
| F5 Networks, Inc.* | | | 1,209 | | | | 107,698 | |
| Lam Research Corp.* | | | 2,505 | | | | 103,857 | |
| Akamai Technologies, Inc.* | | | 2,744 | | | | 96,836 | |
| BMC Software, Inc.* | | | 2,028 | | | | 93,957 | |
| Electronic Arts, Inc.* | | | 4,630 | | | | 81,951 | |
| Harris Corp. | | | 1,741 | | | | 80,678 | |
| Molex, Inc.1 | | | 2,135 | | | | 62,513 | |
| Total System Services, Inc. | | | 2,482 | | | | 61,504 | |
| SAIC, Inc. | | | 4,374 | | | | 59,268 | |
| FLIR Systems, Inc. | | | 2,237 | | | | 58,184 | |
| LSI Corp.* | | | 8,482 | | | | 57,508 | |
| Jabil Circuit, Inc. | | | 2,838 | | | | 52,446 | |
| JDS Uniphase Corp.* | | | 3,629 | | | | 48,520 | |
| Teradyne, Inc.* | | | 2,932 | | | | 47,557 | |
| First Solar, Inc.* | | | 925 | | | | 24,938 | |
| Advanced Micro Devices, Inc.*,1 | | | 9,360 | | | | 23,868 | |
| Total Information Technology | | | | | | | 38,858,780 | |
| Financials - 12.0% | | | | | | | | |
| Berkshire Hathaway, Inc. — Class B* | | | 28,136 | | | | 2,931,771 | |
| JPMorgan Chase & Co. | | | 59,053 | | | | 2,802,656 | |
| Wells Fargo & Co. | | | 75,633 | | | | 2,797,664 | |
| Citigroup, Inc. | | | 46,887 | | | | 2,074,282 | |
| Bank of America Corp. | | | 166,941 | | | | 2,033,341 | |
| American Express Co. | | | 14,827 | | | | 1,000,230 | |
| Goldman Sachs Group, Inc. | | | 6,751 | | | | 993,410 | |
| U.S. Bancorp | | | 28,749 | | | | 975,454 | |
| American International Group, Inc.* | | | 22,777 | | | | 884,203 | |
| Simon Property Group, Inc. | | | 4,839 | | | | 767,272 | |
| MetLife, Inc. | | | 16,876 | | | | 641,625 | |
| PNC Financial Services Group, Inc. | | | 8,149 | | | | 541,909 | |
| Bank of New York Mellon Corp. | | | 17,951 | | | | 502,448 | |
| BlackRock, Inc. — Class A | | | 1,936 | | | | 497,320 | |
| Capital One Financial Corp. | | | 8,980 | | | | 493,451 | |
| Travelers Companies, Inc. | | | 5,831 | | | | 490,912 | |
| American Tower Corp. — Class A | | | 6,094 | | | | 468,750 | |
| ACE Ltd. | | | 5,234 | | | | 465,669 | |
| Morgan Stanley | | | 21,181 | | | | 465,558 | |
| Prudential Financial, Inc. | | | 7,172 | | | | 423,076 | |
| State Street Corp. | | | 7,049 | | | | 416,525 | |
| Aflac, Inc. | | | 7,215 | | | | 375,324 | |
| Allstate Corp. | | | 7,366 | | | | 361,450 | |
| Chubb Corp. | | | 4,026 | | | | 352,396 | |
| HCP, Inc. | | | 6,992 | | | | 348,621 | |
| Discover Financial Services | | | 7,643 | | | | 342,712 | |
| Public Storage | | | 2,230 | | | | 339,674 | |
| BB&T Corp. | | | 10,799 | | | | 338,981 | |
| Ventas, Inc. | | | 4,504 | | | | 329,693 | |
| Marsh & McLennan Companies, Inc. | | | 8,458 | | | | 321,150 | |
| Franklin Resources, Inc. | | | 2,128 | | | | 320,924 | |
| Charles Schwab Corp. | | | 16,954 | | | | 299,916 | |
| T. Rowe Price Group, Inc. | | | 3,995 | | | | 299,106 | |
| Aon plc | | | 4,807 | | | | 295,631 | |
| CME Group, Inc. — Class A | | | 4,740 | | | | 290,988 | |
| Prologis, Inc. | | | 7,140 | | | | 285,457 | |
| Health Care REIT, Inc. | | | 4,025 | | | | 273,338 | |
| Equity Residential | | | 4,942 | | | | 272,107 | |
| 30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| S&P 500® fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Weyerhaeuser Co. | | | 8,417 | | | $ | 264,125 | |
| SunTrust Banks, Inc. | | | 8,318 | | | | 239,642 | |
| Boston Properties, Inc. | | | 2,344 | | | | 236,885 | |
| Ameriprise Financial, Inc. | | | 3,139 | | | | 231,187 | |
| McGraw-Hill Companies, Inc. | | | 4,329 | | | | 225,454 | |
| AvalonBay Communities, Inc. | | | 1,755 | | | | 222,306 | |
| Fifth Third Bancorp | | | 13,504 | | | | 220,250 | |
| Vornado Realty Trust | | | 2,611 | | | | 218,384 | |
| Progressive Corp. | | | 8,572 | | | | 216,614 | |
| Loews Corp. | | | 4,776 | | | | 210,478 | |
| Invesco Ltd. | | | 6,803 | | | | 197,015 | |
| Host Hotels & Resorts, Inc. | | | 11,216 | | | | 196,168 | |
| M&T Bank Corp. | | | 1,889 | | | | 194,869 | |
| IntercontinentalExchange, Inc.* | | | 1,124 | | | | 183,291 | |
| Northern Trust Corp. | | | 3,356 | | | | 183,103 | |
| Regions Financial Corp. | | | 21,811 | | | | 178,632 | |
| Hartford Financial Services Group, Inc. | | | 6,736 | | | | 173,789 | |
| Moody’s Corp. | | | 2,991 | | | | 159,480 | |
| NYSE Euronext | | | 3,751 | | | | 144,939 | |
| Principal Financial Group, Inc. | | | 4,255 | | | | 144,798 | |
| SLM Corp. | | | 6,994 | | | | 143,237 | |
| KeyCorp | | | 14,254 | | | | 141,970 | |
| Kimco Realty Corp. | | | 6,295 | | | | 141,008 | |
| XL Group plc — Class A | | | 4,551 | | | | 137,895 | |
| Lincoln National Corp. | | | 4,188 | | | | 136,571 | |
| Plum Creek Timber Company, Inc. | | | 2,507 | | | | 130,865 | |
| Leucadia National Corp. | | | 4,530 | | | | 124,258 | |
| CBRE Group, Inc. — Class A* | | | 4,691 | | | | 118,448 | |
| Unum Group | | | 4,163 | | | | 117,605 | |
| Cincinnati Financial Corp. | | | 2,267 | | | | 106,980 | |
| Comerica, Inc. | | | 2,895 | | | | 104,075 | |
| Huntington Bancshares, Inc. | | | 12,991 | | | | 96,003 | |
| Torchmark Corp. | | | 1,445 | | | | 86,411 | |
| Genworth Financial, Inc. — Class A* | | | 7,599 | | | | 75,990 | |
| Zions Bancorporation | | | 2,839 | | | | 70,947 | |
| People’s United Financial, Inc. | | | 5,225 | | | | 70,224 | |
| Apartment Investment & Management Co. — Class A | | | 2,249 | | | | 68,954 | |
| Hudson City Bancorp, Inc. | | | 7,332 | | | | 63,348 | |
| NASDAQ OMX Group, Inc. | | | 1,818 | | | | 58,721 | |
| Legg Mason, Inc. | | | 1,771 | | | | 56,938 | |
| Assurant, Inc. | | | 1,214 | | | | 54,642 | |
| E*TRADE Financial Corp.* | | | 3,964 | | | | 42,454 | |
| First Horizon National Corp. | | | 3,755 | | | | 40,103 | |
| Total Financials | | | | | | | 34,344,050 | |
| Health Care - 9.4% | | | | | | | | |
| Johnson & Johnson | | | 43,131 | | | | 3,516,469 | |
| Pfizer, Inc. | | | 110,915 | | | | 3,201,006 | |
| Merck & Company, Inc. | | | 46,630 | | | | 2,062,445 | |
| Amgen, Inc. | | | 11,547 | | | | 1,183,682 | |
| Gilead Sciences, Inc.* | | | 23,492 | | | | 1,149,464 | |
| Bristol-Myers Squibb Co. | | | 25,262 | | | | 1,040,542 | |
| AbbVie, Inc. | | | 24,384 | | | | 994,380 | |
| UnitedHealth Group, Inc. | | | 15,809 | | | | 904,433 | |
| Eli Lilly & Co. | | | 15,402 | | | | 874,680 | |
| Abbott Laboratories | | | 24,233 | | | | 855,910 | |
| Celgene Corp.* | | | 6,461 | | | | 748,895 | |
| Medtronic, Inc. | | | 15,606 | | | | 732,857 | |
| Express Scripts Holding Co.* | | | 12,624 | | | | 727,774 | |
| Biogen Idec, Inc.* | | | 3,650 | | | | 704,122 | |
| Baxter International, Inc. | | | 8,423 | | | | 611,846 | |
| Allergan, Inc. | | | 4,749 | | | | 530,131 | |
| Covidien plc | | | 7,283 | | | | 494,079 | |
| Thermo Fisher Scientific, Inc. | | | 5,518 | | | | 422,072 | |
| McKesson Corp. | | | 3,593 | | | | 387,901 | |
| WellPoint, Inc. | | | 4,695 | | | | 310,950 | |
| Intuitive Surgical, Inc.* | | | 620 | | | | 304,538 | |
| Stryker Corp. | | | 4,459 | | | | 290,905 | |
| Becton Dickinson and Co. | | | 2,992 | | | | 286,065 | |
| Alexion Pharmaceuticals, Inc.* | | | 3,009 | | | | 277,249 | |
| Cigna Corp. | | | 4,414 | | | | 275,301 | |
| Aetna, Inc. | | | 5,060 | | | | 258,667 | |
| Agilent Technologies, Inc. | | | 5,351 | | | | 224,581 | |
| Cardinal Health, Inc. | | | 5,263 | | | | 219,046 | |
| Cerner Corp.* | | | 2,257 | | | | 213,851 | |
| Zimmer Holdings, Inc. | | | 2,613 | | | | 196,550 | |
| AmerisourceBergen Corp. — Class A | | | 3,551 | | | | 182,699 | |
| Actavis, Inc.* | | | 1,977 | | | | 182,101 | |
| Mylan, Inc.* | | | 6,103 | | | | 176,621 | |
| St. Jude Medical, Inc. | | | 4,361 | | | | 176,359 | |
| Life Technologies Corp.* | | | 2,652 | | | | 171,399 | |
| Humana, Inc. | | | 2,441 | | | | 168,698 | |
| Boston Scientific Corp.* | | | 20,943 | | | | 163,565 | |
| Perrigo Co. | | | 1,362 | | | | 161,710 | |
| DaVita HealthCare Partners, Inc.* | | | 1,300 | | | | 154,167 | |
| Edwards Lifesciences Corp.* | | | 1,760 | | | | 144,602 | |
| Quest Diagnostics, Inc. | | | 2,441 | | | | 137,794 | |
| Forest Laboratories, Inc.* | | | 3,620 | | | | 137,705 | |
| Laboratory Corporation of America Holdings* | | | 1,436 | | | | 129,527 | |
| Waters Corp.* | | | 1,325 | | | | 124,431 | |
| Varian Medical Systems, Inc.* | | | 1,680 | | | | 120,960 | |
| CareFusion Corp.* | | | 3,434 | | | | 120,156 | |
| CR Bard, Inc. | | | 1,174 | | | | 118,316 | |
| Coventry Health Care, Inc. | | | 2,081 | | | | 97,869 | |
| DENTSPLY International, Inc. | | | 2,202 | | | | 93,409 | |
| Hospira, Inc.* | | | 2,548 | | | | 83,651 | |
| Tenet Healthcare Corp.* | | | 1,609 | | | | 76,556 | |
| PerkinElmer, Inc. | | | 1,755 | | | | 59,038 | |
| Patterson Companies, Inc. | | | 1,287 | | | | 48,957 | |
| Total Health Care | | | | | | | 27,030,681 | |
| Consumer Discretionary - 8.7% | | | | | | | | |
| Comcast Corp. — Class A | | | 40,723 | | | | 1,710,772 | |
| Home Depot, Inc. | | | 23,067 | | | | 1,609,615 | |
| Walt Disney Co. | | | 27,855 | | | | 1,582,165 | |
| McDonald’s Corp. | | | 15,473 | | | | 1,542,503 | |
| Amazon.com, Inc.* | | | 5,614 | | | | 1,496,076 | |
| News Corp. — Class A | | | 30,852 | | | | 941,603 | |
| Time Warner, Inc. | | | 14,422 | | | | 830,996 | |
| Ford Motor Co. | | | 60,512 | | | | 795,733 | |
| Target Corp. | | | 10,041 | | | | 687,307 | |
| NIKE, Inc. — Class B | | | 11,194 | | | | 660,558 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| S&P 500® fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Starbucks Corp. | | | 11,557 | | | $ | 658,287 | |
| Lowe’s Companies, Inc. | | | 17,125 | | | | 649,380 | |
| Priceline.com, Inc.* | | | 767 | | | | 527,642 | |
| TJX Companies, Inc. | | | 11,255 | | | | 526,170 | |
| DIRECTV* | | | 8,845 | | | | 500,715 | |
| Yum! Brands, Inc. | | | 6,950 | | | | 499,983 | |
| Time Warner Cable, Inc. | | | 4,559 | | | �� | 437,938 | |
| Viacom, Inc. — Class B | | | 7,026 | | | | 432,591 | |
| CBS Corp. — Class B | | | 9,027 | | | | 421,470 | |
| Johnson Controls, Inc. | | | 10,559 | | | | 370,303 | |
| Discovery Communications, Inc. — Class A* | | | 3,782 | | | | 297,795 | |
| Macy’s, Inc. | | | 6,094 | | | | 254,973 | |
| Omnicom Group, Inc. | | | 4,033 | | | | 237,543 | |
| Dollar General Corp.* | | | 4,665 | | | | 235,956 | |
| Carnival Corp. | | | 6,854 | | | | 235,092 | |
| Mattel, Inc. | | | 5,318 | | | | 232,875 | |
| VF Corp. | | | 1,361 | | | | 228,307 | |
| Bed Bath & Beyond, Inc.* | | | 3,489 | | | | 224,761 | |
| AutoZone, Inc.* | | | 561 | | | | 222,588 | |
| Coach, Inc. | | | 4,332 | | | | 216,557 | |
| Ross Stores, Inc. | | | 3,435 | | | | 208,230 | |
| Delphi Automotive plc | | | 4,524 | | | | 200,866 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 2,989 | | | | 190,489 | |
| Genuine Parts Co. | | | 2,394 | | | | 186,732 | |
| Harley-Davidson, Inc. | | | 3,490 | | | | 186,017 | |
| O’Reilly Automotive, Inc.* | | | 1,717 | | | | 176,078 | |
| Dollar Tree, Inc.* | | | 3,508 | | | | 169,892 | |
| L Brands, Inc. | | | 3,689 | | | | 164,751 | |
| Netflix, Inc.* | | | 862 | | | | 163,271 | |
| The Gap, Inc. | | | 4,589 | | | | 162,451 | |
| Ralph Lauren Corp. — Class A | | | 938 | | | | 158,813 | |
| Marriott International, Inc. — Class A | | | 3,759 | | | | 158,743 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 479 | | | | 156,092 | |
| Wynn Resorts Ltd. | | | 1,231 | | | | 154,071 | |
| Kohl’s Corp. | | | 3,269 | | | | 150,799 | |
| CarMax, Inc.* | | | 3,520 | | | | 146,784 | |
| Whirlpool Corp. | | | 1,215 | | | | 143,929 | |
| Staples, Inc. | | | 10,396 | | | | 139,618 | |
| BorgWarner, Inc.* | | | 1,784 | | | | 137,975 | |
| Wyndham Worldwide Corp. | | | 2,108 | | | | 135,924 | |
| PVH Corp. | | | 1,201 | | | | 128,279 | |
| Tiffany & Co. | | | 1,835 | | | | 127,606 | |
| Nordstrom, Inc. | | | 2,310 | | | | 127,581 | |
| H&R Block, Inc. | | | 4,187 | | | | 123,182 | |
| Newell Rubbermaid, Inc. | | | 4,423 | | | | 115,440 | |
| PulteGroup, Inc.* | | | 5,247 | | | | 106,198 | |
| Lennar Corp. — Class A | | | 2,545 | | | | 105,567 | |
| DR Horton, Inc. | | | 4,315 | | | | 104,855 | |
| Darden Restaurants, Inc. | | | 2,001 | | | | 103,412 | |
| PetSmart, Inc. | | | 1,658 | | | | 102,962 | |
| Best Buy Company, Inc. | | | 4,103 | | | | 90,881 | |
| TripAdvisor, Inc.* | | | 1,698 | | | | 89,179 | |
| Family Dollar Stores, Inc. | | | 1,482 | | | | 87,512 | |
| Expedia, Inc. | | | 1,444 | | | | 86,654 | |
| Scripps Networks Interactive, Inc. — Class A | | | 1,328 | | | | 85,444 | |
| Interpublic Group of Companies, Inc. | | | 6,386 | | | | 83,210 | |
| Fossil, Inc.* | | | 824 | | | | 79,598 | |
| Hasbro, Inc.1 | | | 1,768 | | | | 77,686 | |
| Gannett Company, Inc. | | | 3,550 | | | | 77,639 | |
| Leggett & Platt, Inc. | | | 2,207 | | | | 74,552 | |
| International Game Technology | | | 4,079 | | | | 67,304 | |
| Urban Outfitters, Inc.* | | | 1,690 | | | | 65,471 | |
| Abercrombie & Fitch Co. — Class A | | | 1,230 | | | | 56,826 | |
| Garmin Ltd.1 | | | 1,689 | | | | 55,805 | |
| GameStop Corp. — Class A1 | | | 1,866 | | | | 52,192 | |
| Cablevision Systems Corp. — Class A | | | 3,309 | | | | 49,503 | |
| Goodyear Tire & Rubber Co.* | | | 3,785 | | | | 47,729 | |
| Harman International Industries, Inc. | | | 1,048 | | | | 46,772 | |
| JC Penney Company, Inc.1 | | | 2,199 | | | | 33,227 | |
| Washington Post Co. — Class B | | | 73 | | | | 32,631 | |
| Apollo Group, Inc. — Class A* | | | 1,548 | | | | 26,920 | |
| AutoNation, Inc.* | | | 593 | | | | 25,944 | |
| Total Consumer Discretionary | | | | | | | 25,097,540 | |
| Consumer Staples - 8.2% | | | | | | | | |
| Procter & Gamble Co. | | | 42,144 | | | | 3,247,621 | |
| Coca-Cola Co. | | | 59,133 | | | | 2,391,339 | |
| Philip Morris International, Inc. | | | 25,423 | | | | 2,356,966 | |
| Wal-Mart Stores, Inc. | | | 25,810 | | | | 1,931,362 | |
| PepsiCo, Inc. | | | 23,804 | | | | 1,883,134 | |
| Altria Group, Inc. | | | 31,009 | | | | 1,066,400 | |
| CVS Caremark Corp. | | | 18,995 | | | | 1,044,535 | |
| Mondelez International, Inc. — Class A | | | 27,438 | | | | 839,876 | |
| Colgate-Palmolive Co. | | | 6,783 | | | | 800,597 | |
| Costco Wholesale Corp. | | | 6,724 | | | | 713,484 | |
| Walgreen Co. | | | 13,267 | | | | 632,571 | |
| Kimberly-Clark Corp. | | | 5,980 | | | | 585,920 | |
| General Mills, Inc. | | | 9,973 | | | | 491,769 | |
| Kraft Foods Group, Inc. | | | 9,142 | | | | 471,087 | |
| HJ Heinz Co. | | | 4,951 | | | | 357,809 | |
| Archer-Daniels-Midland Co. | | | 10,158 | | | | 342,629 | |
| Sysco Corp. | | | 9,040 | | | | 317,937 | |
| Kroger Co. | | | 8,003 | | | | 265,219 | |
| Kellogg Co. | | | 3,855 | | | | 248,378 | |
| Mead Johnson Nutrition Co. — Class A | | | 3,128 | | | | 242,264 | |
| Estee Lauder Companies, Inc. — Class A | | | 3,704 | | | | 237,167 | |
| Lorillard, Inc. | | | 5,853 | | | | 236,169 | |
| Whole Foods Market, Inc. | | | 2,658 | | | | 230,582 | |
| ConAgra Foods, Inc. | | | 6,382 | | | | 228,539 | |
| Reynolds American, Inc. | | | 4,964 | | | | 220,848 | |
| Hershey Co. | | | 2,321 | | | | 203,157 | |
| Clorox Co. | | | 2,018 | | | | 178,654 | |
| Brown-Forman Corp. — Class B | | | 2,335 | | | | 166,719 | |
| JM Smucker Co. | | | 1,655 | | | | 164,110 | |
| Beam, Inc. | | | 2,471 | | | | 157,007 | |
| McCormick & Company, Inc. | | | 2,045 | | | | 150,410 | |
| Coca-Cola Enterprises, Inc. | | | 4,049 | | | | 149,489 | |
| Dr Pepper Snapple Group, Inc. | | | 3,142 | | | | 147,517 | |
| Avon Products, Inc. | | | 6,666 | | | | 138,186 | |
| Campbell Soup Co. | | | 2,763 | | | | 125,330 | |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| S&P 500® fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Molson Coors Brewing Co. — Class B | | | 2,409 | | | $ | 117,872 | |
| Constellation Brands, Inc. — Class A* | | | 2,349 | | | | 111,906 | |
| Tyson Foods, Inc. — Class A | | | 4,376 | | | | 108,612 | |
| Monster Beverage Corp.* | | | 2,222 | | | | 106,078 | |
| Safeway, Inc. | | | 3,700 | | | | 97,495 | |
| Hormel Foods Corp. | | | 2,071 | | | | 85,574 | |
| Dean Foods Co.* | | | 2,872 | | | | 52,069 | |
| Total Consumer Staples | | | | | | | 23,644,387 | |
| Energy - 8.2% | | | | | | | | |
| Exxon Mobil Corp. | | | 69,126 | | | | 6,228,944 | |
| Chevron Corp. | | | 29,973 | | | | 3,561,392 | |
| Schlumberger Ltd. | | | 20,489 | | | | 1,534,421 | |
| ConocoPhillips | | | 18,841 | | | | 1,132,344 | |
| Occidental Petroleum Corp. | | | 12,428 | | | | 973,982 | |
| Anadarko Petroleum Corp. | | | 7,725 | | | | 675,552 | |
| Phillips 66 | | | 9,589 | | | | 670,942 | |
| Halliburton Co. | | | 14,376 | | | | 580,934 | |
| EOG Resources, Inc. | | | 4,189 | | | | 536,485 | |
| Apache Corp. | | | 6,049 | | | | 466,741 | |
| National Oilwell Varco, Inc. | | | 6,579 | | | | 465,464 | |
| Marathon Petroleum Corp. | | | 5,113 | | | | 458,125 | |
| Williams Companies, Inc. | | | 10,516 | | | | 393,930 | |
| Valero Energy Corp. | | | 8,530 | | | | 388,030 | |
| Kinder Morgan, Inc. | | | 9,752 | | | | 377,207 | |
| Marathon Oil Corp. | | | 10,917 | | | | 368,121 | |
| Devon Energy Corp. | | | 5,823 | | | | 328,534 | |
| Hess Corp. | | | 4,585 | | | | 328,332 | |
| Noble Energy, Inc. | | | 2,770 | | | | 320,378 | |
| Spectra Energy Corp. | | | 10,312 | | | | 317,094 | |
| Baker Hughes, Inc. | | | 6,821 | | | | 316,563 | |
| Pioneer Natural Resources Co. | | | 2,043 | | | | 253,843 | |
| Cameron International Corp.* | | | 3,828 | | | | 249,586 | |
| Cabot Oil & Gas Corp. | | | 3,243 | | | | 219,259 | |
| Ensco plc — Class A | | | 3,585 | | | | 215,100 | |
| Range Resources Corp. | | | 2,509 | | | | 203,329 | |
| Southwestern Energy Co.* | | | 5,421 | | | | 201,986 | |
| FMC Technologies, Inc.* | | | 3,666 | | | | 199,394 | |
| Murphy Oil Corp. | | | 2,795 | | | | 178,125 | |
| Chesapeake Energy Corp. | | | 8,039 | | | | 164,076 | |
| Equities Corp. | | | 2,328 | | | | 157,722 | |
| Noble Corp. | | | 3,904 | | | | 148,938 | |
| Tesoro Corp. | | | 2,120 | | | | 124,126 | |
| CONSOL Energy, Inc. | | | 3,519 | | | | 118,415 | |
| Denbury Resources, Inc.* | | | 5,762 | | | | 107,461 | |
| Helmerich & Payne, Inc. | | | 1,643 | | | | 99,730 | |
| Peabody Energy Corp. | | | 4,161 | | | | 88,005 | |
| QEP Resources, Inc. | | | 2,754 | | | | 87,687 | |
| Diamond Offshore Drilling, Inc. | | | 1,069 | | | | 74,360 | |
| Nabors Industries Ltd. | | | 4,493 | | | | 72,876 | |
| Rowan Companies plc — Class A* | | | 1,917 | | | | 67,785 | |
| WPX Energy, Inc.* | | | 3,092 | | | | 49,534 | |
| Newfield Exploration Co.* | | | 2,082 | | | | 46,678 | |
| Total Energy | | | | | | | 23,551,530 | |
| Industrials - 7.6% | | | | | | | | |
| General Electric Co. | | | 160,428 | | | | 3,709,095 | |
| United Technologies Corp. | | | 13,016 | | | | 1,216,084 | |
| 3M Co. | | | 9,799 | | | | 1,041,732 | |
| Union Pacific Corp. | | | 7,237 | | | | 1,030,621 | |
| United Parcel Service, Inc. — Class B | | | 11,032 | | | | 947,649 | |
| Honeywell International, Inc. | | | 12,089 | | | | 910,906 | |
| Boeing Co. | | | 10,497 | | | | 901,167 | |
| Caterpillar, Inc. | | | 10,107 | | | | 879,006 | |
| Emerson Electric Co. | | | 11,143 | | | | 622,559 | |
| Danaher Corp. | | | 8,945 | | | | 555,931 | |
| Deere & Co. | | | 6,010 | | | | 516,740 | |
| Eaton Corporation plc | | | 7,264 | | | | 444,919 | |
| FedEx Corp. | | | 4,510 | | | | 442,882 | |
| Precision Castparts Corp. | | | 2,259 | | | | 428,352 | |
| Lockheed Martin Corp. | | | 4,131 | | | | 398,724 | |
| Illinois Tool Works, Inc. | | | 6,408 | | | | 390,504 | |
| CSX Corp. | | | 15,749 | | | | 387,898 | |
| Norfolk Southern Corp. | | | 4,852 | | | | 373,992 | |
| General Dynamics Corp. | | | 5,125 | | | | 361,364 | |
| Cummins, Inc. | | | 2,722 | | | | 315,235 | |
| Raytheon Co. | | | 5,020 | | | | 295,126 | |
| PACCAR, Inc. | | | 5,450 | | | | 275,552 | |
| Waste Management, Inc. | | | 6,747 | | | | 264,550 | |
| Northrop Grumman Corp. | | | 3,658 | | | | 256,609 | |
| Ingersoll-Rand plc | | | 4,252 | | | | 233,903 | |
| Tyco International Ltd. | | | 7,188 | | | | 230,016 | |
| Fastenal Co. | | | 4,166 | | | | 213,924 | |
| Parker Hannifin Corp. | | | 2,300 | | | | 210,634 | |
| WW Grainger, Inc. | | | 920 | | | | 206,982 | |
| Stanley Black & Decker, Inc. | | | 2,472 | | | | 200,158 | |
| Dover Corp. | | | 2,695 | | | | 196,412 | |
| Roper Industries, Inc. | | | 1,528 | | | | 194,530 | |
| Rockwell Automation, Inc. | | | 2,161 | | | | 186,602 | |
| ADT Corp. | | | 3,584 | | | | 175,401 | |
| Pentair Ltd. | | | 3,180 | | | | 167,745 | |
| Fluor Corp. | | | 2,507 | | | | 166,289 | |
| Southwest Airlines Co. | | | 11,233 | | | | 151,421 | |
| Republic Services, Inc. — Class A | | | 4,587 | | | | 151,371 | |
| CH Robinson Worldwide, Inc. | | | 2,484 | | | | 147,699 | |
| Stericycle, Inc.* | | | 1,329 | | | | 141,113 | |
| Rockwell Collins, Inc. | | | 2,107 | | | | 132,994 | |
| Textron, Inc. | | | 4,189 | | | | 124,874 | |
| Flowserve Corp. | | | 742 | | | | 124,441 | |
| Pall Corp. | | | 1,714 | | | | 117,186 | |
| Expeditors International of Washington, Inc. | | | 3,186 | | | | 113,772 | |
| Jacobs Engineering Group, Inc.* | | | 2,011 | | | | 113,099 | |
| L-3 Communications Holdings, Inc. | | | 1,387 | | | | 112,236 | |
| Masco Corp. | | | 5,498 | | | | 111,335 | |
| Equifax, Inc. | | | 1,854 | | | | 106,772 | |
| Joy Global, Inc. | | | 1,637 | | | | 97,434 | |
| Quanta Services, Inc.* | | | 3,291 | | | | 94,057 | |
| Iron Mountain, Inc. | | | 2,581 | | | | 93,716 | |
| Robert Half International, Inc. | | | 2,153 | | | | 80,802 | |
| Xylem, Inc. | | | 2,872 | | | | 79,152 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| S&P 500® fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Snap-on, Inc. | | | 898 | | | $ | 74,265 | |
| Cintas Corp. | | | 1,617 | | | | 71,358 | |
| Avery Dennison Corp. | | | 1,547 | | | | 66,629 | |
| Dun & Bradstreet Corp. | | | 631 | | | | 52,783 | |
| Ryder System, Inc. | | | 794 | | | | 47,442 | |
| Pitney Bowes, Inc.1 | | | 3,106 | | | | 46,155 | |
| Total Industrials | | | | | | | 21,801,899 | |
| Utilities - 2.6% | | | | | | | | |
| Duke Energy Corp. | | | 10,875 | | | | 789,417 | |
| Southern Co. | | | 13,407 | | | | 629,056 | |
| Dominion Resources, Inc. | | | 8,888 | | | | 517,104 | |
| NextEra Energy, Inc. | | | 6,536 | | | | 507,716 | |
| Exelon Corp. | | | 13,194 | | | | 454,929 | |
| American Electric Power Company, Inc. | | | 7,497 | | | | 364,579 | |
| PG&E Corp. | | | 6,770 | | | | 301,468 | |
| PPL Corp. | | | 8,996 | | | | 281,665 | |
| Sempra Energy | | | 3,496 | | | | 279,470 | |
| Consolidated Edison, Inc. | | | 4,523 | | | | 276,039 | |
| FirstEnergy Corp. | | | 6,457 | | | | 272,485 | |
| Public Service Enterprise Group, Inc. | | | 7,810 | | | | 268,195 | |
| Edison International | | | 5,025 | | | | 252,858 | |
| Xcel Energy, Inc. | | | 7,538 | | | | 223,879 | |
| Northeast Utilities | | | 4,848 | | | | 210,694 | |
| DTE Energy Co. | | | 2,662 | | | | 181,921 | |
| Entergy Corp. | | | 2,746 | | | | 173,657 | |
| CenterPoint Energy, Inc. | | | 6,602 | | | | 158,184 | |
| Wisconsin Energy Corp. | | | 3,533 | | | | 151,530 | |
| ONEOK, Inc. | | | 3,162 | | | | 150,732 | |
| NiSource, Inc. | | | 4,802 | | | | 140,891 | |
| NRG Energy, Inc. | | | 4,988 | | | | 132,132 | |
| Ameren Corp. | | | 3,740 | | | | 130,975 | |
| AES Corp. | | | 9,552 | | | | 120,069 | |
| CMS Energy Corp. | | | 4,085 | | | | 114,135 | |
| SCANA Corp. | | | 2,044 | | | | 104,571 | |
| Pinnacle West Capital Corp. | | | 1,694 | | | | 98,066 | |
| AGL Resources, Inc. | | | 1,821 | | | | 76,391 | |
| Pepco Holdings, Inc. | | | 3,550 | | | | 75,970 | |
| Integrys Energy Group, Inc. | | | 1,207 | | | | 70,199 | |
| TECO Energy, Inc. | | | 3,156 | | | | 56,240 | |
| Total Utilities | | | | | | | 7,565,217 | |
| Materials - 2.6% | | | | | | | | |
| Monsanto Co. | | | 8,270 | | | | 873,560 | |
| EI du Pont de Nemours & Co. | | | 14,411 | | | | 708,444 | |
| Dow Chemical Co. | | | 18,582 | | | | 591,650 | |
| Praxair, Inc. | | | 4,570 | | | | 509,738 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 14,653 | | | | 485,014 | |
| LyondellBasell Industries N.V. — Class A | | | 5,856 | | | | 370,626 | |
| Ecolab, Inc. | | | 4,101 | | | | 328,818 | |
| Newmont Mining Corp. | | | 7,662 | | | | 320,961 | |
| International Paper Co. | | | 6,805 | | | | 316,977 | |
| PPG Industries, Inc. | | | 2,204 | | | | 295,204 | |
| Air Products & Chemicals, Inc. | | | 3,203 | | | | 279,045 | |
| Mosaic Co. | | | 4,266 | | | | 254,296 | |
| Nucor Corp. | | | 4,905 | | | | 226,366 | |
| Sherwin-Williams Co. | | | 1,328 | | | | 224,286 | |
| CF Industries Holdings, Inc. | | | 970 | | | | 184,659 | |
| Eastman Chemical Co. | | | 2,378 | | | | 166,151 | |
| Sigma-Aldrich Corp. | | | 1,854 | | | | 144,019 | |
| Alcoa, Inc. | | | 16,503 | | | | 140,606 | |
| FMC Corp. | | | 2,124 | | | | 121,132 | |
| Ball Corp. | | | 2,306 | | | | 109,720 | |
| Airgas, Inc. | | | 1,054 | | | | 104,515 | |
| Vulcan Materials Co. | | | 2,005 | | | | 103,659 | |
| MeadWestvaco Corp. | | | 2,710 | | | | 98,373 | |
| International Flavors & Fragrances, Inc. | | | 1,258 | | | | 96,451 | |
| Sealed Air Corp. | | | 3,001 | | | | 72,354 | |
| Owens-Illinois, Inc.* | | | 2,536 | | | | 67,584 | |
| Bemis Company, Inc. | | | 1,594 | | | | 64,334 | |
| Allegheny Technologies, Inc. | | | 1,661 | | | | 52,670 | |
| Cliffs Natural Resources, Inc.1 | | | 2,341 | | | | 44,502 | |
| United States Steel Corp.1 | | | 2,227 | | | | 43,427 | |
| Total Materials | | | | | | | 7,399,141 | |
| Telecommunication Services - 2.2% | | | | | | | | |
| AT&T, Inc. | | | 84,726 | | | | 3,108,597 | |
| Verizon Communications, Inc. | | | 44,099 | | | | 2,167,466 | |
| CenturyLink, Inc. | | | 9,653 | | | | 339,110 | |
| Crown Castle International Corp.* | | | 4,521 | | | | 314,842 | |
| Sprint Nextel Corp.* | | | 46,456 | | | | 288,492 | |
| Windstream Corp.1 | | | 9,109 | | | | 72,417 | |
| Frontier Communications Corp.1 | | | 15,398 | | | | 61,284 | |
| MetroPCS Communications, Inc.* | | | 4,939 | | | | 53,835 | |
| Total Telecommunication Services | | | | | | | 6,406,043 | |
| Total Common Stocks | | | | | | | | |
| (Cost $150,118,647) | | | | | | | 215,699,268 | |
| 34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P 500® fund | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 24.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 32,892,946 | | | $ | 32,892,946 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 26,985,606 | | | | 26,985,606 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 8,616,585 | | | | 8,616,585 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 2,735,439 | | | | 2,735,439 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $71,230,576) | | | | | | | 71,230,576 | |
| SECURITIES LENDING COLLATERAL††,4 - 0.1% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 146,907 | | | | 146,907 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 115,566 | | | | 115,566 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $262,473) | | | | | | | 262,473 | |
| Total Investments - 99.9% | | | | | | | | |
| (Cost $221,611,696) | | | | | | $ | 287,192,317 | |
| Other Assets & Liabilities, net - 0.1% | | | | | | | 410,465 | |
| Total Net Assets - 100.0% | | | | | | $ | 287,602,782 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $156,125) | | | 2 | | | $ | 1,903 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $51,881,811) | | | 33,063 | | | $ | 180,954 | |
| Barclays Bank plc | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $12,876,145) | | | 8,206 | | | | 51,614 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $6,629,876) | | | 4,225 | | | | 26,926 | |
| (Total Notional Value $71,387,832) | | | | | | $ | 259,494 | |
| | * | 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 March 28, 2013 — 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 March 28, 2013. |
| | 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 ANNUAL REPORT | 35 |
| s&p 500® fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $257,060 of securities loaned | | | | |
| (cost $150,118,647) | | $ | 215,699,268 | |
| Repurchase agreements, at value | | | | |
| (cost $71,493,049) | | | 71,493,049 | |
| Total investments | | | | |
| (cost $221,611,696) | | | 287,192,317 | |
| Segregated cash with broker | | | 417,000 | |
| Cash | | | 319,058 | |
| Unrealized appreciation on swap agreements | | | 259,494 | |
| Receivable for swap settlement | | | 3,636 | |
| Receivables: | | | | |
| Fund shares sold | | | 2,367,957 | |
| Dividends | | | 269,445 | |
| Interest | | | 1,177 | |
| Variation margin | | | 445 | |
| Total assets | | | 290,830,529 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,420,169 | |
| Upon return of securities loaned | | | 262,473 | |
| Management fees | | | 178,644 | |
| Distribution and service fees | | | 65,993 | |
| Transfer agent and administrative fees | | | 59,548 | |
| Securities purchased | | | 30,802 | |
| Portfolio accounting fees | | | 23,169 | |
| Miscellaneous | | | 186,949 | |
| Total liabilities | | | 3,227,747 | |
| Net assets | | $ | 287,602,782 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 264,917,520 | |
| Accumulated net investment loss | | | (4,405 | ) |
| Accumulated net realized loss on investments | | | (43,152,351 | ) |
| Net unrealized appreciation on investments | | | 65,842,018 | |
| Net assets | | $ | 287,602,782 | |
| A-Class: | | | | |
| Net assets | | $ | 12,014,239 | |
| Capital shares outstanding | | | 380,818 | |
| Net asset value per share | | $ | 31.55 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 33.12 | |
| C-Class: | | | | |
| Net assets | | $ | 10,230,600 | |
| Capital shares outstanding | | | 342,507 | |
| Net asset value per share | | $ | 29.87 | |
| H-Class: | | | | |
| Net assets | | $ | 265,357,943 | |
| Capital shares outstanding | | | 8,411,388 | |
| Net asset value per share | | $ | 31.55 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $3,250) | | $ | 4,514,472 | |
| Interest | | | 88,607 | |
| Income from securities lending, net | | | 9,259 | |
| Total investment income | | | 4,612,338 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 1,982,550 | |
| Transfer agent and administrative fees | | | 660,851 | |
| Distribution and service fees: | | | | |
| A-Class | | | 31,145 | |
| C-Class | | | 100,270 | |
| H-Class | | | 604,640 | |
| Portfolio accounting fees | | | 255,660 | |
| Custodian fees | | | 41,543 | |
| Trustees’ fees* | | | 24,838 | |
| Miscellaneous | | | 358,483 | |
| Total expenses | | | 4,059,980 | |
| Net investment income | | | 552,358 | |
| | | | | |
| Net Realized And Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (998,922 | ) |
| Swap agreements | | | 1,459,043 | |
| Futures contracts | | | 1,106,323 | |
| Net realized gain | | | 1,566,444 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 17,763,939 | |
| Swap agreements | | | 195,615 | |
| Futures contracts | | | (45,658 | ) |
| Net change in unrealized appreciation (depreciation) | | | 17,913,896 | |
| Net realized and unrealized gain | | | 19,480,340 | |
| Net increase in net assets resulting from operations | | $ | 20,032,698 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| s&p 500® fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 552,358 | | | $ | (205,786 | ) |
| Net realized gain (loss) on investments | | | 1,566,444 | | | | (707,064 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 17,913,896 | | | | 15,364,800 | |
| Net increase in net assets resulting from operations | | | 20,032,698 | | | | 14,451,950 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (20,560 | ) | | | — | |
| C-Class | | | (24,329 | ) | | | — | |
| H-Class | | | (561,984 | ) | | | — | |
| Total distributions to shareholders | | | (606,873 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 64,513,152 | | | | 102,743,762 | |
| C-Class | | | 108,459,874 | | | | 157,204,528 | |
| H-Class | | | 1,437,709,986 | | | | 1,762,118,692 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 17,839 | | | | — | |
| C-Class | | | 23,112 | | | | — | |
| H-Class | | | 378,849 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (67,248,396 | ) | | | (99,361,075 | ) |
| C-Class | | | (109,371,658 | ) | | | (157,538,958 | ) |
| H-Class | | | (1,430,676,174 | ) | | | (1,784,659,332 | ) |
| Net increase (decrease) from capital share transactions | | | 3,806,584 | | | | (19,492,383 | ) |
| Net increase (decrease) in net assets | | | 23,232,409 | | | | (5,040,433 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 264,370,373 | | | | 269,410,806 | |
| End of year | | $ | 287,602,782 | | | $ | 264,370,373 | |
| Accumulated net investment loss at end of year | | $ | (4,405 | ) | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,325,920 | | | | 4,096,321 | |
| C-Class | | | 4,026,873 | | | | 6,482,033 | |
| H-Class | | | 50,643,688 | | | | 70,536,838 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 622 | | | | — | |
| C-Class | | | 849 | | | | — | |
| H-Class | | | 13,207 | | | | — | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (2,421,335 | ) | | | (4,010,269 | ) |
| C-Class | | | (4,060,876 | ) | | | (6,501,183 | ) |
| H-Class | | | (50,785,708 | ) | | | (71,435,348 | ) |
| Net decrease in shares | | | (256,760 | ) | | | (831,608 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| s&p 500® fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 26.41 | | | $ | 23.18 | | | $ | 15.79 | | | $ | 25.92 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .06 | | | | .01 | | | | (.06 | ) | | | .07 | | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.36 | | | | 1.78 | | | | 3.29 | | | | 7.43 | | | | (10.21 | ) |
| Total from investment operations | | | 3.42 | | | | 1.79 | | | | 3.23 | | | | 7.50 | | | | (10.09 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (— | )c | | | (.11 | ) | | | (.04 | ) |
| Total distributions | | | (.07 | ) | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 31.55 | | | $ | 28.20 | | | $ | 26.41 | | | $ | 23.18 | | | $ | 15.79 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.16 | % | | | 6.78 | % | | | 13.94 | % | | | 47.55 | % | | | (38.95 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,014 | | | $ | 13,413 | | | $ | 10,288 | | | $ | 46,312 | | | $ | 29,409 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.22 | % | | | 0.05 | % | | | (0.25 | %) | | | 0.34 | % | | | 0.68 | % |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 76 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.91 | | | $ | 25.41 | | | $ | 22.50 | | | $ | 15.44 | | | $ | 25.55 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.14 | ) | | | (.20 | ) | | | (.27 | ) | | | (.08 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.17 | | | | 1.70 | | | | 3.18 | | | | 7.25 | | | | (10.05 | ) |
| Total from investment operations | | | 3.03 | | | | 1.50 | | | | 2.91 | | | | 7.17 | | | | (10.07 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (— | )c | | | (.11 | ) | | | (.04 | ) |
| Total distributions | | | (.07 | ) | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 29.87 | | | $ | 26.91 | | | $ | 25.41 | | | $ | 22.50 | | | $ | 15.44 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 11.29 | % | | | 5.90 | % | | | 12.93 | % | | | 46.49 | % | | | (39.43 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,231 | | | $ | 10,110 | | | $ | 10,032 | | | $ | 11,456 | | | $ | 7,295 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.52 | %) | | | (0.80 | %) | | | (1.11 | %) | | | (0.41 | %) | | | (0.08 | %) |
| Total expenses | | | 2.28 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 76 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % |
| 38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® Fund
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 26.39 | | | $ | 23.17 | | | $ | 15.78 | | | $ | 25.90 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .07 | | | | (.02 | ) | | | (.09 | ) | | | .06 | | | | .13 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.35 | | | | 1.83 | | | | 3.31 | | | | 7.44 | | | | (10.21 | ) |
| Total from investment operations | | | 3.42 | | | | 1.81 | | | | 3.22 | | | | 7.50 | | | | (10.08 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (— | )c | | | (.11 | ) | | | (.04 | ) |
| Total distributions | | | (.07 | ) | | | — | | | | (— | ) | | | (.11 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 31.55 | | | $ | 28.20 | | | $ | 26.39 | | | $ | 23.17 | | | $ | 15.78 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.16 | % | | | 6.86 | % | | | 13.90 | % | | | 47.58 | % | | | (38.94 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 265,358 | | | $ | 240,847 | | | $ | 249,090 | | | $ | 194,193 | | | $ | 139,759 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.24 | % | | | (0.07 | %) | | | (0.37 | %) | | | 0.29 | % | | | 0.64 | % |
| Total expenses | | | 1.50 | % | | | 1.50 | % | | | 1.54 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 76 | % | | | 196 | % | | | 202 | % | | | 58 | % | | | 168 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Less than $0.01 per share. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Inverse S&P 500® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the S&P 500 Index. Inverse S&P 500® Strategy Fund Investor Class returned -14.55%, while the S&P 500 Index gained 13.96% over the same period.
Sectors contributing most to performance of the underlying index were Health Care and Financials. The sector contributing least was Materials. Information Technology was the only sector that detracted from performance of the underlying index.
Johnson & Johnson, Pfizer, Inc. and AT&T, Inc. were the holdings contributing the most to performance of the underlying index for the period.
Apple, Inc., Microsoft Corp. and Intel Corp. detracted the most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates:
| Investor Class | | January 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.
| 40 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | -14.55 | % | | | -11.77 | % | | | -9.42 | % |
| Advisor Class Shares | | | -14.97 | % | | | -12.22 | % | | | -9.87 | % |
| C-Class Shares | | | -15.44 | % | | | -12.66 | % | | | -10.34 | % |
| C-Class Shares with CDSC‡ | | | -16.28 | % | | | -12.66 | % | | | -10.34 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | -14.76 | % | | | -12.00 | % | | | -7.52 | % |
| A-Class Shares with sales charge† | | | -18.80 | % | | | -12.85 | % | | | -8.01 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 5.92 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 41 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
INVERSE S&P 500® Strategy FUND
| | | | | | | |
| | Face | | | | |
| | Amount | | | Value | |
| | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 50.4% | | | |
| Freddie Mac1 | | | | | | | | |
| 0.15% due 05/29/13 | | $ | 15,000,000 | | | $ | 14,998,785 | |
| 0.12% due 10/16/13 | | | 10,000,000 | | | | 9,995,050 | |
| 0.17% due 11/19/13 | | | 10,000,000 | | | | 9,994,200 | |
| Total Freddie Mac | | | | | | | 34,988,035 | |
| Federal Home Loan Bank2 | | | | | | | | |
| 0.11% due 06/14/13 | | | 10,000,000 | | | | 9,998,970 | |
| Farmer Mac2 | | | | | | | | |
| 0.19% due 09/06/13 | | | 10,000,000 | | | | 9,996,050 | |
| Fannie Mae1 | | | | | | | | |
| 0.16% due 10/01/13 | | | 10,000,000 | | | | 9,995,430 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $64,959,331) | | | | | | | 64,978,485 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,3 - 48.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 25,138,118 | | | | 25,138,118 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 20,623,491 | | | | 20,623,491 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/134 | | | 15,128,467 | | | | 15,128,467 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 2,090,533 | | | | 2,090,533 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $62,980,609) | | | | | | | 62,980,609 | |
| Total Investments - 99.3% | | | | | | | | |
| (Cost $127,939,940) | | | | | | $ | 127,959,094 | |
| Other Assets & Liabilities, net - 0.7% | | | | | | | 926,004 | |
| Total Net Assets - 100.0% | | | | | | $ | 128,885,098 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $27,868,313) | | | 357 | | | $ | (261,043 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $11,383,582) | | | 7,254 | | | $ | (45,908 | ) |
| Goldman Sachs International | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $44,295,656) | | | 28,228 | | | | (155,452 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 S&P 500 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $46,072,134) | | | 29,360 | | | | (187,077 | ) |
| (Total Notional Value $101,751,372) | | | | | | $ | (388,437 | ) |
| † | | 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 March 28, 2013. |
| 5 | | Total Return based on S&P 500 Index +/- financing at a variable rate.
plc — Public Limited Company |
| 42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® Strategy FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $64,959,331) | | $ | 64,978,485 | |
| Repurchase agreements, at value | | | | |
| (cost $62,980,609) | | | 62,980,609 | |
| Total investments | | | | |
| (cost $127,939,940) | | | 127,959,094 | |
| Segregated cash with broker | | | 2,391,788 | |
| Receivables: | | | | |
| Fund shares sold | | | 205,121 | |
| Interest | | | 723 | |
| Total assets | | | 130,556,726 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 388,437 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 981,584 | |
| Management fees | | | 102,681 | |
| Variation margin | | | 79,433 | |
| Transfer agent and administrative fees | | | 28,522 | |
| Distribution and service fees | | | 12,399 | |
| Portfolio accounting fees | | | 11,409 | |
| Swap settlement | | | 4,040 | |
| Miscellaneous | | | 63,123 | |
| Total liabilities | | | 1,671,628 | |
| Net assets | | $ | 128,885,098 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 494,382,368 | |
| Accumulated net investment loss | | | (466,290 | ) |
| Accumulated net realized loss on investments | | | (364,400,654 | ) |
| Net unrealized depreciation on investments | | | (630,326 | ) |
| Net assets | | $ | 128,885,098 | |
| Investor Class: | | | | |
| Net assets | | $ | 106,157,902 | |
| Capital shares outstanding | | | 5,048,550 | |
| Net asset value per share | | $ | 21.03 | |
| Advisor Class: | | | | |
| Net assets | | $ | 9,774,867 | |
| Capital shares outstanding | | | 506,291 | |
| Net asset value per share | | $ | 19.31 | |
| A-Class: | | | | |
| Net assets | | $ | 5,911,567 | |
| Capital shares outstanding | | | 300,263 | |
| Net asset value per share | | $ | 19.69 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 20.67 | |
| C-Class: | | | | |
| Net assets | | $ | 7,040,762 | |
| Capital shares outstanding | | | 381,351 | |
| Net asset value per share | | $ | 18.46 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 208,832 | |
| Total investment income | | | 208,832 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 1,382,537 | |
| Transfer agent and administrative fees | | | 384,037 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 47,441 | |
| A-Class | | | 19,389 | |
| C-Class | | | 90,360 | |
| Portfolio accounting fees | | | 153,613 | |
| Custodian fees | | | 23,453 | |
| Trustees’ fees* | | | 19,506 | |
| Miscellaneous | | | 199,534 | |
| Total expenses | | | 2,319,870 | |
| Net investment loss | | | (2,111,038 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (13,189,695 | ) |
| Futures contracts | | | (9,811,099 | ) |
| Net realized loss | | | (23,000,794 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 12,287 | |
| Swap agreements | | | (190,267 | ) |
| Futures contracts | | | (201,335 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (379,315 | ) |
| Net realized and unrealized loss | | | (23,380,109 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (25,491,147 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
INVERSE S&P 500® Strategy FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (2,111,038 | ) | | $ | (3,044,224 | ) |
| Net realized loss on investments | | | (23,000,794 | ) | | | (48,907,023 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (379,315 | ) | | | 1,110,081 | |
| Net decrease in net assets resulting from operations | | | (25,491,147 | ) | | | (50,841,166 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 290,140,547 | | | | 740,514,113 | |
| Advisor Class | | | 70,061,389 | | | | 91,994,118 | |
| A-Class | | | 15,522,986 | | | | 78,100,721 | |
| C-Class | | | 15,210,173 | | | | 22,769,486 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (275,618,714 | ) | | | (702,486,924 | ) |
| Advisor Class | | | (64,204,487 | ) | | | (90,159,118 | ) |
| A-Class | | | (16,274,985 | ) | | | (72,186,098 | ) |
| C-Class | | | (14,556,925 | ) | | | (25,298,728 | ) |
| Net increase from capital share transactions | | | 20,279,984 | | | | 43,247,570 | |
| Net decrease in net assets | | | (5,211,163 | ) | | | (7,593,596 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 134,096,261 | | | | 141,689,857 | |
| End of year | | $ | 128,885,098 | | | $ | 134,096,261 | |
| Accumulated net investment loss at end of year | | $ | (466,290 | ) | | $ | (592,068 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 11,922,834 | | | | 24,859,345 | |
| Advisor Class | | | 3,161,277 | | | | 3,384,090 | |
| A-Class | | | 706,864 | | | | 2,790,019 | |
| C-Class | | | 704,780 | | | | 886,566 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (11,439,101 | ) | | | (24,449,326 | ) |
| Advisor Class | | | (2,918,160 | ) | | | (3,364,284 | ) |
| A-Class | | | (749,248 | ) | | | (2,634,880 | ) |
| C-Class | | | (683,975 | ) | | | (988,825 | ) |
| Net increase in shares | | | 705,271 | | | | 482,705 | |
| 44 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
INVERSE S&P 500® Strategy FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.61 | | | $ | 28.50 | | | $ | 34.38 | | | $ | 54.23 | | | $ | 40.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.30 | ) | | | (.38 | ) | | | (.41 | ) | | | (.47 | ) | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | (3.28 | ) | | | (3.51 | ) | | | (5.47 | ) | | | (19.32 | ) | | | 14.94 | |
| Total from investment operations | | | (3.58 | ) | | | (3.89 | ) | | | (5.88 | ) | | | (19.79 | ) | | | 15.06 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Net asset value, end of period | | $ | 21.03 | | | $ | 24.61 | | | $ | 28.50 | | | $ | 34.38 | | | $ | 54.23 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (14.55 | %) | | | (13.65 | %) | | | (17.10 | %) | | | (36.51 | %) | | | 37.66 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 106,158 | | | $ | 112,334 | | | $ | 118,410 | | | $ | 171,423 | | | $ | 217,740 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.27 | %) | | | (1.31 | %) | | | (1.22 | %) | | | (1.16 | %) | | | 0.25 | % |
| Total expenses | | | 1.41 | % | | | 1.41 | % | | | 1.44 | % | | | 1.43 | % | | | 1.43 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.71 | | | $ | 26.44 | | | $ | 32.06 | | | $ | 50.83 | | | $ | 37.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.39 | ) | | | (.48 | ) | | | (.54 | ) | | | (.63 | ) | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.01 | ) | | | (3.25 | ) | | | (5.08 | ) | | | (18.08 | ) | | | 14.07 | |
| Total from investment operations | | | (3.40 | ) | | | (3.73 | ) | | | (5.62 | ) | | | (18.71 | ) | | | 13.94 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Net asset value, end of period | | $ | 19.31 | | | $ | 22.71 | | | $ | 26.44 | | | $ | 32.06 | | | $ | 50.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (14.97 | %) | | | (14.11 | %) | | | (17.53 | %) | | | (36.82 | %) | | | 36.96 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,775 | | | $ | 5,978 | | | $ | 6,434 | | | $ | 9,607 | | | $ | 15,305 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.77 | %) | | | (1.81 | %) | | | (1.72 | %) | | | (1.63 | %) | | | (0.30 | %) |
| Total expenses | | | 1.90 | % | | | 1.91 | % | | | 1.93 | % | | | 1.93 | % | | | 1.93 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
INVERSE S&P 500® Strategy FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.10 | | | $ | 26.82 | | | $ | 32.43 | | | $ | 51.30 | | | $ | 37.97 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.34 | ) | | | (.42 | ) | | | (.48 | ) | | | (.53 | ) | | | — | c |
| Net gain (loss) on investments (realized and unrealized) | | | (3.07 | ) | | | (3.30 | ) | | | (5.13 | ) | | | (18.28 | ) | | | 14.16 | |
| Total from investment operations | | | (3.41 | ) | | | (3.72 | ) | | | (5.61 | ) | | | (18.81 | ) | | | 14.16 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Net asset value, end of period | | $ | 19.69 | | | $ | 23.10 | | | $ | 26.82 | | | $ | 32.43 | | | $ | 51.30 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (14.76 | %) | | | (13.87 | %) | | | (17.30 | %) | | | (36.68 | %) | | | 37.30 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,912 | | | $ | 7,915 | | | $ | 5,029 | | | $ | 28,565 | | | $ | 18,381 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.52 | %) | | | (1.56 | %) | | | (1.47 | %) | | | (1.42 | %) | | | 0.00 | % |
| Total expenses | | | 1.65 | % | | | 1.66 | % | | | 1.68 | % | | | 1.67 | % | | | 1.68 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.83 | | | $ | 25.53 | | | $ | 31.12 | | | $ | 49.59 | | | $ | 37.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.48 | ) | | | (.59 | ) | | | (.67 | ) | | | (.79 | ) | | | (.28 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.89 | ) | | | (3.11 | ) | | | (4.92 | ) | | | (17.62 | ) | | | 13.70 | |
| Total from investment operations | | | (3.37 | ) | | | (3.70 | ) | | | (5.59 | ) | | | (18.41 | ) | | | 13.42 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.06 | ) | | | (.83 | ) |
| Net asset value, end of period | | $ | 18.46 | | | $ | 21.83 | | | $ | 25.53 | | | $ | 31.12 | | | $ | 49.59 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (15.44 | %) | | | (14.49 | %) | | | (17.96 | %) | | | (37.14 | %) | | | 36.27 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,041 | | | $ | 7,870 | | | $ | 11,817 | | | $ | 16,041 | | | $ | 19,674 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.27 | %) | | | (2.31 | %) | | | (2.23 | %) | | | (2.15 | %) | | | (0.67 | %) |
| Total expenses | | | 2.40 | % | | | 2.42 | % | | | 2.44 | % | | | 2.43 | % | | | 2.43 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Net investment income is less than $0.01 per share. |
| 46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| THE RYDEX FUNDS ANNUAL REPORT | 47 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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”).
For the one-year period ended March 28, 2013, NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100 Index. The NASDAQ-100® Fund Investor Class rose 2.57%, while the NASDAQ-100 Index gained 3.72% over the same period.
The Health Care sector contributed the most to performance of the underlying index, followed by the Consumer Discretionary sector. Information Technology, which accounted for most of the underlying index, was the largest detractor, followed by the Industrials sector.
Google, Inc., Gilead Sciences, Inc. and Amazon.com, Inc. were the holdings contributing most to performance of the underlying index for the year, while Apple, Inc., Intel Corp. and Microsoft Corp. detracted most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates:
| Investor Class | | February 14, 1994 |
| Advisor Class | | September 22, 1998 |
| A-Class | | March 31, 2004 |
| C-Class | | March 26, 2001 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | | | 12.0 | % |
| Microsoft Corp. | | | 6.9 | % |
| Google, Inc. — Class A | | | 6.1 | % |
| Oracle Corp. | | | 4.4 | % |
| Amazon.com, Inc. | | | 3.5 | % |
| QUALCOMM, Inc. | | | 3.3 | % |
| Cisco Systems, Inc. | | | 3.2 | % |
| Intel Corp. | | | 3.1 | % |
| Comcast Corp. — Class A | | | 2.6 | % |
| Amgen, Inc. | | | 2.2 | % |
| Top Ten Total | | | 47.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 48 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 2.57 | % | | | 9.25 | % | | | 10.14 | % |
| Advisor Class Shares | | | 2.04 | % | | | 8.70 | % | | | 9.58 | % |
| C-Class Shares | | | 1.57 | % | | | 8.18 | % | | | 9.02 | % |
| C-Class Shares with CDSC‡ | | | 0.57 | % | | | 8.18 | % | | | 9.02 | % |
| NASDAQ-100 Index | | | 3.72 | % | | | 10.58 | % | | | 11.42 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | | | | | | | (03/31/04) | |
| A-Class Shares | | | 2.29 | % | | | 8.95 | % | | | 7.06 | % |
| A-Class Shares with sales charge† | | | -2.57 | % | | | 7.88 | % | | | 6.48 | % |
| NASDAQ-100 Index | | | 3.72 | % | | | 10.58 | % | | | 8.50 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 49 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
NASDAQ-100® FUND
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 94.6% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 57.7% | | | | | | | | |
| Apple, Inc. | | | 139,403 | | | $ | 61,703,949 | |
| Microsoft Corp. | | | 1,243,464 | | | | 35,575,505 | |
| Google, Inc. — Class A* | | | 39,705 | | | | 31,526,961 | |
| Oracle Corp. | | | 702,810 | | | | 22,728,875 | |
| QUALCOMM, Inc. | | | 255,059 | | | | 17,076,201 | |
| Cisco Systems, Inc. | | | 791,532 | | | | 16,550,934 | |
| Intel Corp. | | | 734,238 | | | | 16,043,100 | |
| eBay, Inc.* | | | 192,464 | | | | 10,435,398 | |
| Facebook, Inc. — Class A* | | | 250,014 | | | | 6,395,358 | |
| Texas Instruments, Inc. | | | 164,008 | | | | 5,819,004 | |
| Automatic Data Processing, Inc. | | | 71,999 | | | | 4,681,375 | |
| Yahoo!, Inc.* | | | 175,569 | | | | 4,131,139 | |
| Dell, Inc. | | | 258,093 | | | | 3,698,473 | |
| Baidu, Inc. ADR* | | | 40,759 | | | | 3,574,564 | |
| Cognizant Technology Solutions | | | | | | | | |
| Corp. — Class A* | | | 44,796 | | | | 3,431,822 | |
| Adobe Systems, Inc.* | | | 74,039 | | | | 3,221,437 | |
| Intuit, Inc. | | | 43,960 | | | | 2,885,974 | |
| Broadcom Corp. — Class A | | | 76,894 | | | | 2,665,915 | |
| Symantec Corp.* | | | 102,309 | | | | 2,524,986 | |
| Activision Blizzard, Inc. | | | 165,329 | | | | 2,408,844 | |
| Applied Materials, Inc. | | | 178,147 | | | | 2,401,421 | |
| Analog Devices, Inc. | | | 45,419 | | | | 2,111,529 | |
| Citrix Systems, Inc.* | | | 27,675 | | | | 1,997,028 | |
| SanDisk Corp.* | | | 35,897 | | | | 1,974,335 | |
| Seagate Technology plc | | | 53,276 | | | | 1,947,771 | |
| Paychex, Inc. | | | 53,993 | | | | 1,893,535 | |
| NetApp, Inc.* | | | 53,502 | | | | 1,827,628 | |
| Western Digital Corp. | | | 35,723 | | | | 1,796,152 | |
| Fiserv, Inc.* | | | 19,816 | | | | 1,740,439 | |
| CA, Inc. | | | 67,677 | | | | 1,703,430 | |
| Altera Corp. | | | 47,459 | | | | 1,683,371 | |
| Equinix, Inc.* | | | 7,238 | | | | 1,565,652 | |
| Micron Technology, Inc.* | | | 151,686 | | | | 1,513,826 | |
| Xilinx, Inc. | | | 38,824 | | | | 1,481,912 | |
| Check Point Software Technologies Ltd.* | | | 30,407 | | | | 1,428,825 | |
| Maxim Integrated Products, Inc. | | | 43,420 | | | | 1,417,663 | |
| Autodesk, Inc.* | | | 33,196 | | | | 1,369,003 | |
| Linear Technology Corp. | | | 34,524 | | | | 1,324,686 | |
| Avago Technologies Ltd. | | | 36,551 | | | | 1,312,912 | |
| KLA-Tencor Corp. | | | 24,663 | | | | 1,300,727 | |
| NVIDIA Corp. | | | 92,757 | | | | 1,189,145 | |
| Microchip Technology, Inc. | | | 29,003 | | | | 1,066,150 | |
| F5 Networks, Inc.* | | | 11,667 | | | | 1,039,296 | |
| BMC Software, Inc.* | | | 21,213 | | | | 982,798 | |
| Nuance Communications, Inc.* | | | 46,945 | | | | 947,350 | |
| Akamai Technologies, Inc.* | | | 26,340 | | | | 929,539 | |
| Total Information Technology | | | | | | | 297,025,937 | |
| Consumer Discretionary - 16.5% | | | | | | | | |
| Amazon.com, Inc.* | | | 67,475 | | | | 17,981,412 | |
| Comcast Corp. — Class A | | | 315,057 | | | | 13,235,546 | |
| News Corp. — Class A | | | 226,642 | | | | 6,917,114 | |
| Starbucks Corp. | | | 111,232 | | | | 6,335,775 | |
| Priceline.com, Inc.* | | | 7,407 | | | | 5,095,498 | |
| DIRECTV* | | | 85,081 | | | | 4,816,435 | |
| Viacom, Inc. — Class B | | | 65,879 | | | | 4,056,170 | |
| Sirius XM Radio, Inc. | | | 973,685 | | | | 2,998,950 | |
| Mattel, Inc. | | | 51,138 | | | | 2,239,333 | |
| Bed Bath & Beyond, Inc.* | | | 33,569 | | | | 2,162,515 | |
| Ross Stores, Inc. | | | 33,016 | | | | 2,001,430 | |
| Virgin Media, Inc. | | | 39,987 | | | | 1,958,163 | |
| Wynn Resorts Ltd. | | | 14,970 | | | | 1,873,645 | |
| Discovery Communications, | | | | | | | | |
| Inc. — Class A* | | | 21,545 | | | | 1,696,453 | |
| O’Reilly Automotive, Inc.* | | | 16,524 | | | | 1,694,536 | |
| Dollar Tree, Inc.* | | | 33,728 | | | | 1,633,447 | |
| Liberty Interactive Corp. — Class A* | | | 76,112 | | | | 1,627,275 | |
| Liberty Global, Inc. — Class A* | | | 20,978 | | | | 1,539,785 | |
| Staples, Inc. | | | 100,036 | | | | 1,343,483 | |
| Expedia, Inc. | | | 18,196 | | | | 1,091,942 | |
| Garmin Ltd.1 | | | 29,034 | | | | 959,283 | |
| Fossil, Inc.* | | | 8,806 | | | | 850,660 | |
| Sears Holdings Corp.*,1 | | | 15,791 | | | | 789,076 | |
| Total Consumer Discretionary | | | | | | | 84,897,926 | |
| Health Care - 12.5% | | | | | | | | |
| Amgen, Inc. | | | 111,100 | | | | 11,388,862 | |
| Gilead Sciences, Inc.* | | | 225,997 | | | | 11,058,033 | |
| Celgene Corp.* | | | 62,158 | | | | 7,204,734 | |
| Express Scripts Holding Co.* | | | 121,510 | | | | 7,005,052 | |
| Biogen Idec, Inc.* | | | 35,076 | | | | 6,766,511 | |
| Intuitive Surgical, Inc.* | | | 5,954 | | | | 2,924,545 | |
| Alexion Pharmaceuticals, Inc.* | | | 28,981 | | | | 2,670,309 | |
| Regeneron Pharmaceuticals, Inc.* | | | 14,160 | | | | 2,497,824 | |
| Cerner Corp.* | | | 25,557 | | | | 2,421,525 | |
| Vertex Pharmaceuticals, Inc.* | | | 32,256 | | | | 1,773,435 | |
| Mylan, Inc.* | | | 58,717 | | | | 1,699,270 | |
| Perrigo Co. | | | 13,952 | | | | 1,656,521 | |
| Life Technologies Corp.* | | | 25,284 | | | | 1,634,105 | |
| Catamaran Corp.* | | | 30,490 | | | | 1,616,885 | |
| Henry Schein, Inc.* | | | 12,998 | | | | 1,202,965 | |
| DENTSPLY International, Inc. | | | 21,208 | | | | 899,643 | |
| Total Health Care | | | | | | | 64,420,219 | |
| Consumer Staples - 4.5% | | | | | | | | |
| Mondelez International, Inc. — Class A | | | 263,991 | | | | 8,080,765 | |
| Costco Wholesale Corp. | | | 64,667 | | | | 6,861,815 | |
| Kraft Foods Group, Inc. | | | 87,960 | | | | 4,532,579 | |
| Whole Foods Market, Inc. | | | 27,515 | | | | 2,386,926 | |
| Monster Beverage Corp.* | | | 24,601 | | | | 1,174,452 | |
| Total Consumer Staples | | | | | | | 23,036,537 | |
| Industrials - 2.0% | | | | | | | | |
| PACCAR, Inc. | | | 52,475 | | | | 2,653,136 | |
| Fastenal Co. | | | 44,029 | | | | 2,260,889 | |
| Verisk Analytics, Inc. — Class A* | | | 24,959 | | | | 1,538,223 | |
| CH Robinson Worldwide, Inc. | | | 23,937 | | | | 1,423,294 | |
| Stericycle, Inc.* | | | 12,782 | | | | 1,357,193 | |
| Expeditors International of | | | | | | | | |
| Washington, Inc. | | | 30,653 | | | | 1,094,619 | |
| Total Industrials | | | | | | | 10,327,354 | |
| 50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
NASDAQ-100® FUND
| | | Shares | | | Value | |
| | | | | | | |
| Telecommunication Services - 1.0% | | | | | | | | |
| Vodafone Group plc ADR | | | 146,206 | | | $ | 4,153,712 | |
| SBA Communications Corp. — Class A* | | | 18,844 | | | | 1,357,145 | |
| Total Telecommunication Services | | | | | | | 5,510,857 | |
| Materials - 0.4% | | | | | | | | |
| Sigma-Aldrich Corp. | | | 17,877 | | | | 1,388,685 | |
| Randgold Resources Ltd. ADR | | | 7,409 | | | | 637,026 | |
| Total Materials | | | | | | | 2,025,711 | |
| Total Common Stocks | | | | | | | | |
| (Cost $209,241,230) | | | | | | | 487,244,541 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 6.6% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 15,999,271 | | | | 15,999,271 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 13,125,915 | | | | 13,125,915 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 3,392,447 | | | | 3,392,447 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 1,330,529 | | | | 1,330,529 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $33,848,162) | | | | | | | 33,848,162 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.1% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 395,185 | | | | 395,185 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 310,876 | | | | 310,876 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $706,061) | | | | | | | 706,061 | |
| Total Investments - 101.3% | | | | | | | | |
| (Cost $243,795,453) | | | | | | $ | 521,798,764 | |
| Other Assets & Liabilities, net - (1.3)% | | | | | | | (6,928,436 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 514,870,328 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 NASDAQ-100 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,767,075) | | | 67 | | | $ | 1,813 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $9,485,029) | | | 3,365 | | | $ | 28,821 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $9,043,168) | | | 3,208 | | | | 28,069 | |
| Goldman Sachs International | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $3,630,269) | | | 1,288 | | | | 15,359 | |
| (Total Notional Value $22,158,466) | | | | | | $ | 72,249 | |
| * | 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 March 28, 2013 — 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 March 28, 2013. |
| 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 ANNUAL REPORT | 51 |
NASDAQ-100® FUND
| STATEMENT OF ASSETS AND LIABILITIES | |
| March 28, 2013 | |
| Assets: | | | | |
| Investments, at value - including $685,964 of | | | | |
| securities loaned | | | | |
| (cost $209,241,230) | | $ | 487,244,541 | |
| Repurchase agreements, at value | | | | |
| (cost $34,554,223) | | | 34,554,223 | |
| Total investments | | | | |
| (cost $243,795,453) | | | 521,798,764 | |
| Unrealized appreciation on swap agreements | | | 72,249 | |
| Receivable for swap settlement | | | 32,446 | |
| Cash | | | 30,290 | |
| Segregated cash with broker | | | 14,000 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,017,402 | |
| Dividends | | | 244,245 | |
| Interest | | | 2,166 | |
| Total assets | | | 523,211,562 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 4,990,699 | |
| Fund shares redeemed | | | 1,674,343 | |
| Upon return of securities loaned | | | 706,061 | |
| Management fees | | | 372,348 | |
| Transfer agent and administrative fees | | | 124,116 | |
| Portfolio accounting fees | | | 40,727 | |
| Distribution and service fees | | | 22,722 | |
| Variation margin | | | 586 | |
| Miscellaneous | | | 409,632 | |
| Total liabilities | | | 8,341,234 | |
| Net assets | | $ | 514,870,328 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 200,405,744 | |
| Accumulated net investment loss | | | (525,244 | ) |
| Accumulated net realized gain on investments | | | 36,912,455 | |
| Net unrealized appreciation on investments | | | 278,077,373 | |
| Net assets | | $ | 514,870,328 | |
| Investor Class: | | | | |
| Net assets | | $ | 461,269,403 | |
| Capital shares outstanding | | | 25,099,182 | |
| Net asset value per share | | $ | 18.38 | |
| Advisor Class: | | | | |
| Net assets | | $ | 16,929,576 | |
| Capital shares outstanding | | | 993,276 | |
| Net asset value per share | | $ | 17.04 | |
| A-Class: | | | | |
| Net assets | | $ | 23,656,358 | |
| Capital shares outstanding | | | 1,357,972 | |
| Net asset value per share | | $ | 17.42 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.29 | |
| C-Class: | | | | |
| Net assets | | $ | 13,014,991 | |
| Capital shares outstanding | | | 802,291 | |
| Net asset value per share | | $ | 16.22 | |
| STATEMENT OF OPERATIONS | |
| Year Ended March 28, 2013 | |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,144) | | $ | 10,025,348 | |
| Interest | | | 75,455 | |
| Income from securities lending, net | | | 26,388 | |
| Other income | | | 476 | |
| Total investment income | | | 10,127,667 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 5,460,974 | |
| Transfer agent and administrative fees | | | 1,820,324 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 249,931 | |
| A-Class | | | 51,054 | |
| C-Class | | | 152,639 | |
| Portfolio accounting fees | | | 543,459 | |
| Custodian fees | | | 115,407 | |
| Trustees’ fees* | | | 75,980 | |
| Miscellaneous | | | 1,197,597 | |
| Total expenses | | | 9,667,365 | |
| Net investment income | | | 460,302 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 107,668,374 | |
| Swap agreements | | | (1,907,592 | ) |
| Futures contracts | | | 5,869,348 | |
| Foreign currency | | | 331 | |
| Net realized gain | | | 111,630,461 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | (109,800,835 | ) |
| Swap agreements | | | 204,393 | |
| Futures contracts | | | (725,686 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (110,322,128 | ) |
| Net realized and unrealized gain | | | 1,308,333 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 1,768,635 | |
| * | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 460,302 | | | $ | (2,813,556 | ) |
| Net realized gain on investments | | | 111,630,461 | | | | 75,735,221 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (110,322,128 | ) | | | 43,102,194 | |
| Net increase in net assets resulting from operations | | | 1,768,635 | | | | 116,023,859 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 1,477,916,448 | | | | 1,153,783,841 | |
| Advisor Class | | | 480,871,589 | | | | 571,956,189 | |
| A-Class | | | 68,152,115 | | | | 97,487,517 | |
| C-Class | | | 29,758,316 | | | | 21,424,113 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (1,792,700,742 | ) | | | (1,063,699,726 | ) |
| Advisor Class | | | (526,907,940 | ) | | | (639,590,826 | ) |
| A-Class | | | (58,126,520 | ) | | | (102,605,558 | ) |
| C-Class | | | (32,187,854 | ) | | | (20,325,435 | ) |
| Net increase (decrease) from capital share transactions | | | (353,224,588 | ) | | | 18,430,115 | |
| Net increase (decrease) in net assets | | | (351,455,953 | ) | | | 134,453,974 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 866,326,281 | | | | 731,872,307 | |
| End of year | | $ | 514,870,328 | | | $ | 866,326,281 | |
| Accumulated net investment loss at end of year | | $ | (525,244 | ) | | $ | (1,097,969 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 83,557,992 | | | | 75,538,259 | |
| Advisor Class | | | 29,677,623 | | | | 40,025,316 | |
| A-Class | | | 4,019,789 | | | | 6,747,249 | |
| C-Class | | | 1,929,154 | | | | 1,580,216 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (101,458,207 | ) | | | (70,605,176 | ) |
| Advisor Class | | | (32,634,043 | ) | | | (44,503,780 | ) |
| A-Class | | | (3,516,436 | ) | | | (7,256,942 | ) |
| C-Class | | | (2,076,951 | ) | | | (1,494,948 | ) |
| Net increase (decrease) in shares | | | (20,501,079 | ) | | | 30,194 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
NASDAQ-100® FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.92 | | | $ | 15.23 | | | $ | 12.83 | | | $ | 8.15 | | | $ | 11.81 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .02 | | | | (.05 | ) | | | (.07 | ) | | | (.07 | ) | | | (.06 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | .44 | | | | 2.74 | | | | 2.47 | | | | 4.75 | | | | (3.60 | ) |
| Total from investment operations | | | .46 | | | | 2.69 | | | | 2.40 | | | | 4.68 | | | | (3.66 | ) |
| Net asset value, end of period | | $ | 18.38 | | | $ | 17.92 | | | $ | 15.23 | | | $ | 12.83 | | | $ | 8.15 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 2.57 | % | | | 17.66 | % | | | 18.71 | % | | | 57.42 | % | | | (30.99 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 461,269 | | | $ | 770,626 | | | $ | 579,925 | | | $ | 571,761 | | | $ | 389,944 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.13 | % | | | (0.34 | %) | | | (0.50 | %) | | | (0.63 | %) | | | (0.59 | %) |
| Total expenses | | | 1.26 | % | | | 1.27 | % | | | 1.31 | % | | | 1.30 | % | | | 1.30 | % |
| Portfolio turnover rate | | | 94 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.70 | | | $ | 14.27 | | | $ | 12.09 | | | $ | 7.72 | | | $ | 11.23 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.08 | ) | | | (.13 | ) | | | (.12 | ) | | | (.12 | ) | | | (.11 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | .42 | | | | 2.56 | | | | 2.30 | | | | 4.49 | | | | (3.40 | ) |
| Total from investment operations | | | .34 | | | | 2.43 | | | | 2.18 | | | | 4.37 | | | | (3.51 | ) |
| Net asset value, end of period | | $ | 17.04 | | | $ | 16.70 | | | $ | 14.27 | | | $ | 12.09 | | | $ | 7.72 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 2.04 | % | | | 17.03 | % | | | 18.03 | % | | | 56.61 | % | | | (31.26 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 16,930 | | | $ | 65,970 | | | $ | 120,277 | | | $ | 17,859 | | | $ | 18,078 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.51 | %) | | | (0.87 | %) | | | (1.00 | %) | | | (1.13 | %) | | | (1.11 | %) |
| Total expenses | | | 1.75 | % | | | 1.76 | % | | | 1.80 | % | | | 1.80 | % | | | 1.79 | % |
| Portfolio turnover rate | | | 94 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % |
| 54 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
NASDAQ-100® FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.03 | | | $ | 14.52 | | | $ | 12.27 | | | $ | 7.82 | | | $ | 11.35 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.02 | ) | | | (.09 | ) | | | (.11 | ) | | | (.09 | ) | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .41 | | | | 2.60 | | | | 2.36 | | | | 4.54 | | | | (3.45 | ) |
| Total from investment operations | | | .39 | | | | 2.51 | | | | 2.25 | | | | 4.45 | | | | (3.53 | ) |
| Net asset value, end of period | | $ | 17.42 | | | $ | 17.03 | | | $ | 14.52 | | | $ | 12.27 | | | $ | 7.82 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 2.29 | % | | | 17.29 | % | | | 18.34 | % | | | 56.91 | % | | | (31.10 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 23,656 | | | $ | 14,553 | | | $ | 19,806 | | | $ | 15,128 | | | $ | 3,140 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.09 | %) | | | (0.61 | %) | | | (0.81 | %) | | | (0.86 | %) | | | (0.82 | %) |
| Total expenses | | | 1.52 | % | | | 1.53 | % | | | 1.56 | % | | | 1.55 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 94 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.97 | | | $ | 13.72 | | | $ | 11.67 | | | $ | 7.49 | | | $ | 10.95 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.13 | ) | | | (.19 | ) | | | (.19 | ) | | | (.16 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .38 | | | | 2.44 | | | | 2.24 | | | | 4.34 | | | | (3.31 | ) |
| Total from investment operations | | | .25 | | | | 2.25 | | | | 2.05 | | | | 4.18 | | | | (3.46 | ) |
| Net asset value, end of period | | $ | 16.22 | | | $ | 15.97 | | | $ | 13.72 | | | $ | 11.67 | | | $ | 7.49 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 1.57 | % | | | 16.40 | % | | | 17.57 | % | | | (55.81 | %) | | | (31.60 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 13,015 | | | $ | 15,177 | | | $ | 11,864 | | | $ | 12,216 | | | $ | 6,368 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.84 | %) | | | (1.35 | %) | | | (1.52 | %) | | | (1.63 | %) | | | (1.59 | %) |
| Total expenses | | | 2.26 | % | | | 2.27 | % | | | 2.31 | % | | | 2.30 | % | | | 2.30 | % |
| Portfolio turnover rate | | | 94 | % | | | 94 | % | | | 39 | % | | | 34 | % | | | 55 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, with the NASDAQ-100 Index up 3.72%, the Inverse NASDAQ-100® Fund Investor Class returned -6.50%. For the one-year period ended March 28, 2013, Inverse NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index.
The Health Care sector contributed the most to performance of the underlying index, followed by the Consumer Discretionary sector. Information Technology, which accounted for most of the underlying index, was the largest detractor, followed by the Industrials sector.
Google, Inc., Gilead Sciences, Inc. and Amazon.com, Inc. were the holdings contributing most to performance of the underlying index for the year, while Apple, Inc., Intel Corp. and Microsoft Corp. detracted most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates:
| Investor Class | | | September 3, 1998 |
| Advisor Class | | | August 1, 2003 |
| A-Class | | | March 31, 2004 |
| C-Class | | | March 7, 2001 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| 56 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | | |
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | -6.50 | % | | | -16.00 | % | | | -12.79 | % |
| C-Class Shares | | | -7.58 | % | | | -16.88 | % | | | -13.69 | % |
| C-Class Shares with CDSC‡ | | | -8.51 | % | | | -16.88 | % | | | -13.69 | % |
| NASDAQ-100 Index | | | 3.72 | % | | | 10.58 | % | | | 11.42 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | | | | | | | (08/01/03) | |
| Advisor Class Shares | | | -7.00 | % | | | -16.40 | % | | | -11.51 | % |
| NASDAQ-100 Index | | | 3.72 | % | | | 10.58 | % | | | 9.36 | % |
| | | | | | | | | | | (03/31/04) | |
| A-Class Shares | | | -6.89 | % | | | -16.27 | % | | | -10.59 | % |
| A-Class Shares with sales charge† | | | -11.34 | % | | | -17.08 | % | | | -11.08 | % |
| NASDAQ-100 Index | | | 3.72 | % | | | 10.58 | % | | | 8.50 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 57 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
INVERSE NASDAQ-100® STRATEGY FUND
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 94.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 4,901,152 | | | $ | 4,901,152 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 4,020,939 | | | | 4,020,939 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 862,880 | | | | 862,880 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 407,589 | | | | 407,589 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $10,192,560) | | | | | | | 10,192,560 | |
| Total Investments - 94.9% | | | | | | | | |
| (Cost $10,192,560) | | | | | | $ | 10,192,560 | |
| Other Assets & Liabilities, net - 5.1% | | | | | | | 548,469 | |
| Total Net Assets - 100.0% | | | | | | $ | 10,741,029 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 NASDAQ-100 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $2,249,000) | | | 40 | | | $ | (17,114 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/29/133 | | | | | | | | |
| (Notional Value $1,205,180) | | | 428 | | | $ | (5,070 | ) |
| Barclays Bank plc | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $2,902,164) | | | 1,030 | | | | (8,928 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 NASDAQ-100 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $4,373,961) | | | 1,552 | | | | (13,576 | ) |
| (Total Notional Value $8,481,305) | | | | | | $ | (27,574 | ) |
| † | 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 March 28, 2013. |
| 3 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate.
plc — Public Limited Company |
| 58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| inverse NASDAQ-100® STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $10,192,560) | | $ | 10,192,560 | |
| Segregated cash with broker | | | 610,000 | |
| Receivables: | | | | |
| Fund shares sold | | | 13,988 | |
| Interest | | | 118 | |
| Total assets | | | 10,816,666 | |
| | | | | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 27,574 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 13,279 | |
| Management fees | | | 10,446 | |
| Variation margin | | | 8,200 | |
| Transfer agent and administrative fees | | | 2,902 | |
| Distribution and service fees | | | 2,305 | |
| Portfolio accounting fees | | | 1,161 | |
| Miscellaneous | | | 9,770 | |
| Total liabilities | | | 75,637 | |
| Net assets | | $ | 10,741,029 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 89,234,056 | |
| Accumulated net investment loss | | | (56,251 | ) |
| Accumulated net realized loss on investments | | | (78,392,088 | ) |
| Net unrealized depreciation on investments | | | (44,688 | ) |
| Net assets | | $ | 10,741,029 | |
| Investor Class: | | | | |
| Net assets | | $ | 7,708,728 | |
| Capital shares outstanding | | | 877,831 | |
| Net asset value per share | | $ | 8.78 | |
| Advisor Class: | | | | |
| Net assets | | $ | 2,171,357 | |
| Capital shares outstanding | | | 259,429 | |
| Net asset value per share | | $ | 8.37 | |
| A-Class: | | | | |
| Net assets | | $ | 182,694 | |
| Capital shares outstanding | | | 21,437 | |
| Net asset value per share | | $ | 8.52 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 8.94 | |
| C-Class: | | | | |
| Net assets | | $ | 678,250 | |
| Capital shares outstanding | | | 88,261 | |
| Net asset value per share | | $ | 7.68 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 17,307 | |
| Total investment income | | | 17,307 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 130,253 | |
| Transfer agent and administrative fees | | | 36,181 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 14,496 | |
| A-Class | | | 1,195 | |
| C-Class | | | 8,271 | |
| Portfolio accounting fees | | | 14,472 | |
| Custodian fees | | | 2,184 | |
| Trustees’ fees* | | | 1,622 | |
| Miscellaneous | | | 24,478 | |
| Total expenses | | | 233,152 | |
| Net investment loss | | | (215,845 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (524,288 | ) |
| Futures contracts | | | (1,005,563 | ) |
| Net realized loss | | | (1,529,851 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (68,693 | ) |
| Futures contracts | | | (17,114 | ) |
| Net change in unrealized appreciation (depreciation) | | | (85,807 | ) |
| Net realized and unrealized loss | | | (1,615,658 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,831,503 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 59 |
| inverse NASDAQ-100® STRATEGY FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (215,845 | ) | | $ | (298,274 | ) |
| Net realized loss on investments | | | (1,529,851 | ) | | | (7,827,993 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (85,807 | ) | | | 547,611 | |
| Net decrease in net assets resulting from operations | | | (1,831,503 | ) | | | (7,578,656 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 171,623,947 | | | | 142,109,664 | |
| Advisor Class | | | 21,701,866 | | | | 114,452,287 | |
| A-Class | | | 2,082,298 | | | | 6,351,382 | |
| C-Class | | | 10,143,906 | | | | 7,348,638 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (171,487,070 | ) | | | (162,650,698 | ) |
| Advisor Class | | | (19,284,493 | ) | | | (111,429,096 | ) |
| A-Class | | | (2,284,696 | ) | | | (6,619,902 | ) |
| C-Class | | | (10,147,691 | ) | | | (8,759,826 | ) |
| Net increase (decrease) from capital share transactions | | | 2,348,067 | | | | (19,197,551 | ) |
| Net increase (decrease) in net assets | | | 516,564 | | | | (26,776,207 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 10,224,465 | | | | 37,000,672 | |
| End of year | | $ | 10,741,029 | | | $ | 10,224,465 | |
| Accumulated net investment loss at end of year | | $ | (56,251 | ) | | $ | (46,094 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 18,431,274 | | | | 12,219,255 | |
| Advisor Class | | | 2,392,488 | | | | 9,713,681 | |
| A-Class | | | 219,030 | | | | 569,930 | |
| C-Class | | | 1,225,599 | | | | 688,617 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (18,489,682 | ) | | | (14,048,576 | ) |
| Advisor Class | | | (2,156,089 | ) | | | (9,746,834 | ) |
| A-Class | | | (249,333 | ) | | | (599,296 | ) |
| C-Class | | | (1,227,725 | ) | | | (826,443 | ) |
| Net increase (decrease) in shares | | | 145,562 | | | | (2,029,666 | ) |
| 60 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| inverse NASDAQ-100® STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.39 | | | $ | 11.92 | | | $ | 15.07 | | | $ | 25.09 | | | $ | 21.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.12 | ) | | | (.16 | ) | | | (.18 | ) | | | (.25 | ) | | | (.06 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.49 | ) | | | (2.37 | ) | | | (2.97 | ) | | | (9.77 | ) | | | 4.25 | |
| Total from investment operations | | | (.61 | ) | | | (2.53 | ) | | | (3.15 | ) | | | (10.02 | ) | | | 4.19 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Net asset value, end of period | | $ | 8.78 | | | $ | 9.39 | | | $ | 11.92 | | | $ | 15.07 | | | $ | 25.09 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (6.50 | %) | | | (21.22 | %) | | | (20.90 | %) | | | (39.94 | %) | | | 19.48 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,709 | | | $ | 8,792 | | | $ | 32,978 | | | $ | 21,137 | | | $ | 33,672 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.32 | %) | | | (1.38 | %) | | | (1.30 | %) | | | (1.35 | %) | | | (0.26 | %) |
| Total expenses | | | 1.44 | % | | | 1.45 | % | | | 1.47 | % | | | 1.47 | % | | | 1.46 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.00 | | | $ | 11.43 | | | $ | 14.54 | | | $ | 24.37 | | | $ | 20.77 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.16 | ) | | | (.21 | ) | | | (.24 | ) | | | (.32 | ) | | | (.06 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.47 | ) | | | (2.22 | ) | | | (2.87 | ) | | | (9.51 | ) | | | 4.03 | |
| Total from investment operations | | | (.63 | ) | | | (2.43 | ) | | | (3.11 | ) | | | (9.83 | ) | | | 3.97 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Net asset value, end of period | | $ | 8.37 | | | $ | 9.00 | | | $ | 11.43 | | | $ | 14.54 | | | $ | 24.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (7.00 | %) | | | (21.26 | %) | | | (21.39 | %) | | | (40.34 | %) | | | 18.88 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,171 | | | $ | 207 | | | $ | 642 | | | $ | 916 | | | $ | 476 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.83 | %) | | | (1.91 | %) | | | (1.80 | %) | | | (1.84 | %) | | | (0.29 | %) |
| Total expenses | | | 1.95 | % | | | 1.95 | % | | | 1.97 | % | | | 1.97 | % | | | 1.97 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 61 |
| inverse NASDAQ-100® STRATEGY FUND |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.15 | | | $ | 11.66 | | | $ | 14.78 | | | $ | 24.67 | | | $ | 20.97 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.14 | ) | | | (.18 | ) | | | (.21 | ) | | | (.26 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.49 | ) | | | (2.33 | ) | | | (2.91 | ) | | | (9.63 | ) | | | 4.29 | |
| Total from investment operations | | | (.63 | ) | | | (2.51 | ) | | | (3.12 | ) | | | (9.89 | ) | | | 4.07 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Net asset value, end of period | | $ | 8.52 | | | $ | 9.15 | | | $ | 11.66 | | | $ | 14.78 | | | $ | 24.67 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (6.89 | %) | | | (21.53 | %) | | | (21.11 | %) | | | (40.09 | %) | | | 19.18 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 183 | | | $ | 474 | | | $ | 946 | | | $ | 1,041 | | | $ | 2,301 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.56 | %) | | | (1.62 | %) | | | (1.54 | %) | | | (1.37 | %) | | | (0.92 | %) |
| Total expenses | | | 1.68 | % | | | 1.69 | % | | | 1.72 | % | | | 1.71 | % | | | 1.71 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 8.32 | | | $ | 10.67 | | | $ | 13.62 | | | $ | 22.91 | | | $ | 19.63 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.19 | ) | | | (.24 | ) | | | (.29 | ) | | | (.39 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.45 | ) | | | (2.11 | ) | | | (2.66 | ) | | | (8.90 | ) | | | 3.90 | |
| Total from investment operations | | | (.64 | ) | | | (2.35 | ) | | | (2.95 | ) | | | (9.29 | ) | | | 3.65 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.37 | ) |
| Net asset value, end of period | | $ | 7.68 | | | $ | 8.32 | | | $ | 10.67 | | | $ | 13.62 | | | $ | 22.91 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (7.58 | %) | | | (22.12 | %) | | | (21.66 | %) | | | (40.55 | %) | | | 18.35 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 678 | | | $ | 752 | | | $ | 2,435 | | | $ | 1,858 | | | $ | 3,066 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.32 | %) | | | (2.37 | %) | | | (2.29 | %) | | | (2.33 | %) | | | (1.19 | %) |
| Total expenses | | | 2.44 | % | | | 2.45 | % | | | 2.47 | % | | | 2.47 | % | | | 2.47 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 62 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 63 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, the Mid-Cap 1.5x Strategy Fund H-Class returned 24.43%. Over the same period, its benchmark, the S&P MidCap 400 Index, returned 17.83%. The Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index.
Financials and Industrials provided the most performance to the underlying index during the year. No sector detracted, but Telecommunications Services and Information Technology contributed least to the performance of the underlying index.
Regeneron Pharmacueticals, Inc., Kansas City Southern and HollyFrontier Corp. contributed the most performance to the underlying index for the period. Informatica Corp., Riverbed Technology, Inc. and VeriFone Systems, Inc. were the largest detractors from performance of the underlying index for the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | March 31, 2004 |
| C-Class | August 20, 2001 |
| H-Class | August 16, 2001 |
| Ten Largest Holdings (% of Total Net Assets) |
| Regeneron Pharmaceuticals, Inc. | | | 0.6 | % |
| Kansas City Southern | | | 0.6 | % |
| Vertex Pharmaceuticals, Inc. | | | 0.6 | % |
| Equinix, Inc. | | | 0.5 | % |
| AMETEK, Inc. | | | 0.5 | % |
| HollyFrontier Corp. | | | 0.5 | % |
| Church & Dwight Company, Inc. | | | 0.4 | % |
| Macerich Co. | | | 0.4 | % |
| Realty Income Corp. | | | 0.4 | % |
| Henry Schein, Inc. | | | 0.4 | % |
| Top Ten Total | | | 4.9 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 64 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | 1 Year | | | 5 Year | | | 10 Year | |
| C-Class Shares | | | 23.48 | % | | | 8.10 | % | | | 12.15 | % |
| C-Class Shares with CDSC‡ | | | 22.48 | % | | | 8.10 | % | | | 12.15 | % |
| H-Class Shares | | | 24.43 | % | | | 8.92 | % | | | 12.99 | % |
| S&P MidCap 400 Index | | | 17.83 | % | | | 9.85 | % | | | 12.45 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | 24.40 | % | | | 8.90 | % | | | 7.52 | % |
| A-Class Shares with sales charge† | | | 18.48 | % | | | 7.84 | % | | | 6.94 | % |
| S&P MidCap 400 Index | | | 17.83 | % | | | 9.85 | % | | | 8.97 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 65 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 61.8% | | | | | | | | |
| | | | | | | | | |
| Financials - 14.4% | | | | | | | | |
| Macerich Co. | | | 4,065 | | | $ | 261,704 | |
| Realty Income Corp. | | | 5,742 | | | | 260,400 | |
| Affiliated Managers Group, Inc.* | | | 1,560 | | | | 239,569 | |
| SL Green Realty Corp. | | | 2,700 | | | | 232,497 | |
| Rayonier, Inc. | | | 3,688 | | | | 220,064 | |
| Federal Realty Investment Trust | | | 1,919 | | | | 207,329 | |
| Alleghany Corp.* | | | 497 | | | | 196,772 | |
| Everest Re Group Ltd. | | | 1,514 | | | | 196,608 | |
| New York Community Bancorp, Inc.1 | | | 13,033 | | | | 187,024 | |
| UDR, Inc. | | | 7,406 | | | | 179,151 | |
| Camden Property Trust | | | 2,504 | | | | 171,975 | |
| Essex Property Trust, Inc. | | | 1,119 | | | | 168,499 | |
| Duke Realty Corp. | | | 9,526 | | | | 161,751 | |
| Fidelity National Financial, Inc. — Class A | | | 6,365 | | | | 160,589 | |
| Raymond James Financial, Inc. | | | 3,344 | | | | 154,158 | |
| Arthur J Gallagher & Co. | | | 3,723 | | | | 153,797 | |
| Senior Housing Properties Trust | | | 5,569 | | | | 149,416 | |
| Taubman Centers, Inc. | | | 1,880 | | | | 146,001 | |
| WR Berkley Corp. | | | 3,257 | | | | 144,513 | |
| Eaton Vance Corp. | | | 3,442 | | | | 143,979 | |
| Regency Centers Corp. | | | 2,680 | | | | 141,799 | |
| Liberty Property Trust | | | 3,544 | | | | 140,874 | |
| American Campus Communities, Inc. | | | 3,097 | | | | 140,418 | |
| Alexandria Real Estate Equities, Inc. | | | 1,892 | | | | 134,294 | |
| Reinsurance Group of America, Inc. — Class A | | | 2,190 | | | | 130,677 | |
| Jones Lang LaSalle, Inc. | | | 1,308 | | | | 130,028 | |
| HCC Insurance Holdings, Inc. | | | 2,981 | | | | 125,291 | |
| National Retail Properties, Inc. | | | 3,430 | | | | 124,063 | |
| MSCI, Inc. — Class A* | | | 3,564 | | | | 120,926 | |
| Extra Space Storage, Inc. | | | 3,053 | | | | 119,891 | |
| BioMed Realty Trust, Inc. | | | 5,448 | | | | 117,677 | |
| Kilroy Realty Corp. | | | 2,220 | | | | 116,328 | |
| Corrections Corporation of America | | | 2,971 | | | | 116,077 | |
| SEI Investments Co. | | | 3,984 | | | | 114,938 | |
| Cullen/Frost Bankers, Inc. | | | 1,820 | | | | 113,806 | |
| Brown & Brown, Inc. | | | 3,492 | | | | 111,884 | |
| Hospitality Properties Trust | | | 4,073 | | | | 111,763 | |
| Waddell & Reed Financial, Inc. — Class A | | | 2,537 | | | | 111,070 | |
| BRE Properties, Inc. | | | 2,280 | | | | 110,990 | |
| Signature Bank* | | | 1,367 | | | | 107,666 | |
| East West Bancorp, Inc. | | | 4,152 | | | | 106,582 | |
| American Financial Group, Inc. | | | 2,215 | | | | 104,947 | |
| Weingarten Realty Investors | | | 3,305 | | | | 104,273 | |
| Omega Healthcare Investors, Inc. | | | 3,343 | | | | 101,493 | |
| Home Properties, Inc. | | | 1,529 | | | | 96,969 | |
| CBOE Holdings, Inc. | | | 2,587 | | | | 95,564 | |
| SVB Financial Group* | | | 1,330 | | | | 94,350 | |
| Highwoods Properties, Inc. | | | 2,382 | | | | 94,256 | |
| Commerce Bancshares, Inc. | | | 2,287 | | | | 93,378 | |
| First Niagara Financial Group, Inc. | | | 10,440 | | | | 92,498 | |
| Old Republic International Corp. | | | 7,147 | | | | 90,838 | |
| City National Corp. | | | 1,406 | | | | 82,827 | |
| Protective Life Corp. | | | 2,312 | | | | 82,770 | |
| First American Financial Corp. | | | 3,186 | | | | 81,466 | |
| Aspen Insurance Holdings Ltd. | | | 2,069 | | | | 79,822 | |
| Hancock Holding Co. | | | 2,510 | | | | 77,609 | |
| Associated Banc-Corp. | | | 4,969 | | | | 75,479 | |
| TCF Financial Corp. | | | 4,822 | | | | 72,137 | |
| Mack-Cali Realty Corp. | | | 2,474 | | | | 70,781 | |
| Fulton Financial Corp. | | | 5,877 | | | | 68,761 | |
| Corporate Office Properties Trust | | | 2,532 | | | | 67,554 | |
| Bank of Hawaii Corp. | | | 1,327 | | | | 67,425 | |
| Federated Investors, Inc. — Class B1 | | | 2,780 | | | | 65,803 | |
| Hanover Insurance Group, Inc. | | | 1,320 | | | | 65,578 | |
| Prosperity Bancshares, Inc. | | | 1,319 | | | | 62,507 | |
| Valley National Bancorp1 | | | 5,893 | | | | 60,344 | |
| Webster Financial Corp. | | | 2,371 | | | | 57,520 | |
| StanCorp Financial Group, Inc. | | | 1,313 | | | | 56,144 | |
| Potlatch Corp. | | | 1,192 | | | | 54,665 | |
| Washington Federal, Inc. | | | 3,119 | | | | 54,583 | |
| Synovus Financial Corp. | | | 19,677 | | | | 54,505 | |
| FirstMerit Corp. | | | 3,244 | | | | 53,623 | |
| Janus Capital Group, Inc. | | | 5,636 | | | | 52,978 | |
| Kemper Corp. | | | 1,613 | | | | 52,600 | |
| Apollo Investment Corp. | | | 6,002 | | | | 50,177 | |
| Trustmark Corp. | | | 1,990 | | | | 49,770 | |
| Alexander & Baldwin, Inc.* | | | 1,274 | | | | 45,546 | |
| Primerica, Inc. | | | 1,358 | | | | 44,515 | |
| Equity One, Inc. | | | 1,827 | | | | 43,793 | |
| Cathay General Bancorp | | | 2,165 | | | | 43,560 | |
| Greenhill & Company, Inc. | | | 765 | | | | 40,836 | |
| Mercury General Corp. | | | 1,074 | | | | 40,737 | |
| BancorpSouth, Inc. | | | 2,461 | | | | 40,114 | |
| Westamerica Bancorporation | | | 800 | | | | 36,264 | |
| International Bancshares Corp. | | | 1,613 | | | | 33,550 | |
| Astoria Financial Corp. | | | 2,428 | | | | 23,940 | |
| Total Financials | | | | | | | 9,261,687 | |
| Industrials - 10.8% | | | | | | | | |
| Kansas City Southern | | | 3,266 | | | | 362,200 | |
| AMETEK, Inc. | | | 7,204 | | | | 312,366 | |
| J.B. Hunt Transport Services, Inc. | | | 2,683 | | | | 199,829 | |
| B/E Aerospace, Inc.* | | | 3,098 | | | | 186,778 | |
| Fortune Brands Home & Security, Inc.* | | | 4,864 | | | | 182,060 | |
| Hubbell, Inc. — Class B | | | 1,578 | | | | 153,240 | |
| United Rentals, Inc.* | | | 2,749 | | | | 151,113 | |
| AGCO Corp. | | | 2,877 | | | | 149,948 | |
| Wabtec Corp. | | | 1,415 | | | | 144,486 | |
| Donaldson Company, Inc. | | | 3,990 | | | | 144,397 | |
| KBR, Inc. | | | 4,369 | | | | 140,157 | |
| Genesee & Wyoming, Inc. — Class A* | | | 1,467 | | | | 136,592 | |
| Timken Co. | | | 2,357 | | | | 133,359 | |
| Lincoln Electric Holdings, Inc. | | | 2,455 | | | | 133,012 | |
| Alaska Air Group, Inc.* | | | 2,078 | | | | 132,909 | |
| Waste Connections, Inc. | | | 3,651 | | | | 131,363 | |
| IDEX Corp. | | | 2,445 | | | | 130,612 | |
| Manpower, Inc. | | | 2,271 | | | | 128,812 | |
| Kirby Corp.* | | | 1,676 | | | | 128,717 | |
| Carlisle Companies, Inc. | | | 1,883 | | | | 127,649 | |
| 66 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MSC Industrial Direct Company, Inc. — Class A | | | 1,383 | | | $ | 118,634 | |
| Triumph Group, Inc. | | | 1,489 | | | | 116,887 | |
| Towers Watson & Co. — Class A | | | 1,670 | | | | 115,764 | |
| Terex Corp.* | | | 3,279 | | | | 112,863 | |
| Nordson Corp. | | | 1,679 | | | | 110,730 | |
| Oshkosh Corp.* | | | 2,589 | | | | 110,007 | |
| SPX Corp. | | | 1,387 | | | | 109,518 | |
| Gardner Denver, Inc. | | | 1,456 | | | | 109,360 | |
| Valmont Industries, Inc. | | | 692 | | | | 108,831 | |
| Regal-Beloit Corp. | | | 1,333 | | | | 108,719 | |
| Copart, Inc.* | | | 3,140 | | | | 107,639 | |
| URS Corp. | | | 2,270 | | | | 107,621 | |
| Trinity Industries, Inc. | | | 2,344 | | | | 106,254 | |
| Graco, Inc. | | | 1,800 | | | | 104,454 | |
| AECOM Technology Corp.* | | | 3,099 | | | | 101,647 | |
| Kennametal, Inc. | | | 2,347 | | | | 91,627 | |
| Clean Harbors, Inc.* | | | 1,566 | | | | 90,969 | |
| Acuity Brands, Inc. | | | 1,263 | | | | 87,589 | |
| Lennox International, Inc. | | | 1,358 | | | | 86,219 | |
| Crane Co. | | | 1,426 | | | | 79,656 | |
| Landstar System, Inc. | | | 1,375 | | | | 78,499 | |
| Huntington Ingalls Industries, Inc. | | | 1,468 | | | | 78,288 | |
| ITT Corp. | | | 2,735 | | | | 77,756 | |
| CLARCOR, Inc. | | | 1,469 | | | | 76,946 | |
| Watsco, Inc. | | | 880 | | | | 74,078 | |
| GATX Corp. | | | 1,385 | | | | 71,978 | |
| Woodward, Inc. | | | 1,794 | | | | 71,329 | |
| Alliant Techsystems, Inc. | | | 971 | | | | 70,330 | |
| Esterline Technologies Corp.* | | | 920 | | | | 69,644 | |
| RR Donnelley & Sons Co.1 | | | 5,339 | | | | 64,335 | |
| Deluxe Corp. | | | 1,507 | | | | 62,390 | |
| Exelis, Inc. | | | 5,571 | | | | 60,668 | |
| Harsco Corp. | | | 2,391 | | | | 59,225 | |
| Con-way, Inc. | | | 1,660 | | | | 58,449 | |
| Corporate Executive Board Co. | | | 987 | | | | 57,404 | |
| General Cable Corp.* | | | 1,471 | | | | 53,883 | |
| Rollins, Inc. | | | 1,947 | | | | 47,799 | |
| Herman Miller, Inc. | | | 1,726 | | | | 47,759 | |
| HNI Corp. | | | 1,329 | | | | 47,166 | |
| JetBlue Airways Corp.* | | | 6,653 | | | | 45,906 | |
| Mine Safety Appliances Co. | | | 923 | | | | 45,799 | |
| FTI Consulting, Inc.* | | | 1,212 | | | | 45,644 | |
| UTI Worldwide, Inc. | | | 3,076 | | | | 44,540 | |
| Brink’s Co. | | | 1,416 | | | | 40,016 | |
| Granite Construction, Inc. | | | 1,057 | | | | 33,655 | |
| Werner Enterprises, Inc. | | | 1,320 | | | | 31,865 | |
| Matson, Inc. | | | 1,262 | | | | 31,045 | |
| Total Industrials | | | | | | | 6,940,983 | |
| Information Technology - 9.3% | | | | | | | | |
| Equinix, Inc.* | | | 1,450 | | | | 313,650 | |
| Alliance Data Systems Corp.* | | | 1,475 | | | | 238,788 | |
| Trimble Navigation Ltd.* | | | 7,560 | | | | 226,498 | |
| ANSYS, Inc.* | | | 2,747 | | | | 223,660 | |
| Cree, Inc.* | | | 3,449 | | | | 188,695 | |
| Rackspace Hosting, Inc.* | | | 3,270 | | | | 165,070 | |
| Synopsys, Inc.* | | | 4,554 | | | | 163,398 | |
| Gartner, Inc.* | | | 2,760 | | | | 150,172 | |
| Avnet, Inc.* | | | 4,058 | | | | 146,900 | |
| NCR Corp.* | | | 4,845 | | | | 133,528 | |
| Arrow Electronics, Inc.* | | | 3,139 | | | | 127,506 | |
| Skyworks Solutions, Inc.* | | | 5,685 | | | | 125,241 | |
| Solera Holdings, Inc. | | | 2,044 | | | | 119,227 | |
| Jack Henry & Associates, Inc. | | | 2,551 | | | | 117,882 | |
| Cadence Design Systems, Inc.* | | | 8,344 | | | | 116,232 | |
| Global Payments, Inc. | | | 2,335 | | | | 115,956 | |
| FactSet Research Systems, Inc.1 | | | 1,208 | | | | 111,861 | |
| Informatica Corp.* | | | 3,192 | | | | 110,028 | |
| SolarWinds, Inc.* | | | 1,824 | | | | 107,798 | |
| MICROS Systems, Inc.* | | | 2,350 | | | | 106,948 | |
| CommVault Systems, Inc.* | | | 1,268 | | | | 103,951 | |
| TIBCO Software, Inc.* | | | 4,605 | | | | 93,113 | |
| Concur Technologies, Inc.* | | | 1,346 | | | | 92,416 | |
| National Instruments Corp. | | | 2,810 | | | | 92,028 | |
| NeuStar, Inc. — Class A* | | | 1,959 | | | | 91,152 | |
| Atmel Corp.* | | | 13,004 | | | | 90,508 | |
| WEX, Inc.* | | | 1,150 | | | | 90,275 | |
| PTC, Inc.* | | | 3,538 | | | | 90,184 | |
| Broadridge Financial Solutions, Inc. | | | 3,612 | | | | 89,722 | |
| AOL, Inc. | | | 2,284 | | | | 87,911 | |
| Ingram Micro, Inc. — Class A* | | | 4,456 | | | | 87,694 | |
| Compuware Corp.* | | | 6,281 | | | | 78,513 | |
| CoreLogic, Inc.* | | | 2,897 | | | | 74,916 | |
| Riverbed Technology, Inc.* | | | 4,832 | | | | 72,046 | |
| Zebra Technologies Corp. — Class A* | | | 1,510 | | | | 71,166 | |
| Semtech Corp.* | | | 1,960 | | | | 69,364 | |
| VeriFone Systems, Inc.* | | | 3,195 | | | | 66,073 | |
| Rovi Corp.* | | | 3,074 | | | | 65,814 | |
| Lender Processing Services, Inc. | | | 2,511 | | | | 63,930 | |
| DST Systems, Inc. | | | 889 | | | | 63,359 | |
| ValueClick, Inc.* | | | 2,108 | | | | 62,291 | |
| InterDigital, Inc.1 | | | 1,222 | | | | 58,448 | |
| Polycom, Inc.* | | | 5,239 | | | | 58,048 | |
| ACI Worldwide, Inc.* | | | 1,170 | | | | 57,166 | |
| Diebold, Inc. | | | 1,869 | | | | 56,668 | |
| Plantronics, Inc. | | | 1,264 | | | | 55,856 | |
| Itron, Inc.* | | | 1,166 | | | | 54,102 | |
| Convergys Corp. | | | 3,144 | | | | 53,542 | |
| Fairchild Semiconductor International, Inc. — Class A* | | | 3,764 | | | | 53,223 | |
| Vishay Intertechnology, Inc.* | | | 3,909 | | | | 53,201 | |
| Tech Data Corp.* | | | 1,118 | | | | 50,992 | |
| Mentor Graphics Corp. | | | 2,797 | | | | 50,486 | |
| Lexmark International, Inc. — Class A | | | 1,869 | | | | 49,342 | |
| Ciena Corp.* | | | 3,004 | | | | 48,094 | |
| Fair Isaac Corp. | | | 1,047 | | | | 47,837 | |
| Silicon Laboratories, Inc.* | | | 1,145 | | | | 47,357 | |
| Acxiom Corp.* | | | 2,190 | | | | 44,676 | |
| RF Micro Devices, Inc.* | | | 8,279 | | | | 44,044 | |
| Cypress Semiconductor Corp. | | | 3,979 | | | | 43,888 | |
| International Rectifier Corp.* | | | 2,050 | | | | 43,358 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 67 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| ADTRAN, Inc. | | | 1,833 | | | $ | 36,018 | |
| Intersil Corp. — Class A | | | 3,737 | | | | 32,549 | |
| Integrated Device Technology, Inc.* | | | 4,313 | | | | 32,218 | |
| QLogic Corp.* | | | 2,692 | | | | 31,227 | |
| Advent Software, Inc.* | | | 939 | | | | 26,264 | |
| MEMC Electronic Materials, Inc.* | | | 5,932 | | | | 26,101 | |
| ManTech International Corp. — Class A | | | 699 | | | | 18,782 | |
| Tellabs, Inc. | | | 8,532 | | | | 17,832 | |
| Monster Worldwide, Inc.* | | | 3,454 | | | | 17,512 | |
| Total Information Technology | | | | | | | 6,014,295 | |
| Consumer Discretionary - 7.7% | | | | | | | | �� |
| Tractor Supply Co. | | | 2,051 | | | | 213,571 | |
| Mohawk Industries, Inc.* | | | 1,729 | | | | 195,584 | |
| LKQ Corp.* | | | 8,834 | | | | 192,228 | |
| Advance Auto Parts, Inc. | | | 2,185 | | | | 180,590 | |
| Polaris Industries, Inc. | | | 1,880 | | | | 173,881 | |
| Signet Jewelers Ltd. | | | 2,399 | | | | 160,733 | |
| Foot Locker, Inc. | | | 4,462 | | | | 152,779 | |
| Toll Brothers, Inc.* | | | 4,451 | | | | 152,402 | |
| NVR, Inc.* | | | 135 | | | | 145,815 | |
| Jarden Corp.* | | | 3,283 | | | | 140,677 | |
| Panera Bread Co. — Class A* | | | 832 | | | | 137,479 | |
| Dick’s Sporting Goods, Inc. | | | 2,903 | | | | 137,312 | |
| Hanesbrands, Inc.* | | | 2,907 | | | | 132,443 | |
| Williams-Sonoma, Inc. | | | 2,553 | | | | 131,530 | |
| Tupperware Brands Corp. | | | 1,603 | | | | 131,029 | |
| Under Armour, Inc. — Class A* | | | 2,294 | | | | 117,453 | |
| AMC Networks, Inc. — Class A* | | | 1,712 | | | | 108,164 | |
| Service Corporation International | | | 6,246 | | | | 104,496 | |
| American Eagle Outfitters, Inc. | | | 5,337 | | | | 99,802 | |
| Cinemark Holdings, Inc. | | | 3,031 | | | | 89,233 | |
| Tempur-Pedic International, Inc.* | | | 1,768 | | | | 87,746 | |
| Carter’s, Inc.* | | | 1,508 | | | | 86,363 | |
| Gentex Corp. | | | 4,237 | | | | 84,782 | |
| Cabela’s, Inc.* | | | 1,370 | | | | 83,269 | |
| Chico’s FAS, Inc. | | | 4,906 | | | | 82,421 | |
| Lamar Advertising Co. — Class A* | | | 1,635 | | | | 79,477 | |
| Brinker International, Inc. | | | 2,098 | | | | 78,990 | |
| Sotheby’s | | | 2,010 | | | | 75,194 | |
| Ascena Retail Group, Inc.* | | | 3,756 | | | | 69,674 | |
| Rent-A-Center, Inc. — Class A | | | 1,722 | | | | 63,611 | |
| Bally Technologies, Inc.* | | | 1,216 | | | | 63,196 | |
| Big Lots, Inc.* | | | 1,714 | | | | 60,453 | |
| HSN, Inc. | | | 1,094 | | | | 60,017 | |
| Aaron’s, Inc. | | | 2,091 | | | | 59,970 | |
| Deckers Outdoor Corp.*,1 | | | 1,021 | | | | 56,859 | |
| Cheesecake Factory, Inc. | | | 1,454 | | | | 56,139 | |
| John Wiley & Sons, Inc. — Class A | | | 1,386 | | | | 53,998 | |
| DeVry, Inc. | | | 1,680 | | | | 53,340 | |
| KB Home | | | 2,422 | | | | 52,727 | |
| Life Time Fitness, Inc.* | | | 1,176 | | | | 50,310 | |
| Thor Industries, Inc. | | | 1,306 | | | | 48,048 | |
| Wendy’s Co. | | | 8,336 | | | | 47,265 | |
| Guess?, Inc. | | | 1,815 | | | | 45,066 | |
| MDC Holdings, Inc. | | | 1,158 | | | | 42,441 | |
| ANN, Inc.* | | | 1,430 | | | | 41,499 | |
| WMS Industries, Inc.* | | | 1,626 | | | | 40,991 | |
| Meredith Corp.1 | | | 1,067 | | | | 40,823 | |
| DreamWorks Animation SKG, | | | | | | | | |
| Inc. — Class A* | | | 2,120 | | | | 40,195 | |
| New York Times Co. — Class A* | | | 3,615 | | | | 35,427 | |
| Bob Evans Farms, Inc. | | | 827 | | | | 35,247 | |
| Valassis Communications, Inc.1 | | | 1,163 | | | | 34,739 | |
| Saks, Inc.* | | | 3,000 | | | | 34,410 | |
| Office Depot, Inc.* | | | 8,464 | | | | 33,264 | |
| Aeropostale, Inc.* | | | 2,314 | | | | 31,470 | |
| Regis Corp. | | | 1,674 | | | | 30,450 | |
| Matthews International Corp. — Class A | | | 820 | | | | 28,610 | |
| International Speedway Corp. — Class A | | | 761 | | | | 24,869 | |
| Scholastic Corp. | | | 790 | | | | 21,054 | |
| Barnes & Noble, Inc.* | | | 1,094 | | | | 17,996 | |
| Strayer Education, Inc. | | | 338 | | | | 16,352 | |
| Scientific Games Corp. — Class A* | | | 1,563 | | | | 13,676 | |
| Total Consumer Discretionary | | | | | | | 4,959,629 | |
| Health Care - 6.0% | | | | | | | | |
| Regeneron Pharmaceuticals, Inc.* | | | 2,266 | | | | 399,722 | |
| Vertex Pharmaceuticals, Inc.* | | | 6,460 | | | | 355,171 | |
| Henry Schein, Inc.* | | | 2,594 | | | | 240,075 | |
| ResMed, Inc. | | | 4,250 | | | | 197,031 | |
| Mettler-Toledo International, Inc.* | | | 894 | | | | 190,618 | |
| Hologic, Inc.* | | | 7,925 | | | | 179,105 | |
| Universal Health Services, Inc. — Class B | | | 2,636 | | | | 168,360 | |
| Cooper Companies, Inc. | | | 1,430 | | | | 154,268 | |
| IDEXX Laboratories, Inc.* | | | 1,616 | | | | 149,302 | |
| MEDNAX, Inc.* | | | 1,479 | | | | 132,563 | |
| Community Health Systems, Inc. | | | 2,733 | | | | 129,517 | |
| Omnicare, Inc. | | | 3,096 | | | | 126,069 | |
| Covance, Inc.* | | | 1,633 | | | | 121,365 | |
| Endo Health Solutions, Inc.* | | | 3,379 | | | | 103,938 | |
| Teleflex, Inc. | | | 1,216 | | | | 102,764 | |
| Health Management Associates, Inc. — Class A* | | | 7,610 | | | | 97,941 | |
| United Therapeutics Corp.* | | | 1,380 | | | | 84,001 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 594 | | | | 74,844 | |
| WellCare Health Plans, Inc.* | | | 1,279 | | | | 74,131 | |
| STERIS Corp. | | | 1,728 | | | | 71,902 | |
| HMS Holdings Corp.* | | | 2,580 | | | | 70,047 | |
| Techne Corp. | | | 1,026 | | | | 69,614 | |
| Allscripts Healthcare Solutions, Inc.* | | | 5,095 | | | | 69,241 | |
| Health Net, Inc.* | | | 2,348 | | | | 67,200 | |
| LifePoint Hospitals, Inc.* | | | 1,386 | | | | 67,166 | |
| Thoratec Corp.* | | | 1,708 | | | | 64,050 | |
| Charles River Laboratories International, Inc.* | | | 1,426 | | | | 63,129 | |
| Hill-Rom Holdings, Inc. | | | 1,782 | | | | 62,762 | |
| VCA Antech, Inc.* | | | 2,620 | | | | 61,544 | |
| Owens & Minor, Inc. | | | 1,872 | | | | 60,952 | |
| Masimo Corp. | | | 1,551 | | | | 30,431 | |
| Total Health Care | | | | | | | 3,838,823 | |
| 68 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MATERIALS - 4.2% | | | | | | | | |
| Rock Tenn Co. — Class A | | | 2,129 | | | $ | 197,550 | |
| Albemarle Corp. | | | 2,634 | | | | 164,677 | |
| Ashland, Inc. | | | 2,170 | | | | 161,232 | |
| Reliance Steel & Aluminum Co. | | | 2,258 | | | | 160,702 | |
| Valspar Corp. | | | 2,481 | | | | 154,442 | |
| Martin Marietta Materials, Inc. | | | 1,361 | | | | 138,849 | |
| Royal Gold, Inc. | | | 1,923 | | | | 136,591 | |
| Packaging Corporation of America | | | 2,904 | | | | 130,302 | |
| RPM International, Inc. | | | 3,919 | | | | 123,762 | |
| Aptargroup, Inc. | | | 1,960 | | | | 112,406 | |
| Sonoco Products Co. | | | 2,989 | | | | 104,585 | |
| Steel Dynamics, Inc. | | | 6,521 | | | | 103,488 | |
| Cytec Industries, Inc. | | | 1,326 | | | | 98,230 | |
| Louisiana-Pacific Corp.* | | | 4,120 | | | | 88,992 | |
| NewMarket Corp. | | | 323 | | | | 84,096 | |
| Domtar Corp. | | | 1,030 | | | | 79,949 | |
| Compass Minerals International, Inc. | | | 989 | | | | 78,032 | |
| Carpenter Technology Corp. | | | 1,313 | | | | 64,718 | |
| Silgan Holdings, Inc. | | | 1,343 | | | | 63,457 | |
| Cabot Corp. | | | 1,777 | | | | 60,773 | |
| Olin Corp. | | | 2,370 | | | | 59,771 | |
| Sensient Technologies Corp. | | | 1,484 | | | | 58,010 | |
| Commercial Metals Co. | | | 3,446 | | | | 54,619 | |
| Scotts Miracle-Gro Co. — Class A | | | 1,145 | | | | 49,510 | |
| Worthington Industries, Inc. | | | 1,562 | | | | 48,391 | |
| Greif, Inc. — Class A | | | 895 | | | | 47,990 | |
| Minerals Technologies, Inc. | | | 1,037 | | | | 43,046 | |
| Intrepid Potash, Inc. | | | 1,592 | | | | 29,866 | |
| Total Materials | | | | | | | 2,698,036 | |
| ENERGY - 3.7% | | | | | | | | |
| HollyFrontier Corp. | | | 6,028 | | | | 310,141 | |
| Oceaneering International, Inc. | | | 3,199 | | | | 212,445 | |
| Cimarex Energy Co. | | | 2,556 | | | | 192,826 | |
| Plains Exploration & Production Co.* | | | 3,820 | | | | 181,335 | |
| Dresser-Rand Group, Inc.* | | | 2,249 | | | | 138,672 | |
| Oil States International, Inc.* | | | 1,623 | | | | 132,388 | |
| Superior Energy Services, Inc.* | | | 4,716 | | | | 122,475 | |
| SM Energy Co. | | | 1,956 | | | | 115,834 | |
| Energen Corp. | | | 2,140 | | | | 111,301 | |
| Patterson-UTI Energy, Inc. | | | 4,319 | | | | 102,965 | |
| Dril-Quip, Inc.* | | | 1,075 | | | | 93,708 | |
| Atwood Oceanics, Inc.* | | | 1,692 | | | | 88,898 | |
| World Fuel Services Corp. | | | 2,142 | | | | 85,080 | |
| Rosetta Resources, Inc.* | | | 1,560 | | | | 74,225 | |
| Tidewater, Inc. | | | 1,464 | | | | 73,932 | |
| Helix Energy Solutions Group, Inc.* | | | 2,911 | | | | 66,604 | |
| Unit Corp.* | | | 1,298 | | | | 59,124 | |
| Alpha Natural Resources, Inc.* | | | 6,532 | | | | 53,628 | |
| CARBO Ceramics, Inc. | | | 583 | | | | 53,094 | |
| Arch Coal, Inc. | | | 5,482 | | | | 29,767 | |
| Bill Barrett Corp.* | | | 1,424 | | | | 28,864 | |
| Northern Oil and Gas, Inc.* | | | 1,753 | | | | 25,208 | |
| Forest Oil Corp.* | | | 3,531 | | | | 18,573 | |
| Quicksilver Resources, Inc.* | | | 3,532 | | | | 7,947 | |
| Total Energy | | | | | | | 2,379,034 | |
| UTILITIES - 3.1% | | | | | | | | |
| OGE Energy Corp. | | | 2,928 | | | | 204,902 | |
| Alliant Energy Corp. | | | 3,286 | | | | 164,891 | |
| National Fuel Gas Co. | | | 2,467 | | | | 151,350 | |
| MDU Resources Group, Inc. | | | 5,590 | | | | 139,694 | |
| N.V. Energy, Inc. | | | 6,960 | | | | 139,409 | |
| Aqua America, Inc. | | | 4,158 | | | | 130,728 | |
| UGI Corp. | | | 3,346 | | | | 128,453 | |
| Questar Corp. | | | 5,187 | | | | 126,200 | |
| Westar Energy, Inc. | | | 3,758 | | | | 124,690 | |
| Atmos Energy Corp. | | | 2,682 | | | | 114,495 | |
| Great Plains Energy, Inc. | | | 4,543 | | | | 105,352 | |
| Vectren Corp. | | | 2,437 | | | | 86,319 | |
| Cleco Corp. | | | 1,799 | | | | 84,607 | |
| Hawaiian Electric Industries, Inc. | | | 2,907 | | | | 80,553 | |
| IDACORP, Inc. | | | 1,482 | | | | 71,536 | |
| WGL Holdings, Inc. | | | 1,534 | | | | 67,649 | |
| Black Hills Corp. | | | 1,310 | | | | 57,692 | |
| PNM Resources, Inc. | | | 2,357 | | | | 54,895 | |
| Total Utilities | | | | | | | 2,033,415 | |
| CONSUMER STAPLES - 2.3% | | | | | | | | |
| Church & Dwight Company, Inc. | | | 4,082 | | | | 263,820 | |
| Green Mountain Coffee Roasters, Inc.*,1 | | | 3,657 | | | | 207,571 | |
| Energizer Holdings, Inc. | | | 1,837 | | | | 183,204 | |
| Ingredion, Inc. | | | 2,290 | | | | 165,613 | |
| Hillshire Brands Co. | | | 3,637 | | | | 127,841 | |
| Flowers Foods, Inc. | | | 3,395 | | | | 111,831 | |
| Smithfield Foods, Inc.* | | | 3,692 | | | | 97,764 | |
| United Natural Foods, Inc.* | | | 1,460 | | | | 71,832 | |
| Harris Teeter Supermarkets, Inc. | | | 1,466 | | | | 62,613 | |
| Lancaster Colony Corp. | | | 577 | | | | 44,429 | |
| Post Holdings, Inc.* | | | 966 | | | | 41,470 | |
| Universal Corp. | | | 689 | | | | 38,612 | |
| SUPERVALU, Inc.1 | | | 5,912 | | | | 29,796 | |
| Tootsie Roll Industries, Inc.1 | | | 626 | | | | 18,711 | |
| Total Consumer Staples | | | | | | | 1,465,107 | |
| TELECOMMUNICATION SERVICES - 0.3% | | | | | | | | |
| tw telecom, Inc. — Class A* | | | 4,498 | | | | 113,305 | |
| Telephone & Data Systems, Inc. | | | 2,978 | | | | 62,746 | |
| Total Telecommunication Services | | | | | | | 176,051 | |
| Total Common Stocks | | | | | | | | |
| (Cost $30,717,618) | | | | | | | 39,767,060 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 36.6% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 11,113,842 | | | $ | 11,113,842 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 9,117,874 | | | | 9,117,874 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 2,389,948 | | | | 2,389,948 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 924,248 | | | | 924,248 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $23,545,912) | | | | | | | 23,545,912 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.4% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 154,593 | | | | 154,593 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 121,611 | | | | 121,611 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $276,204) | | | | | | | 276,204 | |
| Total Investments - 98.8% | | | | | | | | |
| (Cost $54,539,734) | | | | | | $ | 63,589,176 | |
| Other Assets & Liabilities, net - 1.2% | | | | | | | 783,587 | |
| Total Net Assets - 100.0% | | | | | | $ | 64,372,763 | |
| | | Contracts | | | Unrealized
Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 S&P MidCap 400 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $28,765,000) | | | 250 | | | $ | 679,817 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $14,628,078) | | | 12,679 | | | $ | 125,145 | |
| Barclays Bank plc | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $11,734,197) | | | 10,171 | | | | 77,802 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $1,476,855) | | | 1,280 | | | | 9,792 | |
| (Total Notional Value $27,839,130) | | | | | | $ | 212,739 | |
| * | | 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 March 28, 2013 — 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 March 28, 2013. |
| 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 |
| 70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| MID-CAP 1.5x STRATEGY FUND | |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $270,390 of securities loaned | | | | |
| (cost $30,717,618) | | $ | 39,767,060 | |
| Repurchase agreements, at value | | | | |
| (cost $23,822,116) | | | 23,822,116 | |
| Total investments | | | | |
| (cost $54,539,734) | | | 63,589,176 | |
| Segregated cash with broker | | | 1,870,000 | |
| Unrealized appreciation on swap agreements | | | 212,739 | |
| Receivable for swap settlement | | | 9,816 | |
| Cash | | | 6,532 | |
| Receivables: | | | | |
| Fund shares sold | | | 298,250 | |
| Variation margin | | | 167,500 | |
| Dividends | | | 31,679 | |
| Interest | | | 607 | |
| Total assets | | | 66,186,299 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,425,604 | |
| Upon return of securities loaned | | | 276,204 | |
| Management fees | | | 40,493 | |
| Distribution and service fees | | | 14,184 | |
| Transfer agent and administrative fees | | | 11,248 | |
| Portfolio accounting fees | | | 4,499 | |
| Securities purchased | | | 3,575 | |
| Miscellaneous | | | 37,729 | |
| Total liabilities | | | 1,813,536 | |
| Net assets | | $ | 64,372,763 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 64,898,357 | |
| Accumulated net investment loss | | | (151,408 | ) |
| Accumulated net realized loss on investments | | | (10,316,184 | ) |
| Net unrealized appreciation on investments | | | 9,941,998 | |
| Net assets | | $ | 64,372,763 | |
| A-Class: | | | | |
| Net assets | | $ | 2,198,705 | |
| Capital shares outstanding | | | 48,788 | |
| Net asset value per share | | $ | 45.07 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 47.32 | |
| C-Class: | | | | |
| Net assets | | $ | 5,107,031 | |
| Capital shares outstanding | | | 124,640 | |
| Net asset value per share | | $ | 40.97 | |
| H-Class: | | | | |
| Net assets | | $ | 57,067,027 | |
| Capital shares outstanding | | | 1,264,532 | |
| Net asset value per share | | $ | 45.13 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 448,551 | |
| Interest | | | 11,446 | |
| Income from securities lending, net | | | 2,323 | |
| Total investment income | | | 462,320 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 332,402 | |
| Transfer agent and administrative fees | | | 92,334 | |
| Distribution and service fees: | | | | |
| A-Class | | | 3,578 | |
| C-Class | | | 38,869 | |
| H-Class | | | 79,039 | |
| Portfolio accounting fees | | | 36,933 | |
| Custodian fees | | | 5,071 | |
| Trustees’ fees* | | | 2,814 | |
| Miscellaneous | | | 53,959 | |
| Total expenses | | | 644,999 | |
| Net investment loss | | | (182,679 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 2,068,368 | |
| Swap agreements | | | 4,047,581 | |
| Futures contracts | | | 2,264,410 | |
| Net realized gain | | | 8,380,359 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 4,133,322 | |
| Swap agreements | | | 238,872 | |
| Futures contracts | | | 484,714 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 4,856,908 | |
| Net realized and unrealized gain | | | 13,237,267 | |
| Net increase in net assets resulting from operations | | $ | 13,054,588 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
| MID-CAP 1.5x STRATEGY FUND | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (182,679 | ) | | $ | (248,932 | ) |
| Net realized gain (loss) on investments | | | 8,380,359 | | | | (3,727,066 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,856,908 | | | | (744,351 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 13,054,588 | | | | (4,720,349 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 6,093,533 | | | | 4,439,075 | |
| C-Class | | | 5,836,319 | | | | 8,856,328 | |
| H-Class | | | 306,913,190 | | | | 191,352,207 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (6,186,951 | ) | | | (4,211,118 | ) |
| C-Class | | | (6,337,463 | ) | | | (9,591,810 | ) |
| H-Class | | | (278,786,299 | ) | | | (212,908,174 | ) |
| Net increase (decrease) from capital share transactions | | | 27,532,329 | | | | (22,063,492 | ) |
| Net increase (decrease) in net assets | | | 40,586,917 | | | | (26,783,841 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 23,785,846 | | | | 50,569,687 | |
| End of year | | $ | 64,372,763 | | | $ | 23,785,846 | |
| Accumulated net investment loss at end of year | | $ | (151,408 | ) | | $ | (67,408 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 150,735 | | | | 137,923 | |
| C-Class | | | 171,185 | | | | 276,605 | |
| H-Class | | | 8,203,357 | | | | 5,925,626 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (157,070 | ) | | | (133,333 | ) |
| C-Class | | | (191,671 | ) | | | (307,940 | ) |
| H-Class | | | (7,406,790 | ) | | | (6,606,666 | ) |
| Net increase (decrease) in shares | | | 769,746 | | | | (707,785 | ) |
| 72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| MID-CAP 1.5x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.23 | | | $ | 37.14 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.39 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.16 | ) | | | (.23 | ) | | | (.26 | ) | | | (.16 | ) | | | — | b |
| Net gain (loss) on investments (realized and unrealized) | | | 9.00 | | | | (.68 | ) | | | 10.51 | | | | 13.72 | | | | (17.74 | ) |
| Total from investment operations | | | 8.84 | | | | (.91 | ) | | | 10.25 | | | | 13.56 | | | | (17.74 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Net asset value, end of period | | $ | 45.07 | | | $ | 36.23 | | | $ | 37.14 | | | $ | 26.89 | | | $ | 13.33 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 24.40 | % | | | (2.45 | %) | | | 38.12 | % | | | 101.73 | % | | | (54.70 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,199 | | | $ | 1,997 | | | $ | 1,877 | | | $ | 1,567 | | | $ | 1,080 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.43 | %) | | | (0.68 | %) | | | (0.88 | %) | | | (0.79 | %) | | | 0.01 | % |
| Total expenses | | | 1.66 | % | | | 1.66 | % | | | 1.70 | % | | | 1.69 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 447 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.18 | | | $ | 34.26 | | | $ | 24.98 | | | $ | 12.47 | | | $ | 30.73 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.41 | ) | | | (.43 | ) | | | (.43 | ) | | | (.27 | ) | | | (.17 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.20 | | | | (.65 | ) | | | 9.71 | | | | 12.78 | | | | (16.77 | ) |
| Total from investment operations | | | 7.79 | | | | (1.08 | ) | | | 9.28 | | | | 12.51 | | | | (16.94 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Net asset value, end of period | | $ | 40.97 | | | $ | 33.18 | | | $ | 34.26 | | | $ | 24.98 | | | $ | 12.47 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 23.48 | % | | | (3.15 | %) | | | 37.15 | % | | | 100.32 | % | | | (55.06 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,107 | | | $ | 4,815 | | | $ | 6,045 | | | $ | 4,069 | | | $ | 2,954 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.23 | %) | | | (1.42 | %) | | | (1.59 | %) | | | (1.43 | %) | | | (0.72 | %) |
| Total expenses | | | 2.40 | % | | | 2.41 | % | | | 2.44 | % | | | 2.44 | % | | | 2.43 | % |
| Portfolio turnover rate | | | 447 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
| MID-CAP 1.5x STRATEGY FUND | |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.27 | | | $ | 37.12 | | | $ | 26.89 | | | $ | 13.33 | | | $ | 32.40 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.15 | ) | | | (.24 | ) | | | (.28 | ) | | | (.15 | ) | | | .01 | |
| Net gain (loss) on investments (realized and unrealized) | | | 9.01 | | | | (.61 | ) | | | 10.51 | | | | 13.71 | | | | (17.76 | ) |
| Total from investment operations | | | 8.86 | | | | (.85 | ) | | | 10.23 | | | | 13.56 | | | | (17.75 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (1.32 | ) |
| Net asset value, end of period | | $ | 45.13 | | | $ | 36.27 | | | $ | 37.12 | | | $ | 26.89 | | | $ | 13.33 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 24.43 | % | | | (2.29 | %) | | | 38.04 | % | | | 101.73 | % | | | (54.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 57,067 | | | $ | 16,974 | | | $ | 42,647 | | | $ | 30,825 | | | $ | 11,063 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.41 | %) | | | (0.72 | %) | | | (0.91 | %) | | | (0.73 | %) | | | 0.06 | % |
| Total expenses | | | 1.67 | % | | | 1.66 | % | | | 1.70 | % | | | 1.68 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 447 | % | | | 141 | % | | | 211 | % | | | 219 | % | | | 204 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Net investment income is less than $0.01 per share. |
| c | Total return does not reflect the impact of any applicable sales charges. |
| 74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the year ended March 28, 2013, Inverse Mid-Cap Strategy Fund H-Class returned -18.31%. Over the same period, its benchmark, the S&P MidCap 400 Index, returned 17.83%. Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index.
Financials and Industrials provided the most performance to the underlying index during the year. No sector detracted, but Telecommunications Services and Information Technology contributed least to the performance of the underlying index.
Regeneron Pharmaceuticals, Inc., Kansas City Southern and HollyFrontier Corp. contributed the most performance to the underlying index for the period. Informatica Corp., Riverbed Technology, Inc. and VeriFone Systems, Inc. were the largest detractors from performance of the underlying index for the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| A-Class | | | March 31, 2004 | |
| C-Class | | | February 20, 2004 | |
| H-Class | | | February 20, 2004 | |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| 76 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | -18.29 | % | | | -16.68 | % | | | -11.28 | % |
| A-Class Shares with sales charge† | | | -22.18 | % | | | -17.48 | % | | | -11.76 | % |
| S&P MidCap 400 Index | | | 17.83 | % | | | 9.85 | % | | | 8.97 | % |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | -18.93 | % | | | -17.32 | % | | | -12.03 | % |
| C-Class Shares with CDSC‡ | | | -19.74 | % | | | -17.32 | % | | | -12.03 | % |
| H-Class Shares | | | -18.31 | % | | | -16.70 | % | | | -11.36 | % |
| S&P MidCap 400 Index | | | 17.83 | % | | | 9.85 | % | | | 9.01 | % |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 77 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| INVERSE MID-CAP STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 93.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 667,829 | | | $ | 667,829 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 547,891 | | | | 547,891 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 275,827 | | | | 275,827 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 55,538 | | | | 55,538 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,547,085) | | | | | | | 1,547,085 | |
| Total Investments - 93.8% | | | | | | | | |
| (Cost $1,547,085) | | | | | | $ | 1,547,085 | |
| Other Assets & Liabilities, net - 6.2% | | | | | | | 102,876 | |
| Total Net Assets - 100.0% | | | | | | $ | 1,649,961 | |
| | | Contracts | | | Unrealized
Loss | |
| | | | | | | | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 S&P MidCap 400 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $920,480) | | | 8 | | | $ | (29,490 | ) |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $152,717) | | | 132 | | | $ | (1,019 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $305,150) | | | 265 | | | | (2,023 | ) |
| Goldman Sachs International | | | | | | | | |
| April 2013 S&P MidCap 400 Index Swap, | | | | | | | | |
| Terminating 04/29/133 | | | | | | | | |
| (Notional Value $286,286) | | | 248 | | | | (2,457 | ) |
| (Total Notional Value $744,153) | | | | | | $ | (5,499 | ) |
| † | | 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 March 28, 2013. |
| 3 | | Total Return based on S&P MidCap 400 Index +/- financing at a variable rate.
plc — Public Limited Company |
| 78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE MID-CAP STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $1,547,085) | | $ | 1,547,085 | |
| Segregated cash with broker | | | 112,000 | |
| Receivables: | | | | |
| Fund shares sold | | | 8,183 | |
| Interest | | | 18 | |
| Total assets | | | 1,667,286 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 5,499 | |
| Payable for: | | | | |
| Variation margin | | | 5,360 | |
| Management fees | | | 2,016 | |
| Fund shares redeemed | | | 840 | |
| Distribution and service fees | | | 705 | |
| Transfer agent and administrative fees | | | 560 | |
| Portfolio accounting fees | | | 224 | |
| Swap settlement | | | 43 | |
| Miscellaneous | | | 2,078 | |
| Total liabilities | | | 17,325 | |
| Net assets | | $ | 1,649,961 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 17,549,558 | |
| Accumulated net investment loss | | | (11,126 | ) |
| Accumulated net realized loss on investments | | | (15,853,482 | ) |
| Net unrealized depreciation on investments | | | (34,989 | ) |
| Net assets | | $ | 1,649,961 | |
| A-Class: | | | | |
| Net assets | | $ | 25,527 | |
| Capital shares outstanding | | | 1,716 | |
| Net asset value per share | | $ | 14.88 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 15.62 | |
| C-Class: | | | | |
| Net assets | | $ | 215,549 | |
| Capital shares outstanding | | | 15,586 | |
| Net asset value per share | | $ | 13.83 | |
| H-Class: | | | | |
| Net assets | | $ | 1,408,885 | |
| Capital shares outstanding | | | 94,796 | |
| Net asset value per share | | $ | 14.86 | |
Year Ended March 28, 2013
| Investment Income: | | | |
| Interest | | $ | 4,678 | |
| Total investment income | | | 4,678 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 35,080 | |
| Transfer agent and administrative fees | | | 9,744 | |
| Distribution and service fees: | | | | |
| A-Class | | | 181 | |
| C-Class | | | 3,838 | |
| H-Class | | | 8,604 | |
| Portfolio accounting fees | | | 3,898 | |
| Custodian fees | | | 585 | |
| Trustees’ fees* | | | 436 | |
| Miscellaneous | | | 5,074 | |
| Total expenses | | | 67,440 | |
| Net investment loss | | | (62,762 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (448,050 | ) |
| Futures contracts | | | (387,692 | ) |
| Net realized loss | | | (835,742 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (9,214 | ) |
| Futures contracts | | | (30,787 | ) |
| Net change in unrealized appreciation (depreciation) | | | (40,001 | ) |
| Net realized and unrealized loss | | | (875,743 | ) |
| Net decrease in net assets resulting from operations | | $ | (938,505 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
| INVERSE MID-CAP STRATEGY FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (62,762 | ) | | $ | (77,519 | ) |
| Net realized loss on investments | | | (835,742 | ) | | | (1,789,289 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (40,001 | ) | | | 50,923 | |
| Net decrease in net assets resulting from operations | | | (938,505 | ) | | | (1,815,885 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 25,409 | | | | 422,447 | |
| C-Class | | | 2,334,604 | | | | 1,884,393 | |
| H-Class | | | 37,209,370 | | | | 35,539,703 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (107,844 | ) | | | (552,182 | ) |
| C-Class | | | (2,099,321 | ) | | | (2,014,057 | ) |
| H-Class | | | (36,588,355 | ) | | | (34,099,863 | ) |
| Net increase from capital share transactions | | | 773,863 | | | | 1,180,441 | |
| Net decrease in net assets | | | (164,642 | ) | | | (635,444 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 1,814,603 | | | | 2,450,047 | |
| End of year | | $ | 1,649,961 | | | $ | 1,814,603 | |
| Accumulated net investment loss at end of year | | $ | (11,126 | ) | | $ | (9,051 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,477 | | | | 20,135 | |
| C-Class | | | 134,348 | | | | 88,767 | |
| H-Class | | | 2,062,719 | | | | 1,591,658 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (6,103 | ) | | | (26,947 | ) |
| C-Class | | | (125,849 | ) | | | (99,207 | ) |
| H-Class | | | (2,054,688 | ) | | | (1,595,492 | ) |
| Net increase (decrease) in shares | | | 11,904 | | | | (21,086 | ) |
| 80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE MID-CAP STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.21 | | | $ | 20.38 | | | $ | 27.37 | | | $ | 48.21 | | | $ | 37.07 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.28 | ) | | | (.34 | ) | | | (.39 | ) | | | (.52 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.05 | ) | | | (1.83 | ) | | | (6.60 | ) | | | (20.32 | ) | | | 11.40 | |
| Total from investment operations | | | (3.33 | ) | | | (2.17 | ) | | | (6.99 | ) | | | (20.84 | ) | | | 11.18 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 14.88 | | | $ | 18.21 | | | $ | 20.38 | | | $ | 27.37 | | | $ | 48.21 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.29 | %) | | | (10.65 | %) | | | (25.54 | %) | | | (43.23 | %) | | | 30.14 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26 | | | $ | 115 | | | $ | 268 | | | $ | 733 | | | $ | 452 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.52 | %) | | | (1.63 | %) | | | (1.54 | %) | | | (1.56 | %) | | | (0.55 | %) |
| Total expenses | | | 1.64 | % | | | 1.66 | % | | | 1.69 | % | | | 1.69 | % | | | 1.68 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.06 | | | $ | 19.24 | | | $ | 26.03 | | | $ | 46.24 | | | $ | 35.82 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.38 | ) | | | (.48 | ) | | | (.55 | ) | | | (.75 | ) | | | (.41 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.85 | ) | | | (1.70 | ) | | | (6.24 | ) | | | (19.46 | ) | | | 10.87 | |
| Total from investment operations | | | (3.23 | ) | | | (2.18 | ) | | | (6.79 | ) | | | (20.21 | ) | | | 10.46 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 13.83 | | | $ | 17.06 | | | $ | 19.24 | | | $ | 26.03 | | | $ | 46.24 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.93 | %) | | | (11.33 | %) | | | (26.09 | %) | | | (43.71 | %) | | | 29.18 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 216 | | | $ | 121 | | | $ | 337 | | | $ | 268 | | | $ | 327 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.29 | %) | | | (2.39 | %) | | | (2.29 | %) | | | (2.30 | %) | | | (1.07 | %) |
| Total expenses | | | 2.40 | % | | | 2.42 | % | | | 2.44 | % | | | 2.43 | % | | | 2.43 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
| INVERSE MID-CAP strategy FUND |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.19 | | | $ | 20.36 | | | $ | 27.35 | | | $ | 48.21 | | | $ | 37.07 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.27 | ) | | | (.35 | ) | | | (.40 | ) | | | (.55 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.06 | ) | | | (1.82 | ) | | | (6.59 | ) | | | (20.31 | ) | | | 11.45 | |
| Total from investment operations | | | (3.33 | ) | | | (2.17 | ) | | | (6.99 | ) | | | (20.86 | ) | | | 11.18 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 14.86 | | | $ | 18.19 | | | $ | 20.36 | | | $ | 27.35 | | | $ | 48.21 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.31 | %) | | | (10.66 | %) | | | (25.56 | %) | | | (43.27 | %) | | | 30.14 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,409 | | | $ | 1,578 | | | $ | 1,845 | | | $ | 2,891 | | | $ | 7,350 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.53 | %) | | | (1.64 | %) | | | (1.53 | %) | | | (1.55 | %) | | | (0.62 | %) |
| Total expenses | | | 1.65 | % | | | 1.67 | % | | | 1.69 | % | | | 1.68 | % | | | 1.70 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
a Net investment loss per share was computed using average shares outstanding throughout the period.
b Total return does not reflect the impact of any applicable sales charges.
| 82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| |
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THE RYDEX FUNDS ANNUAL REPORT | 83
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Russell 2000® 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index. Russell 2000® 1.5x Strategy Fund H-Class returned 22.13%, while the Russell 2000 Index returned 16.30% over the same time period.
Among sectors, the biggest performance contributors to the underlying index during the period were Financials and Industrials. Telecommunication Services contributed least to performance of the underlying index for the period. Energy was the only sector that detracted from performance of the underlying index for the period.
Pharmacyclics, Inc., Ocwen Financial Corp. and Onyx Pharmaceuticals, Inc. were the largest contributors to performance of the underlying index for the year. MAKO Surgical Corp., Vivus, Inc. and Quality Systems, Inc. were the leading detractors from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| A-Class | | March 31, 2004 |
| C-Class | | January 23, 2001 |
| H-Class | | November 1, 2000 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Alaska Air Group, Inc. | | | 0.2 | % |
| Pharmacyclics, Inc. | | | 0.2 | % |
| Axiall Corp. | | | 0.2 | % |
| Genesee & Wyoming, Inc. — Class A | | | 0.2 | % |
| Ocwen Financial Corp. | | | 0.2 | % |
| Starwood Property Trust, Inc. | | | 0.2 | % |
| Two Harbors Investment Corp. | | | 0.2 | % |
| CommVault Systems, Inc. | | | 0.2 | % |
| Dril-Quip, Inc. | | | 0.2 | % |
| Gulfport Energy Corp. | | | 0.2 | % |
| Top Ten Total | | | 2.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 84 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| C-Class Shares | | | 21.21 | % | | | 5.71 | % | | | 11.40 | % |
| C-Class Shares with CDSC‡ | | | 20.21 | % | | | 5.71 | % | | | 11.40 | % |
| H-Class Shares | | | 22.13 | % | | | 6.52 | % | | | 12.24 | % |
| Russell 2000 Index | | | 16.30 | % | | | 8.24 | % | | | 11.52 | % |
| | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | | | | | | | (03/31/04) | |
| A-Class Shares | | | 22.11 | % | | | 6.56 | % | | | 5.14 | % |
| A-Class Shares with sales charge† | | | 16.30 | % | | | 5.52 | % | | | 4.57 | % |
| Russell 2000 Index | | | 16.30 | % | | | 8.24 | % | | | 6.85 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 85 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 64.0% | | | | | | | | |
| | | | | | | | | |
| FINANCIALS - 14.9% | | | | | | | | |
| Ocwen Financial Corp.* | | | 2,418 | | | $ | 91,690 | |
| Starwood Property Trust, Inc. | | | 3,043 | | | | 84,475 | |
| Two Harbors Investment Corp. | | | 6,635 | | | | 83,668 | |
| Omega Healthcare Investors, Inc. | | | 2,517 | | | | 76,417 | |
| Highwoods Properties, Inc. | | | 1,770 | | | | 70,039 | |
| Invesco Mortgage Capital, Inc. | | | 2,996 | | | | 64,084 | |
| First American Financial Corp. | | | 2,385 | | | | 60,983 | |
| Alterra Capital Holdings Ltd. | | | 1,924 | | | | 60,606 | |
| Geo Group, Inc. | | | 1,602 | | | | 60,267 | |
| Healthcare Realty Trust, Inc. | | | 1,956 | | | | 55,532 | |
| ARMOUR Residential REIT, Inc. | | | 8,410 | | | | 54,917 | |
| EPR Properties | | | 1,049 | | | | 54,600 | |
| RLJ Lodging Trust | | | 2,398 | | | | 54,578 | |
| LaSalle Hotel Properties | | | 2,144 | | | | 54,415 | |
| Hancock Holding Co. | | | 1,710 | | | | 52,872 | |
| Susquehanna Bancshares, Inc. | | | 4,219 | | | | 52,441 | |
| CNO Financial Group, Inc. | | | 4,519 | | | | 51,742 | |
| Prosperity Bancshares, Inc. | | | 1,066 | | | | 50,517 | |
| Portfolio Recovery Associates, Inc.* | | | 388 | | | | 49,244 | |
| Prospect Capital Corp. | | | 4,502 | | | | 49,117 | |
| Medical Properties Trust, Inc. | | | 3,043 | | | | 48,810 | |
| Stifel Financial Corp.* | | | 1,378 | | | | 47,775 | |
| CYS Investments, Inc. | | | 3,936 | | | | 46,209 | |
| DCT Industrial Trust, Inc. | | | 6,128 | | | | 45,346 | |
| Sunstone Hotel Investors, Inc.* | | | 3,643 | | | | 44,845 | |
| Colonial Properties Trust | | | 1,981 | | | | 44,791 | |
| CubeSmart | | | 2,765 | | | | 43,687 | |
| Sovran Self Storage, Inc. | | | 651 | | | | 41,983 | |
| Washington Real Estate Investment Trust | | | 1,493 | | | | 41,565 | |
| Potlatch Corp. | | | 903 | | | | 41,412 | |
| NorthStar Realty Finance Corp. | | | 4,351 | | | | 41,247 | |
| Platinum Underwriters Holdings Ltd. | | | 739 | | | | 41,244 | |
| Redwood Trust, Inc. | | | 1,774 | | | | 41,121 | |
| FirstMerit Corp. | | | 2,469 | | | | 40,812 | |
| DiamondRock Hospitality Co. | | | 4,227 | | | | 39,353 | |
| Webster Financial Corp. | | | 1,619 | | | | 39,276 | |
| EastGroup Properties, Inc. | | | 674 | | | | 39,227 | |
| Apollo Investment Corp. | | | 4,564 | | | | 38,155 | |
| First Industrial Realty Trust, Inc. | | | 2,214 | | | | 37,926 | |
| FNB Corp. | | | 3,133 | | | | 37,908 | |
| Financial Engines, Inc. | | | 1,043 | | | | 37,777 | |
| First Cash Financial Services, Inc.* | | | 647 | | | | 37,746 | |
| Trustmark Corp. | | | 1,503 | | | | 37,590 | |
| Texas Capital Bancshares, Inc.* | | | 904 | | | | 36,567 | |
| Glimcher Realty Trust | | | 3,132 | | | | 36,331 | |
| Cathay General Bancorp | | | 1,773 | | | | 35,673 | |
| National Health Investors, Inc. | | | 545 | | | | 35,670 | |
| UMB Financial Corp. | | | 722 | | | | 35,429 | |
| Pebblebrook Hotel Trust | | | 1,367 | | | | 35,255 | |
| Lexington Realty Trust | | | 2,974 | | | | 35,093 | |
| Greenhill & Company, Inc. | | | 651 | | | | 34,750 | |
| BancorpSouth, Inc. | | | 2,123 | | | | 34,605 | |
| Cash America International, Inc. | | | 658 | | | | 34,525 | |
| RLI Corp. | | | 479 | | | | 34,416 | |
| First Financial Bankshares, Inc. | | | 708 | | | | 34,409 | |
| PennyMac Mortgage Investment Trust | | | 1,323 | | | | 34,252 | |
| American Capital Mortgage Investment Corp. | | | 1,323 | | | | 34,200 | |
| Strategic Hotels & Resorts, Inc.* | | | 4,070 | | | | 33,985 | |
| Ryman Hospitality Properties | | | 736 | | | | 33,672 | |
| DuPont Fabros Technology, Inc. | | | 1,377 | | | | 33,420 | |
| IBERIABANK Corp. | | | 667 | | | | 33,363 | |
| Umpqua Holdings Corp. | | | 2,511 | | | | 33,296 | |
| Sun Communities, Inc. | | | 670 | | | | 33,052 | |
| PS Business Parks, Inc. | | | 415 | | | | 32,752 | |
| Primerica, Inc. | | | 993 | | | | 32,551 | |
| Colony Financial, Inc. | | | 1,452 | | | | 32,234 | |
| Radian Group, Inc. | | | 2,992 | | | | 32,044 | |
| Acadia Realty Trust | | | 1,141 | | | | 31,686 | |
| Old National Bancorp | | | 2,274 | | | | 31,268 | |
| MarketAxess Holdings, Inc. | | | 824 | | | | 30,735 | |
| Glacier Bancorp, Inc. | | | 1,612 | | | | 30,596 | |
| Wintrust Financial Corp. | | | 812 | | | | 30,076 | |
| United Bankshares, Inc.1 | | | 1,130 | | | | 30,069 | |
| Walter Investment Management Corp.* | | | 804 | | | | 29,949 | |
| MB Financial, Inc. | | | 1,231 | | | | 29,753 | |
| Selective Insurance Group, Inc. | | | 1,236 | | | | 29,676 | |
| Equity One, Inc. | | | 1,237 | | | | 29,651 | |
| National Penn Bancshares, Inc. | | | 2,770 | | | | 29,611 | |
| Montpelier Re Holdings Ltd. | | | 1,129 | | | | 29,410 | |
| Bank of the Ozarks, Inc. | | | 658 | | | | 29,182 | |
| Capstead Mortgage Corp. | | | 2,213 | | | | 28,371 | |
| Westamerica Bancorporation | | | 623 | | | | 28,241 | |
| LTC Properties, Inc. | | | 685 | | | | 27,900 | |
| PHH Corp.* | | | 1,269 | | | | 27,867 | |
| Northwest Bancshares, Inc. | | | 2,194 | | | | 27,842 | |
| Home Loan Servicing Solutions Ltd. | | | 1,191 | | | | 27,786 | |
| PrivateBancorp, Inc. — Class A | | | 1,446 | | | | 27,344 | |
| Education Realty Trust, Inc. | | | 2,536 | | | | 26,704 | |
| Evercore Partners, Inc. — Class A | | | 638 | | | | 26,541 | |
| Community Bank System, Inc. | | | 887 | | | | 26,282 | |
| Fifth Street Finance Corp. | | | 2,365 | | | | 26,062 | |
| Virtus Investment Partners, Inc.* | | | 137 | | | | 25,520 | |
| Chesapeake Lodging Trust | | | 1,093 | | | | 25,073 | |
| International Bancshares Corp. | | | 1,202 | | | | 25,002 | |
| Government Properties Income Trust | | | 965 | | | | 24,829 | |
| Pennsylvania Real Estate Investment Trust | | | 1,255 | | | | 24,334 | |
| Sabra Health Care REIT, Inc. | | | 837 | | | | 24,281 | |
| Argo Group International Holdings Ltd. | | | 581 | | | | 24,042 | |
| Franklin Street Properties Corp. | | | 1,629 | | | | 23,816 | |
| American Assets Trust, Inc. | | | 740 | | | | 23,687 | |
| Solar Capital Ltd. | | | 1,003 | | | | 23,560 | |
| Symetra Financial Corp. | | | 1,745 | | | | 23,400 | |
| BBCN Bancorp, Inc. | | | 1,758 | | | | 22,959 | |
| EZCORP, Inc. — Class A* | | | 1,075 | | | | 22,898 | |
| Western Alliance Bancorporation* | | | 1,634 | | | | 22,615 | |
| Hersha Hospitality Trust — Class A | | | 3,860 | | | | 22,542 | |
| CVB Financial Corp. | | | 1,985 | | | | 22,371 | |
| First Midwest Bancorp, Inc. | | | 1,684 | | | | 22,364 | |
| Cousins Properties, Inc. | | | 2,064 | | | | 22,064 | |
| Main Street Capital Corp. | | | 685 | | | | 21,982 | |
| NBT Bancorp, Inc. | | | 977 | | | | 21,641 | |
| 86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| First Financial Bancorp | | | 1,311 | | | $ | 21,042 | |
| Hudson Pacific Properties, Inc. | | | 966 | | | | 21,011 | |
| MGIC Investment Corp.* | | | 4,237 | | | | 20,973 | |
| Amtrust Financial Services, Inc. | | | 605 | | | | 20,963 | |
| Provident Financial Services, Inc. | | | 1,356 | | | | 20,706 | |
| Associated Estates Realty Corp. | | | 1,108 | | | | 20,653 | |
| iStar Financial, Inc.* | | | 1,896 | | | | 20,647 | |
| Credit Acceptance Corp.* | | | 169 | | | | 20,642 | |
| National Financial Partners Corp.* | | | 915 | | | | 20,523 | |
| Citizens Republic Bancorp, Inc.* | | | 900 | | | | 20,295 | |
| Investors Real Estate Trust | | | 2,042 | | | | 20,155 | |
| American Equity Investment Life Holding Co. | | | 1,342 | | | | 19,982 | |
| PacWest Bancorp | | | 683 | | | | 19,882 | |
| Columbia Banking System, Inc. | | | 893 | | | | 19,628 | |
| CreXus Investment Corp. | | | 1,505 | | | | 19,595 | |
| Anworth Mortgage Asset Corp. | | | 3,082 | | | | 19,509 | |
| Astoria Financial Corp. | | | 1,957 | | | | 19,296 | |
| SCBT Financial Corp. | | | 376 | | | | 18,950 | |
| Horace Mann Educators Corp. | | | 896 | | | | 18,682 | |
| Home BancShares, Inc. | | | 495 | | | | 18,647 | |
| World Acceptance Corp.* | | | 217 | | | | 18,634 | |
| Investors Bancorp, Inc. | | | 991 | | | | 18,611 | |
| Ramco-Gershenson Properties Trust | | | 1,085 | | | | 18,228 | |
| Pinnacle Financial Partners, Inc.* | | | 778 | | | | 18,174 | |
| Nelnet, Inc. — Class A | | | 537 | | | | 18,151 | |
| Park National Corp. | | | 257 | | | | 17,936 | |
| STAG Industrial, Inc. | | | 817 | | | | 17,378 | |
| Inland Real Estate Corp. | | | 1,720 | | | | 17,355 | |
| Boston Private Financial Holdings, Inc. | | | 1,755 | | | | 17,339 | |
| Triangle Capital Corp. | | | 612 | | | | 17,130 | |
| Forestar Group, Inc.* | | | 783 | | | | 17,116 | |
| First Potomac Realty Trust | | | 1,144 | | | | 16,966 | |
| First Commonwealth Financial Corp. | | | 2,243 | | | | 16,733 | |
| Retail Opportunity Investments Corp. | | | 1,193 | | | | 16,714 | |
| Employers Holdings, Inc. | | | 711 | | | | 16,673 | |
| FelCor Lodging Trust, Inc.* | | | 2,792 | | | | 16,612 | |
| PennantPark Investment Corp. | | | 1,470 | | | | 16,596 | |
| BlackRock Kelso Capital Corp. | | | 1,656 | | | | 16,560 | |
| DFC Global Corp.* | | | 988 | | | | 16,440 | |
| Chemical Financial Corp. | | | 622 | | | | 16,408 | |
| Independent Bank Corp. | | | 503 | | | | 16,393 | |
| Tower Group International Ltd. | | | 888 | | | | 16,384 | |
| Coresite Realty Corp. | | | 460 | | | | 16,091 | |
| Nationstar Mortgage Holdings, Inc.*,1 | | | 435 | | | | 16,052 | |
| Oriental Financial Group, Inc. | | | 1,029 | | | | 15,960 | |
| Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 639 | | | | 15,809 | |
| Oritani Financial Corp. | | | 1,020 | | | | 15,800 | |
| Universal Health Realty Income Trust | | | 268 | | | | 15,466 | |
| Greenlight Capital Re Ltd. — Class A* | | | 631 | | | | 15,428 | |
| ViewPoint Financial Group, Inc. | | | 762 | | | | 15,324 | |
| AG Mortgage Investment Trust, Inc. | | | 601 | | | | 15,307 | |
| Knight Capital Group, Inc. — Class A* | | | 4,080 | | | | 15,178 | |
| Kennedy-Wilson Holdings, Inc. | | | 971 | | | | 15,060 | |
| Infinity Property & Casualty Corp. | | | 267 | | | | 15,005 | |
| Cohen & Steers, Inc. | | | 415 | | | | 14,969 | |
| Ashford Hospitality Trust, Inc. | | | 1,202 | | | | 14,857 | |
| Resource Capital Corp. | | | 2,238 | | | | 14,793 | |
| HFF, Inc. — Class A | | | 736 | | | | 14,668 | |
| Hercules Technology Growth Capital, Inc. | | | 1,190 | | | | 14,578 | |
| AMERISAFE, Inc. | | | 406 | | | | 14,429 | |
| Brookline Bancorp, Inc. | | | 1,578 | | | | 14,423 | |
| Berkshire Hills Bancorp, Inc. | | | 558 | | | | 14,251 | |
| Spirit Realty Capital, Inc. | | | 750 | | | | 14,250 | |
| Alexander’s, Inc. | | | 43 | | | | 14,177 | |
| Safety Insurance Group, Inc. | | | 288 | | | | 14,155 | |
| City Holding Co. | | | 353 | | | | 14,046 | |
| WesBanco, Inc. | | | 577 | | | | 13,819 | |
| Encore Capital Group, Inc.* | | | 458 | | | | 13,786 | |
| Banner Corp. | | | 433 | | | | 13,782 | |
| WisdomTree Investments, Inc.* | | | 1,320 | | | | 13,728 | |
| Excel Trust, Inc. | | | 1,003 | | | | 13,691 | |
| Summit Hotel Properties, Inc. | | | 1,260 | | | | 13,192 | |
| Navigators Group, Inc.* | | | 224 | | | | 13,160 | |
| Sterling Financial Corp. | | | 603 | | | | 13,079 | |
| Dynex Capital, Inc. | | | 1,222 | | | | 13,051 | |
| Renasant Corp. | | | 559 | | | | 12,510 | |
| Apollo Residential Mortgage, Inc. | | | 546 | | | | 12,170 | |
| Urstadt Biddle Properties, Inc. — Class A | | | 555 | | | | 12,077 | |
| S&T Bancorp, Inc. | | | 651 | | | | 12,070 | |
| Campus Crest Communities, Inc. | | | 868 | | | | 12,065 | |
| Hilltop Holdings, Inc.* | | | 889 | | | | 11,993 | |
| Cardinal Financial Corp. | | | 659 | | | | 11,981 | |
| Maiden Holdings Ltd. | | | 1,131 | | | | 11,977 | |
| TrustCo Bank Corp. NY | | | 2,102 | | | | 11,729 | |
| Flushing Financial Corp. | | | 690 | | | | 11,689 | |
| State Bank Financial Corp. | | | 713 | | | | 11,672 | |
| Getty Realty Corp. | | | 577 | | | | 11,661 | |
| United Fire Group, Inc. | | | 457 | | | | 11,640 | |
| Piper Jaffray Cos.* | | | 339 | | | | 11,628 | |
| PICO Holdings, Inc.* | | | 510 | | | | 11,322 | |
| Hanmi Financial Corp.* | | | 706 | | | | 11,296 | |
| Duff & Phelps Corp. — Class A | | | 703 | | | | 10,904 | |
| CapLease, Inc. | | | 1,704 | | | | 10,854 | |
| Sandy Spring Bancorp, Inc. | | | 540 | | | | 10,854 | |
| RAIT Financial Trust | | | 1,350 | | | | 10,760 | |
| Community Trust Bancorp, Inc. | | | 316 | | | | 10,753 | |
| TICC Capital Corp. | | | 1,076 | | | | 10,695 | |
| United Community Banks, Inc.* | | | 939 | | | | 10,648 | |
| Stewart Information Services Corp. | | | 413 | | | | 10,519 | |
| ICG Group, Inc.* | | | 841 | | | | 10,495 | |
| Tompkins Financial Corp. | | | 248 | | | | 10,485 | |
| West Coast Bancorp | | | 430 | | | | 10,440 | |
| Medley Capital Corp. | | | 642 | | | | 10,176 | |
| Dime Community Bancshares, Inc. | | | 706 | | | | 10,138 | |
| Monmouth Real Estate Investment Corp. — Class A | | | 904 | | | | 10,080 | |
| Netspend Holdings, Inc.* | | | 633 | | | | 10,058 | |
| Bancorp, Inc.* | | | 724 | | | | 10,027 | |
| Kite Realty Group Trust | | | 1,475 | | | | 9,942 | |
| First Merchants Corp. | | | 642 | | | | 9,932 | |
| Lakeland Financial Corp. | | | 369 | | | | 9,849 | |
| First BanCorp* | | | 1,575 | | | | 9,812 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Western Asset Mortgage Capital Corp. | | | 420 | | | $ | 9,761 | |
| Simmons First National Corp. — Class A | | | 383 | | | | 9,698 | |
| Investment Technology Group, Inc.* | | | 874 | | | | 9,649 | |
| Wilshire Bancorp, Inc.* | | | 1,391 | | | | 9,431 | |
| BGC Partners, Inc. — Class A | | | 2,217 | | | | 9,223 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 521 | | | | 9,164 | |
| BofI Holding, Inc.* | | | 254 | | | | 9,114 | |
| Rouse Properties, Inc. | | | 500 | | | | 9,050 | |
| Green Dot Corp. — Class A* | | | 540 | | | | 9,023 | |
| Parkway Properties, Inc. | | | 484 | | | | 8,978 | |
| Eagle Bancorp, Inc.* | | | 410 | | | | 8,975 | |
| Union First Market Bankshares Corp. | | | 458 | | | | 8,958 | |
| Agree Realty Corp. | | | 293 | | | | 8,819 | |
| Tejon Ranch Co.* | | | 296 | | | | 8,815 | |
| TowneBank | | | 588 | | | | 8,802 | |
| Washington Trust Bancorp, Inc. | | | 321 | | | | 8,789 | |
| FBL Financial Group, Inc. — Class A | | | 220 | | | | 8,549 | |
| WSFS Financial Corp. | | | 175 | | | | 8,512 | |
| Virginia Commerce Bancorp, Inc.* | | | 604 | | | | 8,486 | |
| Enstar Group Ltd.* | | | 68 | | | | 8,452 | |
| StellarOne Corp. | | | 522 | | | | 8,430 | |
| New York Mortgage Trust, Inc. | | | 1,117 | | | | 8,422 | |
| Winthrop Realty Trust | | | 659 | | | | 8,290 | |
| Rockville Financial, Inc. | | | 638 | | | | 8,268 | |
| Southside Bancshares, Inc. | | | 393 | | | | 8,257 | |
| Cedar Realty Trust, Inc. | | | 1,346 | | | | 8,224 | |
| Heartland Financial USA, Inc. | | | 324 | | | | 8,187 | |
| Capital Southwest Corp. | | | 71 | | | | 8,165 | |
| Provident New York Bancorp | | | 892 | | | | 8,090 | |
| First Financial Corp. | | | 254 | | | | 7,998 | |
| Meadowbrook Insurance Group, Inc. | | | 1,133 | | | | 7,988 | |
| 1st Source Corp. | | | 330 | | | | 7,821 | |
| eHealth, Inc.* | | | 437 | | | | 7,814 | |
| MCG Capital Corp. | | | 1,632 | | | | 7,801 | |
| EverBank Financial Corp. | | | 505 | | | | 7,777 | |
| Terreno Realty Corp. | | | 432 | | | | 7,767 | |
| National Western Life Insurance Co. — Class A | | | 44 | | | | 7,744 | |
| Ameris Bancorp* | | | 538 | | | | 7,720 | |
| First Financial Holdings, Inc. | | | 368 | | | | 7,713 | |
| NewStar Financial, Inc.* | | | 582 | | | | 7,700 | |
| Central Pacific Financial Corp.* | | | 489 | | | | 7,677 | |
| First Busey Corp. | | | 1,671 | | | | 7,636 | |
| HomeTrust Bancshares, Inc.* | | | 478 | | | | 7,552 | |
| Beneficial Mutual Bancorp, Inc.* | | | 733 | | | | 7,550 | |
| GAMCO Investors, Inc. — Class A | | | 140 | | | | 7,435 | |
| Safeguard Scientifics, Inc.* | | | 469 | | | | 7,410 | |
| Citizens, Inc.* | | | 879 | | | | 7,375 | |
| FXCM, Inc. — Class A1 | | | 531 | | | | 7,264 | |
| Saul Centers, Inc. | | | 165 | | | | 7,217 | |
| United Financial Bancorp, Inc. | | | 472 | | | | 7,174 | |
| Sterling Bancorp | | | 691 | | | | 7,021 | |
| Select Income REIT | | | 265 | | | | 7,009 | |
| Chatham Lodging Trust | | | 393 | | | | 6,921 | |
| Federal Agricultural Mortgage Corp. — Class C | | | 224 | | | | 6,897 | |
| MVC Capital, Inc. | | | 537 | | | | 6,890 | |
| Golub Capital BDC, Inc. | | | 416 | | | | 6,868 | |
| First Interstate Bancsystem, Inc. — Class A | | | 365 | | | | 6,866 | |
| OneBeacon Insurance Group Ltd. — Class A | | | 507 | | | | 6,855 | |
| Westwood Holdings Group, Inc. | | | 153 | | | | 6,798 | |
| Silver Bay Realty Trust Corp. | | | 325 | | | | 6,730 | |
| German American Bancorp, Inc. | | | 287 | | | | 6,604 | |
| Univest Corporation of Pennsylvania | | | 379 | | | | 6,602 | |
| Lakeland Bancorp, Inc. | | | 669 | | | | 6,590 | |
| New Mountain Finance Corp. | | | 438 | | | | 6,404 | |
| MainSource Financial Group, Inc. | | | 452 | | | | 6,346 | |
| First Community Bancshares, Inc. | | | 400 | | | | 6,340 | |
| CoBiz Financial, Inc. | | | 784 | | | | 6,335 | |
| Arlington Asset Investment Corp. — Class A | | | 245 | | | | 6,323 | |
| OmniAmerican Bancorp, Inc.* | | | 250 | | | | 6,320 | |
| Financial Institutions, Inc. | | | 312 | | | | 6,228 | |
| KCAP Financial, Inc. | | | 571 | | | | 6,150 | |
| Trico Bancshares | | | 359 | | | | 6,139 | |
| SY Bancorp, Inc. | | | 271 | | | | 6,098 | |
| Territorial Bancorp, Inc. | | | 248 | | | | 5,897 | |
| Bryn Mawr Bank Corp. | | | 252 | | | | 5,867 | |
| First Connecticut Bancorp, Inc. | | | 398 | | | | 5,863 | |
| BancFirst Corp. | | | 140 | | | | 5,838 | |
| Camden National Corp. | | | 176 | | | | 5,822 | |
| State Auto Financial Corp. | | | 334 | | | | 5,818 | |
| Taylor Capital Group, Inc.* | | | 363 | | | | 5,804 | |
| Fidus Investment Corp. | | | 303 | | | | 5,802 | |
| Centerstate Banks, Inc. | | | 672 | | | | 5,766 | |
| Bank Mutual Corp. | | | 1,041 | | | | 5,757 | |
| Enterprise Financial Services Corp. | | | 400 | | | | 5,736 | |
| Park Sterling Corp.* | | | 1,004 | | | | 5,663 | |
| Arrow Financial Corp. | | | 229 | | | | 5,643 | |
| One Liberty Properties, Inc. | | | 257 | | | | 5,582 | |
| Cowen Group, Inc. — Class A* | | | 1,964 | | | | 5,538 | |
| Great Southern Bancorp, Inc. | | | 227 | | | | 5,537 | |
| Southwest Bancorp, Inc.* | | | 436 | | | | 5,476 | |
| National Bankshares, Inc. | | | 156 | | | | 5,449 | |
| Peoples Bancorp, Inc. | | | 243 | | | | 5,441 | |
| Franklin Financial Corp. | | | 297 | | | | 5,420 | |
| International. FCStone, Inc.* | | | 311 | | | | 5,415 | |
| First Bancorp | | | 398 | | | | 5,369 | |
| Gramercy Capital Corporation* | | | 1,030 | | | | 5,366 | |
| Medallion Financial Corp. | | | 403 | | | | 5,328 | |
| Citizens & Northern Corp. | | | 272 | | | | 5,304 | |
| Global Indemnity plc — Class A* | | | 228 | | | | 5,290 | |
| Hudson Valley Holding Corp. | | | 353 | | | | 5,263 | |
| Metro Bancorp, Inc.* | | | 316 | | | | 5,227 | |
| Northfield Bancorp, Inc. | | | 460 | | | | 5,226 | |
| First of Long Island Corp. | | | 176 | | | | 5,218 | |
| First Defiance Financial Corp. | | | 223 | | | | 5,200 | |
| GFI Group, Inc. | | | 1,554 | | | | 5,190 | |
| Homeowners Choice, Inc. | | | 190 | | | | 5,178 | |
| Republic Bancorp, Inc. — Class A | | | 226 | | | | 5,117 | |
| Manning & Napier, Inc. — Class A | | | 309 | | | | 5,111 | |
| 88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Calamos Asset Management, Inc. — Class A | | | 434 | | | $ | 5,108 | |
| Heritage Financial Corp. | | | 352 | | | | 5,104 | |
| THL Credit, Inc. | | | 337 | | | | 5,048 | |
| American Safety Insurance Holdings Ltd.* | | | 202 | | | | 5,042 | |
| Solar Senior Capital Ltd. | | | 258 | | | | 4,954 | |
| Baldwin & Lyons, Inc. — Class B | | | 207 | | | | 4,925 | |
| Diamond Hill Investment Group, Inc. | | | 63 | | | | 4,902 | |
| Washington Banking Co. | | | 347 | | | | 4,837 | |
| Gladstone Commercial Corp. | | | 246 | | | | 4,790 | |
| Fox Chase Bancorp, Inc. | | | 283 | | | | 4,780 | |
| CNB Financial Corp. | | | 279 | | | | 4,757 | |
| Bank of Marin Bancorp | | | 117 | | | | 4,691 | |
| OceanFirst Financial Corp. | | | 323 | | | | 4,658 | |
| Whitestone REIT — Class B | | | 307 | | | | 4,648 | |
| Pacific Continental Corp. | | | 411 | | | | 4,591 | |
| Walker & Dunlop, Inc.* | | | 252 | | | | 4,528 | |
| Crawford & Co. — Class B | | | 593 | | | | 4,501 | |
| Oppenheimer Holdings, Inc. — Class A | | | 228 | | | | 4,439 | |
| HomeStreet, Inc.* | | | 197 | | | | 4,401 | |
| Zillow, Inc. — Class A* | | | 80 | | | | 4,374 | |
| First California Financial Group, Inc.* | | | 509 | | | | 4,337 | |
| 1st United Bancorp, Inc. | | | 668 | | | | 4,315 | |
| Gladstone Capital Corp. | | | 468 | | | | 4,306 | |
| Gladstone Investment Corp. | | | 584 | | | | 4,269 | |
| Marlin Business Services Corp. | | | 183 | | | | 4,244 | |
| Westfield Financial, Inc. | | | 545 | | | | 4,240 | |
| Preferred Bank/Los Angeles CA* | | | 268 | | | | 4,229 | |
| Home Federal Bancorp, Inc. | | | 330 | | | | 4,224 | |
| Bridge Bancorp, Inc. | | | 196 | | | | 4,216 | |
| Phoenix Companies, Inc.* | | | 132 | | | | 4,062 | |
| National Interstate Corp. | | | 135 | | | | 4,047 | |
| SWS Group, Inc.* | | | 656 | | | | 3,969 | |
| FBR & Co.* | | | 209 | | | | 3,956 | |
| West Bancorporation, Inc. | | | 352 | | | | 3,907 | |
| Ladenburg Thalmann Financial Services, Inc.* | | | 2,315 | | | | 3,843 | |
| BankFinancial Corp. | | | 472 | | | | 3,818 | |
| American National Bankshares, Inc. | | | 177 | | | | 3,816 | |
| Ames National Corp. | | | 182 | | | | 3,797 | |
| Capital Bank Financial Corp. — Class A* | | | 220 | | | | 3,775 | |
| Provident Financial Holdings, Inc. | | | 221 | | | | 3,759 | |
| MidWestOne Financial Group, Inc. | | | 157 | | | | 3,738 | |
| Thomas Properties Group, Inc. | | | 725 | | | | 3,719 | |
| Consolidated-Tomoka Land Co. | | | 93 | | | | 3,650 | |
| Bank of Kentucky Financial Corp. | | | 133 | | | | 3,648 | |
| MetroCorp Bancshares, Inc.* | | | 359 | | | | 3,622 | |
| First Bancorp, Inc. | | | 200 | | | | 3,602 | |
| Guaranty Bancorp* | | | 1,715 | | | | 3,602 | |
| GSV Capital Corp.* | | | 435 | | | | 3,593 | |
| Sierra Bancorp | | | 269 | | | | 3,537 | |
| Kansas City Life Insurance Co. | | | 90 | | | | 3,522 | |
| Meridian Interstate Bancorp, Inc.* | | | 186 | | | | 3,488 | |
| Penns Woods Bancorp, Inc. | | | 85 | | | | 3,482 | |
| NGP Capital Resources Co. | | | 489 | | | | 3,477 | |
| Merchants Bancshares, Inc. | | | 115 | | | | 3,466 | |
| Seacoast Banking Corporation of Florida* | | | 1,655 | | | | 3,459 | |
| Kearny Financial Corp. | | | 338 | | | | 3,448 | |
| Center Bancorp, Inc. | | | 268 | | | | 3,331 | |
| Nicholas Financial, Inc. | | | 224 | | | | 3,293 | |
| Mercantile Bank Corp. | | | 197 | | | | 3,292 | |
| Capital City Bank Group, Inc.* | | | 265 | | | | 3,273 | |
| Bridge Capital Holdings* | | | 211 | | | | 3,216 | |
| Suffolk Bancorp* | | | 223 | | | | 3,176 | |
| UMH Properties, Inc. | | | 308 | | | | 3,163 | |
| Heritage Commerce Corp.* | | | 468 | | | | 3,150 | |
| Northrim BanCorp, Inc. | | | 140 | | | | 3,146 | |
| JAVELIN Mortgage Investment Corp. | | | 160 | | | | 3,144 | |
| Bar Harbor Bankshares | | | 86 | | | | 3,143 | |
| ESB Financial Corp. | | | 229 | | | | 3,135 | |
| Sun Bancorp, Inc.* | | | 892 | | | | 3,042 | |
| MidSouth Bancorp, Inc. | | | 184 | | | | 2,992 | |
| Peapack Gladstone Financial Corp. | | | 200 | | | | 2,982 | |
| AV Homes, Inc.* | | | 223 | | | | 2,973 | |
| National Bank Holdings Corp. — Class A | | | 160 | | | | 2,928 | |
| SI Financial Group, Inc. | | | 241 | | | | 2,914 | |
| Simplicity Bancorp, Inc. | | | 193 | | | | 2,901 | |
| Eastern Insurance Holdings, Inc. | | | 153 | | | | 2,870 | |
| C&F Financial Corp. | | | 70 | | | | 2,867 | |
| Hallmark Financial Services* | | | 317 | | | | 2,853 | |
| Horizon Bancorp | | | 141 | | | | 2,850 | |
| Ares Commercial Real Estate Corp. | | | 168 | | | | 2,843 | |
| Home Bancorp, Inc.* | | | 152 | | | | 2,829 | |
| First Financial Northwest, Inc.* | | | 360 | | | | 2,812 | |
| Century Bancorp, Inc. — Class A | | | 81 | | | | 2,747 | |
| Access National Corp. | | | 167 | | | | 2,739 | |
| Donegal Group, Inc. — Class A | | | 178 | | | | 2,718 | |
| First Pactrust Bancorp, Inc. | | | 237 | | | | 2,702 | |
| Resource America, Inc. — Class A | | | 270 | | | | 2,689 | |
| Farmers National Banc Corp. | | | 424 | | | | 2,675 | |
| Stellus Capital Investment Corp. | | | 180 | | | | 2,668 | |
| Heritage Financial Group, Inc. | | | 180 | | | | 2,606 | |
| Peoples Federal Bancshares, Inc. | | | 136 | | | | 2,598 | |
| Horizon Technology Finance Corp. | | | 177 | | | | 2,586 | |
| Roma Financial Corp. | | | 161 | | | | 2,586 | |
| Heritage Oaks Bancorp* | | | 450 | | | | 2,565 | |
| EMC Insurance Group, Inc. | | | 96 | | | | 2,528 | |
| BSB Bancorp, Inc.* | | | 182 | | | | 2,513 | |
| Harris & Harris Group, Inc.* | | | 693 | | | | 2,495 | |
| JMP Group, Inc. | | | 359 | | | | 2,481 | |
| Tree.com, Inc. | | | 134 | | | | 2,478 | |
| Fidelity Southern Corp.* | | | 215 | | | | 2,473 | |
| Clifton Savings Bancorp, Inc. | | | 196 | | | | 2,442 | |
| Middleburg Financial Corp. | | | 125 | | | | 2,426 | |
| Asset Acceptance Capital Corp.* | | | 358 | | | | 2,413 | |
| ESSA Bancorp, Inc. | | | 219 | | | | 2,374 | |
| Cape Bancorp, Inc. | | | 255 | | | | 2,336 | |
| Enterprise Bancorp, Inc. | | | 134 | | | | 2,271 | |
| Regional Management Corp.* | | | 110 | | | | 2,222 | |
| Investors Title Co. | | | 32 | | | | 2,210 | |
| FNB United Corp.* | | | 224 | | | | 2,186 | |
| Hingham Institution for Savings | | | 31 | | | | 2,161 | |
| OFS Capital Corp. | | | 150 | | | | 2,100 | |
| TCP Capital Corp. | | | 131 | | | | 2,091 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 89 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Asta Funding, Inc. | | | 217 | | | $ | 2,083 | |
| Gyrodyne Company of America, Inc. | | | 28 | | | | 2,058 | |
| Doral Financial Corp.* | | | 2,889 | | | | 2,036 | |
| Universal Insurance Holdings, Inc. | | | 419 | | | | 2,032 | |
| Charter Financial Corp. | | | 150 | | | | 1,919 | |
| NASB Financial, Inc.* | | | 91 | | | | 1,916 | |
| Artio Global Investors, Inc. — Class A | | | 695 | | | | 1,890 | |
| Independence Holding Co. | | | 183 | | | | 1,863 | |
| AmREIT, Inc. — Class B | | | 90 | | | | 1,751 | |
| MicroFinancial, Inc. | | | 195 | | | | 1,644 | |
| Gain Capital Holdings, Inc. | | | 330 | | | | 1,472 | |
| Pzena Investment Management, Inc. — Class A | | | 223 | | | | 1,450 | |
| Pacific Mercantile Bancorp* | | | 243 | | | | 1,422 | |
| Waterstone Financial, Inc.* | | | 161 | | | | 1,331 | |
| First Marblehead Corp.* | | | 1,310 | | | | 1,323 | |
| Fortegra Financial Corp.* | | | 151 | | | | 1,323 | |
| CIFC Corp.* | | | 140 | | | | 1,152 | |
| Cascade Bancorp* | | | 136 | | | | 919 | |
| California First National Bancorp | | | 48 | | | | 830 | |
| First Federal Bancshares of Arkansas, Inc.* | | | 82 | | | | 820 | |
| Berkshire Bancorp, Inc. | | | 91 | | | | 760 | |
| Crescent Financial Bancshares, Inc.* | | | 64 | | | | 252 | |
| Total Financials | | | | | | | 7,006,984 | |
| INFORMATION TECHNOLOGY - 10.5% | | | | | | | | |
| CommVault Systems, Inc.* | | | 1,008 | | | | 82,637 | |
| CoStar Group, Inc.* | | | 631 | | | | 69,069 | |
| WEX, Inc.* | | | 875 | | | | 68,688 | |
| PTC, Inc.* | | | 2,684 | | | | 68,414 | |
| Aspen Technology, Inc.* | | | 2,099 | | | | 67,776 | |
| Cymer, Inc.* | | | 695 | | | | 66,790 | |
| Ultimate Software Group, Inc.* | | | 603 | | | | 62,807 | |
| Aruba Networks, Inc.* | | | 2,509 | | | | 62,073 | |
| MAXIMUS, Inc. | | | 758 | | | | 60,616 | |
| FEI Co. | | | 857 | | | | 55,319 | |
| Semtech Corp.* | | | 1,471 | | | | 52,058 | |
| 3D Systems Corp.* | | | 1,574 | | | | 50,745 | |
| ValueClick, Inc.* | | | 1,688 | | | | 49,881 | |
| QLIK Technologies, Inc.* | | | 1,920 | | | | 49,593 | |
| Microsemi Corp.* | | | 1,996 | | | | 46,247 | |
| Anixter International, Inc. | | | 633 | | | | 44,260 | |
| InterDigital, Inc. | | | 916 | | | | 43,812 | |
| Arris Group, Inc.* | | | 2,543 | | | | 43,663 | |
| ACI Worldwide, Inc.* | | | 893 | | | | 43,632 | |
| Cavium, Inc.* | | | 1,114 | | | | 43,234 | |
| Hittite Microwave Corp.* | | | 712 | | | | 43,119 | |
| Plantronics, Inc. | | | 959 | | | | 42,378 | |
| Convergys Corp. | | | 2,455 | | | | 41,809 | |
| Verint Systems, Inc.* | | | 1,132 | | | | 41,375 | |
| Tyler Technologies, Inc.* | | | 675 | | | | 41,351 | |
| ViaSat, Inc.* | | | 847 | | | | 41,029 | |
| j2 Global, Inc. | | | 1,042 | | | | 40,857 | |
| Cognex Corp. | | | 964 | | | | 40,634 | |
| Sourcefire, Inc.* | | | 665 | | | | 39,388 | |
| Mentor Graphics Corp. | | | 2,092 | | | | 37,761 | |
| First Solar, Inc.* | | | 1,355 | | | | 36,530 | |
| Ciena Corp.* | | | 2,232 | | | | 35,734 | |
| Fair Isaac Corp. | | | 772 | | | | 35,273 | |
| Acxiom Corp.* | | | 1,729 | | | | 35,271 | |
| TiVo, Inc.* | | | 2,803 | | | | 34,729 | |
| Sapient Corp.* | | | 2,774 | | | | 33,815 | |
| Manhattan Associates, Inc.* | | | 454 | | | | 33,728 | |
| Veeco Instruments, Inc.* | | | 870 | | | | 33,347 | |
| RF Micro Devices, Inc.* | | | 6,250 | | | | 33,250 | |
| Littelfuse, Inc. | | | 490 | | | | 33,246 | |
| Cirrus Logic, Inc.* | | | 1,452 | | | | 33,033 | |
| International Rectifier Corp.* | | | 1,554 | | | | 32,867 | |
| MKS Instruments, Inc. | | | 1,176 | | | | 31,987 | |
| OpenTable, Inc.* | | | 506 | | | | 31,868 | |
| Synaptics, Inc.* | | | 759 | | | | 30,885 | |
| Entegris, Inc.* | | | 3,086 | | | | 30,428 | |
| Coherent, Inc. | | | 534 | | | | 30,299 | |
| Blackbaud, Inc. | | | 1,016 | | | | 30,104 | |
| Euronet Worldwide, Inc.* | | | 1,139 | | | | 30,001 | |
| VistaPrint N.V.*,1 | | | 770 | | | | 29,768 | |
| Progress Software Corp.* | | | 1,304 | | | | 29,705 | |
| CACI International, Inc. — Class A* | | | 512 | | | | 29,629 | |
| Heartland Payment Systems, Inc. | | | 872 | | | | 28,750 | |
| NETGEAR, Inc.* | | | 857 | | | | 28,718 | |
| Take-Two Interactive Software, Inc.* | | | 1,756 | | | | 28,359 | |
| ADTRAN, Inc. | | | 1,434 | | | | 28,178 | |
| Dealertrack Technologies, Inc.* | | | 951 | | | | 27,940 | |
| NIC, Inc. | | | 1,449 | | | | 27,763 | |
| WebMD Health Corp. — Class A* | | | 1,140 | | | | 27,725 | |
| Power Integrations, Inc. | | | 633 | | | | 27,479 | |
| OSI Systems, Inc.* | | | 441 | | | | 27,470 | |
| Cardtronics, Inc.* | | | 991 | | | | 27,213 | |
| Finisar Corp.* | | | 2,056 | | | | 27,119 | |
| Electronics for Imaging, Inc.* | | | 1,040 | | | | 26,374 | |
| Universal Display Corp.* | | | 895 | | | | 26,304 | |
| Cornerstone OnDemand, Inc.* | | | 752 | | | | 25,643 | |
| Intersil Corp. — Class A | | | 2,860 | | | | 24,911 | |
| Bottomline Technologies de, Inc.* | | | 840 | | | | 23,948 | |
| Integrated Device Technology, Inc.* | | | 3,198 | | | | 23,889 | |
| QLogic Corp.* | | | 2,039 | | | | 23,652 | |
| Syntel, Inc. | | | 350 | | | | 23,632 | |
| Benchmark Electronics, Inc.* | | | 1,300 | | | | 23,425 | |
| Ultratech, Inc.* | | | 591 | | | | 23,362 | |
| MEMC Electronic Materials, Inc.* | | | 5,190 | | | | 22,836 | |
| SS&C Technologies Holdings, Inc.* | | | 761 | | | | 22,815 | |
| Unisys Corp.* | | | 982 | | | | 22,341 | |
| Tessera Technologies, Inc. | | | 1,168 | | | | 21,900 | |
| SYNNEX Corp.* | | | 590 | | | | 21,830 | |
| MTS Systems Corp. | | | 361 | | | | 20,992 | |
| Sanmina Corp.* | | | 1,830 | | | | 20,789 | |
| Insight Enterprises, Inc.* | | | 1,000 | | | | 20,620 | |
| Ixia* | | | 948 | | | | 20,515 | |
| NetScout Systems, Inc.* | | | 826 | | | | 20,295 | |
| Advent Software, Inc.* | | | 710 | | | | 19,859 | |
| MicroStrategy, Inc. — Class A* | | | 196 | | | | 19,812 | |
| Monotype Imaging Holdings, Inc. | | | 825 | | | | 19,594 | |
| Synchronoss Technologies, Inc.* | | | 625 | | | | 19,394 | |
| Cray, Inc.* | | | 835 | | | | 19,380 | |
| 90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| TriQuint Semiconductor, Inc.* | | | 3,792 | | | $ | 19,150 | |
| Plexus Corp.* | | | 782 | | | | 19,010 | |
| Cabot Microelectronics Corp.* | | | 533 | | | | 18,522 | |
| VirnetX Holding Corp.* | | | 946 | | | | 18,135 | |
| Badger Meter, Inc. | | | 330 | | | | 17,662 | |
| Guidewire Software, Inc.* | | | 459 | | | | 17,644 | |
| ScanSource, Inc.* | | | 618 | | | | 17,440 | |
| Rofin-Sinar Technologies, Inc.* | | | 642 | | | | 17,392 | |
| Infinera Corp.* | | | 2,470 | | | | 17,290 | |
| Rogers Corp.* | | | 362 | | | | 17,238 | |
| Tellabs, Inc. | | | 8,235 | | | | 17,211 | |
| ExlService Holdings, Inc.* | | | 521 | | | | 17,130 | |
| Diodes, Inc.* | | | 802 | | | | 16,826 | |
| LivePerson, Inc.* | | | 1,237 | | | | 16,798 | |
| RealPage, Inc.*,1 | | | 808 | | | | 16,734 | |
| Monolithic Power Systems, Inc. | | | 686 | | | | 16,718 | |
| FARO Technologies, Inc.* | | | 383 | | | | 16,618 | |
| BroadSoft, Inc.* | | | 618 | | | | 16,358 | |
| Advanced Energy Industries, Inc.* | | | 893 | | | | 16,342 | |
| CSG Systems International, Inc.* | | | 768 | | | | 16,274 | |
| OmniVision Technologies, Inc.* | | | 1,179 | | | | 16,247 | |
| ATMI, Inc.* | | | 719 | | | | 16,127 | |
| Liquidity Services, Inc.*,1 | | | 533 | | | | 15,889 | |
| Angie’s List, Inc.* | | | 803 | | | | 15,867 | |
| Loral Space & Communications, Inc. | | | 247 | | | | 15,284 | |
| Harmonic, Inc.* | | | 2,639 | | | | 15,280 | |
| Brooks Automation, Inc. | | | 1,492 | | | | 15,189 | |
| Interactive Intelligence Group, Inc.* | | | 333 | | | | 14,769 | |
| Newport Corp.* | | | 859 | | | | 14,534 | |
| Lattice Semiconductor Corp.* | | | 2,655 | | | | 14,470 | |
| Blucora, Inc.* | | | 904 | | | | 13,994 | |
| Spansion, Inc. — Class A* | | | 1,087 | | | | 13,990 | |
| Rambus, Inc.* | | | 2,482 | | | | 13,924 | |
| Sykes Enterprises, Inc.* | | | 871 | | | | 13,901 | |
| Comverse, Inc.* | | | 495 | | | | 13,880 | |
| ManTech International Corp. — Class A | | | 516 | | | | 13,865 | |
| Monster Worldwide, Inc.* | | | 2,729 | | | | 13,836 | |
| Measurement Specialties, Inc.* | | | 343 | | | | 13,641 | |
| Ellie Mae, Inc.* | | | 564 | | | | 13,564 | |
| iGATE Corp.* | | | 720 | | | | 13,543 | |
| Web.com Group, Inc.* | | | 791 | | | | 13,510 | |
| comScore, Inc.* | | | 799 | | | | 13,407 | |
| PROS Holdings, Inc.* | | | 492 | | | | 13,368 | |
| Intermec, Inc.* | | | 1,353 | | | | 13,300 | |
| EarthLink, Inc. | | | 2,383 | | | | 12,916 | |
| Emulex Corp.* | | | 1,954 | | | | 12,760 | |
| Websense, Inc.* | | | 841 | | | | 12,615 | |
| Bankrate, Inc.* | | | 1,038 | | | | 12,394 | |
| Sonus Networks, Inc.* | | | 4,782 | | | | 12,385 | |
| United Online, Inc. | | | 2,034 | | | | 12,265 | |
| Accelrys, Inc.* | | | 1,246 | | | | 12,161 | |
| RealD, Inc.*,1 | | | 934 | | | | 12,142 | |
| Park Electrochemical Corp. | | | 469 | | | | 11,884 | |
| Checkpoint Systems, Inc.* | | | 907 | | | | 11,845 | |
| Digital River, Inc.* | | | 833 | | | | 11,779 | |
| SPS Commerce, Inc.* | | | 274 | | | | 11,692 | |
| Micrel, Inc. | | | 1,093 | | | | 11,487 | |
| Internap Network Services Corp.* | | | 1,195 | | | | 11,173 | |
| Applied Micro Circuits Corp.* | | | 1,468 | | | | 10,893 | |
| TeleTech Holdings, Inc.* | | | 511 | | | | 10,838 | |
| Pegasystems, Inc. | | | 384 | | | | 10,783 | |
| Methode Electronics, Inc. | | | 836 | | | | 10,768 | |
| Move, Inc.* | | | 883 | | | | 10,552 | |
| Global Cash Access Holdings, Inc.* | | | 1,474 | | | | 10,392 | |
| SunPower Corp. — Class A* | | | 894 | | | | 10,317 | |
| Ebix, Inc. | | | 635 | | | | 10,300 | |
| Forrester Research, Inc. | | | 320 | | | | 10,128 | |
| Virtusa Corp.* | | | 422 | | | | 10,027 | |
| Silicon Graphics International Corp.* | | | 721 | | | | 9,914 | |
| EPIQ Systems, Inc. | | | 704 | | | | 9,877 | |
| Comtech Telecommunications Corp. | | | 403 | | | | 9,785 | |
| Cass Information Systems, Inc. | | | 230 | | | | 9,669 | |
| SciQuest, Inc.* | | | 402 | | | | 9,664 | |
| LogMeIn, Inc.* | | | 499 | | | | 9,591 | |
| Dice Holdings, Inc.* | | | 946 | | | | 9,583 | |
| Silicon Image, Inc.* | | | 1,876 | | | | 9,117 | |
| TTM Technologies, Inc.* | | | 1,199 | | | | 9,112 | |
| Photronics, Inc.* | | | 1,361 | | | | 9,091 | |
| Constant Contact, Inc.* | | | 683 | | | | 8,865 | |
| Exar Corp.* | | | 838 | | | | 8,799 | |
| GT Advanced Technologies, Inc.*,1 | | | 2,661 | | | | 8,755 | |
| InvenSense, Inc. — Class A* | | | 819 | | | | 8,747 | |
| MoneyGram International, Inc.* | | | 483 | | | | 8,742 | |
| PDF Solutions, Inc.* | | | 543 | | | | 8,699 | |
| CalAmp Corp.* | | | 790 | | | | 8,666 | |
| Daktronics, Inc. | | | 816 | | | | 8,568 | |
| Rudolph Technologies, Inc.* | | | 721 | | | | 8,493 | |
| Perficient, Inc.* | | | 718 | | | | 8,372 | |
| Tangoe, Inc.* | | | 673 | | | | 8,338 | |
| Imperva, Inc.* | | | 214 | | | | 8,239 | |
| Envestnet, Inc.* | | | 469 | | | | 8,212 | |
| Ceva, Inc.* | | | 520 | | | | 8,112 | |
| Volterra Semiconductor Corp.* | | | 571 | | | | 8,108 | |
| Entropic Communications, Inc.* | | | 1,974 | | | | 8,034 | |
| CTS Corp. | | | 768 | | | | 8,018 | |
| Black Box Corp. | | | 367 | | | | 8,004 | |
| ServiceSource International, Inc.* | | | 1,112 | | | | 7,862 | |
| Electro Rent Corp. | | | 423 | | | | 7,842 | |
| CIBER, Inc.* | | | 1,641 | | | | 7,713 | |
| Seachange International, Inc.* | | | 647 | | | | 7,693 | |
| Nanometrics, Inc.* | | | 523 | | | | 7,547 | |
| Super Micro Computer, Inc.* | | | 659 | | | | 7,440 | |
| Stamps.com, Inc.* | | | 297 | | | | 7,416 | |
| Immersion Corp.* | | | 630 | | | | 7,396 | |
| Computer Task Group, Inc. | | | 338 | | | | 7,230 | |
| Fabrinet* | | | 494 | | | | 7,217 | |
| Calix, Inc.* | | | 885 | | | | 7,213 | |
| Extreme Networks* | | | 2,113 | | | | 7,121 | |
| Oplink Communications, Inc.* | | | 432 | | | | 7,085 | |
| Responsys, Inc.* | | | 800 | | | | 7,080 | |
| DTS, Inc.* | | | 412 | | | | 6,852 | |
| Quantum Corp.* | | | 5,267 | | | | 6,742 | |
| Actuate Corp.* | | | 1,111 | | | | 6,666 | |
| LTX-Credence Corp.* | | | 1,102 | | | | 6,656 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Amkor Technology, Inc.*,1 | | | 1,664 | | | $ | 6,656 | |
| Vocus, Inc.* | | | 467 | | | | 6,608 | |
| KEMET Corp.* | | | 1,005 | | | | 6,281 | |
| Parkervision, Inc.* | | | 1,705 | | | | 6,257 | |
| Power-One, Inc.* | | | 1,506 | | | | 6,250 | |
| Globecomm Systems, Inc.* | | | 520 | | | | 6,245 | |
| NVE Corp.* | | | 109 | | | | 6,150 | |
| XO Group, Inc.* | | | 590 | | | | 5,900 | |
| Demand Media, Inc.* | | | 678 | | | | 5,851 | |
| Anaren, Inc.* | | | 295 | | | | 5,720 | |
| Integrated Silicon Solution, Inc.* | | | 617 | | | | 5,658 | |
| Electro Scientific Industries, Inc. | | | 512 | | | | 5,658 | |
| GSI Group, Inc.* | | | 656 | | | | 5,596 | |
| Jive Software, Inc.* | | | 366 | | | | 5,563 | |
| Kopin Corp.* | | | 1,503 | | | | 5,561 | |
| Inphi Corp.* | | | 528 | | | | 5,518 | |
| Higher One Holdings, Inc.*,1 | | | 614 | | | | 5,458 | |
| VASCO Data Security International, Inc.* | | | 637 | | | | 5,376 | |
| Zygo Corp.* | | | 363 | | | | 5,376 | |
| Saba Software, Inc.* | | | 671 | | | | 5,334 | |
| IXYS Corp. | | | 553 | | | | 5,303 | |
| FormFactor, Inc.* | | | 1,116 | | | | 5,245 | |
| Digi International, Inc.* | | | 581 | | | | 5,188 | |
| Procera Networks, Inc.* | | | 436 | | | | 5,184 | |
| IntraLinks Holdings, Inc.* | | | 815 | | | | 5,183 | |
| Cohu, Inc. | | | 552 | | | | 5,167 | |
| ExactTarget, Inc.* | | | 221 | | | | 5,143 | |
| Mercury Systems, Inc.* | | | 696 | | | | 5,130 | |
| Supertex, Inc. | | | 228 | | | | 5,064 | |
| Trulia, Inc.* | | | 160 | | | | 5,021 | |
| Keynote Systems, Inc. | | | 355 | | | | 4,956 | |
| Zix Corp.* | | | 1,375 | | | | 4,923 | |
| Lionbridge Technologies, Inc.* | | | 1,265 | | | | 4,896 | |
| FleetMatics Group plc* | | | 200 | | | | 4,850 | |
| Aviat Networks, Inc.* | | | 1,376 | | | | 4,637 | |
| PLX Technology, Inc.* | | | 1,008 | | | | 4,596 | |
| support.com, Inc.* | | | 1,090 | | | | 4,556 | |
| KVH Industries, Inc.* | | | 334 | | | | 4,532 | |
| Market Leader, Inc.* | | | 498 | | | | 4,462 | |
| American Software, Inc. — Class A | | | 531 | | | | 4,418 | |
| Yelp, Inc. — Class A* | | | 186 | | | | 4,410 | |
| QuinStreet, Inc.* | | | 735 | | | | 4,388 | |
| Unwired Planet, Inc.* | | | 1,955 | | | | 4,340 | |
| Symmetricom, Inc.* | | | 939 | | | | 4,263 | |
| Avid Technology, Inc.* | | | 669 | | | | 4,195 | |
| ePlus, Inc. | | | 89 | | | | 4,113 | |
| Datalink Corp.* | | | 340 | | | | 4,107 | |
| Infoblox, Inc.* | | | 187 | | | | 4,058 | |
| Ultra Clean Holdings* | | | 621 | | | | 4,037 | |
| Vishay Precision Group, Inc.* | | | 273 | | | | 4,010 | |
| Ruckus Wireless, Inc.*,1 | | | 190 | | | | 3,990 | |
| DSP Group, Inc.* | | | 494 | | | | 3,987 | |
| ShoreTel, Inc.* | | | 1,088 | | | | 3,949 | |
| Demandware, Inc.* | | | 151 | | | | 3,828 | |
| Telular Corp. | | | 375 | | | | 3,773 | |
| RealNetworks, Inc.* | | | 487 | | | | 3,755 | |
| Rosetta Stone, Inc.* | | | 241 | | | | 3,707 | |
| Bel Fuse, Inc. — Class B | | | 237 | | | | 3,700 | |
| Active Network, Inc.* | | | 870 | | | | 3,645 | |
| PRGX Global, Inc.* | | | 524 | | | | 3,642 | |
| Pericom Semiconductor Corp.* | | | 534 | | | | 3,637 | |
| Glu Mobile, Inc.*,1 | | | 1,218 | | | | 3,630 | |
| Sigma Designs, Inc.* | | | 737 | | | | 3,589 | |
| MoSys, Inc.* | | | 757 | | | | 3,565 | |
| Callidus Software, Inc.* | | | 779 | | | | 3,560 | |
| Maxwell Technologies, Inc.* | | | 653 | | | | 3,520 | |
| Aeroflex Holding Corp.* | | | 446 | | | | 3,506 | |
| STEC, Inc.* | | | 793 | | | | 3,505 | |
| Digimarc Corp. | | | 158 | | | | 3,471 | |
| Guidance Software, Inc.* | | | 318 | | | | 3,450 | |
| Richardson Electronics Ltd. | | | 290 | | | | 3,439 | |
| Alpha & Omega Semiconductor Ltd.* | | | 384 | | | | 3,410 | |
| Numerex Corp. — Class A* | | | 263 | | | | 3,364 | |
| Travelzoo, Inc.* | | | 157 | | | | 3,355 | |
| PC Connection, Inc. | | | 202 | | | | 3,303 | |
| Agilysys, Inc.* | | | 331 | | | | 3,290 | |
| Mesa Laboratories, Inc. | | | 62 | | | | 3,285 | |
| Intermolecular, Inc.* | | | 312 | | | | 3,182 | |
| ANADIGICS, Inc.* | | | 1,583 | | | | 3,166 | |
| MaxLinear, Inc. — Class A* | | | 499 | | | | 3,094 | |
| GSI Technology, Inc.* | | | 466 | | | | 3,071 | |
| Multi-Fineline Electronix, Inc.* | | | 199 | | | | 3,071 | |
| Axcelis Technologies, Inc.* | | | 2,418 | | | | 3,023 | |
| Ubiquiti Networks, Inc. | | | 220 | | | | 3,018 | |
| PC-Telephone, Inc. | | | 415 | | | | 2,947 | |
| ModusLink Global Solutions, Inc.* | | | 891 | | | | 2,940 | |
| Neonode, Inc.* | | | 500 | | | | 2,885 | |
| OCZ Technology Group, Inc.*,1 | | | 1,518 | | | | 2,732 | |
| Carbonite, Inc.* | | | 249 | | | | 2,727 | |
| Pervasive Software, Inc.* | | | 297 | | | | 2,723 | |
| Key Tronic Corp.* | | | 236 | | | | 2,705 | |
| Mindspeed Technologies, Inc.* | | | 812 | | | | 2,704 | |
| Imation Corp.* | | | 699 | | | | 2,670 | |
| Limelight Networks, Inc.* | | | 1,272 | | | | 2,620 | |
| EPAM Systems, Inc.* | | | 111 | | | | 2,579 | |
| Rubicon Technology, Inc.* | | | 387 | | | | 2,554 | |
| Hackett Group, Inc. | | | 556 | | | | 2,541 | |
| Radisys Corp.* | | | 515 | | | | 2,534 | |
| Tessco Technologies, Inc. | | | 117 | | | | 2,532 | |
| AVG Technologies N.V.* | | | 179 | | | | 2,492 | |
| Intevac, Inc.* | | | 526 | | | | 2,483 | |
| Qualys, Inc.* | | | 200 | | | | 2,468 | |
| QuickLogic Corp.* | | | 989 | | | | 2,433 | |
| Telenav, Inc.* | | | 376 | | | | 2,425 | |
| Proofpoint, Inc.* | | | 140 | | | | 2,360 | |
| iPass, Inc.* | | | 1,170 | | | | 2,317 | |
| NeoPhotonics Corp.* | | | 444 | | | | 2,269 | |
| Ambarella, Inc.* | | | 140 | | | | 2,192 | |
| E2open, Inc.* | | | 108 | | | | 2,154 | |
| AXT, Inc.* | | | 727 | | | | 2,137 | |
| M/A-COM Technology Solutions Holdings, Inc.* | | | 133 | | | | 2,137 | |
| Marchex, Inc. — Class B | | | 505 | | | | 2,126 | |
| Audience, Inc.* | | | 139 | | | | 2,120 | |
| 92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Echelon Corp.* | | | 853 | | | $ | 2,081 | |
| Oclaro, Inc.*,1 | | | 1,643 | | | | 2,070 | |
| Westell Technologies, Inc. — Class A* | | | 1,027 | | | | 2,064 | |
| FalconStor Software, Inc.* | | | 716 | | | | 1,919 | |
| Mattson Technology, Inc.* | | | 1,314 | | | | 1,813 | |
| QAD, Inc. — Class A | | | 139 | | | | 1,785 | |
| Spark Networks, Inc.* | | | 253 | | | | 1,781 | |
| Innodata, Inc.* | | | 495 | | | | 1,708 | |
| Bazaarvoice, Inc.* | | | 231 | | | | 1,691 | |
| TechTarget, Inc.* | | | 345 | | | | 1,687 | |
| Sapiens International Corporation N.V. | | | 305 | | | | 1,659 | |
| Millennial Media, Inc.* | | | 261 | | | | 1,657 | |
| STR Holdings, Inc.* | | | 680 | | | | 1,476 | |
| Peregrine Semiconductor Corp.* | | | 144 | | | | 1,407 | |
| Exa Corp.* | | | 138 | | | | 1,314 | |
| Aware, Inc. | | | 271 | | | | 1,255 | |
| Viasystems Group, Inc.* | | | 90 | | | | 1,174 | |
| Mattersight Corp.* | | | 225 | | | | 965 | |
| MeetMe, Inc.* | | | 418 | | | | 953 | |
| Brightcove, Inc.* | | | 134 | | | | 832 | |
| Synacor, Inc.* | | | 147 | | | | 440 | |
| Envivio, Inc.* | | | 176 | | | | 299 | |
| Sycamore Networks, Inc. | | | 465 | | | | 172 | |
| Ambient Corp.* | | | 64 | | | | 157 | |
| Riverbed Technology, Inc.* | | | 4 | | | | 60 | |
| Total Information Technology | | | | | | | 4,946,446 | |
| INDUSTRIALS - 9.8% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 1,602 | | | | 102,463 | |
| Genesee & Wyoming, Inc. — Class A* | | | 999 | | | | 93,017 | |
| Avis Budget Group, Inc.* | | | 2,387 | | | | 66,431 | |
| Acuity Brands, Inc. | | | 956 | | | | 66,298 | |
| Hexcel Corp.* | | | 2,242 | | | | 65,040 | |
| Teledyne Technologies, Inc.* | | | 829 | | | | 65,027 | |
| AO Smith Corp. | | | 875 | | | | 64,374 | |
| EMCOR Group, Inc. | | | 1,501 | | | | 63,627 | |
| Middleby Corp.* | | | 417 | | | | 63,446 | |
| US Airways Group, Inc.* | | | 3,646 | | | | 61,873 | |
| Woodward, Inc. | | | 1,551 | | | | 61,668 | |
| Old Dominion Freight Line, Inc.* | | | 1,602 | | | | 61,197 | |
| CLARCOR, Inc. | | | 1,134 | | | | 59,399 | |
| Watsco, Inc. | | | 660 | | | | 55,559 | |
| Chart Industries, Inc.* | | | 672 | | | | 53,767 | |
| Belden, Inc. | | | 1,019 | | | | 52,631 | |
| Esterline Technologies Corp.* | | | 684 | | | | 51,779 | |
| HEICO Corp. | | | 1,179 | | | | 51,180 | |
| Actuant Corp. — Class A | | | 1,640 | | | | 50,217 | |
| EnerSys, Inc.* | | | 1,073 | | | | 48,907 | |
| Deluxe Corp. | | | 1,143 | | | | 47,320 | |
| Moog, Inc. — Class A* | | | 1,012 | | | | 46,380 | |
| USG Corp.* | | | 1,664 | | | | 43,997 | |
| Corporate Executive Board Co. | | | 754 | | | | 43,853 | |
| Tetra Tech, Inc.* | | | 1,422 | | | | 43,356 | |
| Applied Industrial Technologies, Inc. | | | 950 | | | | 42,750 | |
| Beacon Roofing Supply, Inc.* | | | 1,055 | | | | 40,786 | |
| Advisory Board Co.* | | | 772 | | | | 40,545 | |
| Healthcare Services Group, Inc. | | | 1,508 | | | | 38,651 | |
| Brady Corp. — Class A | | | 1,098 | | | | 36,816 | |
| Curtiss-Wright Corp. | | | 1,055 | | | | 36,609 | |
| HNI Corp. | | | 1,024 | | | | 36,341 | |
| JetBlue Airways Corp.* | | | 5,251 | | | | 36,232 | |
| Herman Miller, Inc. | | | 1,309 | | | | 36,220 | |
| MasTec, Inc.* | | | 1,236 | | | | 36,029 | |
| FTI Consulting, Inc.* | | | 947 | | | | 35,664 | |
| Franklin Electric Company, Inc. | | | 1,056 | | | | 35,450 | |
| Barnes Group, Inc. | | | 1,222 | | | | 35,352 | |
| United Stationers, Inc. | | | 912 | | | | 35,249 | |
| DigitalGlobe, Inc.* | | | 1,203 | | | | 34,779 | |
| AMERCO | | | 198 | | | | 34,361 | |
| Acacia Research Corp.* | | | 1,121 | | | | 33,821 | |
| Hub Group, Inc. — Class A* | | | 837 | | | | 32,191 | |
| Mine Safety Appliances Co. | | | 616 | | | | 30,566 | |
| Watts Water Technologies, Inc. — Class A | | | 629 | | | | 30,186 | |
| Brink’s Co. | | | 1,059 | | | | 29,927 | |
| Allegiant Travel Co. — Class A | | | 337 | | | | 29,919 | |
| TAL International Group, Inc. | | | 660 | | | | 29,905 | |
| UniFirst Corp. | | | 326 | | | | 29,503 | |
| Granite Construction, Inc. | | | 871 | | | | 27,733 | |
| Simpson Manufacturing Company, Inc. | | | 903 | | | | 27,642 | |
| Raven Industries, Inc. | | | 817 | | | | 27,459 | |
| AZZ, Inc. | | | 565 | | | | 27,233 | |
| Briggs & Stratton Corp.1 | | | 1,090 | | | | 27,032 | |
| ABM Industries, Inc. | | | 1,206 | | | | 26,821 | |
| Lindsay Corp. | | | 288 | | | | 25,395 | |
| Interface, Inc. — Class A | | | 1,321 | | | | 25,390 | |
| RBC Bearings, Inc.* | | | 501 | | | | 25,331 | |
| Mobile Mini, Inc.* | | | 860 | | | | 25,311 | |
| Steelcase, Inc. — Class A | | | 1,714 | | | | 25,247 | |
| Swift Transportation Co. — Class A* | | | 1,780 | | | | 25,240 | |
| ESCO Technologies, Inc. | | | 599 | | | | 24,475 | |
| Forward Air Corp. | | | 656 | | | | 24,462 | |
| On Assignment, Inc.* | | | 964 | | | | 24,398 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 593 | | | | 24,171 | |
| Werner Enterprises, Inc. | | | 989 | | | | 23,874 | |
| EnPro Industries, Inc.* | | | 466 | | | | 23,845 | |
| Spirit Airlines, Inc.* | | | 937 | | | | 23,762 | |
| Mueller Industries, Inc. | | | 443 | | | | 23,607 | |
| Trimas Corp.* | | | 727 | | | | 23,606 | |
| Titan International, Inc. | | | 1,070 | | | | 22,555 | |
| Orbital Sciences Corp.* | | | 1,323 | | | | 22,081 | |
| Kaman Corp. | | | 593 | | | | 21,034 | |
| Knight Transportation, Inc. | | | 1,299 | | | | 20,914 | |
| Mueller Water Products, Inc. — Class A | | | 3,520 | | | | 20,874 | |
| Tennant Co. | | | 424 | | | | 20,589 | |
| Huron Consulting Group, Inc.* | | | 510 | | | | 20,563 | |
| Aegion Corp. — Class A* | | | 883 | | | | 20,441 | |
| II-VI, Inc.* | | | 1,177 | | | | 20,056 | |
| Generac Holdings, Inc. | | | 558 | | | | 19,720 | |
| Knoll, Inc. | | | 1,079 | | | | 19,562 | |
| G&K Services, Inc. — Class A | | | 424 | | | | 19,296 | |
| TrueBlue, Inc.* | | | 911 | | | | 19,259 | |
| Korn/Ferry International* | | | 1,072 | | | | 19,146 | |
| Kaydon Corp. | | | 724 | | | | 18,520 | |
| Team, Inc.* | | | 448 | | | | 18,399 | |
| Apogee Enterprises, Inc. | | | 635 | | | | 18,383 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| SkyWest, Inc. | | | 1,140 | | | $ | 18,297 | |
| Rush Enterprises, Inc. — Class A* | | | 752 | | | | 18,138 | |
| Aircastle Ltd. | | | 1,325 | | | | 18,126 | |
| Albany International Corp. — Class A | | | 623 | | | | 18,005 | |
| GenCorp, Inc.* | | | 1,344 | | | | 17,875 | |
| Universal Forest Products, Inc. | | | 445 | | | | 17,715 | |
| McGrath RentCorp | | | 561 | | | | 17,447 | |
| ACCO Brands Corp.* | | | 2,539 | | | | 16,961 | |
| AAR Corp. | | | 910 | | | | 16,735 | |
| Trex Company, Inc.* | | | 336 | | | | 16,524 | |
| Altra Holdings, Inc. | | | 606 | | | | 16,495 | |
| CIRCOR International, Inc. | | | 386 | | | | 16,405 | |
| Exponent, Inc. | | | 302 | | | | 16,290 | |
| Standex International Corp. | | | 285 | | | | 15,738 | |
| Astec Industries, Inc. | | | 450 | | | | 15,718 | |
| Wabash National Corp.* | | | 1,537 | | | | 15,616 | |
| Sauer-Danfoss, Inc. | | | 265 | | | | 15,484 | |
| Tutor Perini Corp.* | | | 799 | | | | 15,421 | |
| Cubic Corp. | | | 358 | | | | 15,294 | |
| Navigant Consulting, Inc.* | | | 1,162 | | | | 15,269 | |
| Sun Hydraulics Corp. | | | 464 | | | | 15,085 | |
| Primoris Services Corp. | | | 676 | | | | 14,946 | |
| Dycom Industries, Inc.* | | | 756 | | | | 14,886 | |
| DXP Enterprises, Inc.* | | | 199 | | | | 14,865 | |
| Blount International, Inc.* | | | 1,103 | | | | 14,758 | |
| Insperity, Inc. | | | 508 | | | | 14,412 | |
| Hyster-Yale Materials Handling, Inc. | | | 251 | | | | 14,330 | |
| Heartland Express, Inc. | | | 1,074 | | | | 14,327 | |
| Rexnord Corp.* | | | 650 | | | | 13,800 | |
| John Bean Technologies Corp. | | | 650 | | | | 13,488 | |
| Quad/Graphics, Inc. | | | 563 | | | | 13,478 | |
| Quanex Building Products Corp. | | | 822 | | | | 13,234 | |
| H&E Equipment Services, Inc. | | | 643 | | | | 13,117 | |
| Saia, Inc.* | | | 361 | | | | 13,057 | |
| Encore Wire Corp. | | | 367 | | | | 12,852 | |
| Nortek, Inc.* | | | 176 | | | | 12,559 | |
| Republic Airways Holdings, Inc.* | | | 1,087 | | | | 12,544 | |
| Viad Corp. | | | 452 | | | | 12,502 | |
| Gibraltar Industries, Inc.* | | | 684 | | | | 12,483 | |
| Textainer Group Holdings Ltd. | | | 312 | | | | 12,340 | |
| ICF International, Inc.* | | | 448 | | | | 12,186 | |
| Resources Connection, Inc. | | | 959 | | | | 12,179 | |
| Griffon Corp. | | | 1,018 | | | | 12,135 | |
| Comfort Systems USA, Inc. | | | 839 | | | | 11,822 | |
| Greenbrier Companies, Inc.* | | | 514 | | | | 11,673 | |
| AAON, Inc. | | | 421 | | | | 11,615 | |
| MYR Group, Inc.* | | | 465 | | | | 11,420 | |
| Federal Signal Corp.* | | | 1,393 | | | | 11,339 | |
| American Science & Engineering, Inc. | | | 185 | | | | 11,283 | |
| Kelly Services, Inc. — Class A | | | 603 | | | | 11,264 | |
| US Ecology, Inc. | | | 409 | | | | 10,859 | |
| InnerWorkings, Inc.* | | | 717 | | | | 10,855 | |
| Titan Machinery, Inc.* | | | 383 | | | | 10,628 | |
| Kforce, Inc. | | | 649 | | | | 10,624 | |
| Powell Industries, Inc.* | | | 201 | | | | 10,567 | |
| Meritor, Inc.* | | | 2,166 | | | | 10,245 | |
| Gorman-Rupp Co. | | | 340 | | | | 10,217 | |
| American Railcar Industries, Inc. | | | 217 | | | | 10,143 | |
| Layne Christensen Co.* | | | 450 | | | | 9,621 | |
| EnerNOC, Inc.* | | | 552 | | | | 9,588 | |
| Celadon Group, Inc. | | | 454 | | | | 9,470 | |
| CAI International, Inc.* | | | 321 | | | | 9,251 | |
| Taser International, Inc.* | | | 1,151 | | | | 9,150 | |
| LB Foster Co. — Class A | | | 206 | | | | 9,124 | |
| Great Lakes Dredge & Dock Corp. | | | 1,329 | | | | 8,944 | |
| KEYW Holding Corp.* | | | 554 | | | | 8,936 | |
| National Presto Industries, Inc. | | | 110 | | | | 8,855 | |
| Ennis, Inc. | | | 585 | | | | 8,816 | |
| Mistras Group, Inc.* | | | 354 | | | | 8,570 | |
| Columbus McKinnon Corp.* | | | 431 | | | | 8,297 | |
| Barrett Business Services, Inc. | | | 157 | | | | 8,268 | |
| Astronics Corp.* | | | 274 | | | | 8,171 | |
| GP Strategies Corp.* | | | 336 | | | | 8,017 | |
| Multi-Color Corp. | | | 306 | | | | 7,892 | |
| American Woodmark Corp.* | | | 222 | | | | 7,555 | |
| Roadrunner Transportation Systems, Inc.* | | | 321 | | | | 7,383 | |
| Thermon Group Holdings, Inc.* | | | 331 | | | | 7,352 | |
| Standard Parking Corp.* | | | 355 | | | | 7,349 | |
| Echo Global Logistics, Inc.* | | | 327 | | | | 7,233 | |
| Aerovironment, Inc.* | | | 391 | | | | 7,089 | |
| NCI Building Systems, Inc.* | | | 405 | | | | 7,035 | |
| Marten Transport Ltd. | | | 349 | | | | 7,025 | |
| Air Transport Services Group, Inc.* | | | 1,194 | | | | 6,961 | |
| Global Power Equipment Group, Inc. | | | 389 | | | | 6,854 | |
| Douglas Dynamics, Inc. | | | 495 | | | | 6,841 | |
| XPO Logistics, Inc.* | | | 399 | | | | 6,719 | |
| Aceto Corp. | | | 605 | | | | 6,697 | |
| EnergySolutions, Inc.* | | | 1,785 | | | | 6,694 | |
| Arkansas Best Corp. | | | 572 | | | | 6,681 | |
| RPX Corp.* | | | 473 | | | | 6,674 | |
| Kimball International, Inc. — Class B | | | 735 | | | | 6,659 | |
| Hawaiian Holdings, Inc.* | | | 1,151 | | | | 6,630 | |
| Kadant, Inc.* | | | 265 | | | | 6,625 | |
| Park-Ohio Holdings Corp.* | | | 199 | | | | 6,593 | |
| Consolidated Graphics, Inc.* | | | 167 | | | | 6,530 | |
| Insteel Industries, Inc. | | | 394 | | | | 6,430 | |
| Orion Marine Group, Inc.* | | | 612 | | | | 6,083 | |
| Heidrick & Struggles International, Inc. | | | 404 | | | | 6,040 | |
| Capstone Turbine Corp.* | | | 6,710 | | | | 6,039 | |
| Northwest Pipe Co.* | | | 215 | | | | 6,016 | |
| Alamo Group, Inc. | | | 156 | | | | 5,967 | |
| Builders FirstSource, Inc.* | | | 1,009 | | | | 5,913 | |
| FreightCar America, Inc. | | | 269 | | | | 5,870 | |
| Lydall, Inc.* | | | 382 | | | | 5,864 | |
| Wesco Aircraft Holdings, Inc.* | | | 396 | | | | 5,829 | |
| Pendrell Corp.* | | | 3,479 | | | | 5,775 | |
| Accuride Corp.* | | | 1,059 | | | | 5,708 | |
| SeaCube Container Leasing Ltd. | | | 246 | | | | 5,648 | |
| Furmanite Corp.* | | | 836 | | | | 5,593 | |
| Graham Corp. | | | 224 | | | | 5,542 | |
| Proto Labs, Inc.* | | | 112 | | | | 5,499 | |
| Pike Electric Corp. | | | 385 | | | | 5,479 | |
| CBIZ, Inc.* | | | 853 | | | | 5,442 | |
| Odyssey Marine Exploration, Inc.* | | | 1,647 | | | | 5,369 | |
| 94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| CDI Corp. | | | 312 | | | $ | 5,366 | |
| Houston Wire & Cable Co. | | | 405 | | | | 5,245 | |
| Dynamic Materials Corp. | | | 298 | | | | 5,185 | |
| CRA International, Inc.* | | | 229 | | | | 5,123 | |
| Twin Disc, Inc. | | | 195 | | | | 4,891 | |
| Michael Baker Corp. | | | 198 | | | | 4,851 | |
| Franklin Covey Co.* | | | 312 | | | | 4,533 | |
| Kratos Defense & Security Solutions, Inc.* | | | 899 | | | | 4,522 | |
| Commercial Vehicle Group, Inc.* | | | 550 | | | | 4,290 | |
| Flow International Corp.* | | | 1,074 | | | | 4,199 | |
| LMI Aerospace, Inc.* | | | 197 | | | | 4,096 | |
| Hurco Companies, Inc.* | | | 149 | | | | 4,057 | |
| Quality Distribution, Inc.* | | | 481 | | | | 4,045 | |
| Miller Industries, Inc. | | | 248 | | | | 3,980 | |
| WageWorks, Inc.* | | | 158 | | | | 3,955 | |
| Sterling Construction Company, Inc.* | | | 363 | | | | 3,953 | |
| Pacer International, Inc.* | | | 785 | | | | 3,949 | |
| Patriot Transportation Holding, Inc.* | | | 141 | | | | 3,923 | |
| Preformed Line Products Co. | | | 56 | | | | 3,918 | |
| TMS International Corp. — Class A* | | | 291 | | | | 3,841 | |
| Casella Waste Systems, Inc. — Class A* | | | 845 | | | | 3,693 | |
| Energy Recovery, Inc.* | | | 989 | | | | 3,659 | |
| NN, Inc.* | | | 382 | | | | 3,614 | |
| Hardinge, Inc. | | | 265 | | | | 3,612 | |
| Ampco-Pittsburgh Corp. | | | 186 | | | | 3,517 | |
| Met-Pro Corp. | | | 333 | | | | 3,440 | |
| Ameresco, Inc. — Class A* | | | 456 | | | | 3,374 | |
| Argan, Inc. | | | 222 | | | | 3,310 | |
| Swisher Hygiene, Inc.* | | | 2,534 | | | | 3,269 | |
| FuelCell Energy, Inc.*,1 | | | 3,400 | | | | 3,209 | |
| Courier Corp. | | | 221 | | | | 3,185 | |
| LSI Industries, Inc. | | | 442 | | | | 3,085 | |
| AT Cross Co. — Class A* | | | 220 | | | | 3,029 | |
| PGT, Inc.* | | | 439 | | | | 3,016 | |
| Coleman Cable, Inc. | | | 198 | | | | 2,970 | |
| Acorn Energy, Inc. | | | 403 | | | | 2,962 | |
| Hudson Global, Inc.* | | | 748 | | | | 2,947 | |
| Schawk, Inc. — Class A | | | 267 | | | | 2,934 | |
| PMFG, Inc.* | | | 465 | | | | 2,869 | |
| Universal Truckload Services, Inc.* | | | 118 | | | | 2,753 | |
| Heritage-Crystal Clean, Inc.* | | | 175 | | | | 2,643 | |
| Cenveo, Inc.* | | | 1,215 | | | | 2,612 | |
| Performant Financial Corp.* | | | 205 | | | | 2,517 | |
| Rand Logistics, Inc.* | | | 400 | | | | 2,450 | |
| ARC Document Solutions, Inc.* | | | 820 | | | | 2,444 | |
| Edgen Group, Inc. — Class A* | | | 333 | | | | 2,408 | |
| Eastern Co. | | | 137 | | | | 2,403 | |
| American Superconductor Corp.* | | | 882 | | | | 2,346 | |
| VSE Corp. | | | 92 | | | | 2,299 | |
| Vicor Corp.* | | | 446 | | | | 2,217 | |
| TRC Companies, Inc.* | | | 341 | | | | 2,199 | |
| International Shipholding Corp. | | | 118 | | | | 2,148 | |
| BlueLinx Holdings, Inc.* | | | 735 | | | | 2,095 | |
| CECO Environmental Corp. | | | 160 | | | | 2,069 | |
| Genco Shipping & Trading Ltd.* | | | 705 | | | | 2,030 | |
| Intersections, Inc. | | | 203 | | | | 1,910 | |
| NL Industries, Inc. | | | 152 | | | | 1,889 | |
| Willis Lease Finance Corp.* | | | 120 | | | | 1,814 | |
| API Technologies Corp.* | | | 722 | | | | 1,791 | |
| Dolan Co.* | | | 687 | | | | 1,642 | |
| Hill International, Inc.* | | | 515 | | | | 1,540 | |
| Metalico, Inc.* | | | 901 | | | | 1,460 | |
| Patrick Industries, Inc.* | | | 90 | | | | 1,418 | |
| CPI Aerostructures, Inc.* | | | 153 | | | | 1,311 | |
| Enphase Energy, Inc.* | | | 180 | | | | 1,116 | |
| Omega Flex, Inc. | | | 64 | | | | 1,100 | |
| Sypris Solutions, Inc. | | | 240 | | | | 1,003 | |
| SIFCO Industries, Inc. | | | 51 | | | | 939 | |
| Compx International, Inc. | | | 25 | | | | 317 | |
| Total Industrials | | | | | | | 4,604,508 | |
| CONSUMER DISCRETIONARY - 8.8% | | | | | | | | |
| Brunswick Corp. | | | 2,003 | | | | 68,544 | |
| Domino’s Pizza, Inc. | | | 1,306 | | | | 67,180 | |
| Cabela’s, Inc.* | | | 1,049 | | | | 63,758 | |
| Six Flags Entertainment Corp. | | | 830 | | | | 60,159 | |
| Dana Holding Corp. | | | 3,323 | | | | 59,248 | |
| Sotheby’s | | | 1,525 | | | | 57,051 | |
| Tenneco, Inc.* | | | 1,361 | | | | 53,501 | |
| Pool Corp. | | | 1,067 | | | | 51,216 | |
| Fifth & Pacific Companies, Inc.* | | | 2,689 | | | | 50,769 | |
| Pier 1 Imports, Inc. | | | 2,188 | �� | | | 50,323 | |
| Vail Resorts, Inc. | | | 805 | | | | 50,168 | |
| Rent-A-Center, Inc. — Class A | | | 1,336 | | | | 49,351 | |
| Wolverine World Wide, Inc. | | | 1,090 | | | | 48,363 | |
| Cheesecake Factory, Inc. | | | 1,218 | | | | 47,026 | |
| HSN, Inc. | | | 807 | | | | 44,272 | |
| Lumber Liquidators Holdings, Inc.* | | | 622 | | | | 43,677 | |
| Lions Gate Entertainment Corp.* | | | 1,790 | | | | 42,548 | |
| Ryland Group, Inc. | | | 1,000 | | | | 41,619 | |
| Iconix Brand Group, Inc.* | | | 1,593 | | | | 41,211 | |
| Life Time Fitness, Inc.* | | | 963 | | | | 41,197 | |
| KB Home | | | 1,857 | | | | 40,427 | |
| Live Nation Entertainment, Inc.* | | | 3,145 | | | | 38,904 | |
| Men’s Wearhouse, Inc. | | | 1,145 | | | | 38,266 | |
| Steven Madden Ltd.* | | | 884 | | | | 38,136 | |
| Buffalo Wild Wings, Inc.* | | | 421 | | | | 36,850 | |
| Coinstar, Inc.*,1 | | | 624 | | | | 36,454 | |
| Cooper Tire & Rubber Co. | | | 1,405 | | | | 36,052 | |
| Express, Inc.* | | | 2,015 | | | | 35,887 | |
| Shutterfly, Inc.* | | | 801 | | | | 35,380 | |
| Cracker Barrel Old Country Store, Inc. | | | 434 | | | | 35,089 | |
| Jack in the Box, Inc.* | | | 998 | | | | 34,521 | |
| Hibbett Sports, Inc.* | | | 589 | | | | 33,143 | |
| Genesco, Inc.* | | | 545 | | | | 32,749 | |
| Vitamin Shoppe, Inc.* | | | 666 | | | | 32,534 | |
| Meritage Homes Corp.* | | | 689 | | | | 32,287 | |
| ANN, Inc.* | | | 1,098 | | | | 31,864 | |
| Penske Automotive Group, Inc. | | | 949 | | | | 31,659 | |
| MDC Holdings, Inc. | | | 861 | | | | 31,556 | |
| Hillenbrand, Inc. | | | 1,242 | | | | 31,398 | |
| WMS Industries, Inc.* | | | 1,235 | | | | 31,134 | |
| Meredith Corp. | | | 809 | | | | 30,951 | |
| Group 1 Automotive, Inc. | | | 511 | | | | 30,696 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| New York Times Co. — Class A* | | | 3,066 | | | $ | 30,047 | |
| Crocs, Inc.* | | | 2,017 | | | | 29,892 | |
| Buckle, Inc. | | | 622 | | | | 29,016 | |
| Saks, Inc.* | | | 2,467 | | | | 28,296 | |
| Texas Roadhouse, Inc. — Class A | | | 1,398 | | | | 28,226 | |
| Arbitron, Inc. | | | 596 | | | | 27,935 | |
| Bob Evans Farms, Inc. | | | 652 | | | | 27,788 | |
| Monro Muffler Brake, Inc.1 | | | 697 | | | | 27,678 | |
| Helen of Troy Ltd.* | | | 715 | | | | 27,427 | |
| Valassis Communications, Inc.1 | | | 896 | | | | 26,764 | |
| Marriott Vacations Worldwide Corp.* | | | 596 | | | | 25,573 | |
| Select Comfort Corp.* | | | 1,275 | | | | 25,207 | |
| Office Depot, Inc.* | | | 6,381 | | | | 25,077 | |
| Jos. A. Bank Clothiers, Inc.* | | | 627 | | | | 25,017 | |
| Papa John’s International, Inc.* | | | 403 | | | | 24,913 | |
| Aeropostale, Inc.* | | | 1,826 | | | | 24,834 | |
| Children’s Place Retail Stores, Inc.* | | | 547 | | | | 24,517 | |
| DineEquity, Inc. | | | 345 | | | | 23,733 | |
| Ascent Capital Group, Inc. — Class A* | | | 317 | | | | 23,597 | |
| Regis Corp. | | | 1,291 | | | | 23,483 | |
| Jones Group, Inc. | | | 1,842 | | | | 23,430 | |
| Lithia Motors, Inc. — Class A | | | 491 | | | | 23,313 | |
| Asbury Automotive Group, Inc.* | | | 628 | | | | 23,041 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 1,131 | | | | 22,892 | |
| Grand Canyon Education, Inc.* | | | 899 | | | | 22,825 | |
| OfficeMax, Inc. | | | 1,946 | | | | 22,593 | |
| Standard Pacific Corp.*,1 | | | 2,598 | | | | 22,447 | |
| Finish Line, Inc. — Class A | | | 1,139 | | | | 22,313 | |
| Francesca’s Holdings Corp.*,1 | | | 778 | | | | 22,297 | |
| Matthews International Corp. — Class A | | | 635 | | | | 22,155 | |
| Sturm Ruger & Company, Inc. | | | 433 | | | | 21,966 | |
| La-Z-Boy, Inc. | | | 1,161 | | | | 21,908 | |
| Orient-Express Hotels Ltd. — Class A* | | | 2,174 | | | | 21,436 | |
| Sonic Automotive, Inc. — Class A | | | 958 | | | | 21,229 | |
| Belo Corp. — Class A | | | 2,102 | | | | 20,663 | |
| International Speedway Corp. — Class A | | | 627 | | | | 20,490 | |
| SHFL Entertainment, Inc.* | | | 1,235 | | | | 20,464 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 1,499 | | | | 20,461 | |
| Churchill Downs, Inc. | | | 292 | | | | 20,452 | |
| Dorman Products, Inc. | | | 546 | | | | 20,317 | |
| AFC Enterprises, Inc.* | | | 548 | | | | 19,909 | |
| National CineMedia, Inc. | | | 1,258 | | | | 19,851 | |
| Ameristar Casinos, Inc. | | | 742 | | | | 19,463 | |
| Pinnacle Entertainment, Inc.* | | | 1,329 | | | | 19,430 | |
| Krispy Kreme Doughnuts, Inc.* | | | 1,338 | | | | 19,321 | |
| Interval Leisure Group, Inc. | | | 875 | | | | 19,023 | |
| BJ’s Restaurants, Inc.* | | | 552 | | | | 18,371 | |
| Ethan Allen Interiors, Inc. | | | 547 | | | | 18,007 | |
| Skechers U.S.A., Inc. — Class A* | | | 846 | | | | 17,893 | |
| Stage Stores, Inc. | | | 691 | | | | 17,883 | |
| Quiksilver, Inc.* | | | 2,933 | | | | 17,803 | |
| Oxford Industries, Inc. | | | 315 | | | | 16,727 | |
| Sonic Corp.* | | | 1,277 | | | | 16,448 | |
| Steiner Leisure Ltd.* | | | 340 | | | | 16,442 | |
| Drew Industries, Inc. | | | 434 | | | | 15,759 | |
| Columbia Sportswear Co.1 | | | 272 | | | | 15,743 | |
| iRobot Corp.* | | | 613 | | | | 15,730 | |
| Scholastic Corp. | | | 587 | | | | 15,644 | |
| Stewart Enterprises, Inc. — Class A | | | 1,676 | | | | 15,570 | |
| Brown Shoe Company, Inc. | | | 958 | | | | 15,328 | |
| Red Robin Gourmet Burgers, Inc.* | | | 333 | | | | 15,185 | |
| True Religion Apparel, Inc. | | | 581 | | | | 15,170 | |
| G-III Apparel Group Ltd.* | | | 376 | | | | 15,081 | |
| Cato Corp. — Class A | | | 616 | | | | 14,870 | |
| K12, Inc.* | | | 604 | | | | 14,562 | |
| American Public Education, Inc.* | | | 404 | | | | 14,096 | |
| Pep Boys-Manny Moe & Jack* | | | 1,187 | | | | 13,995 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 2,363 | | | | 13,635 | |
| Winnebago Industries, Inc.* | | | 657 | | | | 13,560 | |
| Conn’s, Inc.* | | | 375 | | | | 13,463 | |
| Core-Mark Holding Company, Inc. | | | 260 | | | | 13,341 | |
| CEC Entertainment, Inc. | | | 407 | | | | 13,329 | |
| Hot Topic, Inc. | | | 952 | | | | 13,214 | |
| Movado Group, Inc. | | | 394 | | | | 13,207 | |
| Caesars Entertainment Corp.* | | | 829 | | | | 13,148 | |
| Smith & Wesson Holding Corp.* | | | 1,454 | | | | 13,086 | |
| Strayer Education, Inc. | | | 268 | | | | 12,966 | |
| Multimedia Games Holding Company, Inc.* | | | 618 | | | | 12,898 | |
| Denny’s Corp.* | | | 2,162 | | | | 12,475 | |
| Standard Motor Products, Inc. | | | 447 | | | | 12,391 | |
| Arctic Cat, Inc.* | | | 281 | | | | 12,280 | |
| M/I Homes, Inc.* | | | 476 | | | | 11,638 | |
| American Greetings Corp. — Class A | | | 714 | | | | 11,496 | |
| Fred’s, Inc. — Class A | | | 828 | | | | 11,327 | |
| Biglari Holdings, Inc.* | | | 30 | | | | 11,196 | |
| Zumiez, Inc.*,1 | | | 487 | | | | 11,152 | |
| Gentherm, Inc.* | | | 663 | | | | 10,860 | |
| Vera Bradley, Inc.*,1 | | | 452 | | | | 10,681 | |
| Ruby Tuesday, Inc.* | | | 1,429 | | | | 10,532 | |
| Barnes & Noble, Inc.* | | | 636 | | | | 10,462 | |
| Boyd Gaming Corp.*,1 | | | 1,251 | | | | 10,346 | |
| rue21, Inc.* | | | 348 | | | | 10,228 | |
| Scientific Games Corp. — Class A* | | | 1,167 | | | | 10,211 | |
| Tumi Holdings, Inc.* | | | 480 | | | | 10,051 | |
| Callaway Golf Co. | | | 1,465 | | | | 9,698 | |
| LeapFrog Enterprises, Inc. — Class A* | | | 1,132 | | | | 9,690 | |
| Blue Nile, Inc.* | | | 280 | | | | 9,646 | |
| Fiesta Restaurant Group, Inc.* | | | 363 | | | | 9,645 | |
| Superior Industries International, Inc. | | | 516 | | | | 9,639 | |
| Modine Manufacturing Co.* | | | 1,050 | | | | 9,555 | |
| Five Below, Inc.* | | | 248 | | | | 9,397 | |
| MDC Partners, Inc. — Class A | | | 579 | | | | 9,362 | |
| Maidenform Brands, Inc.* | | | 529 | | | | 9,273 | |
| Haverty Furniture Companies, Inc. | | | 434 | | | | 8,923 | |
| Libbey, Inc.* | | | 456 | | | | 8,815 | |
| Capella Education Co.* | | | 283 | | | | 8,813 | |
| Beazer Homes USA, Inc.* | | | 554 | | | | 8,775 | |
| Mattress Firm Holding Corp.* | | | 251 | | | | 8,670 | |
| America’s Car-Mart, Inc.* | | | 176 | | | | 8,226 | |
| EW Scripps Co. — Class A* | | | 671 | | | | 8,072 | |
| Fisher Communications, Inc. | | | 200 | | | | 7,848 | |
| Universal Electronics, Inc.* | | | 336 | | | | 7,812 | |
| 96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Harte-Hanks, Inc. | | | 1,002 | | | $ | 7,806 | |
| Carriage Services, Inc. — Class A | | | 358 | | | | 7,608 | |
| Ruth’s Hospitality Group, Inc.* | | | 796 | | | | 7,594 | |
| LIN TV Corp. — Class A* | | | 686 | | | | 7,539 | |
| RadioShack Corp.1 | | | 2,235 | | | | 7,510 | |
| Bloomin’ Brands, Inc.* | | | 414 | | | | 7,398 | |
| Cavco Industries, Inc.* | | | 155 | | | | 7,373 | |
| Tuesday Morning Corp.* | | | 940 | | | | 7,294 | |
| Carmike Cinemas, Inc.* | | | 400 | | | | 7,248 | |
| Destination Maternity Corp. | | | 298 | | | | 6,973 | |
| Bravo Brio Restaurant Group, Inc.* | | | 437 | | | | 6,918 | |
| Shoe Carnival, Inc. | | | 319 | | | | 6,520 | |
| NACCO Industries, Inc. — Class A | | | 119 | | | | 6,350 | |
| MarineMax, Inc.* | | | 454 | | | | 6,170 | |
| Wet Seal, Inc. — Class A* | | | 2,036 | | | | 6,149 | |
| PetMed Express, Inc. | | | 458 | | | | 6,144 | |
| Journal Communications, Inc. — Class A* | | | 908 | | | | 6,102 | |
| Unifi, Inc.* | | | 315 | | | | 6,017 | |
| Universal Technical Institute, Inc. | | | 471 | | | | 5,949 | |
| Big 5 Sporting Goods Corp. | | | 369 | | | | 5,760 | |
| CSS Industries, Inc. | | | 221 | | | | 5,739 | |
| Fuel Systems Solutions, Inc.* | | | 333 | | | | 5,485 | |
| NutriSystem, Inc. | | | 641 | | | | 5,436 | |
| World Wrestling Entertainment, Inc. — Class A | | | 612 | | | | 5,398 | |
| Shutterstock, Inc.* | | | 120 | | | | 5,398 | |
| JAKKS Pacific, Inc. | | | 496 | | | | 5,203 | |
| Stein Mart, Inc. | | | 613 | | | | 5,137 | |
| Marcus Corp. | | | 408 | | | | 5,096 | |
| Jamba, Inc.* | | | 1,740 | | | | 4,959 | |
| Saga Communications, Inc. — Class A | | | 107 | | | | 4,950 | |
| Town Sports International Holdings, Inc. | | | 520 | | | | 4,919 | |
| Chuy’s Holdings, Inc.* | | | 150 | | | | 4,887 | |
| Stoneridge, Inc.* | | | 628 | | | | 4,792 | |
| Destination XL Group, Inc.* | | | 941 | | | | 4,790 | |
| Perry Ellis International, Inc. | | | 262 | | | | 4,766 | |
| Exide Technologies* | | | 1,759 | | | | 4,749 | |
| Speedway Motorsports, Inc. | | | 263 | | | | 4,731 | |
| Cumulus Media, Inc. — Class A* | | | 1,393 | | | | 4,694 | |
| Nexstar Broadcasting Group, Inc. — Class A | | | 256 | | | | 4,608 | |
| Rentrak Corp.* | | | 207 | | | | 4,550 | |
| VOXX International Corp. — Class A* | | | 407 | | | | 4,359 | |
| Black Diamond, Inc.* | | | 472 | | | | 4,300 | |
| Restoration Hardware Holdings, Inc.* | | | 120 | | | | 4,200 | |
| Zagg, Inc.* | | | 569 | | | | 4,142 | |
| Entercom Communications Corp. — Class A* | | | 546 | | | | 4,062 | |
| Spartan Motors, Inc. | | | 762 | | | | 4,046 | |
| Bassett Furniture Industries, Inc. | | | 250 | | | | 3,990 | |
| Blyth, Inc. | | | 229 | | | | 3,975 | |
| Digital Generation, Inc.* | | | 615 | | | | 3,954 | |
| Bridgepoint Education, Inc.* | | | 386 | | | | 3,949 | |
| LifeLock, Inc.* | | | 410 | | | | 3,948 | |
| West Marine, Inc.* | | | 339 | | | | 3,875 | |
| Hooker Furniture Corp. | | | 239 | | | | 3,810 | |
| McClatchy Co. — Class A* | | | 1,307 | | | | 3,790 | |
| Weyco Group, Inc. | | | 153 | | | | 3,750 | |
| Steinway Musical Instruments, Inc.* | | | 156 | | | | 3,747 | |
| Bon-Ton Stores, Inc. | | | 287 | | | | 3,731 | |
| Corinthian Colleges, Inc.* | | | 1,759 | | | | 3,694 | |
| Entravision Communications Corp. — Class A | | | 1,141 | | | | 3,640 | |
| Vitacost.com, Inc.* | | | 500 | | | | 3,615 | |
| Kirkland’s, Inc.* | | | 309 | | | | 3,541 | |
| hhgregg, Inc.* | | | 320 | | | | 3,536 | |
| Central European Media Enterprises Ltd. — Class A* | | | 829 | | | | 3,498 | |
| bebe stores, Inc. | | | 833 | | | | 3,474 | |
| Body Central Corp.* | | | 367 | | | | 3,450 | |
| Mac-Gray Corp. | | | 268 | | | | 3,430 | |
| Citi Trends, Inc.* | | | 335 | | | | 3,427 | |
| ReachLocal, Inc.* | | | 227 | | | | 3,396 | |
| Luby’s, Inc.* | | | 454 | | | | 3,396 | |
| Overstock.com, Inc.* | | | 264 | | | | 3,252 | |
| Global Sources Ltd.* | | | 425 | | | | 3,213 | |
| Kayak Software Corp.* | | | 80 | | | | 3,197 | |
| Culp, Inc. | | | 199 | | | | 3,166 | |
| Bluegreen Corp.* | | | 320 | | | | 3,149 | |
| Johnson Outdoors, Inc. — Class A* | | | 129 | | | | 3,075 | |
| Winmark Corp. | | | 48 | | | | 3,024 | |
| Outdoor Channel Holdings, Inc. | | | 336 | | | | 2,997 | |
| Lincoln Educational Services Corp. | | | 509 | | | | 2,983 | |
| Orbitz Worldwide, Inc.* | | | 521 | | | | 2,975 | |
| Morgans Hotel Group Co.* | | | 500 | | | | 2,960 | |
| Isle of Capri Casinos, Inc.* | | | 467 | | | | 2,937 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 589 | | | | 2,927 | |
| K-Swiss, Inc. — Class A* | | | 596 | | | | 2,825 | |
| Career Education Corp.* | | | 1,165 | | | | 2,761 | |
| Tilly’s, Inc. — Class A* | | | 211 | | | | 2,684 | |
| Nathan’s Famous, Inc.* | | | 63 | | | | 2,662 | |
| RG Barry Corp. | | | 197 | | | | 2,638 | |
| Delta Apparel, Inc.* | | | 158 | | | | 2,602 | |
| Daily Journal Corp.* | | | 23 | | | | 2,553 | |
| Cherokee, Inc. | | | 185 | | | | 2,535 | |
| Federal-Mogul Corp.* | | | 420 | | | | 2,533 | |
| Lifetime Brands, Inc. | | | 220 | | | | 2,510 | |
| New York & Company, Inc.* | | | 611 | | | | 2,499 | |
| Systemax, Inc. | | | 249 | | | | 2,465 | |
| Flexsteel Industries, Inc. | | | 96 | | | | 2,375 | |
| Ignite Restaurant Group, Inc.* | | | 153 | | | | 2,246 | |
| Gordmans Stores, Inc.* | | | 191 | | | | 2,237 | |
| Red Lion Hotels Corp.* | | | 311 | | | | 2,211 | |
| Education Management Corp.* | | | 599 | | | | 2,198 | |
| Del Frisco’s Restaurant Group, Inc.* | | | 130 | | | | 2,158 | |
| Reading International, Inc. — Class A* | | | 378 | | | | 2,117 | |
| Einstein Noah Restaurant Group, Inc. | | | 137 | | | | 2,032 | |
| Skullcandy, Inc.* | | | 365 | | | | 1,927 | |
| Monarch Casino & Resort, Inc.* | | | 195 | | | | 1,897 | |
| Tower International, Inc.* | | | 129 | | | | 1,806 | |
| Salem Communications Corp. — Class A | | | 225 | | | | 1,784 | |
| Carrols Restaurant Group, Inc.* | | | 339 | | | | 1,759 | |
| Marine Products Corp. | | | 229 | | | | 1,685 | |
| MTR Gaming Group, Inc.* | | | 508 | | | | 1,676 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Martha Stewart Living Omnimedia — Class A* | | | 625 | | | $ | 1,650 | |
| Crown Media Holdings, Inc. — Class A* | | | 776 | | | | 1,591 | |
| Premier Exhibitions, Inc.* | | | 582 | | | | 1,548 | |
| Collectors Universe, Inc. | | | 122 | | | | 1,436 | |
| Shiloh Industries, Inc. | | | 133 | | | | 1,432 | |
| Geeknet, Inc.* | | | 96 | | | | 1,418 | |
| Frisch’s Restaurants, Inc. | | | 70 | | | | 1,256 | |
| National American University Holdings, Inc. | | | 227 | | | | 885 | |
| Perfumania Holdings, Inc.* | | | 113 | | | | 651 | |
| CafePress, Inc.* | | | 99 | | | | 595 | |
| Beasley Broadcasting Group, Inc. — Class A | | | 100 | | | | 590 | |
| US Auto Parts Network, Inc.* | | | 333 | | | | 400 | |
| Value Line, Inc. | | | 31 | | | | 292 | |
| Orchard Supply Hardware Stores Corp. — Class A* | | | 38 | | | | 150 | |
| Total Consumer Discretionary | | | | | | | 4,152,724 | |
| Health Care - 7.8% | | | | | | | | |
| Pharmacyclics, Inc.* | | | 1,221 | | | | 98,180 | |
| athenahealth, Inc.*,1 | | | 805 | | | | 78,118 | |
| Seattle Genetics, Inc.* | | | 2,135 | | | | 75,813 | |
| Cubist Pharmaceuticals, Inc.* | | | 1,420 | | | | 66,483 | |
| Alkermes plc* | | | 2,749 | | | | 65,179 | |
| HealthSouth Corp.* | | | 2,146 | | | | 56,591 | |
| Cepheid, Inc.* | | | 1,472 | | | | 56,481 | |
| WellCare Health Plans, Inc.* | | | 968 | | | | 56,104 | |
| Align Technology, Inc.* | | | 1,610 | | | | 53,950 | |
| STERIS Corp. | | | 1,295 | | | | 53,885 | |
| PAREXEL International Corp.* | | | 1,347 | | | | 53,219 | |
| HMS Holdings Corp.* | | | 1,928 | | | | 52,344 | |
| Jazz Pharmaceuticals plc* | | | 935 | | | | 52,275 | |
| Centene Corp.* | | | 1,155 | | | | 50,866 | |
| West Pharmaceutical Services, Inc. | | | 758 | | | | 49,225 | |
| Haemonetics Corp.* | | | 1,134 | | | | 47,242 | |
| Owens & Minor, Inc. | | | 1,431 | | | | 46,594 | |
| Air Methods Corp. | | | 866 | | | | 41,776 | |
| Medicines Co.* | | | 1,239 | | | | 41,406 | |
| Arena Pharmaceuticals, Inc.*,1 | | | 4,870 | | | | 39,983 | |
| Questcor Pharmaceuticals, Inc.1 | | | 1,213 | | | | 39,471 | |
| Isis Pharmaceuticals, Inc.* | | | 2,249 | | | | 38,098 | |
| MWI Veterinary Supply, Inc.* | | | 286 | | | | 37,826 | |
| ViroPharma, Inc.* | | | 1,481 | | | | 37,262 | |
| Chemed Corp. | | | 429 | | | | 34,311 | |
| Theravance, Inc.* | | | 1,364 | | | | 32,218 | |
| Infinity Pharmaceuticals, Inc.* | | | 639 | | | | 30,972 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 1,685 | | | | 30,819 | |
| Insulet Corp.* | | | 1,173 | | | | 30,334 | |
| ImmunoGen, Inc.*,1 | | | 1,879 | | | | 30,177 | |
| Alnylam Pharmaceuticals, Inc.* | | | 1,233 | | | | 30,048 | |
| Magellan Health Services, Inc.* | | | 615 | | | | 29,256 | |
| Cyberonics, Inc.* | | | 623 | | | | 29,163 | |
| Medidata Solutions, Inc.* | | | 501 | | | | 29,048 | |
| Acorda Therapeutics, Inc.* | | | 899 | | | | 28,795 | |
| Nektar Therapeutics* | | | 2,578 | | | | 28,358 | |
| HeartWare International, Inc.* | | | 316 | | | | 27,944 | |
| Volcano Corp.* | | | 1,197 | | | | 26,645 | |
| Neogen Corp.* | | | 533 | | | | 26,421 | |
| DexCom, Inc.* | | | 1,541 | | | | 25,766 | |
| Aegerion Pharmaceuticals, Inc.* | | | 631 | | | | 25,455 | |
| MedAssets, Inc.* | | | 1,313 | | | | 25,275 | |
| Vivus, Inc.*,1 | | | 2,245 | | | | 24,695 | |
| Hanger, Inc.* | | | 767 | | | | 24,184 | |
| Amsurg Corp. — Class A* | | | 712 | | | | 23,952 | |
| Wright Medical Group, Inc.* | | | 990 | | | | 23,572 | |
| Team Health Holdings, Inc.* | | | 638 | | | | 23,210 | |
| Impax Laboratories, Inc.* | | | 1,503 | | | | 23,206 | |
| Abaxis, Inc. | | | 488 | | | | 23,092 | |
| PDL BioPharma, Inc.1 | | | 3,144 | | | | 22,983 | |
| Masimo Corp. | | | 1,126 | | | | 22,092 | |
| CONMED Corp. | | | 633 | | | | 21,560 | |
| ArthroCare Corp.* | | | 619 | | | | 21,516 | |
| Analogic Corp. | | | 272 | | | | 21,493 | |
| Santarus, Inc.* | | | 1,234 | | | | 21,385 | |
| Meridian Bioscience, Inc. | | | 929 | | | | 21,200 | |
| Celldex Therapeutics, Inc.* | | | 1,809 | | | | 20,948 | |
| Molina Healthcare, Inc.* | | | 677 | | | | 20,899 | |
| NuVasive, Inc.* | | | 967 | | | | 20,607 | |
| Endologix, Inc.* | | | 1,241 | | | | 20,042 | |
| NPS Pharmaceuticals, Inc.* | | | 1,935 | | | | 19,718 | |
| Emeritus Corp.* | | | 695 | | | | 19,314 | |
| Exelixis, Inc.*,1 | | | 4,120 | | | | 19,034 | |
| Auxilium Pharmaceuticals, Inc.* | | | 1,092 | | | | 18,870 | |
| Opko Health, Inc.*,1 | | | 2,402 | | | | 18,327 | |
| Neurocrine Biosciences, Inc.* | | | 1,495 | | | | 18,149 | |
| Acadia Healthcare Company, Inc.* | | | 610 | | | | 17,928 | |
| Akorn, Inc.* | | | 1,275 | | | | 17,633 | |
| Integra LifeSciences Holdings Corp.* | | | 436 | | | | 17,008 | |
| Conceptus, Inc.* | | | 702 | | | | 16,953 | |
| Capital Senior Living Corp.* | | | 633 | | | | 16,730 | |
| IPC The Hospitalist Company, Inc.* | | | 376 | | | | 16,724 | |
| InterMune, Inc.* | | | 1,829 | | | | 16,552 | |
| Dendreon Corp.*,1 | | | 3,460 | | | | 16,366 | |
| ICU Medical, Inc.* | | | 277 | | | | 16,329 | |
| Quality Systems, Inc. | | | 884 | | | | 16,160 | |
| Greatbatch, Inc.* | | | 531 | | | | 15,861 | |
| AMN Healthcare Services, Inc.* | | | 997 | | | | 15,783 | |
| Luminex Corp.* | | | 938 | | | | 15,496 | |
| Orthofix International N.V.* | | | 423 | | | | 15,173 | |
| Quidel Corp.* | | | 631 | | | | 14,986 | |
| Bio-Reference Labs, Inc.* | | | 556 | | | | 14,445 | |
| Cantel Medical Corp. | | | 479 | | | | 14,399 | |
| Omnicell, Inc.* | | | 759 | | | | 14,330 | |
| Spectranetics Corp.* | | | 771 | | | | 14,287 | |
| Exact Sciences Corp.* | | | 1,434 | | | | 14,053 | |
| Momenta Pharmaceuticals, Inc.* | | | 1,049 | | | | 13,994 | |
| ABIOMED, Inc.* | | | 748 | | | | 13,965 | |
| Synageva BioPharma Corp.* | | | 250 | | | | 13,730 | |
| Computer Programs & Systems, Inc. | | | 248 | | | | 13,419 | |
| NxStage Medical, Inc.* | | | 1,166 | | | | 13,152 | |
| 98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Rigel Pharmaceuticals, Inc.* | | | 1,921 | | | $ | 13,044 | |
| Ensign Group, Inc. | | | 386 | | | | 12,892 | |
| Accretive Health, Inc.* | | | 1,268 | | | | 12,883 | |
| Keryx Biopharmaceuticals, Inc.* | | | 1,829 | | | | 12,876 | |
| Array BioPharma, Inc.* | | | 2,612 | | | | 12,851 | |
| Optimer Pharmaceuticals, Inc.* | | | 1,058 | | | | 12,590 | |
| Kindred Healthcare, Inc.* | | | 1,193 | | | | 12,562 | |
| BioScrip, Inc.* | | | 987 | | | | 12,545 | |
| Pacira Pharmaceuticals, Inc.* | | | 413 | | | | 11,919 | |
| Landauer, Inc. | | | 208 | | | | 11,727 | |
| Achillion Pharmaceuticals, Inc.* | | | 1,333 | | | | 11,650 | |
| Halozyme Therapeutics, Inc.* | | | 2,015 | | | | 11,627 | |
| Merit Medical Systems, Inc.* | | | 948 | | | | 11,622 | |
| AMAG Pharmaceuticals, Inc.* | | | 479 | | | | 11,424 | |
| ExamWorks Group, Inc.* | | | 658 | | | | 11,397 | |
| Sangamo Biosciences, Inc.* | | | 1,184 | | | | 11,319 | |
| National Healthcare Corp. | | | 239 | | | | 10,927 | |
| Sequenom, Inc.*,1 | | | 2,572 | | | | 10,674 | |
| Vanguard Health Systems, Inc.* | | | 715 | | | | 10,632 | |
| Lexicon Pharmaceuticals, Inc.* | | | 4,752 | | | | 10,359 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 386 | | | | 10,287 | |
| Genomic Health, Inc.* | | | 363 | | | | 10,266 | |
| MannKind Corp.* | | | 3,026 | | | | 10,258 | |
| Orexigen Therapeutics, Inc.* | | | 1,630 | | | | 10,188 | |
| HealthStream, Inc.* | | | 443 | | | | 10,162 | |
| Fluidigm Corp.* | | | 542 | | �� | | 10,032 | |
| Spectrum Pharmaceuticals, Inc.1 | | | 1,340 | | | | 9,996 | |
| MAKO Surgical Corp.* | | | 890 | | | | 9,924 | |
| Dyax Corp.* | | | 2,217 | | | | 9,666 | |
| Symmetry Medical, Inc.* | | | 824 | | | | 9,435 | |
| Invacare Corp. | | | 719 | | | | 9,383 | |
| PharMerica Corp.* | | | 667 | | | | 9,338 | |
| Astex Pharmaceuticals* | | | 2,089 | | | | 9,317 | |
| Healthways, Inc.* | | | 750 | | | | 9,188 | |
| Cadence Pharmaceuticals, Inc.* | | | 1,352 | | | | 9,045 | |
| Natus Medical, Inc.* | | | 662 | | | | 8,897 | |
| Clovis Oncology, Inc.* | | | 310 | | | | 8,888 | |
| Dynavax Technologies Corp.* | | | 3,916 | | | | 8,694 | |
| Antares Pharma, Inc.* | | | 2,400 | | | | 8,592 | |
| Cambrex Corp.* | | | 669 | | | | 8,557 | |
| AVANIR Pharmaceuticals, Inc. — Class A* | | | 3,054 | | | | 8,368 | |
| Endocyte, Inc.* | | | 665 | | | | 8,279 | |
| Emergent Biosolutions, Inc.* | | | 577 | | | | 8,066 | |
| Hi-Tech Pharmacal Company, Inc. | | | 239 | | | | 7,913 | |
| SurModics, Inc.* | | | 289 | | | | 7,875 | |
| Cardiovascular Systems, Inc.* | | | 379 | | | | 7,762 | |
| Obagi Medical Products, Inc.* | | | 390 | | | | 7,703 | |
| Synta Pharmaceuticals Corp.*,1 | | | 894 | | | | 7,688 | |
| Triple-S Management Corp. — Class B* | | | 437 | | | | 7,613 | |
| AVEO Pharmaceuticals, Inc.* | | | 1,029 | | | | 7,563 | |
| Amedisys, Inc.* | | | 675 | | | | 7,506 | |
| Atrion Corp. | | | 39 | | | | 7,488 | |
| Affymetrix, Inc.* | | | 1,583 | | | | 7,472 | |
| Accuray, Inc.* | | | 1,605 | | | | 7,447 | |
| Gentiva Health Services, Inc.* | | | 686 | | | | 7,423 | |
| Depomed, Inc.* | | | 1,257 | | | | 7,379 | |
| LHC Group, Inc.* | | | 337 | | | | 7,242 | |
| Idenix Pharmaceuticals, Inc.* | | | 2,021 | | | | 7,195 | |
| Cynosure, Inc. — Class A* | | | 273 | | | | 7,144 | |
| US Physical Therapy, Inc. | | | 266 | | | | 7,142 | |
| Select Medical Holdings Corp. | | | 790 | | | | 7,110 | |
| Universal American Corp. | | | 845 | | | | 7,039 | |
| XenoPort, Inc.* | | | 964 | | | | 6,893 | |
| Tornier N.V.* | | | 362 | | | | 6,824 | |
| Raptor Pharmaceutical Corp.* | | | 1,166 | | | | 6,821 | |
| Corvel Corp.* | | | 137 | | | | 6,780 | |
| Vical, Inc.* | | | 1,703 | | | | 6,778 | |
| Novavax, Inc.* | | | 2,915 | | | | 6,646 | |
| OraSure Technologies, Inc.* | | | 1,218 | | | | 6,577 | |
| Navidea Biopharmaceuticals, Inc.* | | | 2,400 | | | | 6,504 | |
| XOMA Corp.* | | | 1,833 | | | | 6,397 | |
| Five Star Quality Care, Inc.* | | | 954 | | | | 6,382 | |
| AngioDynamics, Inc.* | | | 554 | | | | 6,332 | |
| Repros Therapeutics, Inc.* | | | 381 | | | | 6,134 | |
| Furiex Pharmaceuticals, Inc.* | | | 162 | | | | 6,072 | |
| Vascular Solutions, Inc.* | | | 371 | | | | 6,018 | |
| SciClone Pharmaceuticals, Inc.* | | | 1,276 | | | | 5,870 | |
| Palomar Medical Technologies, Inc.* | | | 434 | | | | 5,855 | |
| Curis, Inc.* | | | 1,777 | | | | 5,829 | |
| Synergy Pharmaceuticals, Inc.* | | | 925 | | | | 5,615 | |
| Cerus Corp.* | | | 1,223 | | | | 5,406 | |
| Providence Service Corp.* | | | 292 | | | | 5,399 | |
| Assisted Living Concepts, Inc. — Class A | | | 434 | | | | 5,160 | |
| Progenics Pharmaceuticals, Inc.* | | | 935 | | | | 5,040 | |
| RTI Biologics, Inc.* | | | 1,250 | | | | 4,925 | |
| Repligen Corp.* | | | 697 | | | | 4,816 | |
| Trius Therapeutics, Inc.* | | | 695 | | | | 4,754 | |
| PhotoMedex, Inc.* | | | 293 | | | | 4,714 | |
| Threshold Pharmaceuticals, Inc.* | | | 1,015 | | | | 4,679 | |
| Staar Surgical Co.* | | | 817 | | | | 4,600 | |
| Unilife Corp.*,1 | | | 2,024 | | | | 4,412 | |
| NewLink Genetics Corp.* | | | 348 | | | | 4,270 | |
| Intercept Pharmaceuticals, Inc.* | | | 110 | | | | 4,114 | |
| Exactech, Inc.* | | | 197 | | | | 4,076 | |
| Anika Therapeutics, Inc.* | | | 269 | | | | 3,906 | |
| Coronado Biosciences, Inc.* | | | 400 | | | | 3,888 | |
| Osiris Therapeutics, Inc.* | | | 370 | | | | 3,848 | |
| Merge Healthcare, Inc.* | | | 1,328 | | | | 3,838 | |
| Almost Family, Inc. | | | 183 | | | | 3,739 | |
| Sagent Pharmaceuticals, Inc.* | | | 212 | | | | 3,721 | |
| Utah Medical Products, Inc. | | | 76 | | | | 3,707 | |
| CryoLife, Inc. | | | 615 | | | | 3,696 | |
| OncoGenex Pharmaceutical, Inc.* | | | 325 | | | | 3,682 | |
| Sunesis Pharmaceuticals, Inc.* | | | 667 | | | | 3,648 | |
| Vocera Communications, Inc.* | | | 158 | | | | 3,634 | |
| Lannett Company, Inc.* | | | 359 | | | | 3,629 | |
| Chindex International, Inc.* | | | 264 | | | | 3,627 | |
| Immunomedics, Inc.* | | | 1,482 | | | | 3,572 | |
| National Research Corp. | | | 61 | | | | 3,540 | |
| Rochester Medical Corp.* | | | 242 | | | | 3,538 | |
| Cytori Therapeutics, Inc.* | | | 1,374 | | | | 3,449 | |
| Arqule, Inc.* | | | 1,327 | | | | 3,437 | |
| Solta Medical, Inc.* | | | 1,541 | | | | 3,390 | |
| Enzon Pharmaceuticals, Inc. | | | 877 | | | | 3,333 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 99 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Cross Country Healthcare, Inc.* | | | 614 | | | $ | 3,260 | |
| Globus Medical, Inc. — Class A* | | | 219 | | | | 3,215 | |
| Derma Sciences, Inc.* | | | 265 | | | | 3,201 | |
| Geron Corp.* | | | 2,969 | | | | 3,177 | |
| AtriCure, Inc.* | | | 401 | | | | 3,176 | |
| Harvard Bioscience, Inc.* | | | 560 | | | | 3,164 | |
| Pozen, Inc.* | | | 599 | | | | 3,157 | |
| ImmunoCellular Therapeutics Ltd.* | | | 1,146 | | | | 3,140 | |
| Pain Therapeutics, Inc. | | | 857 | | | | 2,940 | |
| Greenway Medical Technologies* | | | 178 | | | | 2,830 | |
| SIGA Technologies, Inc.* | | | 788 | | | | 2,821 | |
| Skilled Healthcare Group, Inc. — Class A* | | | 428 | | | | 2,812 | |
| ZIOPHARM Oncology, Inc.* | | | 1,497 | | | | 2,740 | |
| KYTHERA Biopharmaceuticals, Inc.* | | | 110 | | | | 2,680 | |
| Oncothyreon, Inc.* | | | 1,279 | | | | 2,660 | |
| Ampio Pharmaceuticals, Inc.* | | | 580 | | | | 2,651 | |
| Targacept, Inc.* | | | 609 | | | | 2,607 | |
| Biotime, Inc.* | | | 682 | | | | 2,605 | |
| Alphatec Holdings, Inc.* | | | 1,232 | | | | 2,600 | |
| BioDelivery Sciences International, Inc.* | | | 600 | | | | 2,526 | |
| Hansen Medical, Inc.*,1 | | | 1,237 | | | | 2,486 | |
| Vanda Pharmaceuticals, Inc.* | | | 633 | | | | 2,481 | |
| GTx, Inc.* | | | 589 | | | | 2,444 | |
| Omeros Corp.* | | | 575 | | | | 2,369 | |
| Anacor Pharmaceuticals, Inc.* | | | 366 | | | | 2,364 | |
| TESARO, Inc.* | | | 107 | | | | 2,350 | |
| Regulus Therapeutics, Inc.* | | | 290 | | | | 2,248 | |
| Discovery Laboratories, Inc.* | | | 970 | | | | 2,221 | |
| Zogenix, Inc.* | | | 1,228 | | | | 2,210 | |
| Corcept Therapeutics, Inc.* | | | 1,104 | | | | 2,208 | |
| Hyperion Therapeutics, Inc.* | | | 84 | | | | 2,169 | |
| Amicus Therapeutics, Inc.* | | | 678 | | | | 2,149 | |
| Agenus, Inc.* | | | 549 | | | | 2,136 | |
| Pacific Biosciences of California, Inc.* | | | 836 | | | | 2,082 | |
| Merrimack Pharmaceuticals, Inc.* | | | 340 | | | | 2,074 | |
| Biospecifics Technologies Corp.* | | | 112 | | | | 1,910 | |
| Rockwell Medical Technologies, Inc.* | | | 473 | | | | 1,873 | |
| Durata Therapeutics, Inc.* | | | 190 | | | | 1,710 | |
| Sucampo Pharmaceuticals, Inc. — Class A* | | | 248 | | | | 1,622 | |
| ChemoCentryx, Inc.* | | | 117 | | | | 1,617 | |
| Horizon Pharma, Inc.* | | | 577 | | | | 1,564 | |
| Maxygen, Inc. | | | 622 | | | | 1,499 | |
| Zeltiq Aesthetics, Inc.* | | | 375 | | | | 1,433 | |
| Codexis, Inc.* | | | 589 | | | | 1,408 | |
| Transcept Pharmaceuticals, Inc.* | | | 282 | | | | 1,351 | |
| Cornerstone Therapeutics, Inc.* | | | 189 | | | | 1,336 | |
| Cumberland Pharmaceuticals, Inc.* | | | 268 | | | | 1,335 | |
| PDI, Inc.* | | | 225 | | | | 1,328 | |
| Verastem, Inc.* | | | 137 | | | | 1,318 | |
| Ventrus Biosciences, Inc.* | | | 440 | | | | 1,316 | |
| BioCryst Pharmaceuticals, Inc.* | | | 1,102 | | | | 1,311 | |
| Affymax, Inc.* | | | 810 | | | | 1,126 | |
| Pernix Therapeutics Holdings* | | | 205 | | | | 1,017 | |
| BG Medicine, Inc.* | | | 334 | | | | 621 | |
| Cempra, Inc.* | | | 90 | | | | 608 | |
| EnteroMedics, Inc.* | | | 596 | | | | 596 | |
| Acura Pharmaceuticals, Inc.* | | | 271 | | | | 577 | |
| Supernus Pharmaceuticals, Inc.* | | | 100 | | | | 562 | |
| Total Health Care | | | | | | | 3,677,435 | |
| Energy - 4.0% | | | | | | | | |
| Dril-Quip, Inc.* | | | 899 | | | | 78,367 | |
| Gulfport Energy Corp.* | | | 1,708 | | | | 78,277 | |
| Oasis Petroleum, Inc.* | | | 1,798 | | | | 68,449 | |
| Rosetta Resources, Inc.* | | | 1,189 | | | | 56,572 | |
| Berry Petroleum Co. — Class A | | | 1,180 | | | | 54,622 | |
| Helix Energy Solutions Group, Inc.* | | | 2,376 | | | | 54,363 | |
| Kodiak Oil & Gas Corp.* | | | 5,919 | | | | 53,804 | |
| Bristow Group, Inc. | | | 800 | | | | 52,752 | |
| Lufkin Industries, Inc. | | | 754 | | | | 50,058 | |
| SemGroup Corp. — Class A* | | | 943 | | | | 48,771 | |
| Energy XXI Bermuda Ltd. | | | 1,777 | | | | 48,370 | |
| Western Refining, Inc. | | | 1,288 | | | | 45,609 | |
| Targa Resources Corp. | | | 652 | | | | 44,310 | |
| Exterran Holdings, Inc.* | | | 1,460 | | | | 39,420 | |
| McMoRan Exploration Co.* | | | 2,283 | | | | 37,327 | |
| Hornbeck Offshore Services, Inc.* | | | 798 | | | | 37,075 | |
| PDC Energy, Inc.* | | | 677 | | | | 33,559 | |
| Geospace Technologies Corp.* | | | 289 | | | | 31,189 | |
| Key Energy Services, Inc.* | | | 3,391 | | | | 27,399 | |
| Hercules Offshore, Inc.* | | | 3,559 | | | | 26,407 | |
| Arch Coal, Inc. | | | 4,775 | | | | 25,928 | |
| Cloud Peak Energy, Inc.* | | | 1,367 | | | | 25,672 | |
| Stone Energy Corp.* | | | 1,113 | | | | 24,208 | |
| Gulfmark Offshore, Inc. — Class A | | | 605 | | | | 23,571 | |
| Carrizo Oil & Gas, Inc.* | | | 894 | | | | 23,038 | |
| C&J Energy Services, Inc.* | | | 1,005 | | | | 23,015 | |
| Bill Barrett Corp.* | | | 1,080 | | | | 21,892 | |
| Northern Oil and Gas, Inc.* | | | 1,432 | | | | 20,592 | |
| ION Geophysical Corp.* | | | 2,964 | | | | 20,185 | |
| Halcon Resources Corp.* | | | 2,508 | | | | 19,537 | |
| CVR Energy, Inc. | | | 376 | | | | 19,409 | |
| Ship Finance International Ltd. | | | 1,093 | | | | 19,281 | |
| Clean Energy Fuels Corp.* | | | 1,480 | | | | 19,240 | |
| Newpark Resources, Inc.* | | | 2,022 | | | | 18,764 | |
| Approach Resources, Inc.* | | | 744 | | | | 18,310 | |
| TETRA Technologies, Inc.* | | | 1,748 | | | | 17,934 | |
| Crosstex Energy, Inc. | | | 917 | | | | 17,661 | |
| Comstock Resources, Inc.* | | | 1,086 | | | | 17,648 | |
| EPL Oil & Gas, Inc.* | | | 627 | | | | 16,810 | |
| Scorpio Tankers, Inc.* | | | 1,872 | | | | 16,698 | |
| Rex Energy Corp.* | | | 974 | | | | 16,052 | |
| Delek US Holdings, Inc. | | | 379 | | | | 14,955 | |
| Forum Energy Technologies, Inc.* | | | 495 | | | | 14,236 | |
| Swift Energy Co.* | | | 959 | | | | 14,203 | |
| Forest Oil Corp.* | | | 2,645 | | | | 13,913 | |
| Nordic American Tankers Ltd.1 | | | 1,190 | | | | 13,745 | |
| Heckmann Corp.*,1 | | | 3,166 | | | | 13,582 | |
| Magnum Hunter Resources Corp.*,1 | | | 3,312 | | | | 13,281 | |
| Resolute Energy Corp.* | | | 1,084 | | | | 12,477 | |
| Rentech, Inc. | | | 5,130 | | | | 12,056 | |
| 100 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Contango Oil & Gas Co. | | | 289 | | | $ | 11,586 | |
| Pioneer Energy Services Corp.* | | | 1,387 | | | | 11,443 | |
| Parker Drilling Co.* | | | 2,646 | | | | 11,325 | |
| W&T Offshore, Inc. | | | 782 | | | | 11,104 | |
| PHI, Inc.* | | | 292 | | | | 9,989 | |
| Vaalco Energy, Inc.* | | | 1,298 | | | | 9,852 | |
| Basic Energy Services, Inc.*,1 | | | 697 | | | | 9,528 | |
| Goodrich Petroleum Corp.* | | | 584 | | | | 9,140 | |
| Tesco Corp.* | | | 682 | | | | 9,132 | |
| Bonanza Creek Energy, Inc.* | | | 224 | | | | 8,662 | |
| Matrix Service Co.* | | | 580 | | | | 8,642 | |
| Willbros Group, Inc.* | | | 877 | | | | 8,612 | |
| Diamondback Energy, Inc.* | | | 320 | | | | 8,589 | |
| Vantage Drilling Co.* | | | 4,308 | | | | 7,539 | |
| RigNet, Inc.* | | | 275 | | | | 6,859 | |
| Gulf Island Fabrication, Inc. | | | 324 | | | | 6,823 | |
| GasLog Ltd. | | | 528 | | | | 6,790 | |
| Triangle Petroleum Corp.* | | | 997 | | | | 6,580 | |
| Green Plains Renewable Energy, Inc.* | | | 564 | | | | 6,452 | |
| Synergy Resources Corp.* | | | 880 | | | | 6,037 | |
| Quicksilver Resources, Inc.* | | | 2,635 | | | | 5,929 | |
| Clayton Williams Energy, Inc.* | | | 133 | | | | 5,816 | |
| Solazyme, Inc.* | | | 737 | | | | 5,756 | |
| PetroQuest Energy, Inc.* | | | 1,271 | | | | 5,643 | |
| Dawson Geophysical Co.* | | | 180 | | | | 5,400 | |
| BPZ Resources, Inc.* | | | 2,354 | | | | 5,344 | |
| Sanchez Energy Corp.* | | | 264 | | | | 5,259 | |
| Natural Gas Services Group, Inc.* | | | 273 | | | | 5,258 | |
| Warren Resources, Inc.* | | | 1,616 | | | | 5,187 | |
| Penn Virginia Corp. | | | 1,240 | | | | 5,010 | |
| Mitcham Industries, Inc.* | | | 288 | | | | 4,873 | |
| Midstates Petroleum Company, Inc.* | | | 540 | | | | 4,617 | |
| Knightsbridge Tankers Ltd. | | | 549 | | | | 4,502 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 156 | | | | 4,469 | |
| Abraxas Petroleum Corp.*,1 | | | 1,851 | | | | 4,276 | |
| Alon USA Energy, Inc. | | | 221 | | | | 4,210 | |
| Uranium Energy Corp.* | | | 1,902 | | | | 4,184 | |
| Teekay Tankers Ltd. — Class A | | | 1,420 | | | | 4,047 | |
| FX Energy, Inc.* | | | 1,187 | | | | 3,988 | |
| Cal Dive International, Inc.* | | | 2,156 | | | | 3,881 | |
| Evolution Petroleum Corp.* | | | 370 | | | | 3,756 | |
| Bolt Technology Corp. | | | 197 | | | | 3,440 | |
| TGC Industries, Inc. | | | 331 | | | | 3,277 | |
| Callon Petroleum Co.* | | | 884 | | | | 3,271 | |
| Harvest Natural Resources, Inc.* | | | 882 | | | | 3,096 | |
| Endeavour International Corp.* | | | 1,048 | | | | 3,092 | |
| REX American Resources Corp.* | | | 129 | | | | 2,853 | |
| Matador Resources Co.* | | | 320 | | | | 2,835 | |
| Westmoreland Coal Co.* | | | 246 | | | | 2,795 | |
| KiOR, Inc. — Class A*,1 | | | 597 | | | | 2,776 | |
| Frontline Ltd.* | | | 1,156 | | | | 2,705 | |
| Miller Energy Resources, Inc.* | | | 700 | | | | 2,597 | |
| Apco Oil and Gas International, Inc. | | | 208 | | | | 2,579 | |
| Emerald Oil, Inc.* | | | 359 | | | | 2,527 | |
| Gastar Exploration Ltd.* | | | 1,326 | | | | 2,334 | |
| Isramco, Inc.* | | | 23 | | | | 2,280 | |
| Adams Resources & Energy, Inc. | | | 44 | | | | 2,244 | |
| Amyris, Inc.*,1 | | | 681 | | | | 2,097 | |
| Uranerz Energy Corp.*,1 | | | 1,482 | | | | 1,882 | |
| Gevo, Inc.* | | | 690 | | | | 1,546 | |
| Crimson Exploration, Inc.* | | | 479 | | | | 1,370 | |
| Renewable Energy Group, Inc.* | | | 160 | | | | 1,230 | |
| Saratoga Resources, Inc.* | | | 461 | | | | 1,226 | |
| Forbes Energy Services Ltd.* | | | 328 | | | | 1,207 | |
| Global Geophysical Services, Inc.* | | | 441 | | | | 1,080 | |
| Hallador Energy Co. | | | 151 | | | | 1,042 | |
| ZaZa Energy Corp.* | | | 555 | | | | 1,005 | |
| Ceres, Inc.* | | | 135 | | | | 470 | |
| Total Energy | | | | | | | 1,849,538 | |
| Materials - 3.4% | | | | | | | | |
| Axiall Corp. | | | 1,561 | | | | 97,031 | |
| Eagle Materials, Inc. | | | 1,102 | | | | 73,426 | |
| Louisiana-Pacific Corp.* | | | 3,092 | | | | 66,788 | |
| PolyOne Corp. | | | 2,232 | | | | 54,482 | |
| Chemtura Corp.* | | | 2,221 | | | | 47,995 | |
| Olin Corp. | | | 1,805 | | | | 45,522 | |
| Sensient Technologies Corp. | | | 1,123 | | | | 43,898 | |
| HB Fuller Co. | | | 1,122 | | | | 43,848 | |
| Coeur d’Alene Mines Corp.* | | | 2,023 | | | | 38,154 | |
| Worthington Industries, Inc. | | | 1,178 | | | | 36,494 | |
| Stillwater Mining Co.* | | | 2,603 | | | | 33,657 | |
| Minerals Technologies, Inc. | | | 799 | | | | 33,166 | |
| Texas Industries, Inc.* | | | 503 | | | | 31,744 | |
| Resolute Forest Products* | | | 1,820 | | | | 29,447 | |
| Balchem Corp. | | | 658 | | | | 28,913 | |
| Kaiser Aluminum Corp. | | | 433 | | | | 27,993 | |
| Clearwater Paper Corp.* | | | 527 | | | | 27,767 | |
| Schweitzer-Mauduit International, Inc. | | | 698 | | | | 27,033 | |
| Innophos Holdings, Inc. | | | 492 | | | | 26,844 | |
| Buckeye Technologies, Inc. | | | 890 | | | | 26,656 | |
| SunCoke Energy, Inc.* | | | 1,573 | | | | 25,686 | |
| Hecla Mining Co. | | | 6,417 | | | | 25,347 | |
| KapStone Paper and Packaging Corp. | | | 907 | | | | 25,215 | |
| Graphic Packaging Holding Co.* | | | 3,295 | | | | 24,680 | |
| Stepan Co. | | | 380 | | | | 23,978 | |
| Calgon Carbon Corp.* | | | 1,282 | | | | 23,204 | |
| Innospec, Inc. | | | 517 | | | | 22,893 | |
| PH Glatfelter Co. | | | 965 | | | | 22,562 | |
| RTI International Metals, Inc.* | | | 681 | | | | 21,581 | |
| A. Schulman, Inc. | | | 659 | | | | 20,798 | |
| Koppers Holdings, Inc. | | | 464 | | | | 20,407 | |
| Boise, Inc. | | | 2,261 | | | | 19,580 | |
| Globe Specialty Metals, Inc. | | | 1,378 | | | | 19,182 | |
| American Vanguard Corp. | | | 621 | | | | 18,965 | |
| Flotek Industries, Inc.* | | | 1,114 | | | | 18,214 | |
| Headwaters, Inc.* | | | 1,642 | | | | 17,898 | |
| AMCOL International Corp. | | | 569 | | | | 17,178 | |
| Quaker Chemical Corp. | | | 291 | | | | 17,175 | |
| OM Group, Inc.* | | | 728 | | | | 17,093 | |
| Kraton Performance Polymers, Inc.* | | | 721 | | | | 16,871 | |
| Deltic Timber Corp. | | | 245 | | | | 16,836 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 101 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Tredegar Corp. | | | 543 | | | $ | 15,986 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 568 | | | | 15,143 | |
| Haynes International, Inc. | | | 273 | | | | 15,097 | |
| LSB Industries, Inc.* | | | 425 | | | | 14,782 | |
| McEwen Mining, Inc.*,1 | | | 4,877 | | | | 13,948 | |
| Ferro Corp.* | | | 1,942 | | | | 13,109 | |
| Materion Corp. | | | 459 | | | | 13,082 | |
| Berry Plastics Group, Inc.* | | | 660 | | | | 12,573 | |
| Neenah Paper, Inc. | | | 358 | | | | 11,012 | |
| Horsehead Holding Corp.* | | | 984 | | | | 10,706 | |
| Wausau Paper Corp. | | | 990 | | | | 10,672 | |
| Myers Industries, Inc. | | | 756 | | | | 10,554 | |
| AK Steel Holding Corp.1 | | | 3,060 | | | | 10,129 | |
| Golden Star Resources Ltd.* | | | 5,822 | | | | 9,315 | |
| Century Aluminum Co.* | | | 1,153 | | | | 8,924 | |
| Gold Resource Corp. | | | 673 | | | | 8,769 | |
| Hawkins, Inc. | | | 210 | | | | 8,390 | |
| Landec Corp.* | | | 578 | | | | 8,364 | |
| OMNOVA Solutions, Inc.* | | | 1,040 | | | | 7,977 | |
| Zep, Inc. | | | 501 | | | | 7,520 | |
| Zoltek Companies, Inc.* | | | 614 | | | | 7,337 | |
| AM Castle & Co.* | | | 378 | | | | 6,615 | |
| Paramount Gold and Silver Corp.* | | | 2,935 | | | | 6,545 | |
| AEP Industries, Inc.* | | | 90 | | | | 6,463 | |
| US Silica Holdings, Inc. | | | 267 | | | | 6,296 | |
| Metals USA Holdings Corp. | | | 265 | | | | 5,472 | |
| Universal Stainless & Alloy* | | | 150 | | | | 5,453 | |
| FutureFuel Corp. | | | 431 | | | | 5,237 | |
| ADA-ES, Inc.* | | | 197 | | | | 5,234 | |
| Olympic Steel, Inc. | | | 207 | | | | 4,947 | |
| Arabian American Development Co.* | | | 449 | | | | 3,785 | |
| Midway Gold Corp.* | | | 2,876 | | | | 3,509 | |
| KMG Chemicals, Inc. | | | 177 | | | | 3,441 | |
| Noranda Aluminum Holding Corp. | | | 744 | | | | 3,341 | |
| General Moly, Inc.* | | | 1,506 | | | | 3,328 | |
| Vista Gold Corp.* | | | 1,381 | | | | 2,983 | |
| Chase Corp. | | | 148 | | | | 2,859 | |
| UFP Technologies, Inc.* | | | 120 | | | | 2,363 | |
| United States Lime & Minerals, Inc.* | | | 42 | | | | 2,234 | |
| US Antimony Corp.* | | | 1,209 | | | | 2,092 | |
| Handy & Harman Ltd.* | | | 117 | | | | 1,801 | |
| Golden Minerals Co.* | | | 747 | | | | 1,778 | |
| GSE Holding, Inc.* | | | 180 | | | | 1,487 | |
| Revett Minerals, Inc.* | | | 574 | | | | 1,309 | |
| Total Materials | | | | | | | 1,598,162 | |
| Consumer Staples - 2.3% | | | | | | | | |
| United Natural Foods, Inc.* | | | 1,099 | | | | 54,070 | |
| TreeHouse Foods, Inc.* | | | 803 | | | | 52,314 | |
| Hain Celestial Group, Inc.* | | | 829 | | | | 50,635 | |
| Casey’s General Stores, Inc. | | | 860 | | | | 50,139 | |
| Darling International, Inc.* | | | 2,648 | | | | 47,558 | |
| Harris Teeter Supermarkets, Inc. | | | 988 | | | | 42,197 | |
| B&G Foods, Inc. — Class A | | | 1,182 | | | | 36,039 | |
| Lancaster Colony Corp. | | | 411 | | | | 31,647 | |
| PriceSmart, Inc. | | | 406 | | | | 31,599 | |
| Universal Corp. | | | 525 | | | | 29,422 | |
| Spectrum Brands Holdings, Inc. | | | 518 | | | | 29,313 | |
| Prestige Brands Holdings, Inc.* | | | 1,134 | | | | 29,133 | |
| Boston Beer Company, Inc. — Class A* | | | 177 | | | | 28,256 | |
| Sanderson Farms, Inc. | | | 517 | | | | 28,239 | |
| Rite Aid Corp.* | | | 14,830 | | | | 28,177 | |
| Seaboard Corp. | | | 10 | | | | 28,000 | |
| J&J Snack Foods Corp. | | | 334 | | | | 25,681 | |
| Post Holdings, Inc.* | | | 585 | | | | 25,114 | |
| Snyders-Lance, Inc. | | | 990 | | | | 25,007 | |
| SUPERVALU, Inc.1 | | | 4,775 | | | | 24,066 | |
| Fresh Del Monte Produce, Inc. | | | 861 | | | | 23,230 | |
| Elizabeth Arden, Inc.* | | | 563 | | | | 22,661 | |
| Andersons, Inc. | | | 421 | | | | 22,532 | |
| Vector Group Ltd. | | | 1,245 | | | | 20,069 | |
| WD-40 Co. | | | 358 | | | | 19,608 | |
| Tootsie Roll Industries, Inc.1 | | | 550 | | | | 16,451 | |
| Cal-Maine Foods, Inc. | | | 322 | | | | 13,704 | |
| Susser Holdings Corp.* | | | 254 | | | | 12,982 | |
| Pilgrim’s Pride Corp.* | | | 1,360 | | | | 12,498 | |
| Boulder Brands, Inc.* | | | 1,322 | | | | 11,872 | |
| Weis Markets, Inc. | | | 248 | | | | 10,094 | |
| Inter Parfums, Inc. | | | 366 | | | | 8,941 | |
| Dole Food Company, Inc.* | | | 801 | | | | 8,731 | |
| Spartan Stores, Inc. | | | 482 | | | | 8,459 | |
| Diamond Foods, Inc.* | | | 495 | | | | 8,346 | |
| Chiquita Brands International, Inc.* | | | 1,035 | | | | 8,032 | |
| Harbinger Group, Inc.* | | | 924 | | | | 7,632 | |
| Calavo Growers, Inc. | | | 265 | | | | 7,627 | |
| Alliance One International, Inc.* | | | 1,960 | | | | 7,624 | |
| Medifast, Inc.* | | | 312 | | | | 7,151 | |
| Central Garden and Pet Co. — Class A* | | | 864 | | | | 7,102 | |
| Pantry, Inc.* | | | 521 | | | | 6,497 | |
| USANA Health Sciences, Inc.* | | | 134 | | | | 6,476 | |
| Village Super Market, Inc. — Class A | | | 186 | | | | 6,266 | |
| Ingles Markets, Inc. — Class A | | | 282 | | | | 6,057 | |
| Coca-Cola Bottling Company Consolidated | | | 100 | | | | 6,032 | |
| Seneca Foods Corp. — Class A* | | | 182 | | | | 6,010 | |
| Revlon, Inc. — Class A* | | | 252 | | | | 5,635 | |
| Star Scientific, Inc.*,1 | | | 3,271 | | | | 5,430 | |
| Nash Finch Co. | | | 277 | | | | 5,424 | |
| Omega Protein Corp.* | | | 439 | | | | 4,719 | |
| Chefs’ Warehouse, Inc.* | | | 250 | | | | 4,618 | |
| Annie’s, Inc.* | | | 111 | | | | 4,247 | |
| Limoneira Co. | | | 213 | | | | 4,115 | |
| Nature’s Sunshine Products, Inc. | | | 251 | | | | 3,825 | |
| John B Sanfilippo & Son, Inc. | | | 180 | | | | 3,596 | |
| Natural Grocers by Vitamin Cottage, Inc.* | | | 159 | | | | 3,585 | |
| National Beverage Corp. | | | 250 | | | | 3,513 | |
| Alico, Inc. | | | 74 | | | | 3,423 | |
| Nutraceutical International Corp. | | | 197 | | | | 3,418 | |
| Female Health Co. | | | 434 | | | | 3,142 | |
| Orchids Paper Products Co. | | | 131 | | | | 3,056 | |
| Oil-Dri Corporation of America | | | 112 | | | | 3,050 | |
| Roundy’s, Inc. | | | 449 | | | | 2,950 | |
| Arden Group, Inc. — Class A | | | 29 | | | | 2,932 | |
| Inventure Foods, Inc.* | | | 293 | | | | 2,280 | |
| Farmer Bros Co.* | | | 155 | | | | 2,279 | |
| Griffin Land & Nurseries, Inc. | | | 65 | | | | 1,953 | |
| 102 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | | | |
| Synutra International, Inc.* | | | 390 | | | $ | 1,833 | |
| Craft Brew Alliance, Inc.* | | | 230 | | | | 1,711 | |
| Lifeway Foods, Inc. | | | 103 | | | | 1,432 | |
| Central European Distribution Corp.*,1 | | | 1,477 | | | | 495 | |
| Total Consumer Staples | | | | | | | 1,081,951 | |
| Utilities - 2.1% | | | | | | | | |
| Cleco Corp. | | | 1,372 | | | | 64,525 | |
| Piedmont Natural Gas Company, Inc. | | | 1,699 | | | | 55,863 | |
| IDACORP, Inc. | | | 1,122 | | | | 54,159 | |
| Portland General Electric Co. | | | 1,701 | | | | 51,591 | |
| WGL Holdings, Inc. | | | 1,162 | | | | 51,244 | |
| Southwest Gas Corp. | | | 1,032 | | | | 48,979 | |
| UIL Holdings Corp. | | | 1,134 | | | | 44,895 | |
| UNS Energy Corp. | | | 909 | | | | 44,486 | |
| Black Hills Corp. | | | 993 | | | | 43,732 | |
| ALLETE, Inc. | | | 860 | | | | 42,157 | |
| PNM Resources, Inc. | | | 1,795 | | | | 41,806 | |
| New Jersey Resources Corp. | | | 929 | | | | 41,666 | |
| South Jersey Industries, Inc. | | | 681 | | | | 37,857 | |
| Avista Corp. | | | 1,319 | | | | 36,141 | |
| NorthWestern Corp. | | | 813 | | | | 32,406 | |
| El Paso Electric Co. | | | 903 | | | | 30,386 | |
| MGE Energy, Inc. | | | 515 | | | | 28,552 | |
| Northwest Natural Gas Co. | | | 599 | | | | 26,248 | |
| Otter Tail Corp. | | | 817 | | | | 25,441 | |
| American States Water Co. | | | 428 | | | | 24,640 | |
| CH Energy Group, Inc. | | | 336 | | | | 21,971 | |
| Laclede Group, Inc. | | | 506 | | | | 21,606 | |
| Empire District Electric Co. | | | 943 | | | | 21,123 | |
| California Water Service Group | | | 946 | | | | 18,825 | |
| Atlantic Power Corp.1 | | | 2,681 | | | | 13,218 | |
| Chesapeake Utilities Corp. | | | 219 | | | | 10,742 | |
| Unitil Corp. | | | 311 | | | | 8,748 | |
| SJW Corp. | | | 319 | | | | 8,454 | |
| Ormat Technologies, Inc. | | | 402 | | | | 8,301 | |
| Connecticut Water Service, Inc. | | | 247 | | | | 7,220 | |
| Middlesex Water Co. | | | 350 | | | | 6,832 | |
| York Water Co. | | | 290 | | | | 5,452 | |
| Artesian Resources Corp. — Class A | | | 171 | | | | 3,842 | |
| Delta Natural Gas Company, Inc. | | | 152 | | | | 3,323 | |
| Consolidated Water Company Ltd. | | | 324 | | | | 3,208 | |
| Genie Energy Ltd. — Class B | | | 339 | | | | 3,139 | |
| Cadiz, Inc.* | | | 292 | | | | 1,974 | |
| American DG Energy, Inc.* | | | 580 | | | | 1,218 | |
| Total Utilities | | | | | | | 995,970 | |
| Telecommunication Services - 0.4% | | | | | | | | |
| Cogent Communications Group, Inc. | | | 1,055 | | | | 27,853 | |
| Consolidated Communications | | | | | | | | |
| Holdings, Inc. | | | 900 | | | | 15,794 | |
| Cincinnati Bell, Inc.* | | | 4,430 | | | | 14,442 | |
| Premiere Global Services, Inc.* | | | 1,129 | | | | 12,408 | |
| 8x8, Inc.* | | | 1,585 | | | | 10,857 | |
| Atlantic Tele-Network, Inc. | | | 202 | | | | 9,799 | |
| Vonage Holdings Corp.* | | | 3,379 | | | | 9,765 | |
| Shenandoah Telecommunications Co. | | | 539 | | | | 8,210 | |
| General Communication, Inc. — Class A* | | | 824 | | | | 7,556 | |
| Leap Wireless International, Inc.* | | | 1,208 | | | | 7,115 | |
| inContact, Inc.* | | | 835 | | | | 6,755 | |
| Iridium Communications, Inc.* | | | 1,115 | | | | 6,712 | |
| USA Mobility, Inc. | | | 498 | | | | 6,608 | |
| Hawaiian Telcom Holdco, Inc.* | | | 229 | | | | 5,283 | |
| Lumos Networks Corp. | | | 344 | | | | 4,637 | |
| Cbeyond, Inc.* | | | 613 | | | | 4,555 | |
| magicJack VocalTec Ltd.* | | | 323 | | | | 4,522 | |
| NTELOS Holdings Corp. | | | 338 | | | | 4,330 | |
| ORBCOMM, Inc.* | | | 803 | | | | 4,184 | |
| IDT Corp. — Class B | | | 338 | | | | 4,076 | |
| Fairpoint Communications, Inc.* | | | 467 | | | | 3,488 | |
| HickoryTech Corp. | | | 305 | | | | 3,096 | |
| Primus Telecommunications Group, Inc. | | | 271 | | | | 2,995 | |
| Towerstream Corp.* | | | 1,268 | | | | 2,828 | |
| Neutral Tandem, Inc. | | | 635 | | | | 2,076 | |
| Boingo Wireless, Inc.* | | | 358 | | | | 1,976 | |
| Total Telecommunication Services | | | | | | | 191,920 | |
| Total Common Stocks | | | | | | | | |
| (Cost $25,944,263) | | | | | | | 30,105,638 | |
| WARRANTS†† - 0.0% | | | | | | | | |
| Magnum Hunter Resources Corp. $10.50, 08/16/13* | | | 23 | | | | — | |
| Total Warrants | | | | | | | | |
| (Cost $–) | | | | | | | — | |
| RIGHTS†† - 0.0% | | | | | | | | |
| BlueLinx Holdings, Inc. Expires 04/01/13* | | | 545 | | | | 215 | |
| Total Rights | | | | | | | | |
| (Cost $177) | | | | | | | 215 | |
| CLOSED-END FUNDS† - 0.0% | | | | | | | | |
| Firsthand Technology Value Fund, Inc.* | | | 196 | | | | 3,781 | |
| Total Closed-End Funds | | | | | | | | |
| (Cost $3,504) | | | | | | | 3,781 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 103 |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 38.6% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 7,458,753 | | | $ | 7,458,753 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 6,119,214 | | | | 6,119,214 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 3,945,305 | | | | 3,945,305 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 620,284 | | | | 620,284 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $18,143,556) | | | | | | | 18,143,556 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 0.5% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 123,564 | | | | 123,564 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 97,202 | | | | 97,202 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $220,766) | | | | | | | 220,766 | |
| Total Investments - 103.1% | | | | | | | | |
| (Cost $44,312,266) | | | | | | $ | 48,473,956 | |
| Other Assets & Liabilities, net - (3.1)% | | | | | | | (1,442,066 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 47,031,890 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,230,840) | | | 13 | | | $ | 5,405 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $21,306,541) | | | 22,392 | | | $ | 21,929 | |
| Goldman Sachs International | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $10,093,720) | | | 10,608 | | | | 20,627 | |
| Barclays Bank plc | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $7,835,441) | | | 8,235 | | | | 11,294 | |
| (Total Notional Value $39,235,702) | | | | | | $ | 53,850 | |
| * | 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 March 28, 2013 — 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 March 28, 2013. |
| 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
| 104 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 |
| Assets: | | | | |
| Investments, at value - including $212,639 of securities loaned | | | | |
| (cost $25,947,944) | | $ | 30,109,634 | |
| Repurchase agreements, at value | | | | |
| (cost $18,364,322) | | | 18,364,322 | |
| Total investments | | | | |
| (cost $44,312,266) | | | 48,473,956 | |
| Foreign currency, at value | | | | |
| (cost $297) | | | 297 | |
| Segregated cash with broker | | | 372,000 | |
| Unrealized appreciation on swap agreements | | | 53,850 | |
| Receivable for swap settlement | | | 333,230 | |
| Receivables: | | | | |
| Fund shares sold | | | 102,352 | |
| Dividends | | | 33,868 | |
| Securities sold | | | 13,576 | |
| Variation margin | | | 10,088 | |
| Interest | | | 1,071 | |
| Total assets | | | 49,394,288 | |
| Liabilities: | | | | |
| Overdraft due to custodian bank | | | 325,705 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,727,205 | |
| Upon return of securities loaned | | | 220,766 | |
| Management fees | | | 31,196 | |
| Distribution and service fees | | | 9,747 | |
| Transfer agent and administrative fees | | | 8,666 | |
| Portfolio accounting fees | | | 3,466 | |
| Miscellaneous | | | 35,647 | |
| Total liabilities | | | 2,362,398 | |
| Net assets | | $ | 47,031,890 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 49,790,120 | |
| Accumulated net investment loss | | | (104,531 | ) |
| Accumulated net realized loss on investments | | | (6,874,644 | ) |
| Net unrealized appreciation on investments | | | 4,220,945 | |
| Net assets | | $ | 47,031,890 | |
| A-Class: | | | | |
| Net assets | | $ | 392,395 | |
| Capital shares outstanding | | | 9,980 | |
| Net asset value per share | | $ | 39.32 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 41.28 | |
| C-Class: | | | | |
| Net assets | | $ | 1,684,814 | |
| Capital shares outstanding | | | 47,089 | |
| Net asset value per share | | $ | 35.78 | |
| H-Class: | | | | |
| Net assets | | $ | 44,954,681 | |
| Capital shares outstanding | | | 1,145,642 | |
| Net asset value per share | | $ | 39.24 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $444) | | $ | 417,856 | |
| Interest | | | 8,772 | |
| Income from securities lending, net | | | 6,935 | |
| Total investment income | | | 433,563 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 268,400 | |
| Transfer agent and administrative fees | | | 74,556 | |
| Distribution and service fees: | | | | |
| A-Class | | | 1,192 | |
| C-Class | | | 15,756 | |
| H-Class | | | 69,425 | |
| Portfolio accounting fees | | | 29,822 | |
| Custodian fees | | | 4,478 | |
| Trustees’ fees* | | | 2,372 | |
| Miscellaneous | | | 57,360 | |
| Total expenses | | | 523,361 | |
| Net investment loss | | | (89,798 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 433,271 | |
| Swap agreements | | | 4,012,628 | |
| Futures contracts | | | (140,878 | ) |
| Foreign currency | | | (7 | ) |
| Net realized gain | | | 4,305,014 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 2,333,354 | |
| Swap agreements | | | 92,549 | |
| Futures contracts | | | (49,319 | ) |
| Foreign currency | | | (1 | ) |
| Net change in unrealized appreciation (depreciation) | | | 2,376,583 | |
| Net realized and unrealized gain | | | 6,681,597 | |
| Net increase in net assets resulting from operations | | $ | 6,591,799 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 105 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (89,798 | ) | | $ | (289,091 | ) |
| Net realized gain (loss) on investments | | | 4,305,014 | | | | (1,230,147 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,376,583 | | | | (1,846,120 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 6,591,799 | | | | (3,365,358 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 228,253 | | | | 3,364,331 | |
| C-Class | | | 228,943 | | | | 645,809 | |
| H-Class | | | 250,947,697 | | | | 184,051,398 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,182,104 | ) | | | (4,002,486 | ) |
| C-Class | | | (670,266 | ) | | | (1,356,339 | ) |
| H-Class | | | (227,207,565 | ) | | | (204,119,521 | ) |
| Net increase (decrease) from capital share transactions | | | 22,344,958 | | | | (21,416,808 | ) |
| Net increase (decrease) in net assets | | | 28,936,757 | | | | (24,782,166 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 18,095,133 | | | | 42,877,299 | |
| End of year | | $ | 47,031,890 | | | $ | 18,095,133 | |
| Accumulated net investment loss at end of year | | $ | (104,531 | ) | | $ | (43,290 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 6,710 | | | | 108,140 | |
| C-Class | | | 7,508 | | | | 23,548 | |
| H-Class | | | 7,767,546 | | | | 6,337,910 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (38,805 | ) | | | (133,321 | ) |
| C-Class | | | (22,694 | ) | | | (49,014 | ) |
| H-Class | | | (7,085,665 | ) | | | (6,975,808 | ) |
| Net increase (decrease) in shares | | | 634,600 | | | | (688,545 | ) |
| 106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| RUSSELL 2000® 1.5x STRATEGY FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.20 | | | $ | 34.37 | | | $ | 25.24 | | | $ | 12.49 | | | $ | 28.62 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.16 | ) | | | (.39 | ) | | | (.35 | ) | | | (.11 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.28 | | | | (1.78 | ) | | | 9.48 | | | | 12.86 | | | | (16.11 | ) |
| Total from investment operations | | | 7.12 | | | | (2.17 | ) | | | 9.13 | | | | 12.75 | | | | (16.13 | ) |
| Net asset value, end of period | | $ | 39.32 | | | $ | 32.20 | | | $ | 34.37 | | | $ | 25.24 | | | $ | 12.49 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 22.11 | % | | | (6.31 | %) | | | 36.17 | % | | | 102.08 | % | | | (56.36 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 392 | | | $ | 1,355 | | | $ | 2,312 | | | $ | 585 | | | $ | 591 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.51 | %) | | | (1.24 | %) | | | (1.25 | %) | | | (0.59 | %) | | | (0.07 | %) |
| Total expenses | | | 1.71 | % | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % |
| Portfolio turnover rate | | | 527 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.52 | | | $ | 31.75 | | | $ | 23.50 | | | $ | 11.71 | | | $ | 27.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.34 | ) | | | (.54 | ) | | | (.47 | ) | | | (.24 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.60 | | | | (1.69 | ) | | | 8.72 | | | | 12.03 | | | | (15.21 | ) |
| Total from investment operations | | | 6.26 | | | | (2.23 | ) | | | 8.25 | | | | 11.79 | | | | (15.39 | ) |
| Net asset value, end of period | | $ | 35.78 | | | $ | 29.52 | | | $ | 31.75 | | | $ | 23.50 | | | $ | 11.71 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 21.21 | % | | | (7.02 | %) | | | 35.11 | % | | | 100.68 | % | | | (56.79 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,685 | | | $ | 1,839 | | | $ | 2,786 | | | $ | 2,782 | | | $ | 3,381 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.15 | %) | | | (1.99 | %) | | | (1.90 | %) | | | (1.36 | %) | | | (0.83 | %) |
| Total expenses | | | 2.46 | % | | | 2.49 | % | | | 2.47 | % | | | 2.46 | % | | | 2.45 | % |
| Portfolio turnover rate | | | 527 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 107 |
| RUSSELL 2000® 1.5x STRATEGY FUND |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.13 | | | $ | 34.29 | | | $ | 25.21 | | | $ | 12.47 | | | $ | 28.62 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.08 | ) | | | (.37 | ) | | | (.35 | ) | | | (.19 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.19 | | | | (1.79 | ) | | | 9.43 | | | | 12.93 | | | | (16.13 | ) |
| Total from investment operations | | | 7.11 | | | | (2.16 | ) | | | 9.08 | | | | 12.74 | | | | (16.15 | ) |
| Net asset value, end of period | | $ | 39.24 | | | $ | 32.13 | | | $ | 34.29 | | | $ | 25.21 | | | $ | 12.47 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 22.13 | % | | | (6.30 | %) | | | 36.02 | % | | | 102.17 | % | | | (56.43 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 44,955 | | | $ | 14,902 | | | $ | 37,780 | | | $ | 23,320 | | | $ | 13,807 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.25 | %) | | | (1.24 | %) | | | (1.25 | %) | | | (0.94 | %) | | | (0.07 | %) |
| Total expenses | | | 1.71 | % | | | 1.73 | % | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % |
| Portfolio turnover rate | | | 527 | % | | | 177 | % | | | 211 | % | | | 109 | % | | | 288 | % |
a Net investment loss per share was computed using average shares outstanding throughout the period.
b Total return does not reflect the impact of any applicable sales charges.
| 108 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 109 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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”).
Russell 2000® Fund H-Class turned in a 14.52% performance for the one-year period ended March 28, 2013. Its benchmark, the Russell 2000 Index, returned 16.30% for the period. Russell 2000® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the Russell 2000 Index.
Among sectors, the biggest performance contributors to the underlying index during the period were Financials and Industrials. Telecommunication Services contributed least to performance of the underlying index for the period. Energy was the only sector that detracted from performance of the underlying index for the period.
Pharmacyclics, Inc., Ocwen Financial Corp. and Onyx Pharmaceuticals, Inc. were the largest contributors to performance of the underlying index for the year. MAKO Surgical Corp., Vivus, Inc. and Quality Systems, Inc. were the leading detractors from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | | May 31, 2006 |
| C-Class | | | May 31, 2006 |
| H-Class | | | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) | | | | |
| Alaska Air Group, Inc. | | | 0.2 | % |
| Pharmacyclics, Inc. | | | 0.2 | % |
| Genesee & Wyoming, Inc. — Class A | | | 0.2 | % |
| Ocwen Financial Corp. | | | 0.2 | % |
| Axiall Corp. | | | 0.2 | % |
| Starwood Property Trust, Inc. | | | 0.2 | % |
| Two Harbors Investment Corp. | | | 0.2 | % |
| CommVault Systems, Inc. | | | 0.2 | % |
| Dril-Quip, Inc. | | | 0.2 | % |
| athenahealth, Inc. | | | 0.2 | % |
| Top Ten Total | | | 2.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 110 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (05/31/06) | |
| A-Class Shares | | | 14.40 | % | | | 6.48 | % | | | 4.00 | % |
| A-Class Shares with sales charge† | | | 8.95 | % | | | 5.44 | % | | | 3.26 | % |
| C-Class Shares | | | 13.53 | % | | | 5.58 | % | | | 3.17 | % |
| C-Class Shares with CDSC‡ | | | 12.53 | % | | | 5.58 | % | | | 3.17 | % |
| H-Class Shares | | | 14.52 | % | | | 6.47 | % | | | 3.99 | % |
| Russell 2000 Index | | | 16.30 | % | | | 8.24 | % | | | 5.59 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 111 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 57.6% | | | | | | | | |
| | | | | | | | | |
| Financials - 13.3% | | | | | | | | |
| Ocwen Financial Corp.* | | | 4,992 | | | $ | 189,296 | |
| Starwood Property Trust, Inc. | | | 6,294 | | | | 174,722 | |
| Two Harbors Investment Corp. | | | 13,735 | | | | 173,198 | |
| Omega Healthcare Investors, Inc. | | | 5,204 | | | | 157,994 | |
| Highwoods Properties, Inc. | | | 3,652 | | | | 144,509 | |
| Invesco Mortgage Capital, Inc. | | | 5,957 | | | | 127,420 | |
| First American Financial Corp. | | | 4,931 | | | | 126,085 | |
| Alterra Capital Holdings Ltd. | | | 3,984 | | | | 125,496 | |
| Geo Group, Inc. | | | 3,303 | | | | 124,259 | |
| Healthcare Realty Trust, Inc. | | | 4,050 | | | | 114,981 | |
| EPR Properties | | | 2,180 | | | | 113,470 | |
| RLJ Lodging Trust | | | 4,962 | | | | 112,935 | |
| Hancock Holding Co. | | | 3,548 | | | | 109,703 | |
| LaSalle Hotel Properties | | | 4,316 | | | | 109,540 | |
| Susquehanna Bancshares, Inc. | | | 8,732 | | | | 108,538 | |
| CNO Financial Group, Inc. | | | 9,350 | | | | 107,057 | |
| Prosperity Bancshares, Inc. | | | 2,201 | | | | 104,304 | |
| Medical Properties Trust, Inc. | | | 6,303 | | | | 101,100 | |
| Portfolio Recovery Associates, Inc.* | | | 792 | | | | 100,520 | |
| Stifel Financial Corp.* | | | 2,846 | | | | 98,670 | |
| Prospect Capital Corp. | | | 8,866 | | | | 96,727 | |
| CYS Investments, Inc. | | | 8,132 | | | | 95,470 | |
| Colonial Properties Trust | | | 4,088 | | | | 92,431 | |
| CubeSmart | | | 5,722 | | | | 90,408 | |
| ARMOUR Residential REIT, Inc. | | | 13,828 | | | | 90,297 | |
| Sovran Self Storage, Inc. | | | 1,349 | | | | 86,997 | |
| Potlatch Corp. | | | 1,877 | | | | 86,079 | |
| Washington Real Estate Investment Trust | | | 3,082 | | | | 85,803 | |
| Redwood Trust, Inc. | | | 3,677 | | | | 85,233 | |
| Platinum Underwriters Holdings Ltd. | | | 1,526 | | | | 85,166 | |
| DCT Industrial Trust, Inc. | | | 11,478 | | | | 84,937 | |
| FirstMerit Corp. | | | 5,094 | | | | 84,203 | |
| Webster Financial Corp. | | | 3,358 | | | | 81,464 | |
| DiamondRock Hospitality Co. | | | 8,737 | | | | 81,341 | |
| Apollo Investment Corp. | | | 9,436 | | | | 78,884 | |
| FNB Corp. | | | 6,490 | | | | 78,529 | |
| First Industrial Realty Trust, Inc. | | | 4,574 | | | | 78,353 | |
| Sunstone Hotel Investors, Inc.* | | | 6,359 | | | | 78,279 | |
| Financial Engines, Inc. | | | 2,148 | | | | 77,801 | |
| Trustmark Corp. | | | 3,110 | | | | 77,781 | |
| First Cash Financial Services, Inc.* | | | 1,331 | | | | 77,650 | |
| EastGroup Properties, Inc. | | | 1,321 | | | | 76,882 | |
| Texas Capital Bancshares, Inc.* | | | 1,869 | | | | 75,601 | |
| Glimcher Realty Trust | | | 6,484 | | | | 75,215 | |
| National Health Investors, Inc. | | | 1,134 | | | | 74,220 | |
| Cathay General Bancorp | | | 3,656 | | | | 73,559 | |
| UMB Financial Corp. | | | 1,499 | | | | 73,556 | |
| Pebblebrook Hotel Trust | | | 2,822 | | | | 72,779 | |
| Lexington Realty Trust | | | 6,145 | | | | 72,511 | |
| Greenhill & Company, Inc. | | | 1,352 | | | | 72,170 | |
| NorthStar Realty Finance Corp. | | | 7,600 | | | | 72,048 | |
| Cash America International, Inc. | | | 1,365 | | | | 71,622 | |
| BancorpSouth, Inc. | | | 4,390 | | | | 71,557 | |
| First Financial Bankshares, Inc.1 | | | 1,465 | | | | 71,199 | |
| PennyMac Mortgage Investment Trust | | | 2,733 | | | | 70,757 | |
| RLI Corp. | | | 982 | | | | 70,556 | |
| Strategic Hotels & Resorts, Inc.* | | | 8,416 | | | | 70,274 | |
| Ryman Hospitality Properties | | | 1,526 | | | | 69,815 | |
| DuPont Fabros Technology, Inc. | | | 2,852 | | | | 69,218 | |
| Umpqua Holdings Corp. | | | 5,198 | | | | 68,925 | |
| IBERIABANK Corp. | | | 1,370 | | | | 68,527 | |
| Sun Communities, Inc. | | | 1,380 | | | | 68,075 | |
| Primerica, Inc. | | | 2,059 | | | | 67,493 | |
| PS Business Parks, Inc. | | | 853 | | | | 67,319 | |
| Radian Group, Inc. | | | 6,193 | | | | 66,326 | |
| Acadia Realty Trust | | | 2,351 | | | | 65,287 | |
| Old National Bancorp | | | 4,710 | | | | 64,763 | |
| Glacier Bancorp, Inc. | | | 3,346 | | | | 63,507 | |
| MarketAxess Holdings, Inc. | | | 1,693 | | | | 63,148 | |
| Colony Financial, Inc. | | | 2,831 | | | | 62,848 | |
| Wintrust Financial Corp. | | | 1,692 | | | | 62,672 | |
| United Bankshares, Inc.1 | | | 2,341 | | | | 62,294 | |
| Walter Investment Management Corp.* | | | 1,662 | | | | 61,910 | |
| MB Financial, Inc. | | | 2,541 | | | | 61,416 | |
| National Penn Bancshares, Inc. | | | 5,737 | | | | 61,329 | |
| Selective Insurance Group, Inc. | | | 2,551 | | | | 61,250 | |
| Equity One, Inc. | | | 2,554 | | | | 61,219 | |
| Montpelier Re Holdings Ltd. | | | 2,331 | | | | 60,723 | |
| Bank of the Ozarks, Inc. | | | 1,358 | | | | 60,227 | |
| Capstead Mortgage Corp. | | | 4,581 | | | | 58,728 | |
| Westamerica Bancorporation | | | 1,293 | | | | 58,612 | |
| PHH Corp.* | | | 2,636 | | | | 57,886 | |
| Northwest Bancshares, Inc. | | | 4,532 | | | | 57,510 | |
| LTC Properties, Inc. | | | 1,409 | | | | 57,389 | |
| PrivateBancorp, Inc. — Class A | | | 2,950 | | | | 55,785 | |
| Education Realty Trust, Inc. | | | 5,252 | | | | 55,304 | |
| Evercore Partners, Inc. — Class A | | | 1,329 | | | | 55,286 | |
| Community Bank System, Inc. | | | 1,838 | | | | 54,460 | |
| Fifth Street Finance Corp. | | | 4,892 | | | | 53,910 | |
| Home Loan Servicing Solutions Ltd. | | | 2,261 | | | | 52,748 | |
| Virtus Investment Partners, Inc.* | | | 277 | | | | 51,600 | |
| International Bancshares Corp. | | | 2,474 | | | | 51,459 | |
| Government Properties Income Trust | | | 1,994 | | | | 51,306 | |
| Pennsylvania Real Estate Investment Trust | | | 2,602 | | | | 50,453 | |
| Sabra Health Care REIT, Inc. | | | 1,723 | | | | 49,984 | |
| Argo Group International Holdings Ltd. | | | 1,202 | | | | 49,739 | |
| Franklin Street Properties Corp. | | | 3,373 | | | | 49,313 | |
| American Assets Trust, Inc. | | | 1,535 | | | | 49,135 | |
| Symetra Financial Corp. | | | 3,599 | | | | 48,263 | |
| EZCORP, Inc. — Class A* | | | 2,227 | | | | 47,435 | |
| BBCN Bancorp, Inc. | | | 3,626 | | | | 47,356 | |
| Solar Capital Ltd. | | | 2,004 | | | | 47,074 | |
| Western Alliance Bancorporation* | | | 3,390 | | | | 46,918 | |
| Hersha Hospitality Trust — Class A | | | 7,992 | | | | 46,673 | |
| First Midwest Bancorp, Inc. | | | 3,479 | | | | 46,201 | |
| CVB Financial Corp. | | | 4,095 | | | | 46,151 | |
| Main Street Capital Corp. | | | 1,424 | | | | 45,696 | |
| Cousins Properties, Inc. | | | 4,268 | | | | 45,625 | |
| NBT Bancorp, Inc. | | | 2,036 | | | | 45,097 | |
| Credit Acceptance Corp.* | | | 361 | | | | 44,093 | |
| First Financial Bancorp | | | 2,722 | | | | 43,688 | |
| 112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| American Capital Mortgage | | | | | | | | |
| Investment Corp. | | | 1,686 | | | $ | 43,583 | |
| MGIC Investment Corp.* | | | 8,761 | | | | 43,367 | |
| Amtrust Financial Services, Inc. | | | 1,247 | | | | 43,209 | |
| Associated Estates Realty Corp. | | | 2,296 | | | | 42,797 | |
| iStar Financial, Inc.* | | | 3,926 | | | | 42,754 | |
| Provident Financial Services, Inc. | | | 2,796 | | | | 42,695 | |
| National Financial Partners Corp.* | | | 1,888 | | | | 42,348 | |
| Chesapeake Lodging Trust | | | 1,836 | | | | 42,118 | |
| Citizens Republic Bancorp, Inc.* | | | 1,858 | | | | 41,898 | |
| Investors Real Estate Trust | | | 4,221 | | | | 41,661 | |
| American Equity Investment | | | | | | | | |
| Life Holding Co. | | | 2,789 | | | | 41,528 | |
| PacWest Bancorp | | | 1,414 | | | | 41,162 | |
| World Acceptance Corp.*,1 | | | 473 | | | | 40,617 | |
| CreXus Investment Corp. | | | 3,117 | | | | 40,583 | |
| Columbia Banking System, Inc. | | | 1,846 | | | | 40,575 | |
| Anworth Mortgage Asset Corp. | | | 6,382 | | | | 40,398 | |
| Astoria Financial Corp. | | | 4,050 | | | | 39,933 | |
| SCBT Financial Corp. | | | 772 | | | | 38,909 | |
| Home BancShares, Inc. | | | 1,026 | | | | 38,649 | |
| Investors Bancorp, Inc. | | | 2,054 | | | | 38,574 | |
| Horace Mann Educators Corp. | | | 1,839 | | | | 38,343 | |
| Pinnacle Financial Partners, Inc.* | | | 1,607 | | | | 37,540 | |
| Nelnet, Inc. — Class A | | | 1,110 | | | | 37,518 | |
| First Commonwealth Financial Corp. | | | 4,887 | | | | 36,457 | |
| Park National Corp. | | | 521 | | | | 36,361 | |
| Hudson Pacific Properties, Inc. | | | 1,664 | | | | 36,192 | |
| Ramco-Gershenson Properties Trust | | | 2,139 | | | | 35,935 | |
| Inland Real Estate Corp. | | | 3,558 | | | | 35,900 | |
| Boston Private Financial Holdings, Inc. | | | 3,628 | | | | 35,845 | |
| Triangle Capital Corp.1 | | | 1,269 | | | | 35,519 | |
| Forestar Group, Inc.* | | | 1,608 | | | | 35,151 | |
| First Potomac Realty Trust | | | 2,369 | | | | 35,132 | |
| STAG Industrial, Inc. | | | 1,625 | | | | 34,564 | |
| Employers Holdings, Inc. | | | 1,469 | | | | 34,448 | |
| Retail Opportunity Investments Corp. | | | 2,458 | | | | 34,437 | |
| PennantPark Investment Corp. | | | 3,044 | | | | 34,367 | |
| FelCor Lodging Trust, Inc.* | | | 5,771 | | | | 34,337 | |
| BlackRock Kelso Capital Corp. | | | 3,423 | | | | 34,230 | |
| DFC Global Corp.* | | | 2,044 | | | | 34,012 | |
| Tower Group International Ltd. | | | 1,836 | | | | 33,874 | |
| Chemical Financial Corp. | | | 1,275 | | | | 33,635 | |
| Independent Bank Corp. | | | 1,031 | | | | 33,600 | |
| Coresite Realty Corp. | | | 952 | | | | 33,301 | |
| Oriental Financial Group, Inc. | | | 2,116 | | | | 32,819 | |
| Nationstar Mortgage Holdings, Inc.*,1 | | | 888 | | | | 32,767 | |
| Oritani Financial Corp. | | | 2,115 | | | | 32,761 | |
| Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 1,310 | | | | 32,409 | |
| Greenlight Capital Re Ltd. — Class A* | | | 1,305 | | | | 31,907 | |
| Universal Health Realty Income Trust | | | 551 | | | | 31,798 | |
| ViewPoint Financial Group, Inc. | | | 1,571 | | | | 31,593 | |
| Knight Capital Group, Inc. — Class A* | | | 8,448 | | | | 31,427 | |
| Cohen & Steers, Inc. | | | 862 | | | | 31,092 | |
| Kennedy-Wilson Holdings, Inc. | | | 2,004 | | | | 31,082 | |
| Infinity Property & Casualty Corp. | | | 547 | | | | 30,741 | |
| Ashford Hospitality Trust, Inc. | | | 2,483 | | | | 30,690 | |
| Encore Capital Group, Inc.* | | | 1,017 | | | | 30,612 | |
| Resource Capital Corp. | | | 4,620 | | | | 30,538 | |
| HFF, Inc. — Class A | | | 1,518 | | | | 30,254 | |
| AG Mortgage Investment Trust, Inc. | | | 1,186 | | | | 30,207 | |
| Hercules Technology Growth Capital, Inc. | | | 2,461 | | | | 30,147 | |
| AMERISAFE, Inc. | | | 848 | | | | 30,138 | |
| Brookline Bancorp, Inc. | | | 3,257 | | | | 29,769 | |
| Safety Insurance Group, Inc. | | | 594 | | | | 29,195 | |
| Berkshire Hills Bancorp, Inc. | | | 1,140 | | | | 29,116 | |
| Alexander’s, Inc. | | | 88 | | | | 29,013 | |
| Banner Corp. | | | 896 | | | | 28,520 | |
| Excel Trust, Inc. | | | 2,076 | | | | 28,337 | |
| WisdomTree Investments, Inc.* | | | 2,718 | | | | 28,267 | |
| WesBanco, Inc. | | | 1,180 | | | | 28,261 | |
| City Holding Co. | | | 702 | | | | 27,933 | |
| Dynex Capital, Inc. | | | 2,529 | | | | 27,010 | |
| Spirit Realty Capital, Inc. | | | 1,420 | | | | 26,980 | |
| Navigators Group, Inc.* | | | 459 | | | | 26,966 | |
| Sterling Financial Corp. | | | 1,241 | | | | 26,917 | |
| Renasant Corp. | | | 1,156 | | | | 25,871 | |
| Summit Hotel Properties, Inc. | | | 2,441 | | | | 25,557 | |
| Apollo Residential Mortgage, Inc. | | | 1,128 | | | | 25,143 | |
| Urstadt Biddle Properties, Inc. — Class A | | | 1,155 | | | | 25,133 | |
| Campus Crest Communities, Inc. | | | 1,795 | | | | 24,951 | |
| Hilltop Holdings, Inc.* | | | 1,845 | | | | 24,889 | |
| S&T Bancorp, Inc. | | | 1,339 | | | | 24,825 | |
| Maiden Holdings Ltd. | | | 2,332 | | | | 24,696 | |
| Cardinal Financial Corp. | | | 1,358 | | | | 24,688 | |
| Flushing Financial Corp. | | | 1,436 | | | | 24,326 | |
| TrustCo Bank Corp. NY | | | 4,351 | | | | 24,279 | |
| Piper Jaffray Cos.* | | | 706 | | | | 24,216 | |
| Getty Realty Corp. | | | 1,196 | | | | 24,171 | |
| State Bank Financial Corp. | | | 1,473 | | | | 24,113 | |
| United Fire Group, Inc. | | | 938 | | | | 23,891 | |
| PICO Holdings, Inc.* | | | 1,054 | | | | 23,399 | |
| Hanmi Financial Corp.* | | | 1,462 | | | | 23,392 | |
| Sandy Spring Bancorp, Inc. | | | 1,121 | | | | 22,532 | |
| Duff & Phelps Corp. — Class A | | | 1,449 | | | | 22,474 | |
| United Community Banks, Inc.* | | | 1,935 | | | | 21,943 | |
| Community Trust Bancorp, Inc. | | | 638 | | | | 21,711 | |
| ICG Group, Inc.* | | | 1,727 | | | | 21,553 | |
| West Coast Bancorp | | | 887 | | | | 21,536 | |
| Stewart Information Services Corp. | | | 838 | | | | 21,344 | |
| RAIT Financial Trust | | | 2,657 | | | | 21,176 | |
| Medley Capital Corp. | | | 1,333 | | | | 21,128 | |
| Tompkins Financial Corp. | | | 498 | | | | 21,055 | |
| Dime Community Bancshares, Inc. | | | 1,461 | | | | 20,980 | |
| Netspend Holdings, Inc.* | | | 1,317 | | | | 20,927 | |
| Monmouth Real Estate | | | | | | | | |
| Investment Corp. — Class A | | | 1,867 | | | | 20,817 | |
| First Merchants Corp. | | | 1,329 | | | | 20,560 | |
| Kite Realty Group Trust | | | 3,045 | | | | 20,523 | |
| First BanCorp* | | | 3,270 | | | | 20,372 | |
| Western Asset Mortgage Capital Corp. | | | 870 | | | | 20,219 | |
| Lakeland Financial Corp. | | | 757 | | | | 20,204 | |
| Bancorp, Inc.* | | | 1,455 | | | | 20,152 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Simmons First National Corp. — Class A | | | 794 | | | $ | 20,104 | |
| Investment Technology Group, Inc.* | | | 1,808 | | | | 19,960 | |
| CapLease, Inc. | | | 3,105 | | | | 19,779 | |
| Wilshire Bancorp, Inc.* | | | 2,875 | | | | 19,493 | |
| Apollo Commercial Real Estate | | | | | | | | |
| Finance, Inc. | | | 1,088 | | | | 19,138 | |
| TICC Capital Corp. | | | 1,922 | | | | 19,105 | |
| BGC Partners, Inc. — Class A | | | 4,580 | | | | 19,053 | |
| Rouse Properties, Inc. | | | 1,030 | | | | 18,643 | |
| Green Dot Corp. — Class A* | | | 1,110 | | | | 18,548 | |
| Parkway Properties, Inc. | | | 996 | | | | 18,476 | |
| Union First Market Bankshares Corp. | | | 943 | | | | 18,445 | |
| TowneBank | | | 1,227 | | | | 18,368 | |
| Eagle Bancorp, Inc.* | | | 838 | | | | 18,344 | |
| Tejon Ranch Co.* | | | 614 | | | | 18,284 | |
| Washington Trust Bancorp, Inc. | | | 666 | | | | 18,235 | |
| BofI Holding, Inc.* | | | 505 | | | | 18,119 | |
| Agree Realty Corp. | | | 586 | | | | 17,639 | |
| Virginia Commerce Bancorp, Inc.* | | | 1,250 | | | | 17,563 | |
| StellarOne Corp. | | | 1,071 | | | | 17,297 | |
| New York Mortgage Trust, Inc. | | | 2,292 | | | | 17,282 | |
| Rockville Financial, Inc. | | | 1,331 | | | | 17,250 | |
| WSFS Financial Corp. | | | 353 | | | | 17,170 | |
| Cedar Realty Trust, Inc. | | | 2,791 | | | | 17,053 | |
| Heartland Financial USA, Inc. | | | 674 | | | | 17,032 | |
| FBL Financial Group, Inc. — Class A | | | 438 | | | | 17,021 | |
| Winthrop Realty Trust | | | 1,352 | | | | 17,008 | |
| Southside Bancshares, Inc. | | | 805 | | | | 16,913 | |
| Provident New York Bancorp | | | 1,833 | | | | 16,625 | |
| Meadowbrook Insurance Group, Inc. | | | 2,348 | | | | 16,553 | |
| eHealth, Inc.* | | | 909 | | | | 16,253 | |
| 1st Source Corp. | | | 685 | | | | 16,235 | |
| MCG Capital Corp. | | | 3,386 | | | | 16,185 | |
| First Financial Corp. | | | 513 | | | | 16,154 | |
| First Financial Holdings, Inc. | | | 768 | | | | 16,097 | |
| NewStar Financial, Inc.* | | | 1,216 | | | | 16,088 | |
| EverBank Financial Corp. | | | 1,039 | | | | 16,001 | |
| Ameris Bancorp* | | | 1,107 | | | | 15,885 | |
| First Busey Corp. | | | 3,463 | | | | 15,826 | |
| Beneficial Mutual Bancorp, Inc.* | | | 1,526 | | | | 15,718 | |
| GAMCO Investors, Inc. — Class A | | | 295 | | | | 15,667 | |
| National Western Life Insurance Co. — Class A | | | 89 | | | | 15,664 | |
| Central Pacific Financial Corp.* | | | 995 | | | | 15,622 | |
| HomeTrust Bancshares, Inc.* | | | 986 | | | | 15,579 | |
| Capital Southwest Corp. | | | 135 | | | | 15,525 | |
| Citizens, Inc.* | | | 1,812 | | | | 15,203 | |
| Safeguard Scientifics, Inc.* | | | 962 | | | | 15,200 | |
| FXCM, Inc. — Class A1 | | | 1,097 | | | | 15,007 | |
| Saul Centers, Inc. | | | 343 | | | | 15,003 | |
| United Financial Bancorp, Inc. | | | 978 | | | | 14,866 | |
| Sterling Bancorp | | | 1,435 | | | | 14,580 | |
| Select Income REIT | | | 540 | | | | 14,283 | |
| OneBeacon Insurance Group Ltd. — Class A | | | 1,056 | | | | 14,277 | |
| MVC Capital, Inc. | | | 1,107 | | | | 14,203 | |
| Federal Agricultural Mortgage | | | | | | | | |
| Corp. — Class C | | | 458 | | | | 14,102 | |
| First Interstate Bancsystem, Inc. — Class A | | | 749 | | | | 14,089 | |
| Silver Bay Realty Trust Corp. | | | 673 | | | | 13,931 | |
| Univest Corporation of Pennsylvania | | | 778 | | | | 13,553 | |
| Chatham Lodging Trust | | | 768 | | | | 13,524 | |
| Lakeland Bancorp, Inc. | | | 1,368 | | | | 13,475 | |
| Golub Capital BDC, Inc. | | | 814 | | | | 13,439 | |
| German American Bancorp, Inc. | | | 576 | | | | 13,254 | |
| OmniAmerican Bancorp, Inc.* | | | 523 | | | | 13,221 | |
| Arlington Asset Investment Corp. — Class A | | | 511 | | | | 13,189 | |
| MainSource Financial Group, Inc. | | | 938 | | | | 13,170 | |
| CoBiz Financial, Inc. | | | 1,624 | | | | 13,122 | |
| New Mountain Finance Corp. | | | 890 | | | | 13,012 | |
| First Community Bancshares, Inc. | | | 819 | | | | 12,981 | |
| Westwood Holdings Group, Inc. | | | 292 | | | | 12,974 | |
| Financial Institutions, Inc. | | | 641 | | | | 12,794 | |
| SY Bancorp, Inc. | | | 568 | | | | 12,780 | |
| Trico Bancshares | | | 737 | | | | 12,603 | |
| Bryn Mawr Bank Corp. | | | 534 | | | | 12,432 | |
| First Connecticut Bancorp, Inc. | | | 835 | | | | 12,300 | |
| BancFirst Corp. | | | 294 | | | | 12,260 | |
| Territorial Bancorp, Inc. | | | 515 | | | | 12,247 | |
| Centerstate Banks, Inc. | | | 1,400 | | | | 12,012 | |
| Taylor Capital Group, Inc.* | | | 750 | | | | 11,993 | |
| State Auto Financial Corp. | | | 685 | | | | 11,933 | |
| Bank Mutual Corp. | | | 2,150 | | | | 11,890 | |
| Arrow Financial Corp. | | | 481 | | | | 11,852 | |
| Camden National Corp. | | | 358 | | | | 11,843 | |
| Enterprise Financial Services Corp. | | | 820 | | | | 11,759 | |
| Park Sterling Corp.* | | | 2,064 | | | | 11,641 | |
| Great Southern Bancorp, Inc. | | | 474 | | | | 11,561 | |
| Cowen Group, Inc. — Class A* | | | 4,065 | | | | 11,463 | |
| One Liberty Properties, Inc. | | | 527 | | | | 11,446 | |
| Southwest Bancorp, Inc.* | | | 905 | | | | 11,367 | |
| Franklin Financial Corp. | | | 621 | | | | 11,333 | |
| Terreno Realty Corp. | | | 622 | | | | 11,184 | |
| International. FCStone, Inc.* | | | 641 | | | | 11,160 | |
| Gramercy Capital Corporation* | | | 2,130 | | | | 11,097 | |
| Global Indemnity plc — Class A* | | | 478 | | | | 11,090 | |
| Peoples Bancorp, Inc. | | | 491 | | | | 10,993 | |
| National Bankshares, Inc. | | | 314 | | | | 10,968 | |
| Medallion Financial Corp. | | | 823 | | | | 10,880 | |
| Northfield Bancorp, Inc. | | | 957 | | | | 10,872 | |
| KCAP Financial, Inc. | | | 1,008 | | | | 10,856 | |
| Citizens & Northern Corp. | | | 556 | | | | 10,842 | |
| Metro Bancorp, Inc.* | | | 652 | | | | 10,784 | |
| Hudson Valley Holding Corp. | | | 722 | | | | 10,765 | |
| GFI Group, Inc. | | | 3,205 | | | | 10,705 | |
| Homeowners Choice, Inc. | | | 392 | | | | 10,682 | |
| First of Long Island Corp. | | | 357 | | | | 10,585 | |
| Fidus Investment Corp. | | | 549 | | | | 10,513 | |
| Republic Bancorp, Inc. — Class A | | | 463 | | | | 10,482 | |
| First Bancorp | | | 777 | | | | 10,482 | |
| Heritage Financial Corp. | | | 722 | | | | 10,469 | |
| American Safety Insurance Holdings Ltd.* | | | 419 | | | | 10,458 | |
| Calamos Asset Management, Inc. — Class A | | | 886 | | | | 10,428 | |
| Manning & Napier, Inc. — Class A | | | 628 | | | | 10,387 | |
| THL Credit, Inc. | | | 691 | | | | 10,351 | |
| First Defiance Financial Corp. | | | 442 | | | | 10,307 | |
| 114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Bank of Marin Bancorp | | | 252 | | | $ | 10,103 | |
| Baldwin & Lyons, Inc. — Class B | | | 421 | | | | 10,016 | |
| Washington Banking Co. | | | 714 | | | | 9,953 | |
| Gladstone Commercial Corp. | | | 511 | | | | 9,949 | |
| Fox Chase Bancorp, Inc. | | | 586 | | | | 9,898 | |
| Solar Senior Capital Ltd. | | | 515 | | | | 9,888 | |
| Whitestone REIT — Class B | | | 642 | | | | 9,720 | |
| CNB Financial Corp. | | | 568 | | | | 9,684 | |
| OceanFirst Financial Corp. | | | 671 | | | | 9,676 | |
| Pacific Continental Corp. | | | 848 | | | | 9,472 | |
| Walker & Dunlop, Inc.* | | | 524 | | | | 9,416 | |
| Crawford & Co. — Class B | | | 1,216 | | | | 9,229 | |
| Oppenheimer Holdings, Inc. — Class A | | | 471 | | | | 9,170 | |
| Diamond Hill Investment Group, Inc. | | | 116 | | | | 9,026 | |
| 1st United Bancorp, Inc. | | | 1,390 | | | | 8,979 | |
| Gladstone Capital Corp. | | | 971 | | | | 8,933 | |
| Gladstone Investment Corp. | | | 1,214 | | | | 8,874 | |
| First California Financial Group, Inc.* | | | 1,039 | | | | 8,852 | |
| Westfield Financial, Inc. | | | 1,136 | | | | 8,838 | |
| Zillow, Inc. — Class A*,1 | | | 160 | | | | 8,747 | |
| National Interstate Corp. | | | 289 | | | | 8,664 | |
| Marlin Business Services Corp. | | | 373 | | | | 8,650 | |
| HomeStreet, Inc.* | | | 387 | | | | 8,646 | |
| Preferred Bank/Los Angeles CA* | | | 545 | | | | 8,600 | |
| Home Federal Bancorp, Inc. | | | 671 | | | | 8,589 | |
| Bridge Bancorp, Inc. | | | 395 | | | | 8,496 | |
| Enstar Group Ltd.* | | | 67 | | | | 8,327 | |
| FBR & Co.* | | | 435 | | | | 8,235 | |
| Phoenix Companies, Inc.* | | | 267 | | | | 8,216 | |
| SWS Group, Inc.* | | | 1,357 | | | | 8,210 | |
| West Bancorporation, Inc. | | | 723 | | | | 8,025 | |
| Ames National Corp. | | | 382 | | | | 7,969 | |
| Ladenburg Thalmann Financial Services, Inc.* | | | 4,790 | | | | 7,951 | |
| BankFinancial Corp. | | | 975 | | | | 7,888 | |
| Consolidated-Tomoka Land Co. | | | 198 | | | | 7,772 | |
| American National Bankshares, Inc. | | | 360 | | | | 7,762 | |
| Thomas Properties Group, Inc. | | | 1,500 | | | | 7,695 | |
| MidWestOne Financial Group, Inc. | | | 317 | | | | 7,548 | |
| Provident Financial Holdings, Inc. | | | 441 | | | | 7,501 | |
| Kansas City Life Insurance Co. | | | 191 | | | | 7,474 | |
| Sierra Bancorp | | | 566 | | | | 7,443 | |
| MetroCorp Bancshares, Inc.* | | | 737 | | | | 7,436 | |
| Guaranty Bancorp* | | | 3,540 | | | | 7,434 | |
| GSV Capital Corp.* | | | 900 | | | | 7,434 | |
| Meridian Interstate Bancorp, Inc.* | | | 392 | | | | 7,350 | |
| First Bancorp, Inc. | | | 404 | | | | 7,276 | |
| Kearny Financial Corp. | | | 704 | | | | 7,181 | |
| Seacoast Banking Corporation of Florida* | | | 3,420 | | | | 7,148 | |
| NGP Capital Resources Co. | | | 998 | | | | 7,096 | |
| Penns Woods Bancorp, Inc. | | | 173 | | | | 7,088 | |
| Merchants Bancshares, Inc. | | | 235 | | | | 7,082 | |
| Capital Bank Financial Corp. — Class A* | | | 412 | | | | 7,070 | |
| Bank of Kentucky Financial Corp. | | | 257 | | | | 7,050 | |
| Center Bancorp, Inc. | | | 551 | | | | 6,849 | |
| Nicholas Financial, Inc. | | | 462 | | | | 6,791 | |
| Mercantile Bank Corp. | | | 399 | | | | 6,667 | |
| UMH Properties, Inc. | | | 644 | | | | 6,614 | |
| Capital City Bank Group, Inc.* | | | 535 | | | | 6,607 | |
| ESB Financial Corp. | | | 482 | | | | 6,599 | |
| Bridge Capital Holdings* | | | 427 | | | | 6,507 | |
| Heritage Commerce Corp.* | | | 964 | | | | 6,488 | |
| Northrim BanCorp, Inc. | | | 288 | | | | 6,471 | |
| Sun Bancorp, Inc.* | | | 1,847 | | | | 6,298 | |
| Simplicity Bancorp, Inc. | | | 419 | | | | 6,298 | |
| Suffolk Bancorp* | | | 442 | | | | 6,294 | |
| MidSouth Bancorp, Inc. | | | 387 | | | | 6,293 | |
| Bar Harbor Bankshares | | | 171 | | | | 6,250 | |
| JAVELIN Mortgage Investment Corp. | | | 310 | | | | 6,092 | |
| Ares Commercial Real Estate Corp. | | | 359 | | | | 6,074 | |
| AV Homes, Inc.* | | | 455 | | | | 6,065 | |
| Horizon Bancorp | | | 299 | | | | 6,043 | |
| Hallmark Financial Services* | | | 660 | | | | 5,940 | |
| Peapack Gladstone Financial Corp. | | | 397 | | | | 5,919 | |
| SI Financial Group, Inc. | | | 488 | | | | 5,900 | |
| Home Bancorp, Inc.* | | | 313 | | | | 5,825 | |
| C&F Financial Corp. | | | 142 | | | | 5,815 | |
| First Financial Northwest, Inc.* | | | 743 | | | | 5,803 | |
| National Bank Holdings Corp. — Class A | | | 310 | | | | 5,673 | |
| Access National Corp. | | | 340 | | | | 5,576 | |
| Resource America, Inc. — Class A | | | 559 | | | | 5,568 | |
| First Pactrust Bancorp, Inc. | | | 488 | | | | 5,563 | |
| Heritage Financial Group, Inc. | | | 380 | | | | 5,502 | |
| Donegal Group, Inc. — Class A | | | 360 | | | | 5,497 | |
| Farmers National Banc Corp. | | | 871 | | | | 5,496 | |
| Eastern Insurance Holdings, Inc. | | | 292 | | | | 5,478 | |
| Century Bancorp, Inc. — Class A | | | 160 | | | | 5,426 | |
| Roma Financial Corp. | | | 335 | | | | 5,380 | |
| EMC Insurance Group, Inc. | | | 203 | | | | 5,345 | |
| Heritage Oaks Bancorp* | | | 930 | | | | 5,301 | |
| BSB Bancorp, Inc.* | | | 382 | | | | 5,275 | |
| Horizon Technology Finance Corp. | | | 360 | | | | 5,260 | |
| Fidelity Southern Corp.* | | | 451 | | | | 5,187 | |
| Harris & Harris Group, Inc.* | | | 1,440 | | | | 5,184 | |
| JMP Group, Inc. | | | 742 | | | | 5,127 | |
| Peoples Federal Bancshares, Inc. | | | 265 | | | | 5,062 | |
| Stellus Capital Investment Corp. | | | 340 | | | | 5,039 | |
| Tree.com, Inc. | | | 271 | | | | 5,011 | |
| Asset Acceptance Capital Corp.* | | | 738 | | | | 4,974 | |
| ESSA Bancorp, Inc. | | | 458 | | | | 4,965 | |
| Clifton Savings Bancorp, Inc. | | | 394 | | | | 4,909 | |
| Middleburg Financial Corp. | | | 250 | | | | 4,853 | |
| Cape Bancorp, Inc. | | | 521 | | | | 4,772 | |
| Enterprise Bancorp, Inc. | | | 271 | | | | 4,593 | |
| FNB United Corp.*,1 | | | 460 | | | | 4,490 | |
| Regional Management Corp.* | | | 220 | | | | 4,444 | |
| Asta Funding, Inc. | | | 458 | | | | 4,397 | |
| Universal Insurance Holdings, Inc. | | | 869 | | | | 4,215 | |
| Doral Financial Corp.* | | | 5,970 | | | | 4,207 | |
| TCP Capital Corp. | | | 262 | | | | 4,182 | |
| NASB Financial, Inc.* | | | 192 | | | | 4,042 | |
| OFS Capital Corp. | | | 280 | | | | 3,920 | |
| Artio Global Investors, Inc. — Class A | | | 1,433 | | | | 3,898 | |
| Charter Financial Corp. | | | 300 | | | | 3,837 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 115 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® FUND | |
| | | | Shares | | | | Value | |
| | | | | | | | | |
| Independence Holding Co. | | | 375 | | | $ | 3,818 | |
| AmREIT, Inc. — Class B | | | 194 | | | | 3,775 | |
| Gyrodyne Company of America, Inc. | | | 48 | | | | 3,528 | |
| Hingham Institution for Savings | | | 50 | | | | 3,485 | |
| Investors Title Co. | | | 50 | | | | 3,454 | |
| MicroFinancial, Inc. | | | 381 | | | | 3,212 | |
| Gain Capital Holdings, Inc. | | | 686 | | | | 3,060 | |
| Pzena Investment Management, Inc. — Class A | | | 455 | | | | 2,958 | |
| Pacific Mercantile Bancorp* | | | 491 | | | | 2,872 | |
| Waterstone Financial, Inc.* | | | 343 | | | | 2,837 | |
| First Marblehead Corp.* | | | 2,707 | | | | 2,734 | |
| Fortegra Financial Corp.* | | | 311 | | | | 2,724 | |
| CIFC Corp.* | | | 294 | | | | 2,420 | |
| Cascade Bancorp* | | | 265 | | | | 1,791 | |
| Berkshire Bancorp, Inc. | | | 202 | | | | 1,687 | |
| First Federal Bancshares of | | | | | | | | |
| Arkansas, Inc.* | | | 160 | | | | 1,600 | |
| California First National Bancorp | | | 92 | | | | 1,591 | |
| Crescent Financial Bancshares, Inc.* | | | 119 | | | | 469 | |
| Total Financials | | | | | | | 14,301,772 | |
| Information Technology - 9.5% | | | | | | | | |
| CommVault Systems, Inc.* | | | 2,078 | | | | 170,354 | |
| CoStar Group, Inc.* | | | 1,313 | | | | 143,721 | |
| PTC, Inc.* | | | 5,561 | | | | 141,751 | |
| WEX, Inc.* | | | 1,804 | | | | 141,613 | |
| Aspen Technology, Inc.* | | | 4,346 | | | | 140,332 | |
| Cymer, Inc.* | | | 1,425 | | | | 136,943 | |
| Ultimate Software Group, Inc.* | | | 1,241 | | | | 129,263 | |
| Aruba Networks, Inc.* | | | 5,201 | | | | 128,673 | |
| MAXIMUS, Inc. | | | 1,582 | | | | 126,512 | |
| FEI Co. | | | 1,760 | | | | 113,608 | |
| Semtech Corp.* | | | 3,044 | | | | 107,728 | |
| 3D Systems Corp.*,1 | | | 3,258 | | | | 105,038 | |
| ValueClick, Inc.* | | | 3,492 | | | | 103,188 | |
| QLIK Technologies, Inc.* | | | 3,970 | | | | 102,545 | |
| Microsemi Corp.* | | | 4,131 | | | | 95,715 | |
| Anixter International, Inc. | | | 1,307 | | | | 91,386 | |
| InterDigital, Inc.1 | | | 1,904 | | | | 91,068 | |
| Arris Group, Inc.* | | | 5,259 | | | | 90,297 | |
| ACI Worldwide, Inc.* | | | 1,847 | | | | 90,244 | |
| Cavium, Inc.* | | | 2,310 | | | | 89,651 | |
| Hittite Microwave Corp.* | | | 1,463 | | | | 88,599 | |
| Plantronics, Inc. | | | 1,977 | | | | 87,364 | |
| Convergys Corp. | | | 5,071 | | | | 86,359 | |
| Tyler Technologies, Inc.* | | | 1,397 | | | | 85,580 | |
| Verint Systems, Inc.* | | | 2,333 | | | | 85,271 | |
| j2 Global, Inc.1 | | | 2,152 | | | | 84,380 | |
| ViaSat, Inc.* | | | 1,736 | | | | 84,092 | |
| Cognex Corp. | | | 1,987 | | | | 83,751 | |
| Sourcefire, Inc.* | | | 1,374 | | | | 81,382 | |
| Mentor Graphics Corp. | | | 4,334 | | | | 78,229 | |
| First Solar, Inc.* | | | 2,800 | | | | 75,488 | |
| Ciena Corp.* | | | 4,606 | | | | 73,742 | |
| Acxiom Corp.* | | | 3,573 | | | | 72,889 | |
| Fair Isaac Corp. | | | 1,592 | | | | 72,738 | |
| TiVo, Inc.* | | | 5,800 | | | | 71,862 | |
| Manhattan Associates, Inc.* | | | 942 | | | | 69,981 | |
| Sapient Corp.* | | | 5,722 | | | | 69,751 | |
| Veeco Instruments, Inc.* | | | 1,810 | | | | 69,377 | |
| RF Micro Devices, Inc.* | | | 12,932 | | | | 68,798 | |
| Cirrus Logic, Inc.* | | | 3,001 | | | | 68,273 | |
| International Rectifier Corp.* | | | 3,217 | | | | 68,040 | |
| Littelfuse, Inc. | | | 995 | | | | 67,510 | |
| Progress Software Corp.* | | | 2,919 | | | | 66,495 | |
| MKS Instruments, Inc. | | | 2,442 | | | | 66,422 | |
| OpenTable, Inc.* | | | 1,048 | | | | 66,003 | |
| Synaptics, Inc.* | | | 1,568 | | | | 63,803 | |
| Entegris, Inc.* | | | 6,380 | | | | 62,907 | |
| Blackbaud, Inc. | | | 2,101 | | | | 62,253 | |
| Euronet Worldwide, Inc.* | | | 2,363 | | | | 62,241 | |
| Coherent, Inc. | | | 1,095 | | | | 62,130 | |
| VistaPrint N.V.*,1 | | | 1,590 | | | | 61,469 | |
| CACI International, Inc. — Class A* | | | 1,057 | | | | 61,169 | |
| Heartland Payment Systems, Inc. | | | 1,799 | | | | 59,313 | |
| NETGEAR, Inc.* | | | 1,767 | | | | 59,212 | |
| Take-Two Interactive Software, Inc.* | | | 3,639 | | | | 58,769 | |
| ADTRAN, Inc. | | | 2,962 | | | | 58,203 | |
| Dealertrack Technologies, Inc.* | | | 1,974 | | | | 57,996 | |
| NIC, Inc. | | | 2,992 | | | | 57,327 | |
| WebMD Health Corp. — Class A* | | | 2,350 | | | | 57,152 | |
| Power Integrations, Inc. | | | 1,316 | | | | 57,128 | |
| OSI Systems, Inc.* | | | 917 | | | | 57,120 | |
| Cardtronics, Inc.* | | | 2,051 | | | | 56,320 | |
| Finisar Corp.* | | | 4,244 | | | | 55,978 | |
| Electronics for Imaging, Inc.* | | | 2,153 | | | | 54,600 | |
| Universal Display Corp.*,1 | | | 1,850 | | | | 54,371 | |
| Cornerstone OnDemand, Inc.* | | | 1,559 | | | | 53,162 | |
| QLogic Corp.* | | | 4,529 | | | | 52,536 | |
| Intersil Corp. — Class A | | | 5,920 | | | | 51,563 | |
| Integrated Device Technology, Inc.* | | | 6,613 | | | | 49,399 | |
| Bottomline Technologies de, Inc.* | | | 1,712 | | | | 48,809 | |
| Benchmark Electronics, Inc.* | | | 2,675 | | | | 48,203 | |
| Syntel, Inc. | | | 713 | | | | 48,142 | |
| Ultratech, Inc.* | | | 1,213 | | | | 47,950 | |
| SS&C Technologies Holdings, Inc.* | | | 1,575 | | | | 47,219 | |
| MEMC Electronic Materials, Inc.* | | | 10,730 | | | | 47,212 | |
| Unisys Corp.* | | | 2,039 | | | | 46,387 | |
| SYNNEX Corp.* | | | 1,222 | | | | 45,214 | |
| Tessera Technologies, Inc. | | | 2,407 | | | | 45,131 | |
| MTS Systems Corp. | | | 745 | | | | 43,322 | |
| Sanmina Corp.* | | | 3,786 | | | | 43,009 | |
| Insight Enterprises, Inc.* | | | 2,065 | | | | 42,580 | |
| Ixia* | | | 1,961 | | | | 42,436 | |
| NetScout Systems, Inc.* | | | 1,709 | | | | 41,990 | |
| Advent Software, Inc.* | | | 1,467 | | | | 41,032 | |
| Monotype Imaging Holdings, Inc. | | | 1,695 | | | | 40,256 | |
| Synchronoss Technologies, Inc.* | | | 1,288 | | | | 39,967 | |
| Cray, Inc.* | | | 1,717 | | | | 39,851 | |
| MicroStrategy, Inc. — Class A* | | | 394 | | | | 39,826 | |
| Plexus Corp.* | | | 1,629 | | | | 39,601 | |
| TriQuint Semiconductor, Inc.* | | | 7,838 | | | | 39,582 | |
| Cabot Microelectronics Corp.* | | | 1,091 | | | | 37,912 | |
| VirnetX Holding Corp.* | | | 1,947 | | | | 37,324 | |
| Guidewire Software, Inc.* | | | 951 | | | | 36,556 | |
| 116 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| ScanSource, Inc.* | | | 1,284 | | | $ | 36,234 | |
| Rofin-Sinar Technologies, Inc.* | | | 1,330 | | | | 36,030 | |
| Badger Meter, Inc. | | | 671 | | | | 35,912 | |
| ExlService Holdings, Inc.* | | | 1,087 | | | | 35,741 | |
| Rogers Corp.* | | | 750 | | | | 35,715 | |
| Infinera Corp.*,1 | | | 5,102 | | | | 35,714 | |
| Tellabs, Inc. | | | 17,020 | | | | 35,572 | |
| LivePerson, Inc.* | | | 2,559 | | | | 34,751 | |
| Diodes, Inc.* | | | 1,649 | | | | 34,596 | |
| Monolithic Power Systems, Inc. | | | 1,416 | | | | 34,508 | |
| RealPage, Inc.*,1 | | | 1,665 | | | | 34,482 | |
| FARO Technologies, Inc.* | | | 785 | | | | 34,061 | |
| Advanced Energy Industries, Inc.* | | | 1,849 | | | | 33,837 | |
| BroadSoft, Inc.* | | | 1,274 | | | | 33,723 | |
| OmniVision Technologies, Inc.* | | | 2,438 | | | | 33,596 | |
| CSG Systems International, Inc.* | | | 1,582 | | | | 33,523 | |
| ATMI, Inc.* | | | 1,480 | | | | 33,196 | |
| Angie’s List, Inc.* | | | 1,656 | | | | 32,723 | |
| Liquidity Services, Inc.*,1 | | | 1,095 | | | | 32,642 | |
| Loral Space & Communications, Inc. | | | 512 | | | | 31,683 | |
| Harmonic, Inc.* | | | 5,462 | | | | 31,625 | |
| Brooks Automation, Inc. | | | 3,084 | | | | 31,395 | |
| Interactive Intelligence Group, Inc.* | | | 681 | | | | 30,202 | |
| Newport Corp.* | | | 1,775 | | | | 30,033 | |
| Lattice Semiconductor Corp.* | | | 5,480 | | | | 29,866 | |
| ManTech International Corp. — Class A | | | 1,076 | | | | 28,912 | |
| Sykes Enterprises, Inc.* | | | 1,810 | | | | 28,888 | |
| Spansion, Inc. — Class A* | | | 2,243 | | | | 28,867 | |
| Rambus, Inc.* | | | 5,135 | | | | 28,807 | |
| Blucora, Inc.* | | | 1,860 | | | | 28,793 | |
| Monster Worldwide, Inc.* | | | 5,636 | | | | 28,575 | |
| Comverse, Inc.* | | | 1,015 | | | | 28,461 | |
| iGATE Corp.* | | | 1,495 | | | | 28,121 | |
| Measurement Specialties, Inc.* | | | 705 | | | | 28,038 | |
| Web.com Group, Inc.* | | | 1,626 | | | | 27,772 | |
| PROS Holdings, Inc.* | | | 1,018 | | | | 27,659 | |
| comScore, Inc.* | | | 1,642 | | | | 27,553 | |
| Intermec, Inc.* | | | 2,789 | | | | 27,416 | |
| EarthLink, Inc. | | | 4,932 | | | | 26,731 | |
| Emulex Corp.* | | | 4,034 | | | | 26,342 | |
| Websense, Inc.* | | | 1,734 | | | | 26,010 | |
| Sonus Networks, Inc.* | | | 9,886 | | | | 25,605 | |
| Bankrate, Inc.* | | | 2,142 | | | | 25,575 | |
| United Online, Inc. | | | 4,208 | | | | 25,374 | |
| Accelrys, Inc.* | | | 2,577 | | | | 25,152 | |
| RealD, Inc.*,1 | | | 1,921 | | | | 24,973 | |
| Ellie Mae, Inc.* | | | 1,035 | | | | 24,892 | |
| Checkpoint Systems, Inc.* | | | 1,881 | | | | 24,566 | |
| Park Electrochemical Corp. | | | 963 | | | | 24,402 | |
| SPS Commerce, Inc.* | | | 568 | | | | 24,237 | |
| Digital River, Inc.* | | | 1,712 | | | | 24,208 | |
| Micrel, Inc. | | | 2,252 | | | | 23,669 | |
| Internap Network Services Corp.* | | | 2,462 | | | | 23,020 | |
| TeleTech Holdings, Inc.* | | | 1,065 | | | | 22,589 | |
| Applied Micro Circuits Corp.* | | | 3,039 | | | | 22,549 | |
| Pegasystems, Inc. | | | 800 | | | | 22,464 | |
| Methode Electronics, Inc. | | | 1,721 | | | | 22,166 | |
| Move, Inc.* | | | 1,822 | | | | 21,773 | |
| Global Cash Access Holdings, Inc.* | | | 3,058 | | | | 21,559 | |
| Ebix, Inc.1 | | | 1,317 | | | | 21,362 | |
| SunPower Corp. — Class A* | | | 1,847 | | | | 21,314 | |
| EPIQ Systems, Inc. | | | 1,462 | | | | 20,512 | |
| Silicon Graphics International Corp.* | | | 1,489 | | | | 20,474 | |
| Forrester Research, Inc. | | | 646 | | | | 20,446 | |
| Virtusa Corp.* | | | 860 | | | | 20,434 | |
| Comtech Telecommunications Corp. | | | 836 | | | | 20,298 | |
| Cass Information Systems, Inc. | | | 477 | | | | 20,053 | |
| SciQuest, Inc.* | | | 834 | | | | 20,049 | |
| Dice Holdings, Inc.* | | | 1,968 | | | | 19,936 | |
| LogMeIn, Inc.* | | | 1,023 | | | | 19,662 | |
| Silicon Image, Inc.* | | | 3,870 | | | | 18,808 | |
| TTM Technologies, Inc.* | | | 2,471 | | | | 18,780 | |
| Photronics, Inc.* | | | 2,802 | | | | 18,717 | |
| Constant Contact, Inc.* | | | 1,417 | | | | 18,393 | |
| GT Advanced Technologies, Inc.* | | | 5,504 | | | | 18,108 | |
| Exar Corp.* | | | 1,724 | | | | 18,102 | |
| MoneyGram International, Inc.* | | | 999 | | | | 18,082 | |
| InvenSense, Inc. — Class A* | | | 1,691 | | | | 18,060 | |
| PDF Solutions, Inc.* | | | 1,118 | | | | 17,910 | |
| Daktronics, Inc. | | | 1,683 | | | | 17,672 | |
| Rudolph Technologies, Inc.* | | | 1,494 | | | | 17,599 | |
| Imperva, Inc.* | | | 451 | | | | 17,364 | |
| Perficient, Inc.* | | | 1,488 | | | | 17,350 | |
| Tangoe, Inc.* | | | 1,381 | | | | 17,111 | |
| Envestnet, Inc.* | | | 969 | | | | 16,967 | |
| Black Box Corp. | | | 772 | | | | 16,837 | |
| Ceva, Inc.* | | | 1,075 | | | | 16,770 | |
| Volterra Semiconductor Corp.* | | | 1,176 | | | | 16,699 | |
| Entropic Communications, Inc.* | | | 4,092 | | | | 16,654 | |
| CTS Corp. | | | 1,584 | | | | 16,537 | |
| ServiceSource International, Inc.*,1 | | | 2,311 | | | | 16,339 | |
| Electro Rent Corp. | | | 874 | | | | 16,204 | |
| CIBER, Inc.* | | | 3,390 | | | | 15,933 | |
| Seachange International, Inc.* | | | 1,326 | | | | 15,766 | |
| Nanometrics, Inc.* | | | 1,089 | | | | 15,714 | |
| Stamps.com, Inc.* | | | 619 | | | | 15,456 | |
| Immersion Corp.* | | | 1,306 | | | | 15,332 | |
| Super Micro Computer, Inc.* | | | 1,355 | | | | 15,298 | |
| Computer Task Group, Inc. | | | 713 | | | | 15,251 | |
| Fabrinet* | | | 1,029 | | | | 15,034 | |
| Calix, Inc.* | | | 1,822 | | | | 14,849 | |
| Extreme Networks* | | | 4,375 | | | | 14,744 | |
| Responsys, Inc.* | | | 1,659 | | | | 14,682 | |
| CalAmp Corp.* | | | 1,330 | | | | 14,590 | |
| Oplink Communications, Inc.* | | | 885 | | | | 14,514 | |
| DTS, Inc.* | | | 847 | | | | 14,086 | |
| Quantum Corp.* | | | 10,895 | | | | 13,946 | |
| Actuate Corp.* | | | 2,293 | | | | 13,758 | |
| LTX-Credence Corp.* | | | 2,275 | | | | 13,741 | |
| Amkor Technology, Inc.*,1 | | | 3,433 | | | | 13,732 | |
| Vocus, Inc.* | | | 960 | | | | 13,584 | |
| Higher One Holdings, Inc.* | | | 1,492 | | | | 13,264 | |
| KEMET Corp.* | | | 2,082 | | | | 13,013 | |
| Parkervision, Inc.* | | | 3,530 | | | | 12,955 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Power-One, Inc.* | | | 3,117 | | | $ | 12,936 | |
| Globecomm Systems, Inc.* | | | 1,073 | | | | 12,887 | |
| NVE Corp.* | | | 224 | | | | 12,638 | |
| Anaren, Inc.* | | | 646 | | | | 12,526 | |
| XO Group, Inc.* | | | 1,214 | | | | 12,140 | |
| Demand Media, Inc.* | | | 1,395 | | | | 12,039 | |
| Electro Scientific Industries, Inc. | | | 1,064 | | | | 11,757 | |
| Integrated Silicon Solution, Inc.* | | | 1,272 | | | | 11,664 | |
| GSI Group, Inc.* | | | 1,358 | | | | 11,584 | |
| Kopin Corp.* | | | 3,102 | | | | 11,477 | |
| Jive Software, Inc.* | | | 750 | | | | 11,400 | |
| Inphi Corp.* | | | 1,083 | | | | 11,317 | |
| Zygo Corp.* | | | 761 | | | | 11,270 | |
| VASCO Data Security International, Inc.* | | | 1,314 | | | | 11,090 | |
| Saba Software, Inc.* | | | 1,382 | | | | 10,987 | |
| IXYS Corp. | | | 1,142 | | | | 10,952 | |
| FormFactor, Inc.* | | | 2,307 | | | | 10,843 | |
| IntraLinks Holdings, Inc.* | | | 1,694 | | | | 10,774 | |
| Digi International, Inc.* | | | 1,197 | | | | 10,689 | |
| Supertex, Inc. | | | 481 | | | | 10,683 | |
| Procera Networks, Inc.* | | | 896 | | | | 10,653 | |
| Mercury Systems, Inc.* | | | 1,440 | | | | 10,613 | |
| Cohu, Inc. | | | 1,132 | | | | 10,596 | |
| ExactTarget, Inc.* | | | 452 | | | | 10,518 | |
| Keynote Systems, Inc. | | | 732 | | | | 10,219 | |
| Zix Corp.* | | | 2,831 | | | | 10,135 | |
| Lionbridge Technologies, Inc.* | | | 2,612 | | | | 10,108 | |
| Aviat Networks, Inc.* | | | 2,843 | | | | 9,581 | |
| PLX Technology, Inc.* | | | 2,082 | | | | 9,494 | |
| support.com, Inc.* | | | 2,261 | | | | 9,451 | |
| Trulia, Inc.* | | | 300 | | | | 9,414 | |
| KVH Industries, Inc.* | | | 685 | | | | 9,295 | |
| Yelp, Inc. — Class A* | | | 390 | | | | 9,247 | |
| Market Leader, Inc.* | | | 1,029 | | | | 9,220 | |
| FleetMatics Group plc* | | | 380 | | | | 9,215 | |
| American Software, Inc. — Class A | | | 1,089 | | | | 9,060 | |
| QuinStreet, Inc.* | | | 1,517 | | | | 9,056 | |
| Unwired Planet, Inc.* | | | 4,031 | | | | 8,949 | |
| Symmetricom, Inc.* | | | 1,938 | | | | 8,799 | |
| Avid Technology, Inc.* | | | 1,392 | | | | 8,728 | |
| ePlus, Inc. | | | 188 | | | | 8,687 | |
| Datalink Corp.* | | | 710 | | | | 8,577 | |
| Ultra Clean Holdings* | | | 1,287 | | | | 8,366 | |
| Vishay Precision Group, Inc.* | | | 569 | | | | 8,359 | |
| DSP Group, Inc.* | | | 1,015 | | | | 8,191 | |
| ShoreTel, Inc.* | | | 2,239 | | | | 8,128 | |
| RealNetworks, Inc.* | | | 1,013 | | | | 7,810 | |
| Infoblox, Inc.* | | | 359 | | | | 7,790 | |
| Telular Corp. | | | 770 | | | | 7,746 | |
| Bel Fuse, Inc. — Class B | | | 491 | | | | 7,665 | |
| Demandware, Inc.* | | | 300 | | | | 7,605 | |
| Active Network, Inc.* | | | 1,806 | | | | 7,567 | |
| Ruckus Wireless, Inc.*,1 | | | 360 | | | | 7,560 | |
| Rosetta Stone, Inc.* | | | 491 | | | | 7,552 | |
| Glu Mobile, Inc.*,1 | | | 2,512 | | | | 7,486 | |
| Pericom Semiconductor Corp.* | | | 1,097 | | | | 7,471 | |
| Sigma Designs, Inc.* | | | 1,530 | | | | 7,451 | |
| PRGX Global, Inc.* | | | 1,071 | | | | 7,443 | |
| MoSys, Inc.* | | | 1,567 | | | | 7,381 | |
| Callidus Software, Inc.* | | | 1,607 | | | | 7,344 | |
| Maxwell Technologies, Inc.* | | | 1,353 | | | | 7,293 | |
| STEC, Inc.* | | | 1,648 | | | | 7,284 | |
| Aeroflex Holding Corp.* | | | 922 | | | | 7,247 | |
| Digimarc Corp. | | | 328 | | | | 7,206 | |
| Guidance Software, Inc.* | | | 657 | | | | 7,128 | |
| Alpha & Omega Semiconductor Ltd.* | | | 801 | | | | 7,113 | |
| Richardson Electronics Ltd. | | | 594 | | | | 7,045 | |
| Travelzoo, Inc.* | | | 328 | | | | 7,009 | |
| PC Connection, Inc. | | | 418 | | | | 6,834 | |
| Agilysys, Inc.* | | | 671 | | | | 6,670 | |
| Ubiquiti Networks, Inc. | | | 486 | | | | 6,668 | |
| Intermolecular, Inc.* | | | 647 | | | | 6,599 | |
| ANADIGICS, Inc.* | | | 3,279 | | | | 6,558 | |
| Numerex Corp. — Class A* | | | 510 | | | | 6,523 | |
| Mesa Laboratories, Inc. | | | 123 | | | | 6,518 | |
| MaxLinear, Inc. — Class A* | | | 1,024 | | | | 6,349 | |
| GSI Technology, Inc.* | | | 960 | | | | 6,326 | |
| Axcelis Technologies, Inc.* | | | 5,006 | | | | 6,258 | |
| PC-Telephone, Inc. | | | 860 | | | | 6,106 | |
| ModusLink Global Solutions, Inc.* | | | 1,836 | | | | 6,059 | |
| Multi-Fineline Electronix, Inc.* | | | 391 | | | | 6,033 | |
| Neonode, Inc.* | | | 1,040 | | | | 6,001 | |
| Limelight Networks, Inc.* | | | 2,793 | | | | 5,754 | |
| Carbonite, Inc.* | | | 520 | | | | 5,694 | |
| Pervasive Software, Inc.* | | | 616 | | | | 5,649 | |
| OCZ Technology Group, Inc.*,1 | | | 3,130 | | | | 5,634 | |
| Mindspeed Technologies, Inc.* | | | 1,681 | | | | 5,598 | |
| Key Tronic Corp.* | | | 487 | | | | 5,581 | |
| Imation Corp.* | | | 1,434 | | | | 5,478 | |
| Tessco Technologies, Inc. | | | 252 | | | | 5,453 | |
| Rubicon Technology, Inc.* | | | 795 | | | | 5,247 | |
| Radisys Corp.* | | | 1,063 | | | | 5,230 | |
| EPAM Systems, Inc.* | | | 225 | | | | 5,227 | |
| AVG Technologies N.V.* | | | 375 | | | | 5,220 | |
| Hackett Group, Inc. | | | 1,142 | | | | 5,219 | |
| Intevac, Inc.* | | | 1,077 | | | | 5,083 | |
| QuickLogic Corp.* | | | 2,045 | | | | 5,031 | |
| Telenav, Inc.* | | | 772 | | | | 4,979 | |
| Proofpoint, Inc.* | | | 292 | | | | 4,923 | |
| iPass, Inc.* | | | 2,410 | | | | 4,772 | |
| NeoPhotonics Corp.* | | | 906 | | | | 4,630 | |
| Qualys, Inc.* | | | 370 | | | | 4,566 | |
| M/A-COM Technology Solutions | | | | | | | | |
| Holdings, Inc.* | | | 284 | | | | 4,564 | |
| Marchex, Inc. — Class B | | | 1,048 | | | | 4,412 | |
| AXT, Inc.* | | | 1,498 | | | | 4,404 | |
| Echelon Corp.* | | | 1,764 | | | | 4,304 | |
| Audience, Inc.* | | | 282 | | | | 4,301 | |
| E2open, Inc.* | | | 215 | | | | 4,287 | |
| Oclaro, Inc.*,1 | | | 3,394 | | | | 4,276 | |
| Westell Technologies, Inc. — Class A* | | | 2,127 | | | | 4,275 | |
| Ambarella, Inc.* | | | 260 | | | | 4,072 | |
| FalconStor Software, Inc.* | | | 1,475 | | | | 3,953 | |
| Mattson Technology, Inc.* | | | 2,720 | | | | 3,754 | |
| 118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| QAD, Inc. — Class A | | | 291 | | | $ | 3,736 | |
| Spark Networks, Inc.* | | | 528 | | | | 3,717 | |
| Innodata, Inc.* | | | 1,030 | | | | 3,554 | |
| Bazaarvoice, Inc.* | | | 483 | | | | 3,536 | |
| TechTarget, Inc.* | | | 716 | | | | 3,501 | |
| Sapiens International Corporation N.V. | | | 630 | | | | 3,427 | |
| Millennial Media, Inc.* | | | 525 | | | | 3,334 | |
| STR Holdings, Inc.* | | | 1,403 | | | | 3,045 | |
| Peregrine Semiconductor Corp.* | | | 294 | | | | 2,872 | |
| Exa Corp.* | | | 286 | | | | 2,723 | |
| Aware, Inc. | | | 559 | | | | 2,588 | |
| Viasystems Group, Inc.* | | | 174 | | | | 2,269 | |
| Mattersight Corp.* | | | 473 | | | | 2,029 | |
| MeetMe, Inc.* | | | 862 | | | | 1,965 | |
| Brightcove, Inc.* | | | 259 | | | | 1,608 | |
| Riverbed Technology, Inc.* | | | 100 | | | | 1,491 | |
| Synacor, Inc.* | | | 316 | | | | 945 | |
| Envivio, Inc.* | | | 359 | | | | 610 | |
| KIT Digital, Inc.* | | | 1,453 | | | | 421 | |
| Sycamore Networks, Inc. | | | 956 | | | | 354 | |
| Ambient Corp.* | | | 119 | | | | 292 | |
| Total Information Technology | | | | | | | 10,220,158 | |
| Industrials - 8.8% | | | | | | | | |
| Alaska Air Group, Inc.* | | | 3,308 | | | | 211,579 | |
| Genesee & Wyoming, Inc. — Class A* | | | 2,061 | | | | 191,900 | |
| Avis Budget Group, Inc.* | | | 4,937 | | | | 137,397 | |
| Acuity Brands, Inc. | | | 1,966 | | | | 136,341 | |
| Hexcel Corp.* | | | 4,631 | | | | 134,344 | |
| Teledyne Technologies, Inc.* | | | 1,710 | | | | 134,132 | |
| AO Smith Corp. | | | 1,808 | | | | 133,014 | |
| Middleby Corp.* | | | 873 | | | | 132,826 | |
| EMCOR Group, Inc. | | | 3,099 | | | | 131,368 | |
| US Airways Group, Inc.* | | | 7,546 | | | | 128,056 | |
| Woodward, Inc. | | | 3,215 | | | | 127,828 | |
| Old Dominion Freight Line, Inc.* | | | 3,312 | | | | 126,518 | |
| CLARCOR, Inc. | | | 2,333 | | | | 122,202 | |
| Watsco, Inc. | | | 1,366 | | | | 114,991 | |
| Chart Industries, Inc.* | | | 1,389 | | | | 111,133 | |
| Belden, Inc. | | | 2,117 | | | | 109,343 | |
| Esterline Technologies Corp.* | | | 1,424 | | | | 107,797 | |
| HEICO Corp. | | | 2,446 | | | | 106,181 | |
| Actuant Corp. — Class A | | | 3,386 | | | | 103,678 | |
| EnerSys, Inc.* | | | 2,225 | | | | 101,416 | |
| Deluxe Corp. | | | 2,369 | | | | 98,076 | |
| Moog, Inc. — Class A* | | | 2,107 | | | | 96,564 | |
| USG Corp.* | | | 3,445 | | | | 91,086 | |
| Corporate Executive Board Co. | | | 1,559 | | | | 90,672 | |
| Tetra Tech, Inc.* | | | 2,952 | | | | 90,006 | |
| Applied Industrial Technologies, Inc. | | | 1,957 | | | | 88,065 | |
| Beacon Roofing Supply, Inc.* | | | 2,178 | | | | 84,201 | |
| Advisory Board Co.* | | | 1,595 | | | | 83,769 | |
| Healthcare Services Group, Inc. | | | 3,120 | | | | 79,967 | |
| Curtiss-Wright Corp. | | | 2,178 | | | | 75,577 | |
| HNI Corp. | | | 2,121 | | | | 75,275 | |
| Herman Miller, Inc. | | | 2,714 | | | | 75,096 | |
| JetBlue Airways Corp.* | | | 10,863 | | | | 74,955 | |
| MasTec, Inc.* | | | 2,550 | | | | 74,334 | |
| FTI Consulting, Inc.* | | | 1,953 | | | | 73,550 | |
| Franklin Electric Company, Inc. | | | 2,178 | | | | 73,115 | |
| United Stationers, Inc. | | | 1,887 | | | | 72,933 | |
| Barnes Group, Inc. | | | 2,521 | | | | 72,932 | |
| DigitalGlobe, Inc.* | | | 2,478 | | | | 71,639 | |
| Acacia Research Corp.* | | | 2,313 | | | | 69,783 | |
| AMERCO | | | 397 | | | | 68,895 | |
| Brady Corp. — Class A | | | 2,021 | | | | 67,764 | |
| Hub Group, Inc. — Class A* | | | 1,726 | | | | 66,382 | |
| Mine Safety Appliances Co. | | | 1,287 | | | | 63,861 | |
| Watts Water Technologies, Inc. — Class A | | | 1,307 | | | | 62,723 | |
| Brink’s Co. | | | 2,193 | | | | 61,974 | |
| Allegiant Travel Co. — Class A | | | 694 | | | | 61,613 | |
| TAL International Group, Inc. | | | 1,356 | | | | 61,440 | |
| UniFirst Corp. | | | 675 | | | | 61,088 | |
| Granite Construction, Inc. | | | 1,797 | | | | 57,216 | |
| Simpson Manufacturing Company, Inc. | | | 1,862 | | | | 56,996 | |
| Raven Industries, Inc. | | | 1,684 | | | | 56,600 | |
| AZZ, Inc. | | | 1,167 | | | | 56,249 | |
| Briggs & Stratton Corp.1 | | | 2,257 | | | | 55,974 | |
| ABM Industries, Inc. | | | 2,502 | | | | 55,644 | |
| Interface, Inc. — Class A | | | 2,721 | | | | 52,298 | |
| Mobile Mini, Inc.* | | | 1,777 | | | | 52,297 | |
| RBC Bearings, Inc.* | | | 1,032 | | | | 52,178 | |
| Swift Transportation Co. — Class A* | | | 3,674 | | | | 52,097 | |
| Steelcase, Inc. — Class A | | | 3,536 | | | | 52,085 | |
| Lindsay Corp. | | | 587 | | | | 51,761 | |
| ESCO Technologies, Inc. | | | 1,238 | | | | 50,585 | |
| Forward Air Corp. | | | 1,354 | | | | 50,491 | |
| On Assignment, Inc.* | | | 1,992 | | | | 50,417 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 1,230 | | | | 50,135 | |
| Werner Enterprises, Inc. | | | 2,058 | | | | 49,680 | |
| Mueller Industries, Inc. | | | 926 | | | | 49,347 | |
| EnPro Industries, Inc.* | | | 960 | | | | 49,123 | |
| Spirit Airlines, Inc.* | | | 1,929 | | | | 48,919 | |
| Trimas Corp.* | | | 1,494 | | | | 48,510 | |
| Titan International, Inc. | | | 2,217 | | | | 46,734 | |
| Orbital Sciences Corp.* | | | 2,745 | | | | 45,814 | |
| Kaman Corp. | | | 1,228 | | | | 43,557 | |
| Knight Transportation, Inc. | | | 2,686 | | | | 43,245 | |
| Mueller Water Products, Inc. — Class A | | | 7,287 | | | | 43,212 | |
| Huron Consulting Group, Inc.* | | | 1,070 | | | | 43,142 | |
| Tennant Co. | | | 875 | | | | 42,490 | |
| Aegion Corp. — Class A* | | | 1,827 | | | | 42,295 | |
| II-VI, Inc.* | | | 2,446 | | | | 41,680 | |
| Generac Holdings, Inc. | | | 1,153 | | | | 40,747 | |
| Knoll, Inc. | | | 2,227 | | | | 40,376 | |
| G&K Services, Inc. — Class A | | | 873 | | | | 39,730 | |
| TrueBlue, Inc.* | | | 1,878 | | | | 39,701 | |
| Korn/Ferry International* | | | 2,218 | | | | 39,613 | |
| Kaydon Corp. | | | 1,492 | | | | 38,165 | |
| Apogee Enterprises, Inc. | | | 1,317 | | | | 38,127 | |
| SkyWest, Inc. | | | 2,370 | | | | 38,039 | |
| Team, Inc.* | | | 917 | | | | 37,661 | |
| Aircastle Ltd. | | | 2,734 | | | | 37,401 | |
| Rush Enterprises, Inc. — Class A* | | | 1,543 | | | | 37,217 | |
| Albany International Corp. — Class A | | | 1,284 | | | | 37,108 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 119 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| GenCorp, Inc.* | | | 2,773 | | | $ | 36,881 | |
| Universal Forest Products, Inc. | | | 913 | | | | 36,347 | |
| McGrath RentCorp | | | 1,142 | | | | 35,516 | |
| ACCO Brands Corp.* | | | 5,255 | | | | 35,103 | |
| CIRCOR International, Inc. | | | 809 | | | | 34,383 | |
| AAR Corp. | | | 1,869 | | | | 34,371 | |
| Trex Company, Inc.* | | | 697 | | | | 34,278 | |
| Altra Holdings, Inc. | | | 1,253 | | | | 34,107 | |
| Exponent, Inc. | | | 621 | | | | 33,497 | |
| Wabash National Corp.* | | | 3,177 | | | | 32,278 | |
| Astec Industries, Inc. | | | 922 | | | | 32,205 | |
| Standex International Corp. | | | 583 | | | | 32,193 | |
| Tutor Perini Corp.* | | | 1,657 | | | | 31,980 | |
| Navigant Consulting, Inc.* | | | 2,411 | | | | 31,681 | |
| Cubic Corp. | | | 739 | | | | 31,570 | |
| Sauer-Danfoss, Inc. | | | 535 | | | | 31,260 | |
| Sun Hydraulics Corp. | | | 960 | | | | 31,210 | |
| Primoris Services Corp. | | | 1,394 | | | | 30,821 | |
| Dycom Industries, Inc.* | | | 1,560 | | | | 30,716 | |
| Blount International, Inc.* | | | 2,276 | | | | 30,453 | |
| DXP Enterprises, Inc.* | | | 404 | | | | 30,179 | |
| Insperity, Inc. | | | 1,059 | | | | 30,044 | |
| Heartland Express, Inc. | | | 2,229 | | | | 29,735 | |
| Hyster-Yale Materials Handling, Inc. | | | 506 | | | | 28,888 | |
| Rexnord Corp.* | | | 1,338 | | | | 28,406 | |
| Quad Graphics, Inc.1 | | | 1,169 | | | | 27,985 | |
| John Bean Technologies Corp. | | | 1,346 | | | | 27,930 | |
| Quanex Building Products Corp. | | | 1,711 | | | | 27,547 | |
| H&E Equipment Services, Inc. | | | 1,330 | | | | 27,132 | |
| Encore Wire Corp. | | | 769 | | | | 26,930 | |
| Saia, Inc.* | | | 744 | | | | 26,910 | |
| Gibraltar Industries, Inc.* | | | 1,424 | | | | 25,988 | |
| Republic Airways Holdings, Inc.* | | | 2,246 | | | | 25,919 | |
| Viad Corp. | | | 937 | | | | 25,917 | |
| Nortek, Inc.* | | | 359 | | | | 25,618 | |
| Textainer Group Holdings Ltd. | | | 643 | | | | 25,431 | |
| Griffon Corp. | | | 2,118 | | | | 25,247 | |
| ICF International, Inc.* | | | 927 | | | | 25,214 | |
| Resources Connection, Inc. | | | 1,977 | | | | 25,108 | |
| Comfort Systems USA, Inc. | | | 1,734 | | | | 24,432 | |
| Greenbrier Companies, Inc.* | | | 1,062 | | | | 24,118 | |
| AAON, Inc. | | | 861 | | | | 23,755 | |
| American Science & Engineering, Inc. | | | 389 | | | | 23,725 | |
| Federal Signal Corp.* | | | 2,888 | | | | 23,508 | |
| Kelly Services, Inc. — Class A | | | 1,247 | | | | 23,294 | |
| MYR Group, Inc.* | | | 948 | | | | 23,283 | |
| US Ecology, Inc. | | | 847 | | | | 22,488 | |
| InnerWorkings, Inc.* | | | 1,471 | | | | 22,271 | |
| Kforce, Inc. | | | 1,340 | | | | 21,936 | |
| Titan Machinery, Inc.* | | | 783 | | | | 21,728 | |
| Powell Industries, Inc.* | | | 407 | | | | 21,396 | |
| Gorman-Rupp Co. | | | 708 | | | | 21,275 | |
| Meritor, Inc.* | | | 4,488 | | | | 21,228 | |
| American Railcar Industries, Inc. | | | 432 | | | | 20,192 | |
| EnerNOC, Inc.* | | | 1,141 | | | | 19,819 | |
| Layne Christensen Co.* | | | 915 | | | | 19,563 | |
| Celadon Group, Inc. | | | 928 | | | | 19,358 | |
| CAI International, Inc.* | | | 668 | | | | 19,252 | |
| Taser International, Inc.* | | | 2,385 | | | | 18,961 | |
| KEYW Holding Corp.* | | | 1,154 | | | | 18,614 | |
| LB Foster Co. — Class A | | | 419 | | | | 18,558 | |
| Great Lakes Dredge & Dock Corp. | | | 2,744 | | | | 18,467 | |
| Ennis, Inc. | | | 1,214 | | | | 18,295 | |
| National Presto Industries, Inc. | | | 224 | | | | 18,032 | |
| Mistras Group, Inc.* | | | 730 | | | | 17,673 | |
| Columbus McKinnon Corp.* | | | 904 | | | | 17,402 | |
| Barrett Business Services, Inc. | | | 316 | | | | 16,641 | |
| Astronics Corp.* | | | 556 | | | | 16,580 | |
| Multi-Color Corp. | | | 632 | | | | 16,299 | |
| GP Strategies Corp.* | | | 681 | | | | 16,249 | |
| Roadrunner Transportation Systems, Inc.* | | | 663 | | | | 15,249 | |
| Thermon Group Holdings, Inc.* | | | 684 | | | | 15,192 | |
| Standard Parking Corp.* | | | 730 | | | | 15,111 | |
| Echo Global Logistics, Inc.* | | | 682 | | | | 15,086 | |
| American Woodmark Corp.* | | | 442 | | | | 15,041 | |
| NCI Building Systems, Inc.* | | | 844 | | | | 14,660 | |
| Marten Transport Ltd. | | | 728 | | | | 14,655 | |
| Aerovironment, Inc.* | | | 804 | | | | 14,577 | |
| Air Transport Services Group, Inc.* | | | 2,471 | | | | 14,406 | |
| Douglas Dynamics, Inc. | | | 1,030 | | | | 14,235 | |
| Global Power Equipment Group, Inc. | | | 800 | | | | 14,096 | |
| Arkansas Best Corp. | | | 1,188 | | | | 13,876 | |
| EnergySolutions, Inc.* | | | 3,685 | | | | 13,819 | |
| Aceto Corp. | | | 1,248 | | | | 13,815 | |
| RPX Corp.* | | | 978 | | | | 13,800 | |
| Kimball International, Inc. — Class B | | | 1,519 | | | | 13,762 | |
| XPO Logistics, Inc.* | | | 816 | | | | 13,741 | |
| Hawaiian Holdings, Inc.* | | | 2,375 | | | | 13,680 | |
| Consolidated Graphics, Inc.* | | | 345 | | | | 13,490 | |
| Insteel Industries, Inc. | | | 819 | | | | 13,366 | |
| Kadant, Inc.* | | | 534 | | | | 13,350 | |
| Park-Ohio Holdings Corp.* | | | 387 | | | | 12,821 | |
| Orion Marine Group, Inc.* | | | 1,263 | | | | 12,554 | |
| Capstone Turbine Corp.* | | | 13,873 | | | | 12,486 | |
| Heidrick & Struggles International, Inc. | | | 826 | | | | 12,349 | |
| Alamo Group, Inc. | | | 322 | | | | 12,317 | |
| Lydall, Inc.* | | | 797 | | | | 12,234 | |
| Builders FirstSource, Inc.* | | | 2,087 | | | | 12,230 | |
| Wesco Aircraft Holdings, Inc.* | | | 823 | | | | 12,115 | |
| FreightCar America, Inc. | | | 555 | | | | 12,110 | |
| Northwest Pipe Co.* | | | 430 | | | | 12,031 | |
| Pendrell Corp.* | | | 7,194 | | | | 11,942 | |
| Accuride Corp.* | | | 2,202 | | | | 11,869 | |
| SeaCube Container Leasing Ltd. | | | 511 | | | | 11,733 | |
| Furmanite Corp.* | | | 1,734 | | | | 11,600 | |
| Pike Electric Corp. | | | 800 | | | | 11,384 | |
| Graham Corp. | | | 458 | | | | 11,331 | |
| CBIZ, Inc.* | | | 1,770 | | | | 11,293 | |
| Proto Labs, Inc.* | | | 229 | | | | 11,244 | |
| Odyssey Marine Exploration, Inc.* | | | 3,404 | | | | 11,097 | |
| Dynamic Materials Corp. | | | 628 | | | | 10,927 | |
| CDI Corp. | | | 630 | | | | 10,836 | |
| Houston Wire & Cable Co. | | | 833 | | | | 10,787 | |
| CRA International, Inc.* | | | 482 | | | | 10,782 | |
| 120 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Twin Disc, Inc. | | | 391 | | | $ | 9,806 | |
| Michael Baker Corp. | | | 386 | | | | 9,457 | |
| Kratos Defense & Security Solutions, Inc.* | | | 1,862 | | | | 9,366 | |
| Franklin Covey Co.* | | | 643 | | | | 9,343 | |
| Commercial Vehicle Group, Inc.* | | | 1,130 | | | | 8,814 | |
| Flow International Corp.* | | | 2,220 | | | | 8,680 | |
| LMI Aerospace, Inc.* | | | 417 | | | | 8,669 | |
| Quality Distribution, Inc.* | | | 997 | | | | 8,385 | |
| Sterling Construction Company, Inc.* | | | 760 | | | | 8,276 | |
| Miller Industries, Inc. | | | 515 | | | | 8,266 | |
| Pacer International, Inc.* | | | 1,633 | | | | 8,214 | |
| WageWorks, Inc.* | | | 327 | | | | 8,185 | |
| Patriot Transportation Holding, Inc.* | | | 290 | | | | 8,068 | |
| Hurco Companies, Inc.* | | | 296 | | | | 8,060 | |
| TMS International Corp. — Class A* | | | 602 | | | | 7,946 | |
| Preformed Line Products Co. | | | 109 | | | | 7,627 | |
| Casella Waste Systems, Inc. — Class A* | | | 1,736 | | | | 7,586 | |
| Energy Recovery, Inc.* | | | 2,041 | | | | 7,552 | |
| NN, Inc.* | | | 786 | | | | 7,436 | |
| Ampco-Pittsburgh Corp. | | | 392 | | | | 7,413 | |
| Hardinge, Inc. | | | 533 | | | | 7,265 | |
| Met-Pro Corp. | | | 680 | | | | 7,024 | |
| Ameresco, Inc. — Class A* | | | 935 | | | | 6,919 | |
| Argan, Inc. | | | 457 | | | | 6,814 | |
| Swisher Hygiene, Inc.* | | | 5,237 | | | | 6,756 | |
| FuelCell Energy, Inc.*,1 | | | 7,035 | | | | 6,640 | |
| Courier Corp. | | | 441 | | | | 6,355 | |
| LSI Industries, Inc. | | | 900 | | | | 6,282 | |
| PGT, Inc.* | | | 910 | | | | 6,252 | |
| Hudson Global, Inc.* | | | 1,545 | | | | 6,087 | |
| Acorn Energy, Inc. | | | 827 | | | | 6,078 | |
| AT Cross Co. — Class A* | | | 438 | | | | 6,031 | |
| Schawk, Inc. — Class A | | | 548 | | | | 6,023 | |
| Coleman Cable, Inc. | | | 400 | | | | 6,000 | |
| Universal Truckload Services, Inc.* | | | 255 | | | | 5,949 | |
| PMFG, Inc.* | | | 964 | | | | 5,948 | |
| Cenveo, Inc.* | | | 2,510 | | | | 5,397 | |
| Heritage-Crystal Clean, Inc.* | | | 355 | | | | 5,361 | |
| Performant Financial Corp.* | | | 414 | | | | 5,084 | |
| Edgen Group, Inc. — Class A* | | | 699 | | | | 5,054 | |
| ARC Document Solutions, Inc.* | | | 1,694 | | | | 5,048 | |
| Rand Logistics, Inc.* | | | 820 | | | | 5,023 | |
| Eastern Co. | | | 280 | | | | 4,911 | |
| American Superconductor Corp.* | | | 1,812 | | | | 4,820 | |
| VSE Corp. | | | 192 | | | | 4,798 | |
| International Shipholding Corp. | | | 255 | | | | 4,641 | |
| TRC Companies, Inc.* | | | 710 | | | | 4,580 | |
| Vicor Corp.* | | | 912 | | | | 4,533 | |
| CECO Environmental Corp. | | | 330 | | | | 4,267 | |
| Genco Shipping & Trading Ltd.* | | | 1,447 | | | | 4,167 | |
| Intersections, Inc. | | | 420 | | | | 3,952 | |
| Willis Lease Finance Corp.* | | | 254 | | | | 3,840 | |
| NL Industries, Inc. | | | 300 | | | | 3,729 | |
| API Technologies Corp.* | | | 1,498 | | | | 3,715 | |
| Dolan Co.* | | | 1,421 | | | | 3,396 | |
| Hill International, Inc.* | | | 1,053 | | | | 3,148 | |
| Metalico, Inc.* | | | 1,859 | | | | 3,012 | |
| BlueLinx Holdings, Inc.* | | | 1,026 | | | | 2,924 | |
| Patrick Industries, Inc.* | | | 180 | | | | 2,837 | |
| CPI Aerostructures, Inc.* | | | 292 | | | | 2,502 | |
| Enphase Energy, Inc.* | | | 354 | | | | 2,195 | |
| Omega Flex, Inc. | | | 127 | | | | 2,183 | |
| Sypris Solutions, Inc. | | | 488 | | | | 2,040 | |
| SIFCO Industries, Inc. | | | 110 | | | | 2,025 | |
| Astronics Corp. — Class B* | | | 58 | | | | 1,706 | |
| Compx International, Inc. | | | 48 | | | | 608 | |
| Total Industrials | | | | | | | 9,499,552 | |
| Consumer Discretionary - 8.0% | | | | | | | | |
| Brunswick Corp. | | | 4,156 | | | | 142,218 | |
| Domino’s Pizza, Inc. | | | 2,694 | | | | 138,578 | |
| Six Flags Entertainment Corp. | | | 1,848 | | | | 133,943 | |
| Cabela’s, Inc.* | | | 2,169 | | | | 131,831 | |
| Dana Holding Corp. | | | 6,869 | | | | 122,475 | |
| Sotheby’s | | | 3,151 | | | | 117,879 | |
| Tenneco, Inc.* | | | 2,826 | | | | 111,090 | |
| Pool Corp. | | | 2,206 | | | | 105,888 | |
| Vail Resorts, Inc. | | | 1,671 | | | | 104,137 | |
| Pier 1 Imports, Inc. | | | 4,519 | | | | 103,938 | |
| Rent-A-Center, Inc. — Class A | | | 2,759 | | | | 101,917 | |
| Wolverine World Wide, Inc. | | | 2,258 | | | | 100,187 | |
| Cheesecake Factory, Inc. | | | 2,506 | | | | 96,757 | |
| Fifth & Pacific Companies, Inc.* | | | 5,057 | | | | 95,476 | |
| Lions Gate Entertainment Corp.* | | | 3,938 | | | | 93,607 | |
| HSN, Inc. | | | 1,662 | | | | 91,177 | |
| Lumber Liquidators Holdings, Inc.* | | | 1,276 | | | | 89,601 | |
| Ryland Group, Inc. | | | 2,078 | | | | 86,485 | |
| Life Time Fitness, Inc.* | | | 1,991 | | | | 85,175 | |
| Iconix Brand Group, Inc.* | | | 3,290 | | | | 85,112 | |
| Coinstar, Inc.*,1 | | | 1,455 | | | | 85,001 | |
| KB Home | | | 3,776 | | | | 82,204 | |
| Live Nation Entertainment, Inc.* | | | 6,510 | | | | 80,529 | |
| Men’s Wearhouse, Inc. | | | 2,367 | | | | 79,105 | |
| Steven Madden Ltd.* | | | 1,824 | | | | 78,687 | |
| Buffalo Wild Wings, Inc.* | | | 853 | | | | 74,663 | |
| Cooper Tire & Rubber Co. | | | 2,895 | | | | 74,286 | |
| Express, Inc.* | | | 4,159 | | | | 74,072 | |
| Shutterfly, Inc.* | | | 1,659 | | | | 73,277 | |
| Cracker Barrel Old Country Store, Inc. | | | 888 | | | | 71,795 | |
| Jack in the Box, Inc.* | | | 2,056 | | | | 71,117 | |
| Hibbett Sports, Inc.* | | | 1,229 | | | | 69,156 | |
| Genesco, Inc.* | | | 1,134 | | | | 68,142 | |
| Meritage Homes Corp.* | | | 1,426 | | | | 66,822 | |
| Vitamin Shoppe, Inc.* | | | 1,364 | | | | 66,631 | |
| Penske Automotive Group, Inc. | | | 1,977 | | | | 65,954 | |
| ANN, Inc.* | | | 2,272 | | | | 65,933 | |
| MDC Holdings, Inc. | | | 1,781 | | | | 65,274 | |
| Hillenbrand, Inc. | | | 2,558 | | | | 64,666 | |
| Meredith Corp.1 | | | 1,688 | | | | 64,582 | |
| WMS Industries, Inc.* | | | 2,560 | | | | 64,538 | |
| Group 1 Automotive, Inc. | | | 1,064 | | | | 63,914 | |
| New York Times Co. — Class A* | | | 6,335 | | | | 62,082 | |
| Crocs, Inc.* | | | 4,180 | | | | 61,948 | |
| Buckle, Inc. | | | 1,285 | | | | 59,945 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 121 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Saks, Inc.* | | | 5,108 | | | $ | 58,589 | |
| Texas Roadhouse, Inc. — Class A | | | 2,897 | | | | 58,490 | |
| Bob Evans Farms, Inc. | | | 1,356 | | | | 57,793 | |
| Arbitron, Inc. | | | 1,230 | | | | 57,651 | |
| Monro Muffler Brake, Inc.1 | | | 1,435 | | | | 56,984 | |
| Helen of Troy Ltd.* | | | 1,477 | | | | 56,657 | |
| Valassis Communications, Inc.1 | | | 1,850 | | | | 55,260 | |
| Marriott Vacations Worldwide Corp.* | | | 1,239 | | | | 53,164 | |
| Select Comfort Corp.* | | | 2,635 | | | | 52,094 | |
| Office Depot, Inc.* | | | 13,195 | | | | 51,856 | |
| Jos. A. Bank Clothiers, Inc.* | | | 1,294 | | | | 51,631 | |
| Papa John’s International, Inc.* | | | 835 | | | | 51,620 | |
| Aeropostale, Inc.* | | | 3,781 | | | | 51,422 | |
| Children’s Place Retail Stores, Inc.* | | | 1,132 | | | | 50,736 | |
| DineEquity, Inc. | | | 715 | | | | 49,185 | |
| Ascent Capital Group, Inc. — Class A* | | | 654 | | | | 48,684 | |
| Regis Corp. | | | 2,675 | | | | 48,658 | |
| Jones Group, Inc. | | | 3,818 | | | | 48,565 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 2,346 | | | | 47,484 | |
| Asbury Automotive Group, Inc.* | | | 1,293 | | | | 47,440 | |
| Lithia Motors, Inc. — Class A | | | 993 | | | | 47,148 | |
| Grand Canyon Education, Inc.* | | | 1,856 | | | | 47,123 | |
| OfficeMax, Inc. | | | 4,026 | | | | 46,742 | |
| Standard Pacific Corp.*,1 | | | 5,378 | | | | 46,466 | |
| Francesca’s Holdings Corp.*,1 | | | 1,616 | | | | 46,315 | |
| Finish Line, Inc. — Class A | | | 2,359 | | | | 46,213 | |
| Matthews International Corp. — Class A | | | 1,307 | | | | 45,601 | |
| La-Z-Boy, Inc. | | | 2,403 | | | | 45,344 | |
| Sturm Ruger & Company, Inc. | | | 886 | | | | 44,947 | |
| Orient-Express Hotels Ltd. — Class A* | | | 4,503 | | | | 44,400 | |
| Sonic Automotive, Inc. — Class A | | | 1,970 | | | | 43,655 | |
| Belo Corp. — Class A | | | 4,344 | | | | 42,702 | |
| Churchill Downs, Inc. | | | 606 | | | | 42,444 | |
| SHFL Entertainment, Inc.* | | | 2,556 | | | | 42,353 | |
| American Axle & Manufacturing | | | | | | | | |
| Holdings, Inc.* | | | 3,098 | | | | 42,288 | |
| International Speedway Corp. — Class A | | | 1,292 | | | | 42,223 | |
| Dorman Products, Inc. | | | 1,134 | | | | 42,196 | |
| National CineMedia, Inc. | | | 2,603 | | | | 41,075 | |
| AFC Enterprises, Inc.* | | | 1,127 | | | | 40,944 | |
| Ameristar Casinos, Inc. | | | 1,528 | | | | 40,079 | |
| Pinnacle Entertainment, Inc.* | | | 2,738 | | | | 40,030 | |
| Krispy Kreme Doughnuts, Inc.* | | | 2,761 | | | | 39,869 | |
| Interval Leisure Group, Inc. | | | 1,798 | | | | 39,089 | |
| BJ’s Restaurants, Inc.* | | | 1,141 | | | | 37,972 | |
| Skechers U.S.A., Inc. — Class A* | | | 1,760 | | | | 37,224 | |
| Ethan Allen Interiors, Inc. | | | 1,128 | | | | 37,134 | |
| Stage Stores, Inc. | | | 1,426 | | | | 36,905 | |
| Quiksilver, Inc.* | | | 6,069 | | | | 36,839 | |
| Oxford Industries, Inc. | | | 648 | | | | 34,409 | |
| Steiner Leisure Ltd.* | | | 711 | | | | 34,384 | |
| Sonic Corp.* | | | 2,644 | | | | 34,055 | |
| Columbia Sportswear Co.1 | | | 565 | | | | 32,702 | |
| Drew Industries, Inc. | | | 899 | | | | 32,643 | |
| iRobot Corp.* | | | 1,272 | | | | 32,640 | |
| Stewart Enterprises, Inc. — Class A | | | 3,469 | | | | 32,227 | |
| Scholastic Corp. | | | 1,202 | | | | 32,033 | |
| Brown Shoe Company, Inc. | | | 1,988 | | | | 31,808 | |
| True Religion Apparel, Inc. | | | 1,203 | | | | 31,410 | |
| Red Robin Gourmet Burgers, Inc.* | | | 682 | | | | 31,099 | |
| Cato Corp. — Class A | | | 1,271 | | | | 30,682 | |
| G-III Apparel Group Ltd.* | | | 761 | | | | 30,524 | |
| K12, Inc.* | | | 1,241 | | | | 29,920 | |
| American Public Education, Inc.* | | | 836 | | | | 29,168 | |
| Pep Boys-Manny Moe & Jack* | | | 2,452 | | | | 28,909 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 4,893 | | | | 28,233 | |
| Winnebago Industries, Inc.* | | | 1,357 | | | | 28,008 | |
| Conn’s, Inc.* | | | 780 | | | | 28,002 | |
| CEC Entertainment, Inc. | | | 850 | | | | 27,838 | |
| Movado Group, Inc. | | | 819 | | | | 27,453 | |
| Core-Mark Holding Company, Inc. | | | 530 | | | | 27,195 | |
| Caesars Entertainment Corp.* | | | 1,714 | | | | 27,184 | |
| Hot Topic, Inc. | | | 1,956 | | | | 27,149 | |
| Smith & Wesson Holding Corp.* | | | 3,012 | | | | 27,108 | |
| Strayer Education, Inc. | | | 554 | | | | 26,803 | |
| Multimedia Games Holding | | | | | | | | |
| Company, Inc.* | | | 1,274 | | | | 26,588 | |
| Denny’s Corp.* | | | 4,473 | | | | 25,809 | |
| Arctic Cat, Inc.* | | | 588 | | | | 25,696 | |
| Standard Motor Products, Inc. | | | 925 | | | | 25,641 | |
| M/I Homes, Inc.* | | | 995 | | | | 24,328 | |
| American Greetings Corp. — Class A | | | 1,467 | | | | 23,619 | |
| Fred’s, Inc. — Class A | | | 1,715 | | | | 23,461 | |
| Zumiez, Inc.*,1 | | | 1,019 | | | | 23,335 | |
| Gentherm, Inc.* | | | 1,369 | | | | 22,424 | |
| Vera Bradley, Inc.*,1 | | | 934 | | | | 22,070 | |
| Ruby Tuesday, Inc.* | | | 2,966 | | | | 21,859 | |
| Barnes & Noble, Inc.* | | | 1,317 | | | | 21,665 | |
| Boyd Gaming Corp.*,1 | | | 2,581 | | | | 21,345 | |
| rue21, Inc.* | | | 721 | | | | 21,190 | |
| Scientific Games Corp. — Class A* | | | 2,417 | | | | 21,149 | |
| Tumi Holdings, Inc.* | | | 1,000 | | | | 20,940 | |
| LeapFrog Enterprises, Inc. — Class A* | | | 2,348 | | | | 20,099 | |
| Callaway Golf Co. | | | 3,023 | | | | 20,012 | |
| Blue Nile, Inc.* | | | 580 | | | | 19,981 | |
| Fiesta Restaurant Group, Inc.* | | | 752 | | | | 19,981 | |
| Superior Industries International, Inc. | | | 1,065 | | | | 19,894 | |
| Modine Manufacturing Co.* | | | 2,173 | | | | 19,774 | |
| Five Below, Inc.* | | | 512 | | | | 19,400 | |
| MDC Partners, Inc. — Class A | | | 1,193 | | | | 19,291 | |
| Maidenform Brands, Inc.* | | | 1,094 | | | | 19,178 | |
| Libbey, Inc.* | | | 957 | | | | 18,499 | |
| Haverty Furniture Companies, Inc. | | | 895 | | | | 18,401 | |
| Capella Education Co.* | | | 588 | | | | 18,310 | |
| Biglari Holdings, Inc.* | | | 49 | | | | 18,286 | |
| Beazer Homes USA, Inc.*,1 | | | 1,141 | | | | 18,073 | |
| Mattress Firm Holding Corp.* | | | 506 | | | | 17,477 | |
| America’s Car-Mart, Inc.* | | | 356 | | | | 16,639 | |
| EW Scripps Co. — Class A* | | | 1,383 | | | | 16,637 | |
| Universal Electronics, Inc.* | | | 694 | | | | 16,135 | |
| Harte-Hanks, Inc. | | | 2,065 | | | | 16,086 | |
| Fisher Communications, Inc. | | | 403 | | | | 15,814 | |
| Carriage Services, Inc. — Class A | | | 738 | | | | 15,683 | |
| Ruth’s Hospitality Group, Inc.* | | | 1,634 | | | | 15,588 | |
| 122 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| LIN TV Corp. — Class A* | | | 1,413 | | | $ | 15,529 | |
| RadioShack Corp.1 | | | 4,620 | | | | 15,523 | |
| Bloomin’ Brands, Inc.* | | | 852 | | | | 15,225 | |
| Cavco Industries, Inc.* | | | 319 | | | | 15,175 | |
| Tuesday Morning Corp.* | | | 1,941 | | | | 15,062 | |
| Carmike Cinemas, Inc.* | | | 820 | | | | 14,858 | |
| Destination Maternity Corp. | | | 620 | | | | 14,508 | |
| Bravo Brio Restaurant Group, Inc.* | | | 906 | | | | 14,342 | |
| NACCO Industries, Inc. — Class A | | | 256 | | | | 13,660 | |
| Shoe Carnival, Inc. | | | 667 | | | | 13,633 | |
| Universal Technical Institute, Inc. | | | 1,060 | | | | 13,388 | |
| MarineMax, Inc.* | | | 952 | | | | 12,938 | |
| Wet Seal, Inc. — Class A* | | | 4,202 | | | | 12,690 | |
| PetMed Express, Inc. | | | 944 | | | | 12,664 | |
| Journal Communications, Inc. — Class A* | | | 1,880 | | | | 12,634 | |
| Unifi, Inc.* | | | 650 | | | | 12,415 | |
| Big 5 Sporting Goods Corp. | | | 773 | | | | 12,067 | |
| CSS Industries, Inc. | | | 453 | | | | 11,764 | |
| NutriSystem, Inc. | | | 1,323 | | | | 11,219 | |
| Fuel Systems Solutions, Inc.* | | | 681 | | | | 11,216 | |
| World Wrestling Entertainment, | | | | | | | | |
| Inc. — Class A | | | 1,261 | | | | 11,122 | |
| JAKKS Pacific, Inc. | | | 1,025 | | | | 10,752 | |
| Stein Mart, Inc. | | | 1,271 | | | | 10,651 | |
| Marcus Corp. | | | 852 | | | | 10,641 | |
| Jamba, Inc.* | | | 3,585 | | | | 10,217 | |
| Town Sports International Holdings, Inc. | | | 1,079 | | | | 10,207 | |
| Chuy’s Holdings, Inc.* | | | 310 | | | | 10,100 | |
| Perry Ellis International, Inc. | | | 554 | | | | 10,077 | |
| Stoneridge, Inc.* | | | 1,303 | | | | 9,942 | |
| Destination XL Group, Inc.* | | | 1,952 | | | | 9,936 | |
| Shutterstock, Inc.* | | | 220 | | | | 9,896 | |
| Exide Technologies* | | | 3,639 | | | | 9,825 | |
| Cumulus Media, Inc. — Class A* | | | 2,874 | | | | 9,685 | |
| Saga Communications, Inc. — Class A | | | 209 | | | | 9,668 | |
| Speedway Motorsports, Inc. | | | 532 | | | | 9,571 | |
| Rentrak Corp.* | | | 432 | | | | 9,495 | |
| Nexstar Broadcasting Group, | | | | | | | | |
| Inc. — Class A | | | 525 | | | | 9,450 | |
| VOXX International Corp. — Class A* | | | 837 | | | | 8,964 | |
| Black Diamond, Inc.* | | | 973 | | | | 8,864 | |
| Zagg, Inc.* | | | 1,182 | | | | 8,605 | |
| Entercom Communications | | | | | | | | |
| Corp. — Class A* | | | 1,134 | | | | 8,437 | |
| Restoration Hardware Holdings, Inc.* | | | 240 | | | | 8,400 | |
| Spartan Motors, Inc. | | | 1,579 | | | | 8,384 | |
| Blyth, Inc.1 | | | 482 | | | | 8,368 | |
| Bassett Furniture Industries, Inc. | | | 520 | | | | 8,299 | |
| Digital Generation, Inc.* | | | 1,286 | | | | 8,269 | |
| Bridgepoint Education, Inc.* | | | 800 | | | | 8,184 | |
| West Marine, Inc.* | | | 706 | | | | 8,070 | |
| Hooker Furniture Corp. | | | 505 | | | | 8,050 | |
| hhgregg, Inc.* | | | 724 | | | | 8,000 | |
| McClatchy Co. — Class A* | | | 2,694 | | | | 7,813 | |
| Steinway Musical Instruments, Inc.* | | | 321 | | | | 7,710 | |
| Corinthian Colleges, Inc.* | | | 3,641 | | | | 7,646 | |
| Entravision Communications | | | | | | | | |
| Corp. — Class A | | | 2,360 | | | | 7,528 | |
| Bon-Ton Stores, Inc. | | | 575 | | | | 7,475 | |
| Weyco Group, Inc. | | | 304 | | | | 7,451 | |
| Vitacost.com, Inc.* | | | 1,028 | | | | 7,432 | |
| LifeLock, Inc.* | | | 770 | | | | 7,415 | |
| Central European Media Enterprises | | | | | | | | |
| Ltd. — Class A* | | | 1,705 | | | | 7,195 | |
| Kirkland’s, Inc.* | | | 624 | | | | 7,151 | |
| bebe stores, Inc. | | | 1,712 | | | | 7,139 | |
| Mac-Gray Corp. | | | 555 | | | | 7,104 | |
| ReachLocal, Inc.* | | | 474 | | | | 7,091 | |
| Citi Trends, Inc.* | | | 692 | | | | 7,079 | |
| Body Central Corp.* | | | 748 | | | | 7,031 | |
| Luby’s, Inc.* | | | 925 | | | | 6,919 | |
| Global Sources Ltd.* | | | 875 | | | | 6,615 | |
| Bluegreen Corp.* | | | 670 | | | | 6,593 | |
| Overstock.com, Inc.* | | | 533 | | | | 6,567 | |
| Kayak Software Corp.* | | | 160 | | | | 6,394 | |
| Lincoln Educational Services Corp. | | | 1,063 | | | | 6,229 | |
| Culp, Inc. | | | 390 | | | | 6,205 | |
| Johnson Outdoors, Inc. — Class A* | | | 260 | | | | 6,198 | |
| Orbitz Worldwide, Inc.* | | | 1,072 | | | | 6,121 | |
| Isle of Capri Casinos, Inc.* | | | 972 | | | | 6,114 | |
| Outdoor Channel Holdings, Inc. | | | 682 | | | | 6,083 | |
| Morgans Hotel Group Co.* | | | 1,026 | | | | 6,074 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 1,213 | | | | 6,029 | |
| Winmark Corp. | | | 93 | | | | 5,858 | |
| K-Swiss, Inc. — Class A* | | | 1,224 | | | | 5,802 | |
| Career Education Corp.* | | | 2,410 | | | | 5,712 | |
| Tilly’s, Inc. — Class A* | | | 424 | | | | 5,393 | |
| Delta Apparel, Inc.* | | | 325 | | | | 5,353 | |
| Cherokee, Inc. | | | 390 | | | | 5,343 | |
| RG Barry Corp. | | | 399 | | | | 5,343 | |
| New York & Company, Inc.* | | | 1,275 | | | | 5,215 | |
| Federal-Mogul Corp.* | | | 859 | | | | 5,180 | |
| Lifetime Brands, Inc. | | | 449 | | | | 5,123 | |
| Flexsteel Industries, Inc. | | | 204 | | | | 5,047 | |
| Systemax, Inc. | | | 504 | | | | 4,990 | |
| Nathan’s Famous, Inc.* | | | 115 | | | | 4,859 | |
| Gordmans Stores, Inc.* | | | 390 | | | | 4,567 | |
| Red Lion Hotels Corp.* | | | 642 | | | | 4,565 | |
| Daily Journal Corp.* | | | 41 | | | | 4,551 | |
| Education Management Corp.* | | | 1,234 | | | | 4,529 | |
| Reading International, Inc. — Class A* | | | 774 | | | | 4,334 | |
| Ignite Restaurant Group, Inc.* | | | 292 | | | | 4,287 | |
| Del Frisco’s Restaurant Group, Inc.* | | | 253 | | | | 4,200 | |
| Einstein Noah Restaurant Group, Inc. | | | 279 | | | | 4,138 | |
| Skullcandy, Inc.* | | | 752 | | | | 3,971 | |
| Monarch Casino & Resort, Inc.* | | | 404 | | | | 3,931 | |
| Salem Communications Corp. — Class A | | | 472 | | | | 3,743 | |
| Tower International, Inc.* | | | 264 | | | | 3,696 | |
| Carrols Restaurant Group, Inc.* | | | 707 | | | | 3,669 | |
| Marine Products Corp. | | | 482 | | | | 3,548 | |
| MTR Gaming Group, Inc.* | | | 1,047 | | | | 3,455 | |
| Martha Stewart Living Omnimedia — | | | | | | | | |
| Class A* | | | 1,293 | | | | 3,414 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 123 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| Crown Media Holdings, Inc. — Class A* | | | 1,609 | | | $ | 3,298 | |
| Premier Exhibitions, Inc.* | | | 1,196 | | | | 3,181 | |
| Geeknet, Inc.* | | | 210 | | | | 3,102 | |
| Collectors Universe, Inc. | | | 250 | | | | 2,943 | |
| Shiloh Industries, Inc. | | | 267 | | | | 2,876 | |
| Frisch’s Restaurants, Inc. | | | 140 | | | | 2,512 | |
| National American University | | | | | | | | |
| Holdings, Inc. | | | 465 | | | | 1,814 | |
| Perfumania Holdings, Inc.* | | | 232 | | | | 1,336 | |
| CafePress, Inc.* | | | 209 | | | | 1,256 | |
| Beasley Broadcasting Group, Inc. — Class A | | | 201 | | | | 1,186 | |
| US Auto Parts Network, Inc.* | | | 681 | | | | 817 | |
| Value Line, Inc. | | | 52 | | | | 490 | |
| Orchard Supply Hardware Stores | | | | | | | | |
| Corp. — Class A* | | | 80 | | | | 317 | |
| Total Consumer Discretionary | | | | | | | 8,587,004 | |
| Health Care - 7.0% | | | | | | | | |
| Pharmacyclics, Inc.* | | | 2,524 | | | | 202,954 | |
| athenahealth, Inc.*,1 | | | 1,666 | | | | 161,668 | |
| Seattle Genetics, Inc.*,1 | | | 4,413 | | | | 156,705 | |
| Cubist Pharmaceuticals, Inc.* | | | 2,947 | | | | 137,978 | |
| Alkermes plc* | | | 5,689 | | | | 134,885 | |
| HealthSouth Corp.* | | | 4,447 | | | | 117,267 | |
| Cepheid, Inc.* | | | 3,053 | | | | 117,144 | |
| WellCare Health Plans, Inc.* | | | 2,001 | | | | 115,977 | |
| Align Technology, Inc.* | | | 3,339 | | | | 111,891 | |
| STERIS Corp. | | | 2,687 | | | | 111,805 | |
| PAREXEL International Corp.* | | | 2,784 | | | | 109,995 | |
| HMS Holdings Corp.* | | | 4,000 | | | | 108,601 | |
| Jazz Pharmaceuticals plc* | | | 1,928 | | | | 107,793 | |
| Centene Corp.* | | | 2,388 | | | | 105,168 | |
| West Pharmaceutical Services, Inc. | | | 1,573 | | | | 102,151 | |
| Haemonetics Corp.* | | | 2,358 | | | | 98,234 | |
| Owens & Minor, Inc. | | | 2,954 | | | | 96,182 | |
| Air Methods Corp. | | | 1,792 | | | | 86,446 | |
| Medicines Co.* | | | 2,563 | | | | 85,655 | |
| Arena Pharmaceuticals, Inc.*,1 | | | 10,075 | | | | 82,716 | |
| Questcor Pharmaceuticals, Inc.1 | | | 2,502 | | | | 81,415 | |
| Isis Pharmaceuticals, Inc.*,1 | | | 4,659 | | | | 78,923 | |
| MWI Veterinary Supply, Inc.* | | | 587 | | | | 77,637 | |
| ViroPharma, Inc.* | | | 3,061 | | | | 77,015 | |
| Chemed Corp. | | | 887 | | | | 70,942 | |
| Theravance, Inc.* | | | 2,823 | | | | 66,679 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 3,498 | | | | 63,978 | |
| Infinity Pharmaceuticals, Inc.* | | | 1,311 | | | | 63,544 | |
| ImmunoGen, Inc.*,1 | | | 3,881 | | | | 62,329 | |
| Insulet Corp.* | | | 2,355 | | | | 60,900 | |
| Magellan Health Services, Inc.* | | | 1,268 | | | | 60,319 | |
| Medidata Solutions, Inc.* | | | 1,033 | | | | 59,892 | |
| Alnylam Pharmaceuticals, Inc.* | | | 2,450 | | | | 59,707 | |
| Cyberonics, Inc.* | | | 1,275 | | | | 59,683 | |
| Acorda Therapeutics, Inc.* | | | 1,859 | | | | 59,544 | |
| Nektar Therapeutics* | | | 5,332 | | | | 58,652 | |
| HeartWare International, Inc.* | | | 652 | | | | 57,656 | |
| Volcano Corp.* | | | 2,473 | | | | 55,049 | |
| Neogen Corp.* | | | 1,097 | | | | 54,378 | |
| DexCom, Inc.* | | | 3,183 | | | | 53,220 | |
| MedAssets, Inc.* | | | 2,706 | | | | 52,091 | |
| Vivus, Inc.*,1 | | | 4,633 | | | | 50,963 | |
| Aegerion Pharmaceuticals, Inc.* | | | 1,259 | | | | 50,788 | |
| Hanger, Inc.* | | | 1,590 | | | | 50,133 | |
| Amsurg Corp. — Class A* | | | 1,467 | | | | 49,350 | |
| Impax Laboratories, Inc.* | | | 3,112 | | | | 48,049 | |
| Team Health Holdings, Inc.* | | | 1,319 | | | | 47,985 | |
| PDL BioPharma, Inc.1 | | | 6,507 | | | | 47,566 | |
| Abaxis, Inc. | | | 1,003 | | | | 47,462 | |
| Masimo Corp. | | | 2,316 | | | | 45,440 | |
| Analogic Corp. | | | 572 | | | | 45,199 | |
| CONMED Corp. | | | 1,319 | | | | 44,925 | |
| ArthroCare Corp.* | | | 1,289 | | | | 44,806 | |
| Santarus, Inc.* | | | 2,541 | | | | 44,036 | |
| Meridian Bioscience, Inc. | | | 1,920 | | | | 43,814 | |
| Wright Medical Group, Inc.* | | | 1,826 | | | | 43,477 | |
| NuVasive, Inc.* | | | 2,006 | | | | 42,748 | |
| Molina Healthcare, Inc.* | | | 1,384 | | | | 42,724 | |
| Endologix, Inc.* | | | 2,570 | | | | 41,506 | |
| NPS Pharmaceuticals, Inc.* | | | 4,006 | | | | 40,821 | |
| Emeritus Corp.* | | | 1,425 | | | | 39,601 | |
| Exelixis, Inc.*,1 | | | 8,518 | | | | 39,353 | |
| Auxilium Pharmaceuticals, Inc.* | | | 2,248 | | | | 38,845 | |
| Opko Health, Inc.*,1 | | | 4,968 | | | | 37,906 | |
| Neurocrine Biosciences, Inc.* | | | 3,077 | | | | 37,355 | |
| Akorn, Inc.* | | | 2,641 | | | | 36,525 | |
| Acadia Healthcare Company, Inc.* | | | 1,240 | | | | 36,444 | |
| Integra LifeSciences Holdings Corp.* | | | 910 | | | | 35,499 | |
| Conceptus, Inc.* | | | 1,458 | | | | 35,211 | |
| Capital Senior Living Corp.* | | | 1,309 | | | | 34,597 | |
| IPC The Hospitalist Company, Inc.* | | | 771 | | | | 34,294 | |
| Dendreon Corp.*,1 | | | 7,160 | | | | 33,867 | |
| ICU Medical, Inc.* | | | 570 | | | | 33,602 | |
| Quality Systems, Inc. | | | 1,836 | | | | 33,562 | |
| Celldex Therapeutics, Inc.* | | | 2,879 | | | | 33,339 | |
| Greatbatch, Inc.* | | | 1,098 | | | | 32,797 | |
| AMN Healthcare Services, Inc.* | | | 2,060 | | | | 32,610 | |
| InterMune, Inc.* | | | 3,595 | | | | 32,535 | |
| Luminex Corp.* | | | 1,936 | | | | 31,983 | |
| Orthofix International N.V.* | | | 871 | | | | 31,243 | |
| Quidel Corp.*,1 | | | 1,305 | | | | 30,994 | |
| Cantel Medical Corp. | | | 984 | | | | 29,579 | |
| Bio-Reference Labs, Inc.* | | | 1,138 | | | | 29,565 | |
| Spectranetics Corp.* | | | 1,592 | | | | 29,500 | |
| Omnicell, Inc.* | | | 1,560 | | | | 29,453 | |
| Momenta Pharmaceuticals, Inc.* | | | 2,179 | | | | 29,068 | |
| Exact Sciences Corp.* | | | 2,957 | | | | 28,979 | |
| ABIOMED, Inc.* | | | 1,552 | | | | 28,976 | |
| Synageva BioPharma Corp.* | | | 507 | | | | 27,844 | |
| Computer Programs & Systems, Inc. | | | 514 | | | | 27,813 | |
| NxStage Medical, Inc.* | | | 2,401 | | | | 27,083 | |
| Rigel Pharmaceuticals, Inc.* | | | 3,966 | | | | 26,929 | |
| Ensign Group, Inc. | | | 806 | | | | 26,920 | |
| Accretive Health, Inc.* | | | 2,623 | | | | 26,650 | |
| Array BioPharma, Inc.* | | | 5,395 | | | | 26,543 | |
| Optimer Pharmaceuticals, Inc.*,1 | | | 2,185 | | | | 26,002 | |
| 124 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| BioScrip, Inc.* | | | 2,042 | | | $ | 25,954 | |
| Kindred Healthcare, Inc.* | | | 2,461 | | | | 25,914 | |
| Pacira Pharmaceuticals, Inc.* | | | 856 | | | | 24,704 | |
| Landauer, Inc. | | | 432 | | | | 24,356 | |
| Achillion Pharmaceuticals, Inc.* | | | 2,767 | | | | 24,184 | |
| Halozyme Therapeutics, Inc.* | | | 4,172 | | | | 24,072 | |
| Merit Medical Systems, Inc.* | | | 1,957 | | | | 23,993 | |
| AMAG Pharmaceuticals, Inc.* | | | 996 | | | | 23,755 | |
| ExamWorks Group, Inc.* | | | 1,357 | | | | 23,503 | |
| Sangamo Biosciences, Inc.* | | | 2,441 | | | | 23,336 | |
| Keryx Biopharmaceuticals, Inc.* | | | 3,314 | | | | 23,331 | |
| National Healthcare Corp. | | | 487 | | | | 22,266 | |
| Sequenom, Inc.*,1 | | | 5,320 | | | | 22,078 | |
| Vanguard Health Systems, Inc.* | | | 1,472 | | | | 21,889 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 810 | | | | 21,587 | |
| Lexicon Pharmaceuticals, Inc.* | | | 9,825 | | | | 21,419 | |
| Orexigen Therapeutics, Inc.*,1 | | | 3,382 | | | | 21,138 | |
| Genomic Health, Inc.* | | | 746 | | | | 21,097 | |
| Fluidigm Corp.* | | | 1,126 | | | | 20,842 | |
| Spectrum Pharmaceuticals, Inc.1 | | | 2,766 | | | | 20,634 | |
| HealthStream, Inc.* | | | 898 | | | | 20,600 | |
| MAKO Surgical Corp.* | | | 1,831 | | | | 20,416 | |
| Dyax Corp.* | | | 4,593 | | | | 20,025 | |
| Symmetry Medical, Inc.* | | | 1,700 | | | | 19,465 | |
| Astex Pharmaceuticals* | | | 4,331 | | | | 19,316 | |
| Invacare Corp. | | | 1,477 | | | | 19,275 | |
| PharMerica Corp.* | | | 1,373 | | | | 19,222 | |
| Healthways, Inc.* | | | 1,548 | | | | 18,963 | |
| Cadence Pharmaceuticals, Inc.* | | | 2,797 | | | | 18,712 | |
| Natus Medical, Inc.* | | | 1,366 | | | | 18,359 | |
| Clovis Oncology, Inc.* | | | 628 | | | | 18,005 | |
| Dynavax Technologies Corp.* | | | 8,097 | | | | 17,975 | |
| Antares Pharma, Inc.* | | | 4,968 | | | | 17,785 | |
| MannKind Corp.* | | | 5,242 | | | | 17,770 | |
| Cambrex Corp.* | | | 1,379 | | | | 17,637 | |
| AVANIR Pharmaceuticals, Inc. — Class A* | | | 6,309 | | | | 17,287 | |
| Endocyte, Inc.* | | | 1,379 | | | | 17,169 | |
| Emergent Biosolutions, Inc.* | | | 1,203 | | | | 16,818 | |
| Hi-Tech Pharmacal Company, Inc. | | | 499 | | | | 16,522 | |
| SurModics, Inc.* | | | 599 | | | | 16,323 | |
| Obagi Medical Products, Inc.* | | | 811 | | | | 16,017 | |
| Synta Pharmaceuticals Corp.*,1 | | | 1,845 | | | | 15,867 | |
| Cardiovascular Systems, Inc.* | | | 774 | | | | 15,852 | |
| Triple-S Management Corp. — Class B* | | | 897 | | | | 15,626 | |
| Amedisys, Inc.* | | | 1,403 | | | | 15,601 | |
| Affymetrix, Inc.* | | | 3,281 | | | | 15,486 | |
| Accuray, Inc.* | | | 3,317 | | | | 15,391 | |
| Gentiva Health Services, Inc.* | | | 1,419 | | | | 15,354 | |
| Depomed, Inc.* | | | 2,591 | | | | 15,209 | |
| AVEO Pharmaceuticals, Inc.* | | | 2,039 | | | | 14,987 | |
| Cynosure, Inc. — Class A* | | | 570 | | | | 14,917 | |
| Idenix Pharmaceuticals, Inc.* | | | 4,190 | | | | 14,916 | |
| LHC Group, Inc.* | | | 684 | | | | 14,699 | |
| Select Medical Holdings Corp. | | | 1,623 | | | | 14,607 | |
| Universal American Corp. | | | 1,744 | | | | 14,528 | |
| US Physical Therapy, Inc. | | | 538 | | | | 14,445 | |
| XenoPort, Inc.* | | | 1,993 | | | | 14,250 | |
| Raptor Pharmaceutical Corp.* | | | 2,408 | | | | 14,087 | |
| Vical, Inc.* | | | 3,534 | | | | 14,065 | |
| Tornier N.V.* | | | 734 | | | | 13,836 | |
| Novavax, Inc.* | | | 6,028 | | | | 13,744 | |
| OraSure Technologies, Inc.* | | | 2,517 | | | | 13,592 | |
| Five Star Quality Care, Inc.* | | | 1,981 | | | | 13,253 | |
| Corvel Corp.* | | | 267 | | | | 13,214 | |
| XOMA Corp.* | | | 3,783 | | | | 13,203 | |
| Atrion Corp. | | | 68 | | | | 13,055 | |
| AngioDynamics, Inc.* | | | 1,137 | | | | 12,996 | |
| Furiex Pharmaceuticals, Inc.* | | | 345 | | | | 12,931 | |
| Repros Therapeutics, Inc.* | | | 785 | | | | 12,639 | |
| Palomar Medical Technologies, Inc.* | | | 906 | | | | 12,222 | |
| Vascular Solutions, Inc.* | | | 752 | | | | 12,197 | |
| Navidea Biopharmaceuticals, Inc.* | | | 4,490 | | | | 12,168 | |
| SciClone Pharmaceuticals, Inc.* | | | 2,641 | | | | 12,149 | |
| Curis, Inc.* | | | 3,672 | | | | 12,044 | |
| Synergy Pharmaceuticals, Inc.* | | | 1,910 | | | | 11,594 | |
| Providence Service Corp.* | | | 606 | | | | 11,205 | |
| Cerus Corp.* | | | 2,529 | | | | 11,178 | |
| Assisted Living Concepts, Inc. — Class A | | | 892 | | | | 10,606 | |
| Progenics Pharmaceuticals, Inc.* | | | 1,927 | | | | 10,387 | |
| RTI Biologics, Inc.* | | | 2,599 | | | | 10,240 | |
| Repligen Corp.* | | | 1,428 | | | | 9,867 | |
| PhotoMedex, Inc.* | | | 610 | | | | 9,815 | |
| Threshold Pharmaceuticals, Inc.* | | | 2,093 | | | | 9,649 | |
| Staar Surgical Co.* | | | 1,683 | | | | 9,475 | |
| Trius Therapeutics, Inc.* | | | 1,352 | | | | 9,248 | |
| Exactech, Inc.* | | | 401 | | | | 8,297 | |
| Unilife Corp.*,1 | | | 3,736 | | | | 8,144 | |
| Coronado Biosciences, Inc.* | | | 819 | | | | 7,961 | |
| Anika Therapeutics, Inc.* | | | 547 | | | | 7,942 | |
| Merge Healthcare, Inc.* | | | 2,748 | | | | 7,942 | |
| Osiris Therapeutics, Inc.* | | | 760 | | | | 7,904 | |
| Sagent Pharmaceuticals, Inc.* | | | 440 | | | | 7,722 | |
| Almost Family, Inc. | | | 374 | | | | 7,641 | |
| CryoLife, Inc. | | | 1,271 | | | | 7,639 | |
| OncoGenex Pharmaceutical, Inc.* | | | 671 | | | | 7,602 | |
| Lannett Company, Inc.* | | | 745 | | | | 7,532 | |
| Sunesis Pharmaceuticals, Inc.* | | | 1,375 | | | | 7,521 | |
| Vocera Communications, Inc.* | | | 327 | | | | 7,521 | |
| Intercept Pharmaceuticals, Inc.* | | | 200 | | | | 7,480 | |
| Immunomedics, Inc.* | | | 3,063 | | | | 7,382 | |
| Chindex International, Inc.* | | | 530 | | | | 7,282 | |
| NewLink Genetics Corp.*,1 | | | 589 | | | | 7,227 | |
| Utah Medical Products, Inc. | | | 147 | | | | 7,169 | |
| Rochester Medical Corp.* | | | 490 | | | | 7,164 | |
| Cytori Therapeutics, Inc.* | | | 2,843 | | | | 7,136 | |
| Arqule, Inc.* | | | 2,738 | | | | 7,091 | |
| Solta Medical, Inc.* | | | 3,185 | | | | 7,007 | |
| Enzon Pharmaceuticals, Inc. | | | 1,805 | | | | 6,859 | |
| Cross Country Healthcare, Inc.* | | | 1,266 | | | | 6,722 | |
| Geron Corp.* | | | 6,139 | | | | 6,569 | |
| Derma Sciences, Inc.* | | | 540 | | | | 6,523 | |
| ImmunoCellular Therapeutics Ltd.* | | | 2,374 | | | | 6,505 | |
| Pozen, Inc.* | | | 1,234 | | | | 6,503 | |
| Harvard Bioscience, Inc.* | | | 1,147 | | | | 6,481 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 125 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| National Research Corp. | | | 110 | | | $ | 6,384 | |
| Globus Medical, Inc. — Class A* | | | 434 | | | | 6,371 | |
| AtriCure, Inc.* | | | 791 | | | | 6,265 | |
| Pain Therapeutics, Inc. | | | 1,764 | | | | 6,051 | |
| SIGA Technologies, Inc.* | | | 1,634 | | | | 5,850 | |
| Skilled Healthcare Group, Inc. — Class A* | | | 885 | | | | 5,814 | |
| ZIOPHARM Oncology, Inc.* | | | 3,092 | | | | 5,658 | |
| Greenway Medical Technologies* | | | 355 | | | | 5,645 | |
| Oncothyreon, Inc.* | | | 2,659 | | | | 5,531 | |
| Targacept, Inc.* | | | 1,267 | | | | 5,423 | |
| Ampio Pharmaceuticals, Inc.* | | | 1,182 | | | | 5,402 | |
| Biotime, Inc.* | | | 1,414 | | | | 5,401 | |
| KYTHERA Biopharmaceuticals, Inc.* | | | 220 | | | | 5,359 | |
| Alphatec Holdings, Inc.* | | | 2,536 | | | | 5,351 | |
| BioDelivery Sciences International, Inc.* | | | 1,250 | | | | 5,263 | |
| Hansen Medical, Inc.*,1 | | | 2,549 | | | | 5,123 | |
| Vanda Pharmaceuticals, Inc.* | | | 1,307 | | | | 5,123 | |
| GTx, Inc.* | | | 1,230 | | | | 5,105 | |
| Omeros Corp.* | | | 1,199 | | | | 4,940 | |
| Anacor Pharmaceuticals, Inc.* | | | 746 | | | | 4,819 | |
| Discovery Laboratories, Inc.* | | | 2,020 | | | | 4,626 | |
| Corcept Therapeutics, Inc.* | | | 2,287 | | | | 4,574 | |
| Zogenix, Inc.* | | | 2,522 | | | | 4,540 | |
| Amicus Therapeutics, Inc.* | | | 1,399 | | | | 4,435 | |
| Agenus, Inc.* | | | 1,139 | | | | 4,431 | |
| Merrimack Pharmaceuticals, Inc.* | | | 710 | | | | 4,331 | |
| Pacific Biosciences of California, Inc.* | | | 1,726 | | | | 4,298 | |
| Regulus Therapeutics, Inc.* | | | 550 | | | | 4,263 | |
| TESARO, Inc.* | | | 193 | | | | 4,238 | |
| Hyperion Therapeutics, Inc.* | | | 157 | | | | 4,054 | |
| Rockwell Medical Technologies, Inc.* | | | 967 | | | | 3,829 | |
| Horizon Pharma, Inc.* | | | 1,392 | | | | 3,772 | |
| Biospecifics Technologies Corp.* | | | 219 | | | | 3,734 | |
| ChemoCentryx, Inc.* | | | 255 | | | | 3,524 | |
| Durata Therapeutics, Inc.* | | | 387 | | | | 3,483 | |
| Sucampo Pharmaceuticals, Inc. — Class A* | | | 507 | | | | 3,316 | |
| Maxygen, Inc. | | | 1,286 | | | | 3,099 | |
| Zeltiq Aesthetics, Inc.* | | | 783 | | | | 2,991 | |
| Codexis, Inc.* | | | 1,219 | | | | 2,913 | |
| Cornerstone Therapeutics, Inc.* | | | 400 | | | | 2,828 | |
| Verastem, Inc.* | | | 292 | | | | 2,809 | |
| Transcept Pharmaceuticals, Inc.* | | | 585 | | | | 2,802 | |
| PDI, Inc.* | | | 470 | | | | 2,773 | |
| Cumberland Pharmaceuticals, Inc.* | | | 550 | | | | 2,739 | |
| BioCryst Pharmaceuticals, Inc.* | | | 2,290 | | | | 2,725 | |
| Affymax, Inc.* | | | 1,682 | | | | 2,338 | |
| Pernix Therapeutics Holdings* | | | 413 | | | | 2,048 | |
| Ventrus Biosciences, Inc.* | | | 570 | | | | 1,704 | |
| EnteroMedics, Inc.* | | | 1,237 | | | | 1,237 | |
| Acura Pharmaceuticals, Inc.* | | | 558 | | | | 1,189 | |
| Cempra, Inc.* | | | 175 | | | | 1,181 | |
| Supernus Pharmaceuticals, Inc.* | | | 201 | | | | 1,130 | |
| BG Medicine, Inc.* | | | 494 | | | | 919 | |
| Total Health Care | | | | | | | 7,555,952 | |
| Energy - 3.5% | | | | | | | | |
| Dril-Quip, Inc.* | | | 1,864 | | | | 162,486 | |
| Oasis Petroleum, Inc.* | | | 3,714 | | | | 141,393 | |
| Gulfport Energy Corp.* | | | 2,992 | | | | 137,124 | |
| Rosetta Resources, Inc.* | | | 2,460 | | | | 117,048 | |
| Berry Petroleum Co. — Class A | | | 2,435 | | | | 112,716 | |
| Helix Energy Solutions Group, Inc.* | | | 4,909 | | | | 112,319 | |
| Kodiak Oil & Gas Corp.* | | | 12,247 | | | | 111,325 | |
| Bristow Group, Inc. | | | 1,660 | | | | 109,461 | |
| Lufkin Industries, Inc. | | | 1,565 | | | | 103,900 | |
| SemGroup Corp. — Class A* | | | 1,939 | | | | 100,284 | |
| Energy XXI Bermuda Ltd. | | | 3,666 | | | | 99,789 | |
| Western Refining, Inc. | | | 2,663 | | | | 94,296 | |
| Targa Resources Corp. | | | 1,345 | | | | 91,406 | |
| Exterran Holdings, Inc.* | | | 3,018 | | | | 81,486 | |
| McMoRan Exploration Co.* | | | 4,717 | | | | 77,123 | |
| Hornbeck Offshore Services, Inc.* | | | 1,645 | | | | 76,427 | |
| PDC Energy, Inc.* | | | 1,393 | | | | 69,051 | |
| Geospace Technologies Corp.* | | | 588 | | | | 63,457 | |
| Key Energy Services, Inc.* | | | 7,020 | | | | 56,722 | |
| Hercules Offshore, Inc.* | | | 7,364 | | | | 54,641 | |
| Arch Coal, Inc. | | | 9,869 | | | | 53,589 | |
| Cloud Peak Energy, Inc.* | | | 2,836 | | | | 53,260 | |
| Stone Energy Corp.* | | | 2,304 | | | | 50,112 | |
| Gulfmark Offshore, Inc. — Class A | | | 1,246 | | | | 48,544 | |
| C&J Energy Services, Inc.* | | | 2,069 | | | | 47,380 | |
| Carrizo Oil & Gas, Inc.* | | | 1,835 | | | | 47,288 | |
| Bill Barrett Corp.* | | | 2,231 | | | | 45,222 | |
| Northern Oil and Gas, Inc.* | | | 2,950 | | | | 42,421 | |
| ION Geophysical Corp.* | | | 6,135 | | | | 41,779 | |
| Halcon Resources Corp.* | | | 5,178 | | | | 40,337 | |
| Clean Energy Fuels Corp.* | | | 3,075 | | | | 39,974 | |
| Ship Finance International Ltd. | | | 2,265 | | | | 39,955 | |
| CVR Energy, Inc. | | | 770 | | | | 39,747 | |
| Newpark Resources, Inc.* | | | 4,180 | | | | 38,790 | |
| Approach Resources, Inc.* | | | 1,543 | | | | 37,973 | |
| TETRA Technologies, Inc.* | | | 3,605 | | | | 36,987 | |
| Crosstex Energy, Inc. | | | 1,893 | | | | 36,459 | |
| Comstock Resources, Inc.* | | | 2,233 | | | | 36,286 | |
| EPL Oil & Gas, Inc.* | | | 1,292 | | | | 34,639 | |
| Rex Energy Corp.* | | | 2,006 | | | | 33,059 | |
| Delek US Holdings, Inc. | | | 793 | | | | 31,292 | |
| Forum Energy Technologies, Inc.* | | | 1,030 | | | | 29,623 | |
| Swift Energy Co.* | | | 1,990 | | | | 29,472 | |
| Forest Oil Corp.* | | | 5,470 | | | | 28,772 | |
| Nordic American Tankers Ltd.1 | | | 2,455 | | | | 28,355 | |
| Heckmann Corp.*,1 | | | 6,541 | | | | 28,061 | |
| Magnum Hunter Resources Corp.*,1 | | | 6,851 | | | | 27,473 | |
| Resolute Energy Corp.* | | | 2,245 | | | | 25,840 | |
| Rentech, Inc. | | | 10,614 | | | | 24,943 | |
| Pioneer Energy Services Corp.* | | | 2,880 | | | | 23,760 | |
| Contango Oil & Gas Co. | | | 588 | | | | 23,573 | |
| Parker Drilling Co.* | | | 5,464 | | | | 23,386 | |
| Scorpio Tankers, Inc.* | | | 2,615 | | | | 23,326 | |
| W&T Offshore, Inc. | | | 1,617 | | | | 22,961 | |
| PHI, Inc.* | | | 601 | | | | 20,560 | |
| Vaalco Energy, Inc.* | | | 2,691 | | | | 20,425 | |
| 126 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| Basic Energy Services, Inc.*,1 | | | 1,432 | | | $ | 19,575 | |
| Tesco Corp.* | | | 1,415 | | | | 18,947 | |
| Goodrich Petroleum Corp.*,1 | | | 1,205 | | | | 18,858 | |
| Matrix Service Co.* | | | 1,199 | | | | 17,865 | |
| Willbros Group, Inc.* | | | 1,804 | | | | 17,715 | |
| Bonanza Creek Energy, Inc.* | | | 457 | | | | 17,672 | |
| Diamondback Energy, Inc.* | | | 610 | | | | 16,372 | |
| Vantage Drilling Co.* | | | 8,904 | | | | 15,582 | |
| RigNet, Inc.* | | | 576 | | | | 14,365 | |
| GasLog Ltd. | | | 1,088 | | | | 13,992 | |
| Gulf Island Fabrication, Inc. | | | 661 | | | | 13,921 | |
| Triangle Petroleum Corp.* | | | 2,059 | | | | 13,589 | |
| Green Plains Renewable Energy, Inc.* | | | 1,156 | | | | 13,225 | |
| Synergy Resources Corp.* | | | 1,818 | | | | 12,471 | |
| Quicksilver Resources, Inc.* | | | 5,460 | | | | 12,285 | |
| Solazyme, Inc.* | | | 1,525 | | | | 11,910 | |
| PetroQuest Energy, Inc.* | | | 2,628 | | | | 11,668 | |
| Clayton Williams Energy, Inc.* | | | 259 | | | | 11,326 | |
| BPZ Resources, Inc.* | | | 4,861 | | | | 11,034 | |
| Natural Gas Services Group, Inc.* | | | 563 | | | | 10,843 | |
| Warren Resources, Inc.* | | | 3,328 | | | | 10,683 | |
| Dawson Geophysical Co.* | | | 353 | | | | 10,590 | |
| Sanchez Energy Corp.* | | | 520 | | | | 10,358 | |
| Penn Virginia Corp. | | | 2,561 | | | | 10,346 | |
| Mitcham Industries, Inc.* | | | 595 | | | | 10,067 | |
| Midstates Petroleum Company, Inc.* | | | 1,120 | | | | 9,576 | |
| Knightsbridge Tankers Ltd. | | | 1,134 | | | | 9,299 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 323 | | | | 9,254 | |
| Abraxas Petroleum Corp.*,1 | | | 3,836 | | | | 8,861 | |
| Uranium Energy Corp.* | | | 3,942 | | | | 8,672 | |
| Alon USA Energy, Inc. | | | 451 | | | | 8,592 | |
| Teekay Tankers Ltd. — Class A | | | 2,923 | | | | 8,331 | |
| FX Energy, Inc.* | | | 2,464 | | | | 8,279 | |
| Cal Dive International, Inc.* | | | 4,465 | | | | 8,037 | |
| Evolution Petroleum Corp.* | | | 769 | | | | 7,805 | |
| Bolt Technology Corp. | | | 396 | | | | 6,914 | |
| Callon Petroleum Co.* | | | 1,831 | | | | 6,775 | |
| TGC Industries, Inc. | | | 678 | | | | 6,712 | |
| Harvest Natural Resources, Inc.* | | | 1,837 | | | | 6,448 | |
| Endeavour International Corp.* | | | 2,158 | | | | 6,366 | |
| REX American Resources Corp.* | | | 262 | | | | 5,795 | |
| Matador Resources Co.* | | | 654 | | | | 5,794 | |
| Westmoreland Coal Co.* | | | 508 | | | | 5,771 | |
| KiOR, Inc. — Class A*,1 | | | 1,227 | | | | 5,706 | |
| Frontline Ltd.* | | | 2,396 | | | | 5,607 | |
| Miller Energy Resources, Inc.* | | | 1,436 | | | | 5,328 | |
| Apco Oil and Gas International, Inc. | | | 422 | | | | 5,233 | |
| Emerald Oil, Inc.* | | | 737 | | | | 5,188 | |
| Gastar Exploration Ltd.* | | | 2,739 | | | | 4,821 | |
| Adams Resources & Energy, Inc. | | | 87 | | | | 4,437 | |
| Amyris, Inc.*,1 | | | 1,410 | | | | 4,343 | |
| Isramco, Inc.* | | | 43 | | | | 4,263 | |
| Uranerz Energy Corp.*,1 | | | 3,062 | | | | 3,889 | |
| Gevo, Inc.* | | | 1,416 | | | | 3,172 | |
| Crimson Exploration, Inc.* | | | 989 | | | | 2,829 | |
| Renewable Energy Group, Inc.* | | | 330 | | | | 2,538 | |
| Forbes Energy Services Ltd.* | | | 681 | | | | 2,506 | |
| Saratoga Resources, Inc.* | | | 940 | | | | 2,500 | |
| Global Geophysical Services, Inc.* | | | 900 | | | | 2,205 | |
| ZaZa Energy Corp.* | | | 1,158 | | | | 2,096 | |
| Hallador Energy Co. | | | 289 | | | | 1,994 | |
| Ceres, Inc.* | | | 261 | | | | 908 | |
| Total Energy | | | | | | | 3,780,180 | |
| Materials - 3.1% | | | | | | | | |
| Axiall Corp. | | | 2,961 | | | | 184,055 | |
| Eagle Materials, Inc. | | | 2,269 | | | | 151,183 | |
| Louisiana-Pacific Corp.* | | | 6,396 | | | | 138,153 | |
| PolyOne Corp. | | | 4,617 | | | | 112,702 | |
| Chemtura Corp.* | | | 4,585 | | | | 99,083 | |
| Olin Corp. | | | 3,720 | | | | 93,818 | |
| Sensient Technologies Corp. | | | 2,318 | | | | 90,611 | |
| HB Fuller Co. | | | 2,316 | | | | 90,509 | |
| Coeur d’Alene Mines Corp.* | | | 4,177 | | | | 78,779 | |
| Worthington Industries, Inc. | | | 2,433 | | | | 75,374 | |
| Stillwater Mining Co.* | | | 5,382 | | | | 69,589 | |
| Minerals Technologies, Inc. | | | 1,654 | | | | 68,658 | |
| Texas Industries, Inc.* | | | 1,052 | | | | 66,392 | |
| Resolute Forest Products* | | | 3,768 | | | | 60,967 | |
| Balchem Corp. | | | 1,362 | | | | 59,846 | |
| Kaiser Aluminum Corp. | | | 892 | | | | 57,667 | |
| Clearwater Paper Corp.* | | | 1,091 | | | | 57,485 | |
| Schweitzer-Mauduit International, Inc. | | | 1,455 | | | | 56,352 | |
| Buckeye Technologies, Inc. | | | 1,829 | | | | 54,779 | |
| Innophos Holdings, Inc. | | | 1,000 | | | | 54,560 | |
| SunCoke Energy, Inc.* | | | 3,250 | | | | 53,073 | |
| Hecla Mining Co. | | | 13,261 | | | | 52,381 | |
| KapStone Paper and Packaging Corp. | | | 1,876 | | | | 52,153 | |
| Graphic Packaging Holding Co.* | | | 6,822 | | | | 51,096 | |
| Stepan Co. | | | 778 | | | | 49,092 | |
| Calgon Carbon Corp.* | | | 2,646 | | | | 47,893 | |
| Innospec, Inc. | | | 1,076 | | | | 47,645 | |
| PH Glatfelter Co. | | | 1,989 | | | | 46,503 | |
| RTI International Metals, Inc.* | | | 1,413 | | | | 44,778 | |
| A. Schulman, Inc. | | | 1,370 | | | | 43,237 | |
| Koppers Holdings, Inc. | | | 960 | | | | 42,221 | |
| Boise, Inc. | | | 4,675 | | | | 40,486 | |
| Globe Specialty Metals, Inc. | | | 2,860 | | | | 39,811 | |
| American Vanguard Corp. | | | 1,294 | | | | 39,519 | |
| Flotek Industries, Inc.* | | | 2,295 | | | | 37,523 | |
| Quaker Chemical Corp. | | | 601 | | | | 35,471 | |
| OM Group, Inc.* | | | 1,510 | | | | 35,455 | |
| AMCOL International Corp. | | | 1,168 | | | | 35,262 | |
| Headwaters, Inc.* | | | 3,235 | | | | 35,262 | |
| Kraton Performance Polymers, Inc.* | | | 1,495 | | | | 34,983 | |
| Deltic Timber Corp. | | | 508 | | | | 34,910 | |
| Tredegar Corp. | | | 1,122 | | | | 33,032 | |
| Haynes International, Inc. | | | 567 | | | | 31,355 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 1,170 | | | | 31,192 | |
| LSB Industries, Inc.* | | | 873 | | | | 30,363 | |
| McEwen Mining, Inc.*,1 | | | 10,081 | | | | 28,833 | |
| Ferro Corp.* | | | 4,021 | | | | 27,142 | |
| Materion Corp. | | | 946 | | | | 26,961 | |
| Berry Plastics Group, Inc.* | | | 1,250 | | | | 23,812 | |
| Neenah Paper, Inc. | | | 737 | | | | 22,670 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 127 |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| Horsehead Holding Corp.* | | | 2,039 | | | $ | 22,184 | |
| Wausau Paper Corp. | | | 2,053 | | | | 22,131 | |
| Myers Industries, Inc. | | | 1,561 | | | | 21,792 | |
| AK Steel Holding Corp.1 | | | 6,320 | | | | 20,919 | |
| Golden Star Resources Ltd.* | | | 12,029 | | | | 19,246 | |
| Century Aluminum Co.* | | | 2,396 | | | | 18,545 | |
| Gold Resource Corp. | | | 1,382 | | | | 18,007 | |
| Hawkins, Inc. | | | 429 | | | | 17,139 | |
| Landec Corp.* | | | 1,181 | | | | 17,089 | |
| OMNOVA Solutions, Inc.* | | | 2,148 | | | | 16,475 | |
| Zep, Inc. | | | 1,029 | | | | 15,445 | |
| Zoltek Companies, Inc.* | | | 1,277 | | | | 15,260 | |
| AM Castle & Co.* | | | 774 | | | | 13,545 | |
| Paramount Gold and Silver Corp.* | | | 6,070 | | | | 13,536 | |
| AEP Industries, Inc.* | | | 183 | | | | 13,141 | |
| US Silica Holdings, Inc. | | | 546 | | | | 12,875 | |
| Universal Stainless & Alloy* | | | 309 | | | | 11,232 | |
| ADA-ES, Inc.* | | | 420 | | | | 11,159 | |
| Metals USA Holdings Corp. | | | 532 | | | | 10,986 | |
| FutureFuel Corp. | | | 898 | | | | 10,911 | |
| Olympic Steel, Inc. | | | 421 | | | | 10,062 | |
| Arabian American Development Co.* | | | 929 | | | | 7,831 | |
| Midway Gold Corp.* | | | 5,941 | | | | 7,248 | |
| KMG Chemicals, Inc. | | | 359 | | | | 6,979 | |
| Noranda Aluminum Holding Corp. | | | 1,546 | | | | 6,942 | |
| General Moly, Inc.* | | | 3,119 | | | | 6,893 | |
| Vista Gold Corp.* | | | 2,809 | | | | 6,067 | |
| Chase Corp. | | | 291 | | | | 5,622 | |
| UFP Technologies, Inc.* | | | 258 | | | | 5,080 | |
| US Antimony Corp.* | | | 2,499 | | | | 4,323 | |
| United States Lime & Minerals, Inc.* | | | 76 | | | | 4,042 | |
| Handy & Harman Ltd.* | | | 253 | | | | 3,894 | |
| Golden Minerals Co.* | | | 1,538 | | | | 3,660 | |
| GSE Holding, Inc.* | | | 367 | | | | 3,031 | |
| Revett Minerals, Inc.* | | | 1,187 | | | | 2,706 | |
| Total Materials | | | | | | | 3,280,673 | |
| Consumer Staples - 2.0% | | | | | | | | |
| United Natural Foods, Inc.* | | | 2,269 | | | | 111,635 | |
| TreeHouse Foods, Inc.* | | | 1,666 | | | | 108,539 | |
| Hain Celestial Group, Inc.* | | | 1,714 | | | | 104,690 | |
| Casey’s General Stores, Inc. | | | 1,767 | | | | 103,016 | |
| Darling International, Inc.* | | | 5,464 | | | | 98,132 | |
| Harris Teeter Supermarkets, Inc. | | | 2,041 | | | | 87,171 | |
| B&G Foods, Inc. — Class A | | | 2,438 | | | | 74,335 | |
| Lancaster Colony Corp. | | | 861 | | | | 66,297 | |
| PriceSmart, Inc. | | | 832 | | | | 64,755 | |
| Universal Corp. | | | 1,083 | | | | 60,691 | |
| Spectrum Brands Holdings, Inc. | | | 1,064 | | | | 60,212 | |
| Prestige Brands Holdings, Inc.* | | | 2,338 | | | | 60,063 | |
| Rite Aid Corp.* | | | 30,676 | | | | 58,284 | |
| Sanderson Farms, Inc. | | | 1,067 | | | | 58,280 | |
| Boston Beer Company, Inc. — Class A* | | | 359 | | | | 57,310 | |
| J&J Snack Foods Corp. | | | 688 | | | | 52,900 | |
| Post Holdings, Inc.* | | | 1,220 | | | | 52,375 | |
| Snyders-Lance, Inc. | | | 2,053 | | | | 51,859 | |
| SUPERVALU, Inc.1 | | | 9,869 | | | | 49,740 | |
| Fresh Del Monte Produce, Inc. | | | 1,767 | | | | 47,674 | |
| Elizabeth Arden, Inc.* | | | 1,168 | | | | 47,012 | |
| Andersons, Inc. | | | 856 | | | | 45,813 | |
| Vector Group Ltd. | | | 2,579 | | | | 41,573 | |
| WD-40 Co. | | | 742 | | | | 40,639 | |
| Tootsie Roll Industries, Inc.1 | | | 1,135 | | | | 33,950 | |
| Cal-Maine Foods, Inc. | | | 664 | | | | 28,260 | |
| Seaboard Corp. | | | 10 | | | | 28,000 | |
| Susser Holdings Corp.* | | | 518 | | | | 26,475 | |
| Pilgrim’s Pride Corp.* | | | 2,807 | | | | 25,796 | |
| Boulder Brands, Inc.* | | | 2,739 | | | | 24,596 | |
| Weis Markets, Inc. | | | 513 | | | | 20,879 | |
| Inter Parfums, Inc. | | | 763 | | | | 18,640 | |
| Dole Food Company, Inc.* | | | 1,666 | | | | 18,159 | |
| Spartan Stores, Inc. | | | 1,003 | | | | 17,603 | |
| Diamond Foods, Inc.* | | | 1,031 | | | | 17,383 | |
| Chiquita Brands International, Inc.* | | | 2,138 | | | | 16,591 | |
| Calavo Growers, Inc. | | | 550 | | | | 15,829 | |
| Alliance One International, Inc.* | | | 4,065 | | | | 15,813 | |
| Harbinger Group, Inc.* | | | 1,911 | | | | 15,785 | |
| Central Garden and Pet Co. — Class A* | | | 1,798 | | | | 14,780 | |
| Medifast, Inc.* | | | 644 | | | | 14,760 | |
| Pantry, Inc.* | | | 1,090 | | | | 13,592 | |
| Village Super Market, Inc. — Class A | | | 391 | | | | 13,173 | |
| Seneca Foods Corp. — Class A* | | | 389 | | | | 12,845 | |
| USANA Health Sciences, Inc.* | | | 260 | | | | 12,566 | |
| Ingles Markets, Inc. — Class A | | | 584 | | | | 12,544 | |
| Coca-Cola Bottling Company Consolidated | | | 200 | | | | 12,064 | |
| Revlon, Inc. — Class A* | | | 524 | | | | 11,717 | |
| Star Scientific, Inc.*,1 | | | 6,775 | | | | 11,247 | |
| Nash Finch Co. | | | 566 | | | | 11,082 | |
| Omega Protein Corp.* | | | 907 | | | | 9,750 | |
| Chefs’ Warehouse, Inc.* | | | 506 | | | | 9,346 | |
| Annie’s, Inc.* | | | 230 | | | | 8,800 | |
| Nature’s Sunshine Products, Inc. | | | 522 | | | | 7,955 | |
| Alico, Inc. | | | 162 | | | | 7,493 | |
| Natural Grocers by Vitamin Cottage, Inc.* | | | 331 | | | | 7,464 | |
| Limoneira Co. | | | 386 | | | | 7,458 | |
| National Beverage Corp. | | | 521 | | | | 7,320 | |
| John B Sanfilippo & Son, Inc. | | | 364 | | | | 7,273 | |
| Nutraceutical International Corp. | | | 396 | | | | 6,871 | |
| Female Health Co. | | | 882 | | | | 6,386 | |
| Oil-Dri Corporation of America | | | 230 | | | | 6,263 | |
| Orchids Paper Products Co. | | | 262 | | | | 6,112 | |
| Roundy’s, Inc. | | | 924 | | | | 6,071 | |
| Inventure Foods, Inc.* | | | 609 | | | | 4,738 | |
| Arden Group, Inc. — Class A | | | 45 | | | | 4,549 | |
| Farmer Bros Co.* | | | 307 | | | | 4,513 | |
| Griffin Land & Nurseries, Inc. | | | 130 | | | | 3,907 | |
| Synutra International, Inc.* | | | 800 | | | | 3,760 | |
| Craft Brew Alliance, Inc.* | | | 483 | | | | 3,594 | |
| Lifeway Foods, Inc. | | | 212 | | | | 2,947 | |
| Central European Distribution Corp.*,1 | | | 3,064 | | | | 1,026 | |
| Total Consumer Staples | | | | | | | 2,200,720 | |
| 128 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| russell 2000® FUND | |
| | | Shares | | | Value | |
| Utilities - 1.9% | | | | | | | | |
| Cleco Corp. | | | 2,830 | | | $ | 133,094 | |
| IDACORP, Inc. | | | 2,332 | | | | 112,565 | |
| Piedmont Natural Gas Company, Inc. | | | 3,329 | | | | 109,458 | |
| Portland General Electric Co. | | | 3,509 | | | | 106,428 | |
| WGL Holdings, Inc. | | | 2,392 | | | | 105,487 | |
| Southwest Gas Corp. | | | 2,143 | | | | 101,707 | |
| UIL Holdings Corp. | | | 2,350 | | | | 93,037 | |
| UNS Energy Corp. | | | 1,875 | | | | 91,763 | |
| Black Hills Corp. | | | 2,047 | | | | 90,149 | |
| New Jersey Resources Corp. | | | 1,934 | | | | 86,740 | |
| ALLETE, Inc. | | | 1,769 | | | | 86,716 | |
| PNM Resources, Inc. | | | 3,707 | | | | 86,336 | |
| South Jersey Industries, Inc. | | | 1,411 | | | | 78,437 | |
| Avista Corp. | | | 2,724 | | | | 74,638 | |
| NorthWestern Corp. | | | 1,687 | | | | 67,244 | |
| El Paso Electric Co. | | | 1,862 | | | | 62,656 | |
| MGE Energy, Inc. | | | 1,072 | | | | 59,432 | |
| Northwest Natural Gas Co. | | | 1,242 | | | | 54,424 | |
| Otter Tail Corp. | | | 1,678 | | | | 52,253 | |
| American States Water Co. | | | 878 | | | | 50,547 | |
| CH Energy Group, Inc. | | | 697 | | | | 45,577 | |
| Laclede Group, Inc. | | | 1,041 | | | | 44,451 | |
| Empire District Electric Co. | | | 1,957 | | | | 43,837 | |
| California Water Service Group | | | 1,948 | | | | 38,765 | |
| Atlantic Power Corp.1 | | | 5,482 | | | | 27,026 | |
| Chesapeake Utilities Corp. | | | 436 | | | | 21,386 | |
| Unitil Corp. | | | 629 | | | | 17,694 | |
| SJW Corp. | | | 650 | | | | 17,225 | |
| Ormat Technologies, Inc. | | | 818 | | | | 16,892 | |
| Connecticut Water Service, Inc. | | | 495 | | | | 14,469 | |
| Middlesex Water Co. | | | 725 | | | | 14,152 | |
| York Water Co. | | | 600 | | | | 11,280 | |
| Artesian Resources Corp. — Class A | | | 349 | | | | 7,842 | |
| Delta Natural Gas Company, Inc. | | | 314 | | | | 6,864 | |
| Consolidated Water Company Ltd. | | | 676 | | | | 6,692 | |
| Genie Energy Ltd. — Class B | | | 696 | | | | 6,445 | |
| Cadiz, Inc.* | | | 605 | | | | 4,090 | |
| American DG Energy, Inc.* | | | 1,192 | | | | 2,503 | |
| Total Utilities | | | | | | | 2,050,301 | |
| Telecommunication Services - 0.4% | | | | | | | | |
| Cogent Communications Group, Inc. | | | 2,180 | | | | 57,551 | |
| Consolidated Communications | | | | | | | | |
| Holdings, Inc. | | | 1,856 | | | | 32,572 | |
| Cincinnati Bell, Inc.* | | | 9,164 | | | | 29,875 | |
| Premiere Global Services, Inc.* | | | 2,331 | | | | 25,618 | |
| 8x8, Inc.* | | | 3,287 | | | | 22,516 | |
| Vonage Holdings Corp.* | | | 7,399 | | | | 21,383 | |
| Atlantic Tele-Network, Inc. | | | 418 | | | | 20,277 | |
| Shenandoah Telecommunications Co. | | | 1,108 | | | | 16,875 | |
| General Communication, Inc. — Class A* | | | 1,716 | | | | 15,736 | |
| Leap Wireless International, Inc.* | | | 2,506 | | | | 14,760 | |
| inContact, Inc.* | | | 1,735 | | | | 14,036 | |
| Iridium Communications, Inc.* | | | 2,313 | | | | 13,924 | |
| USA Mobility, Inc. | | | 1,032 | | | | 13,695 | |
| Hawaiian Telcom Holdco, Inc.* | | | 480 | | | | 11,074 | |
| Lumos Networks Corp. | | | 708 | | | | 9,544 | |
| Cbeyond, Inc.* | | | 1,265 | | | | 9,399 | |
| magicJack VocalTec Ltd.* | | | 650 | | | | 9,100 | |
| NTELOS Holdings Corp. | | | 686 | | | | 8,788 | |
| ORBCOMM, Inc.* | | | 1,657 | | | | 8,633 | |
| IDT Corp. — Class B | | | 705 | | | | 8,502 | |
| Fairpoint Communications, Inc.* | | | 963 | | | | 7,194 | |
| HickoryTech Corp. | | | 622 | | | | 6,313 | |
| Primus Telecommunications Group, Inc. | | | 560 | | | | 6,188 | |
| Towerstream Corp.* | | | 2,211 | | | | 4,931 | |
| Neutral Tandem, Inc. | | | 1,306 | | | | 4,271 | |
| Boingo Wireless, Inc.* | | | 737 | | | | 4,068 | |
| Total Telecommunication Services | | | | | | | 396,823 | |
| Total Common Stocks | | | | | | | | |
| (Cost $52,835,648) | | | | | | | 61,873,135 | |
| WARRANTS†† - 0.0% | | | | | | | | |
| Magnum Hunter Resources Corp. | | | | | | | | |
| $10.50, 08/16/13* | | | 17 | | | | — | |
| Total Warrants | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| RIGHTS†† - 0.0% | | | | | | | | |
| BlueLinx Holdings, Inc. | | | | | | | | |
| Expires 04/01/13* | | | 1,026 | | | | 405 | |
| Total Rights | | | | | | | | |
| (Cost $312) | | | | | | | 405 | |
| CLOSED-END FUNDS† - 0.0% | | | | | | | | |
| Firsthand Technology Value Fund, Inc.* | | | 356 | | | | 6,867 | |
| Total Closed-End Funds | | | | | | | | |
| (Cost $6,054) | | | | | | | 6,867 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 41.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 22,154,441 | | | | 22,154,441 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 18,175,661 | | | | 18,175,661 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/133 | | | 2,435,253 | | | | 2,435,253 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 1,842,404 | | | | 1,842,404 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $44,607,759) | | | | | | | 44,607,759 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 129 |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| russell 2000® FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| SECURITIES LENDING COLLATERAL††,4 - 1.0% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | $ | 573,935 | | | $ | 573,935 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 451,491 | | | | 451,491 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,025,426) | | | | | | | 1,025,426 | |
| Total Investments - 100.1% | | | | | | | | |
| (Cost $98,475,199) | | | | | | $ | 107,513,592 | |
| Other Assets & Liabilities, net - (0.1)% | | | | | | | (137,771 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 107,375,821 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $4,734,000) | | | 50 | | | $ | 19,224 | |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $22,431,403) | | | 23,574 | | | $ | 32,333 | |
| Goldman Sachs International | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/29/135 | | | | | | | | |
| (Notional Value $14,764,236) | | | 15,516 | | | | 30,573 | |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/135 | | | | | | | | |
| (Notional Value $4,014,647) | | | 4,219 | | | | 3,122 | |
| (Total Notional Value $41,210,286) | | | | | | $ | 66,028 | |
| * | 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 March 28, 2013 — 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 March 28, 2013. |
| 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
| 130 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| ASSETS: | | | | |
| Investments, at value - including $994,101 of | | | | |
| securities loaned | | | | |
| (cost $52,842,014) | | $ | 61,880,407 | |
| Repurchase agreements, at value | | | | |
| (cost $45,633,185) | | | 45,633,185 | |
| Total investments | | | | |
| (cost $98,475,199) | | | 107,513,592 | |
| Foreign currency, at value | | | | |
| (cost $480) | | | 480 | |
| Segregated cash with broker | | | 1,890,000 | |
| Unrealized appreciation on swap agreements | | | 66,028 | |
| Receivable for swap settlement | | | 485,691 | |
| Receivables: | | | | |
| Fund shares sold | | | 420,930 | |
| Dividends | | | 71,610 | |
| Securities sold | | | 27,543 | |
| Interest | | | 3,552 | |
| Variation margin | | | 184 | |
| Total assets | | | 110,479,610 | |
| liabilities: | | | | |
| Overdraft due to custodian bank | | | 748,578 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,162,968 | |
| Upon return of securities loaned | | | 1,025,426 | |
| Management fees | | | 61,057 | |
| Distribution and service fees | | | 21,852 | |
| Transfer agent and administrative fees | | | 20,352 | |
| Portfolio accounting fees | | | 8,141 | |
| Miscellaneous | | | 55,415 | |
| Total liabilities | | | 3,103,789 | |
| Net assets | | $ | 107,375,821 | |
Net assets consist of: | | | | |
| Paid in capital | | $ | 103,136,218 | |
| Accumulated net investment loss | | | (204,821 | ) |
| Accumulated net realized loss on investments | | | (4,679,221 | ) |
| Net unrealized appreciation on investments | | | 9,123,645 | |
| Net assets | | $ | 107,375,821 | |
A-Class: | | | | |
| Net assets | | $ | 3,723,225 | |
| Capital shares outstanding | | | 115,401 | |
| Net asset value per share | | $ | 32.26 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 33.87 | |
B-Class: | | | | |
| Net assets | | $ | 2,599,290 | |
| Capital shares outstanding | | | 85,117 | |
| Net asset value per share | | $ | 30.54 | |
H-Class: | | | | |
| Net assets | | $ | 101,053,306 | |
| Capital shares outstanding | | | 3,133,674 | |
| Net asset value per share | | $ | 32.25 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $800) | | $ | 661,041 | |
| Interest | | | 28,754 | |
| Income from securities lending, net | | | 16,261 | |
| Total investment income | | | 706,056 | |
| Expenses: | | | | |
| Management fees | | | 478,839 | |
| Transfer agent and administrative fees | | | 159,614 | |
| Distribution and service fees: | | | | |
| A-Class | | | 4,374 | |
| C-Class | | | 36,207 | |
| H-Class | | | 146,189 | |
| Portfolio accounting fees | | | 63,846 | |
| Custodian fees | | | 9,946 | |
| Trustees’ fees* | | | 5,960 | |
| Miscellaneous | | | 98,497 | |
| Total expenses | | | 1,003,472 | |
| Net investment loss | | | (297,416 | ) |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (1,250,810 | ) |
| Swap agreements | | | 760,706 | |
| Futures contracts | | | (132,187 | ) |
| Foreign currency | | | (23 | ) |
| Net realized loss | | | (622,314 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 4,405,213 | |
| Swap agreements | | | 109,419 | |
| Futures contracts | | | (15,124 | ) |
| Foreign currency | | | (2 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 4,499,506 | |
| Net realized and unrealized gain | | | 3,877,192 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 3,579,776 | |
* 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 ANNUAL REPORT | 131 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (297,416 | ) | | $ | (433,519 | ) |
| Net realized gain (loss) on investments | | | (622,314 | ) | | | 6,304,933 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,499,506 | | | | 2,862,358 | |
| Net increase in net assets resulting from operations | | | 3,579,776 | | | | 8,733,772 | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 19,300,015 | | | | 35,603,617 | |
| C-Class | | | 40,043,936 | | | | 83,457,886 | |
| H-Class | | | 360,726,416 | | | | 364,847,623 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (16,932,532 | ) | | | (38,744,977 | ) |
| C-Class | | | (43,861,024 | ) | | | (84,349,313 | ) |
| H-Class | | | (325,882,691 | ) | | | (339,357,813 | ) |
| Net increase from capital share transactions | | | 33,394,120 | | | | 21,457,023 | |
| Net increase in net assets | | | 36,973,896 | | | | 30,190,795 | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 70,401,925 | | | | 40,211,130 | |
| End of year | | $ | 107,375,821 | | | $ | 70,401,925 | |
| Accumulated net investment loss at end of year | | $ | (204,821 | ) | | $ | (153,610 | ) |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 678,363 | | | | 1,467,841 | |
| C-Class | | | 1,497,023 | | | | 3,373,536 | |
| H-Class | | | 12,748,953 | | | | 14,071,385 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (586,707 | ) | | | (1,470,535 | ) |
| C-Class | | | (1,645,575 | ) | | | (3,397,242 | ) |
| H-Class | | | (11,868,039 | ) | | | (12,954,131 | ) |
| Net increase in shares | | | 824,018 | | | | 1,090,854 | |
| 132 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.20 | | | $ | 28.54 | | | $ | 22.96 | | | $ | 14.31 | | | $ | 23.57 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.13 | ) | | | (.23 | ) | | | (.24 | ) | | | (.15 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.19 | | | | (.11 | ) | | | 5.82 | | | | 8.80 | | | | (9.24 | ) |
| Total from investment operations | | | 4.06 | | | | (.34 | ) | | | 5.58 | | | | 8.65 | | | | (9.26 | ) |
| Net asset value, end of period | | $ | 32.26 | | | $ | 28.20 | | | $ | 28.54 | | | $ | 22.96 | | | $ | 14.31 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 14.40 | % | | | (1.19 | %) | | | 24.30 | % | | | 60.45 | % | | | (39.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,723 | | | $ | 670 | | | $ | 755 | | | $ | 1,313 | | | $ | 2,309 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.44 | %) | | | (0.89 | %) | | | (1.01 | %) | | | (0.81 | %) | | | (0.13 | %) |
| Total expenses | | | 1.55 | % | | | 1.58 | % | | | 1.56 | % | | | 1.57 | % | | | 1.56 | % |
| Portfolio turnover rate | | | 160 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.90 | | | $ | 27.46 | | | $ | 22.29 | | | $ | 14.00 | | | $ | 23.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.31 | ) | | | (.46 | ) | | | (.47 | ) | | | (.34 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.95 | | | | (.10 | ) | | | 5.64 | | | | 8.63 | | | | (9.13 | ) |
| Total from investment operations | | | 3.64 | | | | (.56 | ) | | | 5.17 | | | | 8.29 | | | | (9.28 | ) |
| Net asset value, end of period | | $ | 30.54 | | | $ | 26.90 | | | $ | 27.46 | | | $ | 22.29 | | | $ | 14.00 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 13.53 | % | | | (2.04 | %) | | | 23.25 | % | | | 59.21 | % | | | (39.86 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,599 | | | $ | 6,285 | | | $ | 7,068 | | | $ | 2,860 | | | $ | 2,123 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.19 | %) | | | (1.83 | %) | | | (1.87 | %) | | | (1.56 | %) | | | (0.82 | %) |
| Total expenses | | | 2.31 | % | | | 2.34 | % | | | 2.31 | % | | | 2.30 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 160 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 133 |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.16 | | | $ | 28.52 | | | $ | 22.93 | | | $ | 14.31 | | | $ | 23.57 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.12 | ) | | | (.22 | ) | | | (.27 | ) | | | (.16 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.21 | | | | (.14 | ) | | | 5.86 | | | | 8.78 | | | | (9.24 | ) |
| Total from investment operations | | | 4.09 | | | | (.36 | ) | | | 5.59 | | | | 8.62 | | | | (9.26 | ) |
| Net asset value, end of period | | $ | 32.25 | | | $ | 28.16 | | | $ | 28.52 | | | $ | 22.93 | | | $ | 14.31 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 14.52 | % | | | (1.26 | %) | | | 24.32 | % | | | 60.24 | % | | | (39.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 101,053 | | | $ | 63,447 | | | $ | 32,389 | | | $ | 32,790 | | | $ | 19,847 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.42 | %) | | | (0.83 | %) | | | (1.09 | %) | | | (0.83 | %) | | | (0.09 | %) |
| Total expenses | | | 1.52 | % | | | 1.58 | % | | | 1.57 | % | | | 1.56 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 160 | % | | | 121 | % | | | 284 | % | | | 370 | % | | | 485 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 134 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 135 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Inverse Russell 2000® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. Inverse Russell 2000® Strategy Fund H-Class returned -17.46% while the Russell 2000 Index returned 16.30% over the same time period.
Among sectors, the biggest performance contributors to the underlying index during the period were Financials and Industrials. Telecommunication Services contributed least to performance of the underlying index for the period. Energy was the only sector that detracted from performance of the underlying index for the period.
Pharmacyclics, Inc., Ocwen Financial Corp. and Onyx Pharmaceuticals, Inc. were the largest contributors to performance of the underlying index for the year. MAKO Surgical Corp., Vivus, Inc. and Quality Systems, Inc. were the leading detractors from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | March 31, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| 136 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | -17.53 | % | | | -17.96 | % | | | -11.58 | % |
| A-Class Shares with sales charge† | | | -21.44 | % | | | -18.76 | % | | | -12.06 | % |
| Russell 2000 Index | | | 16.30 | % | | | 8.24 | % | | | 6.85 | % |
| | | | | | | | | | | | | |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | -18.16 | % | | | -18.57 | % | | | -12.33 | % |
| C-Class Shares with CDSC‡ | | | -18.98 | % | | | -18.57 | % | | | -12.33 | % |
| H-Class Shares | | | -17.46 | % | | | -17.95 | % | | | -11.67 | % |
| Russell 2000 Index | | | 16.30 | % | | | 8.24 | % | | | 6.99 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 137 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENTS††,1 - 100.2% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 6,200,507 | | | $ | 6,200,507 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 5,086,941 | | | | 5,086,941 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 2,087,222 | | | | 2,087,222 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 515,646 | | | | 515,646 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $13,890,316) | | | | | | | 13,890,316 | |
| Total Investments - 100.2% | | | | | | | | |
| (Cost $13,890,316) | | | | | | $ | 13,890,316 | |
| Other Assets & Liabilities, net - (0.2)% | | | | | | | (24,443 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 13,865,873 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| EQUITY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $94,680) | | | 1 | | | $ | (72 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Barclays Bank plc | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $233,202) | | | 245 | | | $ | (325 | ) |
| Credit Suisse Capital, LLC | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/30/133 | | | | | | | | |
| (Notional Value $7,310,205) | | | 7,682 | | | | (10,158 | ) |
| Goldman Sachs International | | | | | | | | |
| April 2013 Russell 2000 Index Swap, | | | | | | | | |
| Terminating 04/29/133 | | | | | | | | |
| (Notional Value $6,083,886) | | | 6,394 | | | | (12,361 | ) |
| (Total Notional Value $13,627,293) | | | | | | $ | (22,844 | ) |
| † | 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 March 28, 2013. |
| 3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. plc — Public Limited Company |
| 138 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE russell 2000® strategy FUND |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $13,890,316) | | $ | 13,890,316 | |
| Segregated cash with broker | | | 4,000 | |
| Receivables: | | | | |
| Fund shares sold | | | 52,274 | |
| Interest | | | 160 | |
| Variation margin | | | 50 | |
| Total assets | | | 13,946,800 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 22,844 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 30,511 | |
| Management fees | | | 9,924 | |
| Distribution and service fees | | | 3,047 | |
| Transfer agent and administrative fees | | | 2,757 | |
| Portfolio accounting fees | | | 1,103 | |
| Swap settlement | | | 273 | |
| Miscellaneous | | | 10,468 | |
| Total liabilities | | | 80,927 | |
| Net assets | | $ | 13,865,873 | |
| Net Assets consist of: | | | | |
| Paid in capital | | $ | 71,606,237 | |
| Accumulated net investment loss | | | (49,409 | ) |
| Accumulated net realized loss on investments | | | (57,668,039 | ) |
| Net unrealized depreciation on investments | | | (22,916 | ) |
| Net assets | | $ | 13,865,873 | |
| A-Class: | | | | |
| Net assets | | $ | 635,071 | |
| Capital shares outstanding | | | 44,093 | |
| Net asset value per share | | $ | 14.40 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 15.12 | |
| C-Class: | | | | |
| Net assets | | $ | 409,163 | |
| Capital shares outstanding | | | 30,461 | |
| Net asset value per share | | $ | 13.43 | |
| H-Class: | | | | |
| Net assets | | $ | 12,821,639 | |
| Capital shares outstanding | | | 889,098 | |
| Net asset value per share | | $ | 14.42 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 26,198 | |
| Total investment income | | | 26,198 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 191,028 | |
| Transfer agent and administrative fees | | | 53,063 | |
| Distribution and service fees: | | | | |
| A-Class | | | 2,304 | |
| C-Class | | | 7,231 | |
| H-Class | | | 48,951 | |
| Portfolio accounting fees | | | 21,225 | |
| Licensing fees | | | 21,024 | |
| Custodian fees | | | 3,426 | |
| Trustees’ fees* | | | 2,355 | |
| Miscellaneous | | | 25,213 | |
| Total expenses | | | 375,820 | |
| Net investment loss | | | (349,622 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (3,064,021 | ) |
| Futures contracts | | | (1,039,036 | ) |
| Net realized loss | | | (4,103,057 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (67,952 | ) |
| Futures contracts | | | 111,290 | |
| Net change in unrealized appreciation (depreciation) | | | 43,338 | |
| Net realized and unrealized loss | | | (4,059,719 | ) |
| Net decrease in net assets resulting from operations | | $ | (4,409,341 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 139 |
| INVERSE russell 2000® strategy FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (349,622 | ) | | $ | (344,345 | ) |
| Net realized loss on investments | | | (4,103,057 | ) | | | (2,486,068 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 43,338 | | | | 198,814 | |
| Net decrease in net assets resulting from operations | | | (4,409,341 | ) | | | (2,631,599 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 4,824,492 | | | | 7,173,118 | |
| C-Class | | | 1,964,837 | | | | 6,283,582 | |
| H-Class | | | 105,081,288 | | | | 201,994,386 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (4,493,515 | ) | | | (7,494,667 | ) |
| C-Class | | | (2,258,787 | ) | | | (6,502,435 | ) |
| H-Class | | | (105,574,736 | ) | | | (191,935,153 | ) |
| Net increase (decrease) from capital share transactions | | | (456,421 | ) | | | 9,518,831 | |
| Net increase (decrease) in net assets | | | (4,865,762 | ) | | | 6,887,232 | |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of year | | | 18,731,635 | | | | 11,844,403 | |
| End of year | | $ | 13,865,873 | | | $ | 18,731,635 | |
| Accumulated net investment loss at end of year | | $ | (49,409 | ) | | $ | (70,742 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 278,656 | | | | 336,649 | |
| C-Class | | | 117,391 | | | | 310,758 | |
| H-Class | | | 5,897,300 | | | | 9,760,842 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (269,632 | ) | | | (357,933 | ) |
| C-Class | | | (137,918 | ) | | | (321,668 | ) |
| H-Class | | | (5,997,259 | ) | | | (9,255,491 | ) |
| Net increase (decrease) in shares | | | (111,462 | ) | | | 473,157 | |
| 140 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| INVERSE russell 2000® strategy FUND |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.46 | | | $ | 19.77 | | | $ | 27.00 | | | $ | 48.02 | | | $ | 39.05 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.27 | ) | | | (.34 | ) | | | (.38 | ) | | | (.54 | ) | | | (.21 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (2.79 | ) | | | (1.97 | ) | | | (6.85 | ) | | | (20.48 | ) | | | 9.57 | |
| Total from investment operations | | | (3.06 | ) | | | (2.31 | ) | | | (7.23 | ) | | | (21.02 | ) | | | 9.36 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 14.40 | | | $ | 17.46 | | | $ | 19.77 | | | $ | 27.00 | | | $ | 48.02 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (17.53 | %) | | | (11.68 | %) | | | (26.78 | %) | | | (43.77 | %) | | | 23.91 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 635 | | | $ | 612 | | | $ | 1,114 | | | $ | 1,765 | | | $ | 2,299 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.60 | %) | | | (1.66 | %) | | | (1.53 | %) | | | (1.58 | %) | | | (0.50 | %) |
| Total expensesc | | | 1.72 | % | | | 1.75 | % | | | 1.71 | % | | | 1.71 | % | | | 1.96 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.41 | | | $ | 18.71 | | | $ | 25.75 | | | $ | 46.15 | | | $ | 37.80 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.38 | ) | | | (.47 | ) | | | (.55 | ) | | | (.76 | ) | | | (.40 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (2.60 | ) | | | (1.83 | ) | | | (6.49 | ) | | | (19.64 | ) | | | 9.14 | |
| Total from investment operations | | | (2.98 | ) | | | (2.30 | ) | | | (7.04 | ) | | | (20.40 | ) | | | 8.74 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 13.43 | | | $ | 16.41 | | | $ | 18.71 | | | $ | 25.75 | | | $ | 46.15 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.16 | %) | | | (12.29 | %) | | | (27.34 | %) | | | (44.20 | %) | | | 23.06 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 409 | | | $ | 837 | | | $ | 1,158 | | | $ | 2,003 | | | $ | 2,199 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.35 | %) | | | (2.43 | %) | | | (2.28 | %) | | | (2.34 | %) | | | (1.03 | %) |
| Total expensesc | | | 2.47 | % | | | 2.51 | % | | | 2.46 | % | | | 2.46 | % | | | 2.76 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 141 |
| INVERSE russell 2000® strategy FUND |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.47 | | | $ | 19.79 | | | $ | 27.01 | | | $ | 48.05 | | | $ | 39.07 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.28 | ) | | | (.35 | ) | | | (.38 | ) | | | (.53 | ) | | | (.19 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | (2.77 | ) | | | (1.97 | ) | | | (6.84 | ) | | | (20.51 | ) | | | 9.56 | |
| Total from investment operations | | | (3.05 | ) | | | (2.32 | ) | | | (7.22 | ) | | | (21.04 | ) | | | 9.37 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.39 | ) |
| Net asset value, end of period | | $ | 14.42 | | | $ | 17.47 | | | $ | 19.79 | | | $ | 27.01 | | | $ | 48.05 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (17.46 | %) | | | (11.72 | %) | | | (26.73 | %) | | | (43.79 | %) | | | 23.93 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,822 | | | $ | 17,283 | | | $ | 9,572 | | | $ | 25,924 | | | $ | 30,131 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.62 | %) | | | (1.70 | %) | | | (1.53 | %) | | | (1.58 | %) | | | (0.45 | %) |
| Total expensesc | | | 1.74 | % | | | 1.77 | % | | | 1.71 | % | | | 1.71 | % | | | 1.97 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | 214 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Total expenses may include interest and dividend expense related to short sales. Excluding interest and dividend expense, the operating expense ratios for the years ended would be: |
| | | 03/28/13 | | | 03/31/12 | | | 03/31/11 | | | 03/31/10 | | | 03/31/09 | |
| A-Class | | | 1.72 | % | | | 1.75 | % | | | 1.71 | % | | | 1.71 | % | | | 1.71 | % |
| C-Class | | | 2.47 | % | | | 2.51 | % | | | 2.46 | % | | | 2.46 | % | | | 2.45 | % |
| H-Class | | | 1.74 | % | | | 1.77 | % | | | 1.71 | % | | | 1.71 | % | | | 1.70 | % |
| 142 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 143 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P 500® Pure Growth Fund H-Class returned 12.51%, compared with a gain of 14.20% for the S&P 500 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
The large-cap growth stocks comprising the index underperformed their large-cap value stock counterparts.
Health Care was the sector contributing most to performance, followed by Financials. No sector detracted from performance, but the sectors contributing least were Information Technology and Consumer Staples.
Stocks contributing the most to return of the underlying index were Gilead Sciences, Inc., Tesoro Corp. and Netflix, Inc. Chipotle Mexican Grill, Inc., F5 Networks, Inc. and Apple, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| A-Class | | | September 1, 2004 |
| C-Class | | | February 20, 2004 |
| H-Class | | | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | | |
| SLM Corp. | | | 2.6 | % |
| Tesoro Corp. | | | 2.4 | % |
| Southwest Airlines Co. | | | 2.1 | % |
| Seagate Technology plc | | | 2.0 | % |
| Netflix, Inc. | | | 1.9 | % |
| Denbury Resources, Inc. | | | 1.7 | % |
| Life Technologies Corp. | | | 1.7 | % |
| Discover Financial Services | | | 1.6 | % |
| Bank of America Corp. | | | 1.6 | % |
| Comcast Corp. — Class A | | | 1.6 | % |
| Top Ten Total | | | 19.2 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 144 | the RYDEX FUNDS ANNUAL REPORT |
| performance report and FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 12.51 | % | | | 9.29 | % | | | 6.35 | % |
| A-Class Shares with sales charge† | | | 7.17 | % | | | 8.23 | % | | | 5.75 | % |
| S&P 500 Pure Growth Index | | | 14.20 | % | | | 11.07 | % | | | 9.50 | % |
| | | | | | | | | | | | | |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 11.70 | % | | | 8.46 | % | | | 4.44 | % |
| C-Class Shares with CDSC‡ | | | 10.70 | % | | | 8.46 | % | | | 4.44 | % |
| H-Class Shares | | | 12.51 | % | | | 9.28 | % | | | 5.21 | % |
| S&P 500 Pure Growth Index | | | 14.20 | % | | | 11.07 | % | | | 8.47 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 145 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P 500® PURE growth FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% | | | | | | | | |
| | | | | | | | | |
| Consumer Discretionary - 29.5% | | | | | | | | |
| Netflix, Inc.* | | | 7,465 | | | $ | 1,413,946 | |
| Comcast Corp. — Class A | | | 29,100 | | | | 1,222,491 | |
| Newell Rubbermaid, Inc. | | | 46,500 | | | | 1,213,650 | |
| Scripps Networks Interactive, Inc. — Class A | | | 17,094 | | | | 1,099,828 | |
| TripAdvisor, Inc.* | | | 20,700 | | | | 1,087,164 | |
| PVH Corp. | | | 9,800 | | | | 1,046,738 | |
| DR Horton, Inc. | | | 39,900 | | | | 969,570 | |
| Delphi Automotive plc | | | 21,400 | | | | 950,160 | |
| Priceline.com, Inc.* | | | 1,341 | | | | 922,514 | |
| The Gap, Inc. | | | 25,500 | | | | 902,699 | |
| Time Warner, Inc. | | | 12,600 | | | | 726,012 | |
| Amazon.com, Inc.* | | | 2,616 | | | | 697,138 | |
| Discovery Communications, Inc. — Class A* | | | 8,623 | | | | 678,975 | |
| BorgWarner, Inc.* | | | 8,500 | | | | 657,390 | |
| Urban Outfitters, Inc.* | | | 16,500 | | | | 639,210 | |
| Wyndham Worldwide Corp. | | | 9,600 | | | | 619,008 | |
| DIRECTV* | | | 10,497 | | | | 594,235 | |
| Home Depot, Inc. | | | 8,200 | | | | 572,196 | |
| CBS Corp. — Class B | | | 12,000 | | | | 560,280 | |
| TJX Companies, Inc. | | | 11,818 | | | | 552,492 | |
| Lennar Corp. — Class A | | | 13,300 | | | | 551,684 | |
| Time Warner Cable, Inc. | | | 5,700 | | | | 547,542 | |
| Lowe’s Companies, Inc. | | | 14,300 | | | | 542,256 | |
| News Corp. — Class A | | | 16,600 | | | | 506,632 | |
| AutoZone, Inc.* | | | 1,218 | | | | 483,266 | |
| PetSmart, Inc. | | | 7,200 | | | | 447,120 | |
| Ross Stores, Inc. | | | 7,243 | | | | 439,071 | |
| Wynn Resorts Ltd. | | | 3,501 | | | | 438,185 | |
| Fossil, Inc.* | | | 4,190 | | | | 404,754 | |
| Leggett & Platt, Inc. | | | 10,900 | | | | 368,202 | |
| L Brands, Inc. | | | 7,500 | | | | 334,950 | |
| PulteGroup, Inc.* | | | 15,400 | | | | 311,696 | |
| Total Consumer Discretionary | | | | | | | 22,501,054 | |
| Information Technology - 16.5% | | | | | | | | |
| Seagate Technology plc | | | 40,900 | | | | 1,495,304 | |
| eBay, Inc.* | | | 16,900 | | | | 916,317 | |
| Visa, Inc. — Class A | | | 5,259 | | | | 893,189 | |
| Apple, Inc. | | | 1,989 | | | | 880,391 | |
| Teradyne, Inc.* | | | 47,900 | | | | 776,938 | |
| Yahoo!, Inc.* | | | 32,800 | | | | 771,784 | |
| Salesforce.com, Inc.* | | | 4,315 | | | | 771,651 | |
| Applied Materials, Inc. | | | 50,100 | | | | 675,348 | |
| Google, Inc. — Class A* | | | 819 | | | | 650,311 | |
| Amphenol Corp. — Class A | | | 7,938 | | | | 592,572 | |
| Intel Corp. | | | 26,300 | | | | 574,655 | |
| Adobe Systems, Inc.* | | | 12,800 | | | | 556,928 | |
| Broadcom Corp. — Class A | | | 15,913 | | | | 551,704 | |
| QUALCOMM, Inc. | | | 8,039 | | | | 538,211 | |
| KLA-Tencor Corp. | | | 9,909 | | | | 522,601 | |
| LSI Corp.* | | | 67,600 | | | | 458,328 | |
| Cognizant Technology Solutions Corp. — Class A* | | | 5,165 | | | | 395,691 | |
| Akamai Technologies, Inc.* | | | 8,739 | | | | 308,399 | |
| Mastercard, Inc. — Class A | | | 415 | | | | 224,569 | |
| Total Information Technology | | | | | | | 12,554,891 | |
| Health Care - 16.0% | | | | | | | | |
| Life Technologies Corp.* | | | 19,463 | | | | 1,257,894 | |
| Gilead Sciences, Inc.* | | | 24,918 | | | | 1,219,238 | |
| Mylan, Inc.* | | | 37,850 | | | | 1,095,379 | |
| Celgene Corp.* | | | 9,441 | | | | 1,094,306 | |
| Agilent Technologies, Inc. | | | 24,200 | | | | 1,015,674 | |
| Eli Lilly & Co. | | | 17,800 | | | | 1,010,862 | |
| Alexion Pharmaceuticals, Inc.* | | | 9,380 | | | | 864,273 | |
| Amgen, Inc. | | | 6,840 | | | | 701,168 | |
| Actavis, Inc.* | | | 7,380 | | | | 679,772 | |
| Intuitive Surgical, Inc.* | | | 1,171 | | | | 575,183 | |
| AbbVie, Inc. | | | 14,000 | | | | 570,920 | |
| PerkinElmer, Inc. | | | 15,500 | | | | 521,420 | |
| DaVita HealthCare Partners, Inc.* | | | 4,290 | | | | 508,751 | |
| Biogen Idec, Inc.* | | | 2,529 | | | | 487,869 | |
| Cerner Corp.* | | | 3,782 | | | | 358,345 | |
| Edwards Lifesciences Corp.* | | | 3,130 | | | | 257,161 | |
| Total Health Care | | | | | | | 12,218,215 | |
| Financials - 14.7% | | | | | | | | |
| SLM Corp. | | | 96,200 | | | | 1,970,176 | |
| Discover Financial Services | | | 27,700 | | | | 1,242,068 | |
| Bank of America Corp. | | | 101,000 | | | | 1,230,180 | |
| Huntington Bancshares, Inc. | | | 154,600 | | | | 1,142,494 | |
| Zions Bancorporation | | | 38,100 | | | | 952,119 | |
| Franklin Resources, Inc. | | | 5,250 | | | | 791,753 | |
| Ameriprise Financial, Inc. | | | 10,300 | | | | 758,595 | |
| U.S. Bancorp | | | 19,600 | | | | 665,028 | |
| Moody’s Corp. | | | 11,600 | | | | 618,512 | |
| American Tower Corp. — Class A | | | 6,561 | | | | 504,672 | |
| Health Care REIT, Inc. | | | 6,700 | | | | 454,997 | |
| American Express Co. | | | 6,700 | | | | 451,982 | |
| T. Rowe Price Group, Inc. | | | 5,720 | | | | 428,256 | |
| Total Financials | | | | | | | 11,210,832 | |
| Industrials - 8.6% | | | | | | | | |
| Southwest Airlines Co. | | | 117,600 | | | | 1,585,248 | |
| PACCAR, Inc. | | | 17,000 | | | | 859,520 | |
| Boeing Co. | | | 10,000 | | | | 858,500 | |
| Quanta Services, Inc.* | | | 21,100 | | | | 603,038 | |
| Cummins, Inc. | | | 4,000 | | | | 463,240 | |
| Snap-on, Inc. | | | 5,300 | | | | 438,310 | |
| Cintas Corp. | | | 9,100 | | | | 401,583 | |
| Illinois Tool Works, Inc. | | | 5,800 | | | | 353,452 | |
| Stericycle, Inc.* | | | 3,259 | | | | 346,041 | |
| Masco Corp. | | | 16,300 | | | | 330,075 | |
| Equifax, Inc. | | | 5,300 | | | | 305,227 | |
| Total Industrials | | | | | | | 6,544,234 | |
| 146 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P 500® PURE growth FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Energy - 6.0% | | | | | | | | |
| Tesoro Corp. | | | 31,700 | | | $ | 1,856,035 | |
| Denbury Resources, Inc.* | | | 70,900 | | | | 1,322,284 | |
| EOG Resources, Inc. | | | 4,570 | | | | 585,280 | |
| Noble Energy, Inc. | | | 3,900 | | | | 451,074 | |
| Pioneer Natural Resources Co. | | | 2,938 | | | | 365,047 | |
| Total Energy | | | | | | | 4,579,720 | |
| Materials - 5.6% | | | | | | | | |
| Eastman Chemical Co. | | | 12,200 | | | | 852,414 | |
| Sherwin-Williams Co. | | | 4,830 | | | | 815,739 | |
| CF Industries Holdings, Inc. | | | 3,290 | | | | 626,317 | |
| Mosaic Co. | | | 7,200 | | | | 429,192 | |
| PPG Industries, Inc. | | | 3,200 | | | | 428,608 | |
| Ball Corp. | | | 8,700 | | | | 413,946 | |
| Ecolab, Inc. | | | 5,120 | | | | 410,522 | |
| FMC Corp. | | | 4,738 | | | | 270,208 | |
| Total Materials | | | | | | | 4,246,946 | |
| Consumer Staples - 1.8% | | | | | | | | |
| Constellation Brands, Inc. — Class A* | | | 11,900 | | | | 566,916 | |
| Monster Beverage Corp.* | | | 9,550 | | | | 455,917 | |
| Dr Pepper Snapple Group, Inc. | | | 7,700 | | | | 361,515 | |
| Total Consumer Staples | | | | | | | 1,384,348 | |
| Telecommunication Services - 0.9% | | | | | | | | |
| Crown Castle International Corp.* | | | 9,830 | | | | 684,561 | |
| Total Common Stocks | | | | | | | | |
| (Cost $58,955,335) | | | | | | | 75,924,801 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 0.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 186,911 | | | | 186,911 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 153,344 | | | | 153,344 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 15,544 | | | | 15,544 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $355,799) | | | | | | | 355,799 | |
| Total Investments - 100.1% | | | | | | | | |
| (Cost $59,311,134) | | | | | | $ | 76,280,600 | |
| Other Assets & Liabilities, net - (0.1)% | | | | | | | (103,867 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 76,176,733 | |
| * | 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. |
| | plc — Public Limited Company |
| | REIT — Real Estate Investment Trust |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 147 |
| S&P 500® PURE growth FUND |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $58,955,335) | | $ | 75,924,801 | |
| Repurchase agreements, at value | | | | |
| (cost $355,799) | | | 355,799 | |
| Total investments | | | | |
| (cost $59,311,134) | | | 76,280,600 | |
| Cash | | | 5,608 | |
| Receivables: | | | | |
| Fund shares sold | | | 167,406 | |
| Dividends | | | 41,750 | |
| Interest | | | 4 | |
| Total assets | | | 76,495,368 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 146,839 | |
| Management fees | | | 58,603 | |
| Distribution and service fees | | | 24,979 | |
| Transfer agent and administrative fees | | | 19,534 | |
| Portfolio accounting fees | | | 7,814 | |
| Miscellaneous | | | 60,866 | |
| Total liabilities | | | 318,635 | |
| Net assets | | $ | 76,176,733 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 62,852,700 | |
| Accumulated net investment loss | | | (155,123 | ) |
| Accumulated net realized loss on investments | | | (3,490,310 | ) |
| Net unrealized appreciation on investments | | | 16,969,466 | |
| Net assets | | $ | 76,176,733 | |
| A-Class: | | | | |
| Net assets | | $ | 15,001,430 | |
| Capital shares outstanding | | | 386,052 | |
| Net asset value per share | | $ | 38.86 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 40.80 | |
| C-Class: | | | | |
| Net assets | | $ | 8,692,230 | |
| Capital shares outstanding | | | 239,662 | |
| Net asset value per share | | $ | 36.27 | |
| H-Class: | | | | |
| Net assets | | $ | 52,483,073 | |
| Capital shares outstanding | | | 1,351,095 | |
| Net asset value per share | | $ | 38.84 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 866,746 | |
| Income from securities lending, net | | | 14,914 | |
| Interest | | | 576 | |
| Total investment income | | | 882,236 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 613,464 | |
| Transfer agent and administrative fees | | | 204,488 | |
| Distribution and service fees: | | | | |
| A-Class | | | 20,513 | |
| C-Class | | | 93,148 | |
| H-Class | | | 160,688 | |
| Portfolio accounting fees | | | 81,794 | |
| Custodian fees | | | 12,851 | |
| Trustees’ fees* | | | 7,001 | |
| Miscellaneous | | | 109,701 | |
| Total expenses | | | 1,303,648 | |
| Net investment loss | | | (421,412 | ) |
| | | | | |
| Net Realized And Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 6,628,478 | |
| Net realized gain | | | 6,628,478 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 4,519,502 | |
| Net change in unrealized appreciation (depreciation) | | | 4,519,502 | |
| Net realized and unrealized gain | | | 11,147,980 | |
| Net increase in net assets resulting from operations | | $ | 10,726,568 | |
| * | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 148 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P 500® PURE growth FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (421,412 | ) | | $ | (379,329 | ) |
| Net realized gain (loss) on investments | | | 6,628,478 | | | | (3,533,260 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,519,502 | | | | 151,421 | |
| Net increase (decrease) in net assets resulting from operations | | | 10,726,568 | | | | (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 | | | 30,199,935 | | | | 29,481,857 | |
| C-Class | | | 5,764,339 | | | | 8,753,921 | |
| H-Class | | | 334,423,793 | | | | 317,543,098 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 24,625 | |
| C-Class | | | — | | | | 69,727 | |
| H-Class | | | — | | | | 519,152 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (19,263,351 | ) | | | (28,735,214 | ) |
| C-Class | | | (9,351,215 | ) | | | (6,108,124 | ) |
| H-Class | | | (327,419,156 | ) | | | (315,975,426 | ) |
| Net increase from capital share transactions | | | 14,354,345 | | | | 5,573,616 | |
| Net increase in net assets | | | 25,080,913 | | | | 1,176,108 | |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of year | | | 51,095,820 | | | | 49,919,712 | |
| End of year | | $ | 76,176,733 | | | $ | 51,095,820 | |
| Accumulated net investment loss at end of year | | $ | (155,123 | ) | | $ | (82,706 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 876,613 | | | | 902,644 | |
| C-Class | | | 180,850 | | | | 293,533 | |
| H-Class | | | 9,972,171 | | | | 9,949,737 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 794 | |
| C-Class | | | — | | | | 2,385 | |
| H-Class | | | — | | | | 16,752 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (572,944 | ) | | | (902,622 | ) |
| C-Class | | | (299,082 | ) | | | (204,848 | ) |
| H-Class | | | (9,682,045 | ) | | | (10,077,462 | ) |
| Net increase (decrease) in shares | | | 475,563 | | | | (19,087 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 149 |
| S&P 500® PURE growth FUND |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.54 | | | $ | 33.15 | | | $ | 26.51 | | | $ | 15.82 | | | $ | 25.11 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.13 | ) | | | (.20 | ) | | | (.18 | ) | | | (.18 | ) | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.45 | | | | 1.82 | | | | 6.82 | | | | 10.87 | | | | (9.18 | ) |
| Total from investment operations | | | 4.32 | | | | 1.62 | | | | 6.64 | | | | 10.69 | | | | (9.29 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 38.86 | | | $ | 34.54 | | | $ | 33.15 | | | $ | 26.51 | | | $ | 15.82 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.51 | % | | | 4.96 | % | | | 25.05 | % | | | 67.57 | % | | | (37.00 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,001 | | | $ | 2,846 | | | $ | 2,704 | | | $ | 1,774 | | | $ | 2,346 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.38 | %) | | | (0.62 | %) | | | (0.65 | %) | | | (0.81 | %) | | | (0.46 | %) |
| Total expenses | | | 1.51 | % | | | 1.52 | % | | | 1.53 | % | | | 1.52 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 421 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % |
| | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | |
| | | | March 28, | | | | March 31, | | | | March 31, | | | | March 31, | | | | March 31, | |
| C-Class | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.48 | | | $ | 31.42 | | | $ | 25.32 | | | $ | 15.23 | | | $ | 24.35 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.38 | ) | | | (.41 | ) | | | (.41 | ) | | | (.30 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.17 | | | | 1.70 | | | | 6.51 | | | | 10.39 | | | | (8.89 | ) |
| Total from investment operations | | | 3.79 | | | | 1.29 | | | | 6.10 | | | | 10.09 | | | | (9.12 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 36.27 | | | $ | 32.48 | | | $ | 31.42 | | | $ | 25.32 | | | $ | 15.23 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 11.70 | % | | | 4.15 | % | | | 24.09 | % | | | 66.25 | % | | | (37.45 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,692 | | | $ | 11,623 | | | $ | 8,384 | | | $ | 6,494 | | | $ | 2,111 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.19 | %) | | | (1.35 | %) | | | (1.53 | %) | | | (1.40 | %) | | | (1.13 | %) |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 421 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % |
| 150 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P 500® PURE growth FUND |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.52 | | | $ | 33.13 | | | $ | 26.50 | | | $ | 15.81 | | | $ | 25.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.15 | ) | | | (.19 | ) | | | (.26 | ) | | | (.14 | ) | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.47 | | | | 1.81 | | | | 6.89 | | | | 10.83 | | | | (9.20 | ) |
| Total from investment operations | | | 4.32 | | | | 1.62 | | | | 6.63 | | | | 10.69 | | | | (9.29 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (.23 | ) | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 38.84 | | | $ | 34.52 | | | $ | 33.13 | | | $ | 26.50 | | | $ | 15.81 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.51 | % | | | 4.96 | % | | | 25.02 | % | | | 67.62 | % | | | (37.01 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 52,483 | | | $ | 36,627 | | | $ | 38,831 | | | $ | 15,874 | | | $ | 12,512 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.43 | %) | | | (0.59 | %) | | | (0.89 | %) | | | (0.60 | %) | | | (0.41 | %) |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.55 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 421 | % | | | 586 | % | | | 808 | % | | | 699 | % | | | 573 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 151 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P 500® Pure Value Fund H-Class returned 19.64%, compared with a gain of 22.82% for the S&P 500 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
The large-cap value stocks that comprise the index outperformed their large-cap growth stock counterparts.
The Financials sector was the leading contributor to performance, followed by the Energy sector. The Information Technology sector contributed least to performance. The only sector detracting from performance was the Materials sector.
The strongest contributors to performance of the underlying index for the year included Valero Energy Corp., Tenet Healthcare Corp. and Sprint Nextel Corp. The stocks detracting most from performance of the underlying index were Cliffs Natural Resources, Inc., JC Penney Company, Inc. and U.S. Steel Corp.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| A-Class | | | September 1, 2004 | |
| C-Class | | | February 20, 2004 | |
| H-Class | | | February 20, 2004 | |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Genworth Financial, Inc. — Class A | | | 2.8 | % |
| Assurant, Inc. | | | 2.2 | % |
| WellPoint, Inc. | | | 2.1 | % |
| Valero Energy Corp. | | | 1.9 | % |
| Xerox Corp. | | | 1.9 | % |
| Safeway, Inc. | | | 1.9 | % |
| Hess Corp. | | | 1.8 | % |
| Archer-Daniels-Midland Co. | | | 1.8 | % |
| Tyson Foods, Inc. — Class A | | | 1.7 | % |
| Hartford Financial Services Group, Inc. | | | 1.7 | % |
| Top Ten Total | | | 19.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
152 | the RYDEX FUNDS ANNUAL REPORT
performance report and FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 19.63 | % | | | 6.65 | % | | | 5.15 | % |
| A-Class Shares with sales charge† | | | 13.95 | % | | | 5.61 | % | | | 4.55 | % |
| S&P 500 Pure Value Index | | | 22.82 | % | | | 9.93 | % | | | 9.28 | % |
| | | | | | | | | | | | | |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 18.76 | % | | | 5.92 | % | | | 3.95 | % |
| C-Class Shares with CDSC‡ | | | 17.76 | % | | | 5.92 | % | | | 3.95 | % |
| H-Class Shares | | | 19.64 | % | | | 6.71 | % | | | 4.73 | % |
| S&P 500 Pure Value Index | | | 22.82 | % | | | 9.93 | % | | | 9.37 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
the RYDEX FUNDS ANNUAL REPORT | 153
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.3% | | | | | | | | |
| | | | | | | | | |
| Financials - 32.7% | | | | | | | | |
| Genworth Financial, Inc. — Class A* | | | 229,719 | | | $ | 2,297,189 | |
| Assurant, Inc. | | | 40,445 | | | | 1,820,429 | |
| Hartford Financial Services Group, Inc. | | | 54,247 | | | | 1,399,573 | |
| Unum Group | | | 44,557 | | | | 1,258,734 | |
| MetLife, Inc. | | | 31,696 | | | | 1,205,082 | |
| Lincoln National Corp. | | | 36,560 | | | | 1,192,222 | |
| American International Group, Inc.* | | | 26,972 | | | | 1,047,053 | |
| Allstate Corp. | | | 19,903 | | | | 976,640 | |
| Principal Financial Group, Inc. | | | 27,030 | | | | 919,831 | |
| Leucadia National Corp. | | | 32,490 | | | | 891,201 | |
| NASDAQ OMX Group, Inc. | | | 27,552 | | | | 889,930 | |
| Legg Mason, Inc. | | | 25,568 | | | | 822,011 | |
| Citigroup, Inc. | | | 17,728 | | | | 784,287 | |
| SunTrust Banks, Inc. | | | 27,130 | | | | 781,615 | |
| NYSE Euronext | | | 20,169 | | | | 779,330 | |
| XL Group plc — Class A | | | 23,800 | | | | 721,140 | |
| E*TRADE Financial Corp.* | | | 65,362 | | | | 700,027 | |
| Goldman Sachs Group, Inc. | | | 4,700 | | | | 691,605 | |
| JPMorgan Chase & Co. | | | 14,569 | | | | 691,445 | |
| Loews Corp. | | | 14,040 | | | | 618,743 | |
| PNC Financial Services Group, Inc. | | | 9,183 | | | | 610,670 | |
| Travelers Companies, Inc. | | | 7,000 | | | | 589,330 | |
| Morgan Stanley | | | 25,946 | | | | 570,293 | |
| Capital One Financial Corp. | | | 9,657 | | | | 530,652 | |
| ACE Ltd. | | | 5,880 | | | | 523,144 | |
| Fifth Third Bancorp | | | 30,095 | | | | 490,849 | |
| CME Group, Inc. — Class A | | | 7,790 | | | | 478,228 | |
| State Street Corp. | | | 7,900 | | | | 466,811 | |
| People’s United Financial, Inc. | | | 34,400 | | | | 462,336 | |
| Torchmark Corp. | | | 7,452 | | | | 445,630 | |
| BB&T Corp. | | | 11,946 | | | | 374,985 | |
| Chubb Corp. | | | 3,700 | | | | 323,861 | |
| Berkshire Hathaway, Inc. — Class B* | | | 3,000 | | | | 312,600 | |
| Aflac, Inc. | | | 5,900 | | | | 306,918 | |
| Wells Fargo & Co. | | | 7,920 | | | | 292,961 | |
| Total Financials | | | | | | | 27,267,355 | |
| Energy - 13.4% | | | | | | | | |
| Valero Energy Corp. | | | 35,391 | | | | 1,609,937 | |
| Hess Corp. | | | 20,705 | | | | 1,482,684 | |
| Phillips 66 | | | 19,293 | | | | 1,349,931 | |
| ConocoPhillips | | | 17,006 | | | | 1,022,061 | |
| Nabors Industries Ltd. | | | 61,548 | | | | 998,309 | |
| Murphy Oil Corp. | | | 14,100 | | | | 898,593 | |
| Newfield Exploration Co.* | | | 26,100 | | | | 585,162 | |
| Baker Hughes, Inc. | | | 10,600 | | | | 491,946 | |
| Peabody Energy Corp. | | | 20,700 | | | | 437,805 | |
| Chevron Corp. | | | 3,200 | | | | 380,224 | |
| Apache Corp. | | | 4,800 | | | | 370,368 | |
| Rowan Companies plc — Class A* | | | 9,900 | | | | 350,064 | |
| Marathon Oil Corp. | | | 10,146 | | | | 342,123 | |
| WPX Energy, Inc.* | | | 19,200 | | | | 307,584 | |
| Devon Energy Corp. | | | 4,800 | | | | 270,816 | |
| Ensco plc — Class A | | | 4,100 | | | | 246,000 | |
| Total Energy | | | | | | | 11,143,607 | |
| Health Care - 10.9% | | | | | | | | |
| WellPoint, Inc. | | | 25,800 | | | | 1,708,734 | |
| Humana, Inc. | | | 17,500 | | | | 1,209,425 | |
| Tenet Healthcare Corp.* | | | 19,662 | | | | 935,518 | |
| Aetna, Inc. | | | 17,400 | | | | 889,488 | |
| Cardinal Health, Inc. | | | 19,650 | | | | 817,832 | |
| McKesson Corp. | | | 7,403 | | | | 799,228 | |
| AmerisourceBergen Corp. — Class A | | | 14,790 | | | | 760,946 | |
| Coventry Health Care, Inc. | | | 16,154 | | | | 759,723 | |
| Cigna Corp. | | | 10,260 | | | | 639,916 | |
| UnitedHealth Group, Inc. | | | 9,000 | | | | 514,890 | |
| Total Health Care | | | | | | | 9,035,700 | |
| Consumer Staples - 10.0% | | | | | | | | |
| Safeway, Inc. | | | 59,508 | | | | 1,568,036 | |
| Archer-Daniels-Midland Co. | | | 43,490 | | | | 1,466,918 | |
| Tyson Foods, Inc. — Class A | | | 58,183 | | | | 1,444,102 | |
| Kroger Co. | | | 23,000 | | | | 762,220 | |
| Walgreen Co. | | | 15,904 | | | | 758,303 | |
| CVS Caremark Corp. | | | 10,373 | | | | 570,411 | |
| Dean Foods Co.* | | | 28,073 | | | | 508,963 | |
| Molson Coors Brewing Co. — Class B | | | 9,848 | | | | 481,863 | |
| Mondelez International, Inc. — Class A | | | 15,000 | | | | 459,150 | |
| Sysco Corp. | | | 9,172 | | | | 322,579 | |
| Total Consumer Staples | | | | | | | 8,342,545 | |
| Consumer Discretionary - 8.5% | | | | | | | | |
| Staples, Inc. | | | 64,890 | | | | 871,473 | |
| Ford Motor Co. | | | 66,060 | | | | 868,689 | |
| Johnson Controls, Inc. | | | 19,130 | | | | 670,889 | |
| Washington Post Co. — Class B | | | 1,468 | | | | 656,196 | |
| Goodyear Tire & Rubber Co.* | | | 47,342 | | | | 596,983 | |
| Whirlpool Corp. | | | 5,038 | | | | 596,801 | |
| Best Buy Company, Inc. | | | 23,420 | | | | 518,753 | |
| Kohl’s Corp. | | | 11,100 | | | | 512,043 | |
| Harman International Industries, Inc. | | | 10,500 | | | | 468,615 | |
| JC Penney Company, Inc.1 | | | 28,961 | | | | 437,601 | |
| Apollo Group, Inc. — Class A* | | | 19,200 | | | | 333,888 | |
| Target Corp. | | | 4,200 | | | | 287,490 | |
| Macy’s, Inc. | | | 6,600 | | | | 276,144 | |
| Total Consumer Discretionary | | | | | | | 7,095,565 | |
| Information Technology - 7.6% | | | | | | | | |
| Xerox Corp. | | | 186,026 | | | | 1,599,823 | |
| Dell, Inc. | | | 95,664 | | | | 1,370,865 | |
| Western Digital Corp. | | | 20,590 | | | | 1,035,265 | |
| Jabil Circuit, Inc. | | | 50,572 | | | | 934,571 | |
| SAIC, Inc. | | | 60,590 | | | | 820,995 | |
| Corning, Inc. | | | 44,610 | | | | 594,651 | |
| Total Information Technology | | | | | | | 6,356,170 | |
| 154 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| | | Shares | | | Value | |
| | | | | | | |
| Industrials - 7.0% | | | | | | | | |
| Ryder System, Inc. | | | 14,253 | | | $ | 851,617 | |
| Jacobs Engineering Group, Inc.* | | | 13,915 | | | | 782,580 | |
| L-3 Communications Holdings, Inc. | | | 9,518 | | | | 770,196 | |
| Fluor Corp. | | | 11,000 | | | | 729,630 | |
| Northrop Grumman Corp. | | | 7,127 | | | | 499,959 | |
| Pitney Bowes, Inc.1 | | | 28,700 | | | | 426,482 | |
| Textron, Inc. | | | 14,260 | | | | 425,091 | |
| General Dynamics Corp. | | | 5,700 | | | | 401,907 | |
| FedEx Corp. | | | 3,300 | | | | 324,060 | |
| Avery Dennison Corp. | | | 7,130 | | | | 307,089 | |
| Raytheon Co. | | | 4,600 | | | | 270,434 | |
| Total Industrials | | | | | | | 5,789,045 | |
| Materials - 4.5% | | | | | | | | |
| Alcoa, Inc. | | | 115,931 | | | | 987,732 | |
| United States Steel Corp.1 | | | 42,361 | | | | 826,039 | |
| Allegheny Technologies, Inc. | | | 24,300 | | | | 770,553 | |
| Cliffs Natural Resources, Inc.1 | | | 32,200 | | | | 612,122 | |
| LyondellBasell Industries N.V. — Class A | | | 4,700 | | | | 297,463 | |
| Dow Chemical Co. | | | 8,259 | | | | 262,967 | |
| Total Materials | | | | | | | 3,756,876 | |
| Utilities - 4.4% | | | | | | | | |
| NRG Energy, Inc. | | | 34,280 | | | | 908,077 | |
| Pepco Holdings, Inc. | | | 24,862 | | | | 532,047 | |
| Ameren Corp. | | | 13,800 | | | | 483,276 | |
| Exelon Corp. | | | 10,700 | | | | 368,936 | |
| Entergy Corp. | | | 4,800 | | | | 303,552 | |
| Integrys Energy Group, Inc. | | | 4,897 | | | | 284,810 | |
| Public Service Enterprise Group, Inc. | | | 7,700 | | | | 264,418 | |
| PPL Corp. | | | 8,200 | | | | 256,742 | |
| FirstEnergy Corp. | | | 5,700 | | | | 240,540 | |
| Total Utilities | | | | | | | 3,642,398 | |
| Telecommunication Services - 0.3% | | | | | | | | |
| Frontier Communications Corp.1 | | | 66,491 | | | | 264,634 | |
| Total Common Stocks | | | | | | | | |
| (Cost $67,764,328) | | | | | | | 82,693,895 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 122,107 | | | | 122,107 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 100,178 | | | | 100,178 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 10,155 | | | | 10,155 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $232,440) | | | | | | | 232,440 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.4% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 629,669 | | | | 629,669 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 495,335 | | | | 495,335 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,125,004) | | | | | | | 1,125,004 | |
| Total Investments - 101.0% | | | | | | | | |
| (Cost $69,121,772) | | | | | | $ | 84,051,339 | |
| Other Assets & Liabilities, net - (1.0)% | | | | | | | (837,276 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 83,214,063 | |
| * | 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 March 28, 2013 — 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 ANNUAL REPORT | 155 |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $1,101,426 of securities loaned | | | | |
| (cost $67,764,328) | | $ | 82,693,895 | |
| Repurchase agreements, at value | | | | |
| (cost $1,357,444) | | | 1,357,444 | |
| Total investments | | | | |
| (cost $69,121,772) | | | 84,051,339 | |
| Cash | | | 25,879 | |
| Receivables: | | | | |
| Fund shares sold | | | 403,506 | |
| Dividends | | | 106,759 | |
| Interest | | | 1,964 | |
| Total assets | | | 84,589,447 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 1,125,004 | |
| Fund shares redeemed | | | 90,455 | |
| Management fees | | | 56,774 | |
| Distribution and service fees | | | 21,071 | |
| Transfer agent and administrative fees | | | 18,925 | |
| Portfolio accounting fees | | | 7,570 | |
| Miscellaneous | | | 55,585 | |
| Total liabilities | | | 1,375,384 | |
| Net assets | | $ | 83,214,063 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 73,177,728 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (4,893,232 | ) |
| Net unrealized appreciation on investments | | | 14,929,567 | |
| Net assets | | $ | 83,214,063 | |
| A-Class: | | | | |
| Net assets | | $ | 1,303,369 | |
| Capital shares outstanding | | | 11,670 | |
| Net asset value per share | | $ | 111.68 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 117.25 | |
| C-Class: | | | | |
| Net assets | | $ | 3,430,457 | |
| Capital shares outstanding | | | 33,482 | |
| Net asset value per share | | $ | 102.46 | |
| H-Class: | | | | |
| Net assets | | $ | 78,480,237 | |
| Capital shares outstanding | | | 700,339 | |
| Net asset value per share | | $ | 112.06 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $318) | | $ | 1,056,650 | |
| Income from securities lending, net | | | 16,083 | |
| Interest | | | 312 | |
| Total investment income | | | 1,073,045 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 383,137 | |
| Transfer agent and administrative fees | | | 127,712 | |
| Distribution and service fees: | | | | |
| A-Class | | | 3,204 | |
| C-Class | | | 23,357 | |
| H-Class | | | 118,669 | |
| Portfolio accounting fees | | | 51,085 | |
| Custodian fees | | | 7,682 | |
| Trustees’ fees* | | | 3,407 | |
| Miscellaneous | | | 75,052 | |
| Total expenses | | | 793,305 | |
| Net investment income | | | 279,740 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,028,313 | |
| Securities sold short | | | (35 | ) |
| Net realized gain | | | 1,028,278 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 11,830,369 | |
| Net change in unrealized appreciation (depreciation) | | | 11,830,369 | |
| Net realized and unrealized gain | | | 12,858,647 | |
| Net increase in net assets resulting from operations | | $ | 13,138,387 | |
| * | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 156 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 279,740 | | | $ | 81,734 | |
| Net realized gain on investments | | | 1,028,278 | | | | 238,143 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 11,830,369 | | | | (2,958,416 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 13,138,387 | | | | (2,638,539 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (1,693 | ) | | | — | |
| C-Class | | | (4,761 | ) | | | — | |
| H-Class | | | (75,280 | ) | | | — | |
| Total distributions to shareholders | | | (81,734 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 2,083,800 | | | | 9,200,693 | |
| C-Class | | | 6,944,252 | | | | 4,609,920 | |
| H-Class | | | 361,945,129 | | | | 315,392,630 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 1,115 | | | | — | |
| C-Class | | | 4,685 | | | | — | |
| H-Class | | | 74,022 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (2,824,534 | ) | | | (9,753,404 | ) |
| C-Class | | | (6,186,034 | ) | | | (7,654,634 | ) |
| H-Class | | | (364,745,391 | ) | | | (271,168,176 | ) |
| Net increase (decrease) from capital share transactions | | | (2,702,956 | ) | | | 40,627,029 | |
| Net increase in net assets | | | 10,353,697 | | | | 37,988,490 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 72,860,366 | | | | 34,871,876 | |
| End of year | | $ | 83,214,063 | | | $ | 72,860,366 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 81,734 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 20,237 | | | | 99,586 | |
| C-Class | | | 77,396 | | | | 56,030 | |
| H-Class | | | 3,748,552 | | | | 3,557,929 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 12 | | | | — | |
| C-Class | | | 54 | | | | — | |
| H-Class | | | 781 | | | | — | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (28,327 | ) | | | (105,660 | ) |
| C-Class | | | (68,596 | ) | | | (99,149 | ) |
| H-Class | | | (3,783,354 | ) | | | (3,120,293 | ) |
| Net increase (decrease) in shares | | | (33,245 | ) | | | 388,443 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 157 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | c | | 2009 | c |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 93.49 | | | $ | 90.21 | | | $ | 79.66 | | | $ | 35.58 | | | $ | 100.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .58 | | | | .30 | | | | .01 | | | | .26 | | | | 1.95 | |
| Net gain (loss) on investments (realized and unrealized) | | | 17.75 | | | | 2.98 | | | | 11.87 | | | | 44.60 | | | | (57.52 | ) |
| Total from investment operations | | | 18.33 | | | | 3.28 | | | | 11.88 | | | | 44.86 | | | | (55.57 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) |
| Total distributions | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) |
| Net asset value, end of period | | $ | 111.68 | | | $ | 93.49 | | | $ | 90.21 | | | $ | 79.66 | | | $ | 35.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 19.63 | % | | | 3.64 | % | | | 15.14 | % | | | 126.37 | % | | | (57.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,303 | | | $ | 1,846 | | | $ | 2,329 | | | $ | 8,156 | | | $ | 203 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.61 | % | | | 0.34 | % | | | 0.01 | % | | | 0.39 | % | | | 2.16 | % |
| Total expenses | | | 1.51 | % | | | 1.51 | % | | | 1.54 | % | | | 1.52 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 669 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | c | | | 2009 | c |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 86.42 | | | $ | 83.99 | | | $ | 74.81 | | | $ | 33.66 | | | $ | 96.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.19 | ) | | | (.36 | ) | | | (.51 | ) | | | (.02 | ) | | | 1.40 | |
| Net gain (loss) on investments (realized and unrealized) | | | 16.37 | | | | 2.79 | | | | 11.02 | | | | 41.95 | | | | (54.89 | ) |
| Total from investment operations | | | 16.18 | | | | 2.43 | | | | 10.51 | | | | 41.93 | | | | (53.49 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) |
| Total distributions | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) |
| Net asset value, end of period | | $ | 102.46 | | | $ | 86.42 | | | $ | 83.99 | | | $ | 74.81 | | | $ | 33.66 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.76 | % | | | 2.88 | % | | | 14.28 | % | | | 124.86 | % | | | (57.55 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,430 | | | $ | 2,128 | | | $ | 5,690 | | | $ | 4,876 | | | $ | 1,129 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.22 | %) | | | (0.45 | %) | | | (0.68 | %) | | | (0.03 | %) | | | 2.44 | % |
| Total expenses | | | 2.26 | % | | | 2.27 | % | | | 2.29 | % | | | 2.27 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 669 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % |
| 158 | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | c | | 2009 | c |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 93.80 | | | $ | 90.50 | | | $ | 79.91 | | | $ | 35.67 | | | $ | 100.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .57 | | | | .33 | | | | (.02 | ) | | | .32 | | | | 1.40 | |
| Net gain (loss) on investments (realized and unrealized) | | | 17.83 | | | | 2.97 | | | | 11.94 | | | | 44.70 | | | | (56.88 | ) |
| Total from investment operations | | | 18.40 | | | | 3.30 | | | | 11.92 | | | | 45.02 | | | | (55.48 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (1.05 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (7.80 | ) |
| Total distributions | | | (.14 | ) | | | — | | | | (1.33 | ) | | | (.78 | ) | | | (8.85 | ) |
| Net asset value, end of period | | $ | 112.06 | | | $ | 93.80 | | | $ | 90.50 | | | $ | 79.91 | | | $ | 35.67 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 19.64 | % | | | 3.65 | % | | | 15.14 | % | | | 126.50 | % | | | (57.23 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 78,480 | | | $ | 68,886 | | | $ | 26,852 | | | $ | 148,578 | | | $ | 4,558 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.58 | % | | | 0.38 | % | | | (0.03 | %) | | | 0.47 | % | | | 2.36 | % |
| Total expenses | | | 1.52 | % | | | 1.51 | % | | | 1.54 | % | | | 1.54 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 669 | % | | | 762 | % | | | 820 | % | | | 673 | % | | | 1,448 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Reverse share split — Per share amounts for the period March 31, 2008 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 ANNUAL REPORT | 159 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P MidCap 400® Pure Growth Fund H-Class returned 12.82%, compared with a gain of 13.73% for the S&P MidCap 400 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Mid-cap growth stocks underperformed their mid-cap value stock counterparts, with the Health Care and Industrials sectors contributing most to return. The Energy sector was the largest detractor from performance, followed by the Telecommunications Services sector.
Regeneron Pharmaceuticals, Inc., Catalyst Health Solutions, Inc. and Alaska Air Group, Inc. added the most to performance of the underlying index for the period. ITT Educational Services, Inc., Rovi Corp. and Informatica Corp. detracted the most from performance of the underlying index for the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| Semtech Corp. | | | 2.6 | % |
| Chico’s FAS, Inc. | | | 2.4 | % |
| HollyFrontier Corp. | | | 2.3 | % |
| Worthington Industries, Inc. | | | 2.3 | % |
| Terex Corp. | | | 2.2 | % |
| First American Financial Corp. | | | 2.0 | % |
| Alaska Air Group, Inc. | | | 2.0 | % |
| ValueClick, Inc. | | | 1.8 | % |
| Williams-Sonoma, Inc. | | | 1.8 | % |
| City National Corp. | | | 1.8 | % |
| Top Ten Total | | | 21.2 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 160 | THE RYDEX FUNDS ANNUAL REPORT | |
| performance report and FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 12.81 | % | | | 13.30 | % | | | 10.64 | % |
| A-Class Shares with sales charge† | | | 7.45 | % | | | 12.20 | % | | | 10.02 | % |
| S&P MidCap 400 Pure Growth Index | | | 13.73 | % | | | 15.19 | % | | | 12.64 | % |
| | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 12.00 | % | | | 12.46 | % | | | 8.65 | % |
| C-Class Shares with CDSC‡ | | | 11.00 | % | | | 12.46 | % | | | 8.65 | % |
| H-Class Shares | | | 12.82 | % | | | 13.29 | % | | | 9.46 | % |
| S&P MidCap 400 Pure Growth Index | | | 13.73 | % | | | 15.19 | % | | | 11.63 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 161 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P MIDcap 400® PURE growth FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.6% | | | | | | | | |
| | | | | | | | | |
| Consumer Discretionary - 25.9% | | | | | | | | |
| Chico’s FAS, Inc. | | | 438,500 | | | $ | 7,366,799 | |
| Williams-Sonoma, Inc. | | | 106,900 | | | | 5,507,488 | |
| Thor Industries, Inc. | | | 143,900 | | | | 5,294,081 | |
| LKQ Corp.* | | | 213,470 | | | | 4,645,107 | |
| Ascena Retail Group, Inc.* | | | 242,700 | | | | 4,502,085 | |
| Jarden Corp.* | | | 103,500 | | | | 4,434,975 | |
| Polaris Industries, Inc. | | | 43,133 | | | | 3,989,371 | |
| Cinemark Holdings, Inc. | | | 118,000 | | | | 3,473,920 | |
| Under Armour, Inc. — Class A* | | | 67,220 | | | | 3,441,664 | |
| Foot Locker, Inc. | | | 95,500 | | | | 3,269,920 | |
| Bob Evans Farms, Inc. | | | 74,796 | | | | 3,187,806 | |
| Gentex Corp. | | | 158,466 | | | | 3,170,905 | |
| Cabela’s, Inc.* | | | 41,300 | | | | 2,510,214 | |
| AMC Networks, Inc. — Class A* | | | 37,800 | | | | 2,388,204 | |
| MDC Holdings, Inc. | | | 64,000 | | | | 2,345,600 | |
| ANN, Inc.* | | | 79,100 | | | | 2,295,482 | |
| Service Corporation International | | | 136,400 | | | | 2,281,972 | |
| Dick’s Sporting Goods, Inc. | | | 47,900 | | | | 2,265,670 | |
| Lamar Advertising Co. — Class A* | | | 45,700 | | | | 2,221,477 | |
| Hanesbrands, Inc.* | | | 46,000 | | | | 2,095,760 | |
| Toll Brothers, Inc.* | | | 55,000 | | | | 1,883,200 | |
| American Eagle Outfitters, Inc. | | | 93,500 | | | | 1,748,450 | |
| HSN, Inc. | | | 30,494 | | | | 1,672,901 | |
| Tractor Supply Co. | | | 15,904 | | | | 1,656,084 | |
| Carter’s, Inc.* | | | 26,800 | | | | 1,534,836 | |
| Total Consumer Discretionary | | | | | | | 79,183,971 | |
| Information Technology - 23.4% | | | | | | | | |
| Semtech Corp.* | | | 229,040 | | | | 8,105,726 | |
| ValueClick, Inc.* | | | 186,800 | | | | 5,519,940 | |
| Equinix, Inc.* | | | 21,400 | | | | 4,629,034 | |
| CoreLogic, Inc.* | | | 176,300 | | | | 4,559,118 | |
| Alliance Data Systems Corp.* | | | 26,519 | | | | 4,293,161 | |
| WEX, Inc.* | | | 45,469 | | | | 3,569,317 | |
| Rackspace Hosting, Inc.* | | | 69,675 | | | | 3,517,194 | |
| NeuStar, Inc. — Class A* | | | 75,076 | | | | 3,493,286 | |
| Ciena Corp.* | | | 214,900 | | | | 3,440,549 | |
| CommVault Systems, Inc.* | | | 41,200 | | | | 3,377,576 | |
| Skyworks Solutions, Inc.* | | | 152,200 | | | | 3,352,966 | |
| Mentor Graphics Corp. | | | 171,000 | | | | 3,086,550 | |
| Cree, Inc.* | | | 51,000 | | | | 2,790,210 | |
| SolarWinds, Inc.* | | | 46,560 | | | | 2,751,696 | |
| InterDigital, Inc.1 | | | 56,800 | | | | 2,716,744 | |
| Trimble Navigation Ltd.* | | | 85,294 | | | | 2,555,408 | |
| Itron, Inc.* | | | 49,900 | | | | 2,315,360 | |
| ACI Worldwide, Inc.* | | | 45,779 | | | | 2,236,762 | |
| Concur Technologies, Inc.* | | | 32,170 | | | | 2,208,792 | |
| Atmel Corp.* | | | 227,100 | | | | 1,580,616 | |
| Cadence Design Systems, Inc.* | | | 104,700 | | | | 1,458,471 | |
| Total Information Technology | | | | | | | 71,558,476 | |
| Industrials - 15.5% | | | | | | | | |
| Terex Corp.* | | | 194,800 | | | | 6,705,016 | |
| Alaska Air Group, Inc.* | | | 93,865 | | | | 6,003,605 | |
| Valmont Industries, Inc. | | | 24,993 | | | | 3,930,649 | |
| Timken Co. | | | 59,100 | | | | 3,343,878 | |
| Nordson Corp. | | | 49,500 | | | | 3,264,525 | |
| Copart, Inc.* | | | 91,774 | | | | 3,146,013 | |
| Lennox International, Inc. | | | 48,300 | | | | 3,066,567 | |
| J.B. Hunt Transport Services, Inc. | | | 40,900 | | | | 3,046,232 | |
| Fortune Brands Home & Security, Inc.* | | | 80,700 | | | | 3,020,601 | |
| Lincoln Electric Holdings, Inc. | | | 52,900 | | | | 2,866,122 | |
| AMETEK, Inc. | | | 48,305 | | | | 2,094,505 | |
| Wabtec Corp. | | | 19,480 | | | | 1,989,103 | |
| Graco, Inc. | | | 31,500 | | | | 1,827,945 | |
| B/E Aerospace, Inc.* | | | 27,900 | | | | 1,682,091 | |
| Clean Harbors, Inc.* | | | 28,693 | | | | 1,666,776 | |
| Total Industrials | | | | | | | 47,653,628 | |
| Financials - 15.2% | | | | | | | | |
| First American Financial Corp. | | | 238,700 | | | | 6,103,559 | |
| City National Corp. | | | 92,208 | | | | 5,431,972 | |
| Cathay General Bancorp | | | 246,307 | | | | 4,955,697 | |
| SVB Financial Group* | | | 67,700 | | | | 4,802,638 | |
| Washington Federal, Inc. | | | 249,697 | | | | 4,369,698 | |
| Synovus Financial Corp. | | | 1,538,800 | | | | 4,262,476 | |
| Affiliated Managers Group, Inc.* | | | 21,100 | | | | 3,240,327 | |
| Corrections Corporation of America | | | 70,000 | | | | 2,734,900 | |
| Signature Bank* | | | 32,501 | | | | 2,559,779 | |
| Jones Lang LaSalle, Inc. | | | 24,700 | | | | 2,455,427 | |
| Waddell & Reed Financial, Inc. — Class A | | | 48,900 | | | | 2,140,842 | |
| Eaton Vance Corp. | | | 48,900 | | | | 2,045,487 | |
| Extra Space Storage, Inc. | | | 41,700 | | | | 1,637,559 | |
| Total Financials | | | | | | | 46,740,361 | |
| Health Care - 7.9% | | | | | | | | |
| Vertex Pharmaceuticals, Inc.* | | | 92,200 | | | | 5,069,156 | |
| Regeneron Pharmaceuticals, Inc.* | | | 27,687 | | | | 4,883,987 | |
| United Therapeutics Corp.* | | | 79,452 | | | | 4,836,243 | |
| ResMed, Inc. | | | 80,238 | | | | 3,719,833 | |
| Cooper Companies, Inc. | | | 20,969 | | | | 2,262,136 | |
| Thoratec Corp.* | | | 48,765 | | | | 1,828,688 | |
| Charles River Laboratories International, Inc.* | | | 37,300 | | | | 1,651,271 | |
| Total Health Care | | | | | | | 24,251,314 | |
| 162 | THE RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| Materials - 6.1% | | | | | | | | |
| Worthington Industries, Inc. | | | 223,449 | | | $ | 6,922,450 | |
| Valspar Corp. | | | 57,300 | | | | 3,566,925 | |
| Louisiana-Pacific Corp.* | | | 132,700 | | | | 2,866,320 | |
| NewMarket Corp. | | | 9,247 | | | | 2,407,549 | |
| Packaging Corporation of America | | | 37,900 | | | | 1,700,573 | |
| Royal Gold, Inc. | | | 19,221 | | | | 1,365,268 | |
| Total Materials | | | | | | | 18,829,085 | |
| Energy - 3.4% | | | | | | | | |
| HollyFrontier Corp. | | | 136,600 | | | | 7,028,070 | |
| Northern Oil and Gas, Inc.*,1 | | | 235,266 | | | | 3,383,125 | |
| Total Energy | | | | | | | 10,411,195 | |
| Consumer Staples - 1.5% | | | | | | | | |
| Ingredion, Inc. | | | 63,354 | | | | 4,581,761 | |
| Telecommunication Services - 0.7% | | | | | | | | |
| tw telecom, Inc. — Class A* | | | 82,400 | | | | 2,075,656 | |
| Total Common Stocks | | | | | | | | |
| (Cost $250,211,695) | | | | | | | 305,285,447 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 693,473 | | | | 693,473 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 568,930 | | | | 568,930 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 57,670 | | | | 57,670 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,320,073) | | | | | | | 1,320,073 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 0.1% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 168,751 | | | | 168,751 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 132,749 | | | | 132,749 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $301,500) | | | | | | | 301,500 | |
| Total Investments - 100.1% | | | | | | | | |
| (Cost $251,833,268) | | | | | | $ | 306,907,020 | |
| Other Assets & Liabilities, net - (0.1)% | | | | | | | (275,054 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 306,631,966 | |
| * | 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 March 28, 2013 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 163 |
| S&P MIDcap 400® PURE growth FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 |
| |
| Assets: | | | | |
| Investments, at value - including $295,389 of securities loaned | | | | |
| (cost $250,211,695) | | $ | 305,285,447 | |
| Repurchase agreements, at value | | | | |
| (cost $1,621,573) | | | 1,621,573 | |
| Total investments | | | | |
| (cost $251,833,268) | | | 306,907,020 | |
| Cash | | | 15,800 | |
| Receivables: | | | | |
| Fund shares sold | | | 693,387 | |
| Dividends | | | 153,419 | |
| Interest | | | 142 | |
| Total assets | | | 307,769,768 | |
| | | | | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 324,509 | |
| Upon return of securities loaned | | | 301,500 | |
| Management fees | | | 187,324 | |
| Distribution and service fees | | | 74,103 | |
| Transfer agent and administrative fees | | | 62,441 | |
| Portfolio accounting fees | | | 24,041 | |
| Miscellaneous | | | 163,884 | |
| Total liabilities | | | 1,137,802 | |
| Net assets | | $ | 306,631,966 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 251,609,131 | |
| Accumulated net investment loss | | | (669,216 | ) |
| Accumulated net realized gain on investments | | | 618,299 | |
| Net unrealized appreciation on investments | | | 55,073,752 | |
| Net assets | | $ | 306,631,966 | |
| A-Class: | | | | |
| Net assets | | $ | 45,637,879 | |
| Capital shares outstanding | | | 917,163 | |
| Net asset value per share | | $ | 49.76 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 52.24 | |
| C-Class: | | | | |
| Net assets | | $ | 18,837,255 | |
| Capital shares outstanding | | | 406,100 | |
| Net asset value per share | | $ | 46.39 | |
| H-Class: | | | | |
| Net assets | | $ | 242,156,832 | |
| Capital shares outstanding | | | 4,862,637 | |
| Net asset value per share | | $ | 49.80 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends | | $ | 2,896,802 | |
| Income from securities lending, net | | | 76,158 | |
| Interest | | | 1,888 | |
| Total investment income | | | 2,974,848 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 2,117,675 | |
| Transfer agent and administrative fees | | | 705,892 | |
| Distribution and service fees: | | | | |
| A-Class | | | 98,513 | |
| C-Class | | | 156,412 | |
| H-Class | | | 568,276 | |
| Portfolio accounting fees | | | 273,561 | |
| Custodian fees | | | 44,411 | |
| Trustees’ fees* | | | 29,420 | |
| Miscellaneous | | | 372,502 | |
| Total expenses | | | 4,366,662 | |
| Net investment loss | | | (1,391,814 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 43,157,278 | |
| Net realized gain | | | 43,157,278 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (15,645,534 | ) |
| Net change in unrealized appreciation (depreciation) | | | (15,645,534 | ) |
| Net realized and unrealized gain | | | 27,511,744 | |
| Net increase in net assets resulting from operations | | $ | 26,119,930 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 164 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDcap 400® PURE growth FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (1,391,814 | ) | | $ | (3,059,001 | ) |
| Net realized gain (loss) on investments | | | 43,157,278 | | | | (31,284,272 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (15,645,534 | ) | | | 33,096,261 | |
| Net increase (decrease) in net assets resulting from operations | | | 26,119,930 | | | | (1,247,012 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 41,130,201 | | | | 97,480,590 | |
| C-Class | | | 8,791,379 | | | | 17,194,237 | |
| H-Class | | | 400,202,090 | | | | 771,690,633 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (36,479,630 | ) | | | (84,908,346 | ) |
| C-Class | | | (8,135,216 | ) | | | (11,282,635 | ) |
| H-Class | | | (489,786,477 | ) | | | (672,131,177 | ) |
| Net increase (decrease) from capital share transactions | | | (84,277,653 | ) | | | 118,043,302 | |
| Net increase (decrease) in net assets | | | (58,157,723 | ) | | | 116,796,290 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 364,789,689 | | | | 247,993,399 | |
| End of year | | $ | 306,631,966 | | | $ | 364,789,689 | |
| Accumulated net investment loss at end of year | | $ | (669,216 | ) | | $ | (889,323 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 928,330 | | | | 2,352,695 | |
| C-Class | | | 212,846 | | | | 436,239 | |
| H-Class | | | 9,129,844 | | | | 18,455,166 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (828,529 | ) | | | (2,125,511 | ) |
| C-Class | | | (198,463 | ) | | | (294,141 | ) |
| H-Class | | | (11,346,472 | ) | | | (16,343,786 | ) |
| Net increase (decrease) in shares | | | (2,102,444 | ) | | | 2,480,662 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 165 |
S&P MIDcap 400® PURE growth FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.11 | | | $ | 42.76 | | | $ | 32.21 | | | $ | 18.19 | | | $ | 26.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.19 | ) | | | (.45 | ) | | | (.38 | ) | | | (.28 | ) | | | (.24 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.84 | | | | 1.80 | | | | 10.93 | | | | 14.30 | | | | (8.22 | ) |
| Total from investment operations | | | 5.65 | | | | 1.35 | | | | 10.55 | | | | 14.02 | | | | (8.46 | ) |
| Net asset value, end of period | | $ | 49.76 | | | $ | 44.11 | | | $ | 42.76 | | | $ | 32.21 | | | $ | 18.19 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.81 | % | | | 3.16 | % | | | 32.75 | % | | | 77.08 | % | | | (31.74 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 45,638 | | | $ | 36,052 | | | $ | 25,237 | | | $ | 2,242 | | | $ | 723 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.43 | %) | | | (1.09 | %) | | | (1.04 | %) | | | (1.03 | %) | | | (0.93 | %) |
| Total expenses | | | 1.50 | % | | | 1.50 | % | | | 1.54 | % | | | 1.53 | % | | | 1.58 | % |
| Portfolio turnover rate | | | 188 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | |
| | | | March 28, | | | | March 31, | | | | March 31, | | | | March 31, | | | | March 31, | |
| C-Class | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.43 | | | $ | 40.47 | | | $ | 30.71 | | | $ | 17.48 | | | $ | 25.79 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.49 | ) | | | (.71 | ) | | | (.63 | ) | | | (.44 | ) | | | (.42 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.45 | | | | 1.67 | | | | 10.39 | | | | 13.67 | | | | (7.89 | ) |
| Total from investment operations | | | 4.96 | | | | .96 | | | | 9.76 | | | | 13.23 | | | | (8.31 | ) |
| Net asset value, end of period | | $ | 46.39 | | | $ | 41.43 | | | $ | 40.47 | | | $ | 30.71 | | | $ | 17.48 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.00 | % | | | 2.35 | % | | | 31.78 | % | | | 75.69 | % | | | (32.22 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 18,837 | | | $ | 16,228 | | | $ | 10,102 | | | $ | 3,780 | | | $ | 3,477 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.19 | %) | | | (1.83 | %) | | | (1.83 | %) | | | (1.77 | %) | | | (1.72 | %) |
| Total expenses | | | 2.25 | % | | | 2.25 | % | | | 2.29 | % | | | 2.28 | % | | | 2.32 | % |
| Portfolio turnover rate | | | 188 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % |
| 166 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
S&P MIDcap 400® PURE growth FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.14 | | | $ | 42.81 | | | $ | 32.25 | | | $ | 18.21 | | | $ | 26.68 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.20 | ) | | | (.44 | ) | | | (.38 | ) | | | (.26 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.86 | | | | 1.77 | | | | 10.94 | | | | 14.30 | | | | (8.25 | ) |
| Total from investment operations | | | 5.66 | | | | 1.33 | | | | 10.56 | | | | 14.04 | | | | (8.47 | ) |
| Net asset value, end of period | | $ | 49.80 | | | $ | 44.14 | | | $ | 42.81 | | | $ | 32.25 | | | $ | 18.21 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.82 | % | | | 3.11 | % | | | 32.74 | % | | | 77.10 | % | | | (31.75 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 242,157 | | | $ | 312,510 | | | $ | 212,654 | | | $ | 64,449 | | | $ | 15,591 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.45 | %) | | | (1.08 | %) | | | (1.02 | %) | | | (0.99 | %) | | | (0.95 | %) |
| Total expenses | | | 1.50 | % | | | 1.50 | % | | | 1.55 | % | | | 1.54 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 188 | % | | | 226 | % | | | 448 | % | | | 626 | % | | | 1,281 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 167 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P MidCap 400® Pure Value Fund H-Class returned 17.17%, compared with a return of 20.71% for the S&P MidCap 400 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Mid-cap value stocks outperformed their mid-cap growth stock counterparts.
The sectors contributing most to performance were Financials and Industrials. The Information Technology and Telecommunications Services sectors detracted the most from performance.
Community Health Systems, Inc., First American Financial Corp. and Oshkosh Corp. contributed the most to performance of the underlying index for the period. Health Net, Inc., RadioShack Corp. and Monster Worldwide, Inc. detracted the most from performance of the underlying index for the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Community Health Systems, Inc. | | | 2.6 | % |
| JetBlue Airways Corp. | | | 2.5 | % |
| Ingram Micro, Inc. — Class A | | | 2.4 | % |
| Hanover Insurance Group, Inc. | | | 2.3 | % |
| URS Corp. | | | 2.2 | % |
| Avnet, Inc. | | | 1.9 | % |
| Reinsurance Group of America, Inc. — Class A | | | 1.9 | % |
| Manpower, Inc. | | | 1.9 | % |
| General Cable Corp. | | | 1.8 | % |
| ManTech International Corp. — Class A | | | 1.8 | % |
| Top Ten Total | | | 21.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 168 | the RYDEX FUNDS ANNUAL REPORT |
performance report and FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 17.16 | % | | | 5.96 | % | | | 6.27 | % |
| A-Class Shares with sales charge† | | | 11.60 | % | | | 4.93 | % | | | 5.67 | % |
| S&P MidCap 400 Pure Value Index | | | 20.71 | % | | | 9.74 | % | | | 9.34 | % |
| | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 16.26 | % | | | 5.10 | % | | | 4.87 | % |
| C-Class Shares with CDSC‡ | | | 15.26 | % | | | 5.10 | % | | | 4.87 | % |
| H-Class Shares | | | 17.17 | % | | | 5.95 | % | | | 5.69 | % |
| S&P MidCap 400 Pure Value Index | | | 20.71 | % | | | 9.74 | % | | | 8.91 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 169 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P MIDCAP 400® PURE value FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% | | | | | | | | |
| | | | | | | | | |
| Industrials - 23.4% | | | | | | | | |
| JetBlue Airways Corp.* | | | 297,352 | | | $ | 2,051,729 | |
| URS Corp. | | | 39,387 | | | | 1,867,337 | |
| Manpower, Inc. | | | 27,925 | | | | 1,583,906 | |
| General Cable Corp.* | | | 41,824 | | | | 1,532,013 | |
| Oshkosh Corp.* | | | 32,699 | | | | 1,389,381 | |
| AECOM Technology Corp.* | | | 35,504 | | | | 1,164,531 | |
| Con-way, Inc. | | | 32,329 | | | | 1,138,304 | |
| Huntington Ingalls Industries, Inc. | | | 20,608 | | | | 1,099,025 | |
| Alliant Techsystems, Inc. | | | 12,510 | | | | 906,100 | |
| UTI Worldwide, Inc. | | | 61,301 | | | | 887,638 | |
| AGCO Corp. | | | 15,635 | | | | 814,896 | |
| Trinity Industries, Inc. | | | 16,640 | | | | 754,291 | |
| RR Donnelley & Sons Co.1 | | | 60,790 | | | | 732,520 | |
| Exelis, Inc. | | | 65,770 | | | | 716,235 | |
| FTI Consulting, Inc.* | | | 15,860 | | | | 597,288 | |
| Brink’s Co. | | | 19,690 | | | | 556,439 | |
| KBR, Inc. | | | 14,208 | | | | 455,793 | |
| Esterline Technologies Corp.* | | | 5,580 | | | | 422,406 | |
| Granite Construction, Inc. | | | 12,350 | | | | 393,224 | |
| SPX Corp. | | | 4,500 | | | | 355,320 | |
| Total Industrials | | | | | | | 19,418,376 | |
| Financials - 20.8% | | | | | | | | |
| Hanover Insurance Group, Inc. | | | 38,460 | | | | 1,910,692 | |
| Reinsurance Group of America, | | | | | | | | |
| Inc. — Class A | | | 26,773 | | | | 1,597,545 | |
| StanCorp Financial Group, Inc. | | | 33,812 | | | | 1,445,801 | |
| Protective Life Corp. | | | 40,169 | | | | 1,438,050 | |
| Aspen Insurance Holdings Ltd. | | | 29,516 | | | | 1,138,727 | |
| American Financial Group, Inc. | | | 23,987 | | | | 1,136,504 | |
| Old Republic International Corp. | | | 80,694 | | | | 1,025,621 | |
| Kemper Corp. | | | 28,601 | | | | 932,679 | |
| Everest Re Group Ltd. | | | 6,597 | | | | 856,686 | |
| First Niagara Financial Group, Inc. | | | 78,056 | | | | 691,576 | |
| Associated Banc-Corp. | | | 43,856 | | | | 666,172 | |
| Astoria Financial Corp. | | | 63,902 | | | | 630,074 | |
| International Bancshares Corp. | | | 26,217 | | | | 545,314 | |
| BancorpSouth, Inc. | | | 33,417 | | | | 544,697 | |
| HCC Insurance Holdings, Inc. | | | 11,170 | | | | 469,475 | |
| Mercury General Corp. | | | 11,800 | | | | 447,574 | |
| FirstMerit Corp. | | | 26,790 | | | | 442,839 | |
| WR Berkley Corp. | | | 9,488 | | | | 420,983 | |
| Apollo Investment Corp. | | | 45,331 | | | | 378,968 | |
| New York Community Bancorp, Inc. | | | 21,911 | | | | 314,423 | |
| Janus Capital Group, Inc. | | | 31,771 | | | | 298,647 | |
| Total Financials | | | | | | | 17,333,047 | |
| Information Technology - 14.9% | | | | | | | | |
| Ingram Micro, Inc. — Class A* | | | 103,146 | | | | 2,029,913 | |
| Avnet, Inc.* | | | 44,394 | | | | 1,607,063 | |
| ManTech International Corp. — Class A | | | 56,300 | | | | 1,512,781 | |
| Tech Data Corp.* | | | 32,521 | | | | 1,483,283 | |
| Arrow Electronics, Inc.* | | | 35,125 | | | | 1,426,778 | |
| Vishay Intertechnology, Inc.* | | | 85,466 | | | | 1,163,192 | |
| Monster Worldwide, Inc.* | | | 190,346 | | | | 965,054 | |
| Lexmark International, Inc. — Class A | | | 33,240 | | | | 877,536 | |
| Convergys Corp. | | | 22,300 | | | | 379,769 | |
| QLogic Corp.* | | | 29,530 | | | | 342,548 | |
| Intersil Corp. — Class A | | | 38,810 | | | | 338,035 | |
| Diebold, Inc. | | | 9,500 | | | | 288,040 | |
| Total Information Technology | | | | | | | 12,413,992 | |
| Health Care - 11.4% | | | | | | | | |
| Community Health Systems, Inc. | | | 45,498 | | | | 2,156,150 | |
| LifePoint Hospitals, Inc.* | | | 30,480 | | | | 1,477,061 | |
| Health Management Associates, | | | | | | | | |
| Inc. — Class A* | | | 98,327 | | | | 1,265,468 | |
| WellCare Health Plans, Inc.* | | | 20,420 | | | | 1,183,543 | |
| Health Net, Inc.* | | | 39,979 | | | | 1,144,199 | |
| Owens & Minor, Inc.1 | | | 31,755 | | | | 1,033,943 | |
| Universal Health Services, Inc. — Class B | | | 10,110 | | | | 645,726 | |
| Omnicare, Inc. | | | 14,365 | | | | 584,943 | |
| Total Health Care | | | | | | | 9,491,033 | |
| Materials - 8.1% | | | | | | | | |
| Commercial Metals Co. | | | 87,403 | | | | 1,385,338 | |
| Steel Dynamics, Inc. | | | 62,096 | | | | 985,464 | |
| Reliance Steel & Aluminum Co. | | | 12,649 | | | | 900,229 | |
| Domtar Corp. | | | 10,490 | | | | 814,234 | |
| Rock Tenn Co. — Class A | | | 8,020 | | | | 744,176 | |
| Greif, Inc. — Class A | | | 13,457 | | | | 721,564 | |
| Minerals Technologies, Inc. | | | 11,940 | | | | 495,629 | |
| Cabot Corp. | | | 10,851 | | | | 371,104 | |
| Olin Corp. | | | 13,980 | | | | 352,576 | |
| Total Materials | | | | | | | 6,770,314 | |
| Consumer Discretionary - 7.8% | | | | | | | | |
| Big Lots, Inc.* | | | 26,550 | | | | 936,418 | |
| Scholastic Corp. | | | 34,542 | | | | 920,543 | |
| Barnes & Noble, Inc.*,1 | | | 46,619 | | | | 766,883 | |
| WMS Industries, Inc.* | | | 24,900 | | | | 627,729 | |
| Saks, Inc.* | | | 49,840 | | | | 571,665 | |
| Valassis Communications, Inc.1 | | | 17,563 | | | | 524,607 | |
| Rent-A-Center, Inc. — Class A | | | 13,250 | | | | 489,455 | |
| DeVry, Inc. | | | 15,210 | | | | 482,918 | |
| Wendy’s Co. | | | 81,607 | | | | 462,712 | |
| Regis Corp. | | | 22,650 | | | | 412,004 | |
| Aeropostale, Inc.* | | | 22,820 | | | | 310,352 | |
| Total Consumer Discretionary | | | | | | | 6,505,286 | |
| Energy - 5.6% | | | | | | | | |
| Superior Energy Services, Inc.* | | | 49,240 | | | | 1,278,762 | |
| World Fuel Services Corp. | | | 22,337 | | | | 887,226 | |
| Alpha Natural Resources, Inc.* | | | 64,480 | | | | 529,381 | |
| Tidewater, Inc. | | | 9,330 | | | | 471,165 | |
| Arch Coal, Inc. | | | 79,196 | | | | 430,034 | |
| Bill Barrett Corp.* | | | 20,440 | | | | 414,319 | |
| Helix Energy Solutions Group, Inc.* | | | 16,700 | | | | 382,096 | |
| Unit Corp.* | | | 6,140 | | | | 279,677 | |
| Total Energy | | | | | | | 4,672,660 | |
| 170 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P MIDCAP 400® PURE value FUND | |
| | | Shares | | | Value | |
| Consumer Staples - 4.3% | | | | | | | | |
| Smithfield Foods, Inc.* | | | 55,937 | | | $ | 1,481,212 | |
| Universal Corp. | | | 17,134 | | | | 960,189 | |
| Harris Teeter Supermarkets, Inc. | | | 14,190 | | | | 606,055 | |
| Post Holdings, Inc.* | | | 11,790 | | | | 506,145 | |
| Total Consumer Staples | | | | | | | 3,553,601 | |
| Utilities - 2.0% | | | | | | | | |
| Great Plains Energy, Inc. | | | 24,024 | | | | 557,116 | |
| UGI Corp. | | | 10,424 | | | | 400,177 | |
| Hawaiian Electric Industries, Inc. | | | 12,860 | | | | 356,351 | |
| Atmos Energy Corp. | | | 7,697 | | | | 328,585 | |
| Total Utilities | | | | | | | 1,642,229 | |
| Telecommunication Services - 1.2% | | | | | | | | |
| Telephone & Data Systems, Inc. | | | 49,104 | | | | 1,034,621 | |
| Total Common Stocks | | | | | | | | |
| (Cost $77,381,345) | | | | | | | 82,835,159 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 297,630 | | | | 297,630 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 244,178 | | | | 244,178 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 24,752 | | | | 24,752 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $566,560) | | | | | | | 566,560 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 0.9% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 423,844 | | | | 423,844 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 333,421 | | | | 333,421 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $757,265) | | | | | | | 757,265 | |
| Total Investments - 101.1% | | | | | | | | |
| (Cost $78,705,170) | | | | | | $ | 84,158,984 | |
| Other Assets & Liabilities, net - (1.1)% | | | | | | | (937,560 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 83,221,424 | |
| * | 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 March 28, 2013 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 171 |
| S&P MIDCAP 400® PURE value FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 |
| Assets: | | | | |
| Investments, at value - including $738,617 of securities loaned | | | | |
| (cost $77,381,345) | | $ | 82,835,159 | |
| Repurchase agreements, at value | | | | |
| (cost $1,323,825) | | | 1,323,825 | |
| Total investments | | | | |
| (cost $78,705,170) | | | 84,158,984 | |
| Cash | | | 11,397 | |
| Receivables: | | | | |
| Fund shares sold | | | 332,441 | |
| Dividends | | | 40,080 | |
| Interest | | | 1,354 | |
| Total assets | | | 84,544,256 | |
| | | | | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 757,265 | |
| Fund shares redeemed | | | 472,209 | |
| Management fees | | | 35,059 | |
| Distribution and service fees | | | 13,867 | |
| Transfer agent and administrative fees | | | 11,686 | |
| Portfolio accounting fees | | | 4,674 | |
| Miscellaneous | | | 28,072 | |
| Total liabilities | | | 1,322,832 | |
| Net assets | | $ | 83,221,424 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 85,597,627 | |
| Undistributed net investment income | | | 52,110 | |
| Accumulated net realized loss on investments | | | (7,882,127 | ) |
| Net unrealized appreciation on investments | | | 5,453,814 | |
| Net assets | | $ | 83,221,424 | |
| A-Class: | | | | |
| Net assets | | $ | 1,571,045 | |
| Capital shares outstanding | | | 43,422 | |
| Net asset value per share | | $ | 36.18 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 37.98 | |
| C-Class: | | | | |
| Net assets | | $ | 3,413,214 | |
| Capital shares outstanding | | | 101,996 | |
| Net asset value per share | | $ | 33.46 | |
| H-Class: | | | | |
| Net assets | | $ | 78,237,165 | |
| Capital shares outstanding | | | 2,163,780 | |
| Net asset value per share | | $ | 36.16 | �� |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 454,848 | |
| Income from securities lending, net | | | 6,204 | |
| Interest | | | 144 | |
| Total investment income | | | 461,196 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 195,493 | |
| Transfer agent and administrative fees | | | 65,164 | |
| Distribution and service fees: | | | | |
| A-Class | | | 3,088 | |
| C-Class | | | 16,613 | |
| H-Class | | | 57,924 | |
| Portfolio accounting fees | | | 26,066 | |
| Custodian fees | | | 3,599 | |
| Trustees’ fees* | | | 2,141 | |
| Miscellaneous | | | 38,998 | |
| Total expenses | | | 409,086 | |
| Net investment income | | | 52,110 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 2,246,723 | |
| Net realized gain | | | 2,246,723 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 2,605,745 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 2,605,745 | |
| Net realized and unrealized gain | | | 4,852,468 | |
| Net increase in net assets resulting from operations | | $ | 4,904,578 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 172 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDCAP 400® PURE value FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | |
| Net investment income (loss) | | $ | 52,110 | | | $ | (2,928 | ) |
| Net realized gain (loss) on investments | | | 2,246,723 | | | | (4,788,943 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,605,745 | | | | (3,979,874 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 4,904,578 | | | | (8,771,745 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 12,852,758 | | | | 16,598,230 | |
| C-Class | | | 4,206,889 | | | | 4,792,154 | |
| H-Class | | | 285,882,528 | | | | 201,968,886 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (18,281,006 | ) | | | (10,504,241 | ) |
| C-Class | | | (3,298,820 | ) | | | (4,830,228 | ) |
| H-Class | | | (230,894,273 | ) | | | (228,706,063 | ) |
| Net increase (decrease) from capital share transactions | | | 50,468,076 | | | | (20,681,262 | ) |
| Net increase (decrease) in net assets | | | 55,372,654 | | | | (29,453,007 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 27,848,770 | | | | 57,301,777 | |
| End of year | | $ | 83,221,424 | | | $ | 27,848,770 | |
| Undistributed net investment income at end of year | | $ | 52,110 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 404,286 | | | | 542,524 | |
| C-Class | | | 142,762 | | | | 184,166 | |
| H-Class | | | 8,710,220 | | | | 7,008,305 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (581,601 | ) | | | (346,750 | ) |
| C-Class | | | (116,987 | ) | | | (186,183 | ) |
| H-Class | | | (7,156,790 | ) | | | (8,123,063 | ) |
| Net increase (decrease) in shares | | | 1,401,890 | | | | (921,001 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 173 |
| S&P MIDCAP 400® PURE VALUE FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.88 | | | $ | 31.43 | | | $ | 30.45 | | | $ | 13.68 | | | $ | 29.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .07 | | | | .06 | | | | .02 | | | | .12 | | | | .47 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.23 | | | | (.61 | ) | | | 3.64 | | | | 16.75 | | | | (16.51 | ) |
| Total from investment operations | | | 5.30 | | | | (.55 | ) | | | 3.66 | | | | 16.87 | | | | (16.04 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | |
| Net asset value, end of period | | $ | 36.18 | | | $ | 30.88 | | | $ | 31.43 | | | $ | 30.45 | | | $ | 13.68 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 17.16 | % | | | (1.75 | %) | | | 12.81 | % | | | 123.41 | % | | | (53.97 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,571 | | | $ | 6,817 | | | $ | 785 | | | $ | 10,888 | | | $ | 100 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.23 | % | | | 0.22 | % | | | 0.08 | % | | | 0.43 | % | | | 1.66 | % |
| Total expenses | | | 1.51 | % | | | 1.49 | % | | | 1.53 | % | | | 1.52 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 757 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % |
| | | | | | | | | | | | | | | | | | | | | |
| | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | | | | Year Ended | |
| | | | March 28, | | | | March 31, | | | | March 31, | | | | March 31, | | | | March 31, | |
| C-Class | | | 2013 | | | | 2012 | | | | 2011 | | | | 2010 | | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.78 | | | $ | 29.53 | | | $ | 28.96 | | | $ | 13.12 | | | $ | 28.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.13 | ) | | | (.16 | ) | | | (.23 | ) | | | (.06 | ) | | | .39 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.81 | | | | (.59 | ) | | | 3.48 | | | | 16.00 | | | | (16.05 | ) |
| Total from investment operations | | | 4.68 | | | | (.75 | ) | | | 3.25 | | | | 15.94 | | | | (15.66 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | |
| Net asset value, end of period | | $ | 33.46 | | | $ | 28.78 | | | $ | 29.53 | | | $ | 28.96 | | | $ | 13.12 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.26 | % | | | (2.54 | %) | | | 12.03 | % | | | 121.59 | % | | | (54.41 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,413 | | | $ | 2,194 | | | $ | 2,311 | | | $ | 2,478 | | | $ | 627 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.45 | %) | | | (0.60 | %) | | | (0.83 | %) | | | (0.24 | %) | | | 1.58 | % |
| Total expenses | | | 2.26 | % | | | 2.26 | % | | | 2.30 | % | | | 2.29 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 757 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % |
| 174 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P MIDCAP 400® PURE value FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.86 | | | $ | 31.42 | | | $ | 30.43 | | | $ | 13.67 | | | $ | 29.71 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .08 | | | | .01 | | | | (.06 | ) | | | .10 | | | | .47 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.22 | | | | (.57 | ) | | | 3.73 | | | | 16.76 | | | | (16.51 | ) |
| Total from investment operations | | | 5.30 | | | | (.56 | ) | | | 3.67 | | | | 16.86 | | | | (16.04 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | (.17 | ) | | | (.10 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (2.51 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.68 | ) | | | (.10 | ) | | | — | |
| Net asset value, end of period | | $ | 36.16 | | | $ | 30.86 | | | $ | 31.42 | | | $ | 30.43 | | | $ | 13.67 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 17.17 | % | | | (1.78 | %) | | | 12.85 | % | | | 123.43 | % | | | (53.99 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 78,237 | | | $ | 18,838 | | | $ | 54,206 | | | $ | 199,458 | | | $ | 3,985 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.24 | % | | | 0.02 | % | | | (0.19 | %) | | | 0.37 | % | | | 2.01 | % |
| Total expenses | | | 1.52 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 757 | % | | | 619 | % | | | 407 | % | | | 443 | % | | | 977 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 175 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P SmallCap 600® Pure Growth Fund H-Class rose 10.46%, compared with a gain of 12.97% for the S&P SmallCap 600 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Small-cap growth stocks underperformed their value stock counterparts.
The Financials sector and the Health Care sector added the most to performance for the period. Utilities contributed the least. The Telecommunications Services sector was the only detractor from return.
The best-performing stocks in the S&P SmallCap 600 Pure Growth Index were Geospace Technologies Corp., Portfolio Recovery Associates, Inc. and Allegiant Travel Co. The weakest performers of the underlying index were Quality Systems, Inc., Volterra Semiconductor Corp. and Dolan Co.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| Geospace Technologies Corp. | | | 1.9 | % |
| 3D Systems Corp. | | | 1.7 | % |
| HFF, Inc. — Class A | | | 1.7 | % |
| Sabra Health Care REIT, Inc. | | | 1.7 | % |
| Winnebago Industries, Inc. | | | 1.6 | % |
| Blucora, Inc. | | | 1.6 | % |
| On Assignment, Inc. | | | 1.5 | % |
| Tuesday Morning Corp. | | | 1.4 | % |
| Ixia | | | 1.3 | % |
| Cirrus Logic, Inc. | | | 1.3 | % |
| Top Ten Total | | | 15.7 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 176 | the RYDEX FUNDS ANNUAL REPORT |
performance report and FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 10.46 | % | | | 8.86 | % | | | 7.47 | % |
| A-Class Shares with sales charge† | | | 5.22 | % | | | 7.80 | % | | | 6.86 | % |
| S&P SmallCap 600 Pure Growth Index | | | 12.97 | % | | | 11.47 | % | | | 9.94 | % |
| | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 9.64 | % | | | 8.05 | % | | | 5.99 | % |
| C-Class Shares with CDSC‡ | | | 8.64 | % | | | 8.05 | % | | | 5.99 | % |
| H-Class Shares | | | 10.46 | % | | | 8.85 | % | | | 6.75 | % |
| S&P SmallCap 600 Pure Growth Index | | | 12.97 | % | | | 11.47 | % | | | 9.64 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 177 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P smallcap 600® PURE growth FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.7% | | | | | | | | |
| | | | | | | | | |
| Information Technology - 31.4% | | | | | | | | |
| 3D Systems Corp.*,1 | | | 5,346 | | | $ | 172,355 | |
| Blucora, Inc.* | | | 10,415 | | | | 161,223 | |
| Ixia* | | | 6,060 | | | | 131,139 | |
| Cirrus Logic, Inc.* | | | 5,733 | | | | 130,426 | |
| Ultratech, Inc.* | | | 3,270 | | | | 129,264 | |
| Cymer, Inc.* | | | 1,181 | | | | 113,494 | |
| OpenTable, Inc.* | | | 1,761 | | | | 110,907 | |
| Dice Holdings, Inc.* | | | 10,890 | | | | 110,316 | |
| Perficient, Inc.* | | | 9,380 | | | | 109,371 | |
| Measurement Specialties, Inc.* | | | 2,705 | | | | 107,578 | |
| Cognex Corp. | | | 2,513 | | | | 105,923 | |
| XO Group, Inc.* | | | 10,249 | | | | 102,490 | |
| Advanced Energy Industries, Inc.* | | | 5,600 | | | | 102,480 | |
| Kulicke & Soffa Industries, Inc.* | | | 8,847 | | | | 102,271 | |
| Sourcefire, Inc.* | | | 1,699 | | | | 100,632 | |
| Dealertrack Technologies, Inc.* | | | 3,090 | | | | 90,784 | |
| Rudolph Technologies, Inc.* | | | 7,150 | | | | 84,227 | |
| NETGEAR, Inc.* | | | 2,489 | | | | 83,406 | |
| Electronics for Imaging, Inc.* | | | 2,590 | | | | 65,682 | |
| MAXIMUS, Inc. | | | 817 | | | | 65,336 | |
| Interactive Intelligence Group, Inc.* | | | 1,448 | | | | 64,219 | |
| Littelfuse, Inc. | | | 935 | | | | 63,440 | |
| Manhattan Associates, Inc.* | | | 770 | | | | 57,203 | |
| FEI Co. | | | 880 | | | | 56,804 | |
| Entropic Communications, Inc.* | | | 13,399 | | | | 54,534 | |
| Monolithic Power Systems, Inc. | | | 2,220 | | | | 54,101 | |
| Liquidity Services, Inc.*,1 | | | 1,796 | | | | 53,539 | |
| Tyler Technologies, Inc.* | | | 873 | | | | 53,480 | |
| Veeco Instruments, Inc.* | | | 1,392 | | | | 53,355 | |
| ExlService Holdings, Inc.* | | | 1,620 | | | | 53,266 | |
| Websense, Inc.* | | | 3,104 | | | | 46,560 | |
| Procera Networks, Inc.* | | | 3,600 | | | | 42,804 | |
| Microsemi Corp.* | | | 1,750 | | | | 40,548 | |
| VASCO Data Security International, Inc.* | | | 4,396 | | | | 37,102 | |
| NIC, Inc. | | | 1,870 | | | | 35,829 | |
| Stamps.com, Inc.* | | | 1,377 | | | | 34,384 | |
| Nanometrics, Inc.* | | | 2,290 | | | | 33,045 | |
| iGATE Corp.* | | | 1,730 | | | | 32,541 | |
| LivePerson, Inc.* | | | 2,346 | | | | 31,859 | |
| Arris Group, Inc.* | | | 1,535 | | | | 26,356 | |
| NetScout Systems, Inc.* | | | 1,053 | | | | 25,872 | |
| Total Information Technology | | | | | | | 3,130,145 | |
| Financials - 20.7% | | | | | | | | |
| HFF, Inc. — Class A | | | 8,360 | | | | 166,615 | |
| Sabra Health Care REIT, Inc. | | | 5,700 | | | | 165,357 | |
| PrivateBancorp, Inc. — Class A | | | 6,787 | | | | 128,341 | |
| PacWest Bancorp | | | 3,970 | | | | 115,567 | |
| Oritani Financial Corp. | | | 7,140 | | | | 110,599 | |
| Virtus Investment Partners, Inc.* | | | 580 | | | | 108,042 | |
| First Commonwealth Financial Corp. | | | 14,350 | | | | 107,051 | |
| BBCN Bancorp, Inc. | | | 7,287 | | | | 95,168 | |
| Texas Capital Bancshares, Inc.* | | | 2,345 | | | | 94,855 | |
| Home BancShares, Inc. | | | 2,510 | | | | 94,552 | |
| Pinnacle Financial Partners, Inc.* | | | 3,981 | | | | 92,996 | |
| ViewPoint Financial Group, Inc. | | | 4,420 | | | | 88,886 | |
| National Penn Bancshares, Inc. | | | 7,842 | | | | 83,831 | |
| Portfolio Recovery Associates, Inc.* | | | 647 | | | | 82,117 | |
| FNB Corp. | | | 5,639 | | | | 68,232 | |
| Bank of the Ozarks, Inc. | | | 1,360 | | | | 60,316 | |
| First Cash Financial Services, Inc.* | | | 1,024 | | | | 59,740 | |
| Encore Capital Group, Inc.* | | | 1,910 | | | | 57,491 | |
| Wilshire Bancorp, Inc.* | | | 8,370 | | | | 56,749 | |
| Geo Group, Inc. | | | 1,400 | | | | 52,668 | |
| Universal Health Realty Income Trust | | | 850 | | | | 49,054 | |
| MarketAxess Holdings, Inc. | | | 1,160 | | | | 43,268 | |
| Boston Private Financial Holdings, Inc. | | | 3,970 | | | | 39,224 | |
| eHealth, Inc.* | | | 2,032 | | | | 36,332 | |
| Total Financials | | | | | | | 2,057,051 | |
| Consumer Discretionary - 15.3% | | | | | | | | |
| Winnebago Industries, Inc.* | | | 7,820 | | | | 161,405 | |
| Tuesday Morning Corp.* | | | 17,632 | | | | 136,824 | |
| Arctic Cat, Inc.* | | | 2,550 | | | | 111,434 | |
| Drew Industries, Inc. | | | 2,920 | | | | 106,025 | |
| Multimedia Games Holding | | | | | | | | |
| Company, Inc.* | | | 4,010 | | | | 83,689 | |
| Lumber Liquidators Holdings, Inc.* | | | 1,140 | | | | 80,051 | |
| Dorman Products, Inc. | | | 2,140 | | | | 79,629 | |
| Sturm Ruger & Company, Inc. | | | 1,524 | | | | 77,313 | |
| Movado Group, Inc. | | | 1,950 | | | | 65,364 | |
| Steven Madden Ltd.* | | | 1,404 | | | | 60,569 | |
| Coinstar, Inc.*,1 | | | 1,009 | | | | 58,946 | |
| iRobot Corp.* | | | 1,860 | | | | 47,728 | |
| M/I Homes, Inc.* | | | 1,710 | | | | 41,810 | |
| Buffalo Wild Wings, Inc.* | | | 463 | | | | 40,527 | |
| Pool Corp. | | | 820 | | | | 39,360 | |
| Ethan Allen Interiors, Inc. | | | 1,190 | | | | 39,175 | |
| SHFL Entertainment, Inc.* | | | 2,260 | | | | 37,448 | |
| Select Comfort Corp.* | | | 1,882 | | | | 37,207 | |
| Papa John’s International, Inc.* | | | 565 | | | | 34,928 | |
| Brunswick Corp. | | | 1,000 | | | | 34,220 | |
| Oxford Industries, Inc. | | | 620 | | | | 32,922 | |
| Vitamin Shoppe, Inc.* | | | 651 | | | | 31,801 | |
| rue21, Inc.* | | | 996 | | | | 29,272 | |
| Meritage Homes Corp.* | | | 600 | | | | 28,116 | |
| American Public Education, Inc.* | | | 675 | | | | 23,551 | |
| Total Consumer Discretionary | | | | | | | 1,519,314 | |
| Health Care - 13.2% | | | | | | | | |
| MWI Veterinary Supply, Inc.* | | | 809 | | | | 106,998 | |
| Medicines Co.* | | | 2,967 | | | | 99,158 | |
| Akorn, Inc.* | | | 6,340 | | | | 87,682 | |
| Bio-Reference Labs, Inc.* | | | 2,980 | | | | 77,421 | |
| Luminex Corp.* | | | 4,621 | | | | 76,339 | |
| Greatbatch, Inc.* | | | 2,310 | | | | 68,999 | |
| PAREXEL International Corp.* | | | 1,640 | | | | 64,796 | |
| Analogic Corp. | | | 778 | | | | 61,478 | |
| 178 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P smallcap 600® PURE growth FUND |
| | | Shares | | | Value | |
| | | | | | | |
| Acorda Therapeutics, Inc.* | | | 1,892 | | | $ | 60,600 | |
| ViroPharma, Inc.* | | | 2,403 | | | | 60,459 | |
| Cyberonics, Inc.* | | | 1,106 | | | | 51,772 | |
| Cantel Medical Corp. | | | 1,700 | | | | 51,102 | |
| Air Methods Corp. | | | 1,027 | | | | 49,542 | |
| Hanger, Inc.* | | | 1,570 | | | | 49,502 | |
| Cambrex Corp.* | | | 3,850 | | | | 49,242 | |
| Abaxis, Inc. | | | 1,010 | | | | 47,793 | |
| Salix Pharmaceuticals Ltd.* | | | 860 | | | | 44,015 | |
| HealthStream, Inc.* | | | 1,700 | | | | 38,998 | |
| Spectrum Pharmaceuticals, Inc.1 | | | 4,821 | | | | 35,965 | |
| Arqule, Inc.* | | | 12,613 | | | | 32,668 | |
| ICU Medical, Inc.* | | | 545 | | | | 32,128 | |
| Questcor Pharmaceuticals, Inc.1 | | | 831 | | | | 27,041 | |
| Neogen Corp.* | | | 478 | | | | 23,694 | |
| Landauer, Inc. | | | 379 | | | | 21,368 | |
| Total Health Care | | | | | | | 1,318,760 | |
| Industrials - 7.8% | | | | | | | | |
| On Assignment, Inc.* | | | 5,840 | | | | 147,810 | |
| Standex International Corp. | | | 2,178 | | | | 120,269 | |
| Lydall, Inc.* | | | 5,300 | | | | 81,355 | |
| Toro Co. | | | 1,550 | | | | 71,362 | |
| Lindsay Corp. | | | 773 | | | | 68,163 | |
| AZZ, Inc. | | | 1,365 | | | | 65,793 | |
| Allegiant Travel Co. — Class A | | | 741 | | | | 65,786 | |
| Old Dominion Freight Line, Inc.* | | | 1,620 | | | | 61,884 | |
| Healthcare Services Group, Inc. | | | 1,430 | | | | 36,651 | |
| Quanex Building Products Corp. | | | 1,940 | | | | 31,234 | |
| Franklin Electric Company, Inc. | | | 798 | | | | 26,789 | |
| Total Industrials | | | | | | | 777,096 | |
| Materials - 5.0% | | | | | | | | |
| PolyOne Corp. | | | 3,470 | | | | 84,702 | |
| SunCoke Energy, Inc.* | | | 4,370 | | | | 71,362 | |
| American Vanguard Corp. | | | 2,260 | | | | 69,020 | |
| Deltic Timber Corp. | | | 776 | | | | 53,327 | |
| HB Fuller Co. | | | 1,210 | | | | 47,287 | |
| Quaker Chemical Corp. | | | 690 | | | | 40,724 | |
| Headwaters, Inc.* | | | 3,680 | | | | 40,112 | |
| Eagle Materials, Inc. | | | 503 | | | | 33,515 | |
| Texas Industries, Inc.* | | | 510 | | | | 32,186 | |
| Globe Specialty Metals, Inc. | | | 1,630 | | | | 22,690 | |
| Total Materials | | | | | | | 494,925 | |
| Consumer Staples - 3.8% | | | | | | | | |
| Prestige Brands Holdings, Inc.* | | | 4,670 | | | | 119,973 | |
| Darling International, Inc.* | | | 5,293 | | | | 95,062 | |
| Medifast, Inc.* | | | 2,952 | | | | 67,660 | |
| Hain Celestial Group, Inc.* | | | 950 | | | | 58,026 | |
| Inter Parfums, Inc. | | | 1,540 | | | | 37,622 | |
| Total Consumer Staples | | | | | | | 378,343 | |
| Energy - 2.5% | | | | | | | | |
| Geospace Technologies Corp.* | | | 1,740 | | | | 187,781 | |
| Gulfport Energy Corp.* | | | 1,428 | | | | 65,445 | |
| Total Energy | | | | | | | 253,226 | |
| Total Common Stocks | | | | | | | | |
| (Cost $7,923,530) | | | | | | | 9,928,860 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENTS††,2 - 1.0% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 54,346 | | | | 54,346 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 44,587 | | | | 44,587 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 4,520 | | | | 4,520 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $103,453) | | | | | | | 103,453 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.5% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 85,218 | | | | 85,218 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 67,037 | | | | 67,037 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $152,255) | | | | | | | 152,255 | |
| Total Investments - 102.2% | | | | | | | | |
| (Cost $8,179,238) | | | | | | $ | 10,184,568 | |
| Other Assets & Liabilities, net - (2.2)% | | | | | | | (223,102 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 9,961,466 | |
| * | 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 March 28, 2013 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
REIT — Real Estate Investment Trust
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 179 |
| S&P smallcap 600® PURE growth FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 |
| Assets: | | | | |
| Investments, at value - including $152,857 of securities loaned | | | | |
| (cost $7,923,530) | | $ | 9,928,860 | |
| Repurchase agreements, at value | | | | |
| (cost $255,708) | | | 255,708 | |
| Total investments | | | | |
| (cost $8,179,238) | | | 10,184,568 | |
| Cash | | | 697 | |
| Receivables: | | | | |
| Fund shares sold | | | 197,487 | |
| Interest | | | 1,112 | |
| Dividends | | | 1,005 | |
| Total assets | | | 10,384,869 | |
| | | | | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 250,212 | |
| Upon return of securities loaned | | | 152,255 | |
| Management fees | | | 6,422 | |
| Distribution and service fees | | | 4,095 | |
| Transfer agent and administrative fees | | | 2,141 | |
| Fund shares redeemed | | | 1,503 | |
| Portfolio accounting fees | | | 856 | |
| Miscellaneous | | | 5,919 | |
| Total liabilities | | | 423,403 | |
| Net assets | | $ | 9,961,466 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 18,066,775 | |
| Accumulated net investment loss | | | (58,810 | ) |
| Accumulated net realized loss on investments | | | (10,051,829 | ) |
| Net unrealized appreciation on investments | | | 2,005,330 | |
| Net assets | | $ | 9,961,466 | |
| A-Class: | | | | |
| Net assets | | $ | 994,877 | |
| Capital shares outstanding | | | 23,719 | |
| Net asset value per share | | $ | 41.94 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 44.03 | |
| C-Class: | | | | |
| Net assets | | $ | 3,122,129 | |
| Capital shares outstanding | | | 79,560 | |
| Net asset value per share | | $ | 39.24 | |
| H-Class: | | | | |
| Net assets | | $ | 5,844,460 | |
| Capital shares outstanding | | | 139,351 | |
| Net asset value per share | | $ | 41.94 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends | | $ | 122,198 | |
| Income from securities lending, net | | | 15,204 | |
| Interest | | | 122 | |
| Total investment income | | | 137,524 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 134,826 | |
| Transfer agent and administrative fees | | | 44,942 | |
| Distribution and service fees: | | | | |
| A-Class | | | 2,424 | |
| C-Class | | | 19,034 | |
| H-Class | | | 37,759 | |
| Portfolio accounting fees | | | 17,977 | |
| Registration fees | | | 16,944 | |
| Trustees’ fees* | | | 3,116 | |
| Custodian fees | | | 3,037 | |
| Miscellaneous | | | 4,713 | |
| Total expenses | | | 284,772 | |
| Net investment loss | | | (147,248 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 3,739,856 | |
| Net realized gain | | | 3,739,856 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (3,270,046 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,270,046 | ) |
| Net realized and unrealized gain | | | 469,810 | |
| Net increase in net assets resulting from operations | | $ | 322,562 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 180 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
S&P SMALLCAP 600® PURE GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (147,248 | ) | | $ | (626,990 | ) |
| Net realized gain (loss) on investments | | | 3,739,856 | | | | (3,318,234 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,270,046 | ) | | | (9,577,483 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 322,562 | | | | (13,522,707 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 262,159 | | | | 29,768,714 | |
| C-Class | | | 3,152,967 | | | | 6,213,193 | |
| H-Class | | | 115,243,662 | | | | 307,332,512 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (376,615 | ) | | | (31,305,259 | ) |
| C-Class | | | (2,707,371 | ) | | | (6,576,491 | ) |
| H-Class | | | (138,735,744 | ) | | | (356,380,909 | ) |
| Net decrease from capital share transactions | | | (23,160,942 | ) | | | (50,948,240 | ) |
| Net decrease in net assets | | | (22,838,380 | ) | | | (64,470,947 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 32,799,846 | | | | 97,270,793 | |
| End of year | | $ | 9,961,466 | | | $ | 32,799,846 | |
| Accumulated net investment loss at end of year | | $ | (58,810 | ) | | $ | (9,714 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 6,970 | | | | 911,948 | |
| C-Class | | | 85,398 | | | | 183,065 | |
| H-Class | | | 3,009,338 | | | | 8,576,270 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (10,058 | ) | | | (943,812 | ) |
| C-Class | | | (77,582 | ) | | | (201,004 | ) |
| H-Class | | | (3,639,339 | ) | | | (10,359,949 | ) |
| Net decrease in shares | | | (625,273 | ) | | | (1,833,482 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 181 |
S&P SMALLCAP 600® PURE GROWTH FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.97 | | | $ | 36.06 | | | $ | 28.49 | | | $ | 16.93 | | | $ | 27.43 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.12 | ) | | | (.35 | ) | | | (.34 | ) | | | (.28 | ) | | | (.19 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.09 | | | | 2.26 | | | | 7.91 | | | | 11.84 | | | | (10.31 | ) |
| Total from investment operations | | | 3.97 | | | | 1.91 | | | | 7.57 | | | | 11.56 | | | | (10.50 | ) |
| Net asset value, end of period | | $ | 41.94 | | | $ | 37.97 | | | $ | 36.06 | | | $ | 28.49 | | | $ | 16.93 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 10.46 | % | | | 5.30 | % | | | 26.57 | % | | | 68.28 | % | | | (33.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 995 | | | $ | 1,018 | | | $ | 2,115 | | | $ | 750 | | | $ | 117 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.31 | %) | | | (1.00 | %) | | | (1.15 | %) | | | (1.15 | %) | | | (0.73 | %) |
| Total expenses | | | 1.51 | % | | | 1.52 | % | | | 1.54 | % | | | 1.54 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 645 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 35.79 | | | $ | 34.25 | | | $ | 27.25 | | | $ | 16.32 | | | $ | 26.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.42 | ) | | | (.57 | ) | | | (.54 | ) | | | (.42 | ) | | | (.32 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.87 | | | | 2.11 | | | | 7.54 | | | | 11.35 | | | | (10.01 | ) |
| Total from investment operations | | | 3.45 | | | | 1.54 | | | | 7.00 | | | | 10.93 | | | | (10.33 | ) |
| Net asset value, end of period | | $ | 39.24 | | | $ | 35.79 | | | $ | 34.25 | | | $ | 27.25 | | | $ | 16.32 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 9.64 | % | | | 4.50 | % | | | 25.69 | % | | | 66.97 | % | | | (38.76 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,122 | | | $ | 2,568 | | | $ | 3,072 | | | $ | 1,658 | | | $ | 369 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.17 | %) | | | (1.71 | %) | | | (1.80 | %) | | | (1.82 | %) | | | (1.28 | %) |
| Total expenses | | | 2.26 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 645 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % |
| 182 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.97 | | | $ | 36.07 | | | $ | 28.48 | | | $ | 16.94 | | | $ | 27.45 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.31 | ) | | | (.39 | ) | | | (.34 | ) | | | (.25 | ) | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.28 | | | | 2.29 | | | | 7.93 | | | | 11.79 | | | | (10.38 | ) |
| Total from investment operations | | | 3.97 | | | | 1.90 | | | | 7.59 | | | | 11.54 | | | | (10.51 | ) |
| Net asset value, end of period | | $ | 41.94 | | | $ | 37.97 | | | $ | 36.07 | | | $ | 28.48 | | | $ | 16.94 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 10.46 | % | | | 5.27 | % | | | 26.65 | % | | | 68.12 | % | | | (38.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,844 | | | $ | 29,214 | | | $ | 92,084 | | | $ | 10,072 | | | $ | 9,795 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.81 | %) | | | (1.10 | %) | | | (1.07 | %) | | | (1.05 | %) | | | (0.55 | %) |
| Total expenses | | | 1.50 | % | | | 1.52 | % | | | 1.55 | % | | | 1.53 | % | | | 1.56 | % |
| Portfolio turnover rate | | | 645 | % | | | 500 | % | | | 732 | % | | | 1,476 | % | | | 1,066 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 183 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
For the one-year period ended March 28, 2013, S&P SmallCap 600® Pure Value Fund H-Class returned 14.53%, compared with a return of 17.65% for the S&P SmallCap 600 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Small-cap value stocks outperformed their small-cap growth stock counterparts.
The sectors contributing the most to return were the Consumer Discretionary sector, the largest in the Fund, and Financials sector. The only sector detracting from return was the Information Technology sector.
The stocks contributing the most to return in the S&P SmallCap 600 Pure Value Index were Brown Shoe Company, Inc., OfficeMax, Inc. and Stewart Information Services Corp. Those detracting the most from return of the underlying index were Career Education Corp., VOXX International Corp. and Corinthian Colleges, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | | September 1, 2004 |
| C-Class | | | February 20, 2004 |
| H-Class | | | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| VOXX International Corp. — Class A | | | 2.2 | % |
| CIBER, Inc. | | | 1.7 | % |
| Kelly Services, Inc. — Class A | | | 1.6 | % |
| SkyWest, Inc. | | | 1.5 | % |
| AAR Corp. | | | 1.5 | % |
| Olympic Steel, Inc. | | | 1.5 | % |
| Boyd Gaming Corp. | | | 1.4 | % |
| Arkansas Best Corp. | | | 1.4 | % |
| OfficeMax, Inc. | | | 1.4 | % |
| Tower Group International Ltd. | | | 1.3 | % |
| Top Ten Total | | | 15.5 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 184 | the RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 14.53 | % | | | 5.14 | % | | | 3.94 | % |
| A-Class Shares with sales charge† | | | 9.10 | % | | | 4.13 | % | | | 3.36 | % |
| S&P SmallCap 600 Pure Value Index | | | 17.65 | % | | | 9.39 | % | | | 8.36 | % |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 13.70 | % | | | 4.30 | % | | | 3.02 | % |
| C-Class Shares with CDSC‡ | | | 12.70 | % | | | 4.30 | % | | | 3.02 | % |
| H-Class Shares | | | 14.53 | % | | | 5.10 | % | | | 3.80 | % |
| S&P SmallCap 600 Pure Value Index | | | 17.65 | % | | | 9.39 | % | | | 8.03 | % |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 185 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | | | |
| COMMON STOCKS† - 99.4% | | | | | | | | |
| | | | | | | | | |
| CONSUMER DISCRETIONARY - 23.5% | | | | | | | | |
| VOXX International Corp. — Class A* | | | 73,514 | | | $ | 787,335 | |
| Boyd Gaming Corp.*,1 | | | 62,405 | | | | 516,090 | |
| OfficeMax, Inc. | | | 43,677 | | | | 507,091 | |
| Quiksilver, Inc.* | | | 70,010 | | | | 424,961 | |
| Corinthian Colleges, Inc.*,1 | | | 195,328 | | | | 410,189 | |
| MarineMax, Inc.* | | | 28,214 | | | | 383,428 | |
| Pep Boys-Manny Moe & Jack* | | | 32,073 | | | | 378,141 | |
| Fred’s, Inc. — Class A | | | 24,335 | | | | 332,903 | |
| Live Nation Entertainment, Inc.* | | | 22,562 | | | | 279,092 | |
| Stein Mart, Inc. | | | 31,908 | | | | 267,390 | |
| Group 1 Automotive, Inc. | | | 4,427 | | | | 265,930 | |
| Perry Ellis International, Inc. | | | 14,607 | | | | 265,701 | |
| Spartan Motors, Inc. | | | 50,020 | | | | 265,606 | |
| American Greetings Corp. — Class A | | | 16,400 | | | | 264,040 | |
| Kirkland’s, Inc.* | | | 22,903 | | | | 262,468 | |
| Sonic Automotive, Inc. — Class A | | | 11,800 | | | | 261,488 | |
| Ruby Tuesday, Inc.* | | | 32,539 | | | | 239,813 | |
| Universal Electronics, Inc.* | | | 10,249 | | | | 238,289 | |
| Standard Motor Products, Inc. | | | 8,510 | | | | 235,897 | |
| Lincoln Educational Services Corp. | | | 40,085 | | | | 234,898 | |
| Blyth, Inc.1 | | | 13,320 | | | | 231,235 | |
| Big 5 Sporting Goods Corp. | | | 13,080 | | | | 204,179 | |
| JAKKS Pacific, Inc. | | | 15,917 | | | | 166,969 | |
| ITT Educational Services, Inc.*,1 | | | 11,830 | | | | 163,017 | |
| Red Robin Gourmet Burgers, Inc.* | | | 3,402 | | | | 155,131 | |
| Marcus Corp. | | | 11,575 | | | | 144,572 | |
| Genesco, Inc.* | | | 2,290 | | | | 137,606 | |
| EW Scripps Co. — Class A* | | | 10,985 | | | | 132,150 | |
| Career Education Corp.* | | | 44,392 | | | | 105,209 | |
| Men’s Wearhouse, Inc. | | | 2,920 | | | | 97,586 | |
| Biglari Holdings, Inc.* | | | 260 | | | | 97,029 | |
| Monarch Casino & Resort, Inc.* | | | 8,965 | | | | 87,229 | |
| Total Consumer Discretionary | | | | | | | 8,542,662 | |
| INDUSTRIALS - 19.3% | | | | | | | | |
| Kelly Services, Inc. — Class A | | | 31,915 | | | | 596,173 | |
| SkyWest, Inc. | | | 34,306 | | | | 550,611 | |
| AAR Corp. | | | 29,598 | | | | 544,308 | |
| Arkansas Best Corp. | | | 43,433 | | | | 507,297 | |
| Griffon Corp. | | | 29,359 | | | | 349,959 | |
| United Stationers, Inc. | | | 8,384 | | | | 324,042 | |
| ABM Industries, Inc. | | | 14,513 | | | | 322,769 | |
| CDI Corp. | | | 17,892 | | | | 307,743 | |
| Comfort Systems USA, Inc. | | | 19,069 | | | | 268,682 | |
| Consolidated Graphics, Inc.* | | | 6,604 | | | | 258,216 | |
| EMCOR Group, Inc. | | | 5,583 | | | | 236,663 | |
| Orbital Sciences Corp.* | | | 13,790 | | | | 230,155 | |
| Gibraltar Industries, Inc.* | | | 12,440 | | | | 227,030 | |
| Viad Corp. | | | 7,955 | | | | 220,035 | |
| Universal Forest Products, Inc. | | | 5,494 | | | | 218,716 | |
| TrueBlue, Inc.* | | | 10,250 | | | | 216,685 | |
| Navigant Consulting, Inc.* | | | 15,580 | | | | 204,721 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 4,850 | | | | 197,686 | |
| Heidrick & Struggles International, Inc. | | | 13,000 | | | | 194,350 | |
| Moog, Inc. — Class A* | | | 3,440 | | | | 157,655 | |
| Curtiss-Wright Corp. | | | 4,060 | | | | 140,882 | |
| Astec Industries, Inc. | | | 3,900 | | | | 136,227 | |
| Dycom Industries, Inc.* | | | 6,610 | | | | 130,151 | |
| Korn/Ferry International* | | | 6,490 | | | | 115,911 | |
| Insperity, Inc. | | | 3,661 | | | | 103,863 | |
| Powell Industries, Inc.* | | | 1,877 | | | | 98,674 | |
| Briggs & Stratton Corp.1 | | | 3,903 | | | | 96,794 | |
| Dolan Co.* | | | 20,145 | | | | 48,147 | |
| Total Industrials | | | | | | | 7,004,145 | |
| INFORMATION TECHNOLOGY - 16.3% | | | | | | | | |
| CIBER, Inc.* | | | 127,484 | | | | 599,175 | |
| SYNNEX Corp.* | | | 11,723 | | | | 433,752 | |
| Insight Enterprises, Inc.* | | | 20,028 | | | | 412,977 | |
| Benchmark Electronics, Inc.* | | | 20,811 | | | | 375,013 | |
| CACI International, Inc. — Class A* | | | 5,720 | | | | 331,016 | |
| ScanSource, Inc.* | | | 10,933 | | | | 308,529 | |
| Brooks Automation, Inc. | | | 28,540 | | | | 290,537 | |
| Super Micro Computer, Inc.* | | | 24,916 | | | | 281,302 | |
| Radisys Corp.* | | | 55,653 | | | | 273,813 | |
| Plexus Corp.* | | | 10,439 | | | | 253,772 | |
| Anixter International, Inc. | | | 3,209 | | | | 224,373 | |
| GT Advanced Technologies, Inc.*,1 | | | 66,840 | | | | 219,904 | |
| Methode Electronics, Inc. | | | 16,010 | | | | 206,209 | |
| CTS Corp. | | | 18,312 | | | | 191,177 | |
| United Online, Inc. | | | 30,667 | | | | 184,922 | |
| Sykes Enterprises, Inc.* | | | 10,796 | | | | 172,304 | |
| Newport Corp.* | | | 10,140 | | | | 171,569 | |
| QuinStreet, Inc.* | | | 26,337 | | | | 157,232 | |
| Bel Fuse, Inc. — Class B | | | 9,704 | | | | 151,480 | |
| Mercury Systems, Inc.* | | | 18,094 | | | | 133,353 | |
| Digital River, Inc.* | | | 8,930 | | | | 126,270 | |
| Pericom Semiconductor Corp.* | | | 13,379 | | | | 91,111 | |
| Comtech Telecommunications Corp. | | | 3,380 | | | | 82,066 | |
| Rubicon Technology, Inc.* | | | 12,000 | | | | 79,200 | |
| Cohu, Inc. | | | 8,261 | | | | 77,323 | |
| Digi International, Inc.* | | | 8,113 | | | | 72,449 | |
| Total Information Technology | | | | | | | 5,900,828 | |
| FINANCIALS - 12.3% | | | | | | | | |
| Tower Group International Ltd. | | | 25,023 | | | | 461,675 | |
| Meadowbrook Insurance Group, Inc. | | | 58,731 | | | | 414,054 | |
| United Fire Group, Inc. | | | 13,532 | | | | 344,660 | |
| Stewart Information Services Corp. | | | 13,328 | | | | 339,464 | |
| Horace Mann Educators Corp. | | | 13,967 | | | | 291,212 | |
| First BanCorp* | | | 44,679 | | | | 278,350 | |
| Cash America International, Inc. | | | 4,600 | | | | 241,362 | |
| Selective Insurance Group, Inc. | | | 9,705 | | | | 233,017 | |
| Calamos Asset Management, Inc. — Class A | | | 17,818 | | | | 209,718 | |
| Infinity Property & Casualty Corp. | | | 3,620 | | | | 203,444 | |
| SWS Group, Inc.* | | | 32,481 | | | | 196,510 | |
| Navigators Group, Inc.* | | | 3,280 | | | | 192,700 | |
| 186 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Bank Mutual Corp. | | | 30,724 | | | $ | 169,904 | |
| Umpqua Holdings Corp. | | | 11,470 | | | | 152,092 | |
| Interactive Brokers Group, Inc. — Class A | | | 9,600 | | | | 143,136 | |
| Safety Insurance Group, Inc. | | | 2,803 | | | | 137,767 | |
| EZCORP, Inc. — Class A* | | | 5,910 | | | | 125,883 | |
| Provident Financial Services, Inc. | | | 7,290 | | | | 111,318 | |
| Stifel Financial Corp.* | | | 3,030 | | | | 105,050 | |
| Old National Bancorp | | | 6,320 | | | | 86,900 | |
| Total Financials | | | | | | | 4,438,216 | |
| HEALTH CARE - 8.2% | | | | | | | | |
| Amedisys, Inc.* | | | 40,541 | | | | 450,816 | |
| PharMerica Corp.* | | | 24,065 | | | | 336,910 | |
| Kindred Healthcare, Inc.* | | | 30,203 | | | | 318,038 | |
| Gentiva Health Services, Inc.* | | | 27,426 | | | | 296,749 | |
| Invacare Corp. | | | 20,931 | | | | 273,150 | |
| Almost Family, Inc. | | | 12,879 | | | | 263,118 | |
| Magellan Health Services, Inc.* | | | 3,580 | | | | 170,300 | |
| Cross Country Healthcare, Inc.* | | | 31,224 | | | | 165,799 | |
| LHC Group, Inc.* | | | 7,502 | | | | 161,218 | |
| Molina Healthcare, Inc.* | | | 5,220 | | | | 161,141 | |
| Centene Corp.* | | | 3,450 | | | | 151,938 | |
| Affymetrix, Inc.* | | | 22,816 | | | | 107,692 | |
| Ensign Group, Inc. | | | 2,880 | | | | 96,192 | |
| Total Health Care | | | | | | | 2,953,061 | |
| MATERIALS - 7.6% | | | | | | | | |
| Olympic Steel, Inc. | | | 22,284 | | | | 532,587 | |
| OM Group, Inc.* | | | 17,843 | | | | 418,954 | |
| Materion Corp. | | | 14,247 | | | | 406,040 | |
| AM Castle & Co.* | | | 19,660 | | | | 344,050 | |
| PH Glatfelter Co. | | | 10,670 | | | | 249,464 | |
| A. Schulman, Inc. | | | 7,099 | | | | 224,044 | |
| Zep, Inc. | | | 13,043 | | | | 195,775 | |
| Century Aluminum Co.* | | | 18,925 | | | | 146,480 | |
| Clearwater Paper Corp.* | | | 2,650 | | | | 139,629 | |
| Kaiser Aluminum Corp. | | | 1,700 | | | | 109,905 | |
| Total Materials | | | | | | | 2,766,928 | |
| CONSUMER STAPLES - 6.1% | | | | | | | | |
| Alliance One International, Inc.* | | | 115,098 | | | | 447,731 | |
| Spartan Stores, Inc. | | | 24,045 | | | | 421,990 | |
| Seneca Foods Corp. — Class A* | | | 11,993 | | | | 396,009 | |
| Andersons, Inc. | | | 7,352 | | | | 393,479 | |
| Central Garden and Pet Co. — Class A* | | | 23,884 | | | | 196,326 | |
| Casey’s General Stores, Inc. | | | 3,360 | | | | 195,888 | |
| Nash Finch Co. | | | 7,955 | | | | 155,759 | |
| Total Consumer Staples | | | | | | | 2,207,182 | |
| Energy - 5.0% | | | | | | | | |
| Basic Energy Services, Inc.*,1 | | | 29,320 | | | | 400,804 | |
| Pioneer Energy Services Corp.* | | | 36,580 | | | | 301,785 | |
| Matrix Service Co.* | | | 19,994 | | | | 297,911 | |
| Swift Energy Co.* | | | 11,231 | | | | 166,331 | |
| TETRA Technologies, Inc.* | | | 14,160 | | | | 145,282 | |
| Cloud Peak Energy, Inc.* | | | 6,690 | | | | 125,638 | |
| Stone Energy Corp.* | | | 4,820 | | | | 104,835 | |
| SEACOR Holdings, Inc. | | | 1,420 | | | | 104,626 | |
| Era Group, Inc.* | | | 4,930 | | | | 103,530 | |
| Gulf Island Fabrication, Inc. | | | 3,100 | | | | 65,286 | |
| Total Energy | | | | | | | 1,816,028 | |
| TELECOMMUNICATION SERVICES - 0.8% | | | | | | | | |
| USA Mobility, Inc. | | | 12,790 | | | | 169,723 | |
| Cbeyond, Inc.* | | | 14,870 | | | | 110,484 | |
| Total Telecommunication Services | | | | | | | 280,207 | |
| Utilities - 0.3% | | | | | | | | |
| Avista Corp. | | | 4,066 | | | | 111,408 | |
| Total Common Stocks | | | | | | | | |
| (Cost $31,544,633) | | | | | | | 36,020,665 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.2% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 34,453 | | | | 34,453 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 28,266 | | | | 28,266 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 2,865 | | | | 2,865 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $65,584) | | | | | | | 65,584 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.4% | | | | | | | | |
| Repurchase Agreements | | | | | | �� | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 276,440 | | | | 276,440 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 217,463 | | | | 217,463 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $493,903) | | | | | | | 493,903 | |
| Total Investments - 101.0% | | | | | | | | |
| (Cost $32,104,120) | | | | | | $ | 36,580,152 | |
| Other Assets & Liabilities, net - (1.0)% | | | | | | | (354,072 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 36,226,080 | |
| * | | 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 March 28, 2013 — See Note 11. |
| 2 | | Repurchase Agreements — See Note 5. |
| 3 | | Securities lending collateral — See Note 11. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 187 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $470,483 of securities loaned | | | | |
| (cost $31,544,633) | | $ | 36,020,665 | |
| Repurchase agreements, at value | | | | |
| (cost $559,487) | | | 559,487 | |
| Total investments | | | | |
| (cost $32,104,120) | | | 36,580,152 | |
| Cash | | | 9,667 | |
| Receivables: | | | | |
| Securities sold | | | 282,226 | |
| Fund shares sold | | | 111,541 | |
| Dividends | | | 13,596 | |
| Interest | | | 1,026 | |
| Total assets | | | 36,998,208 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 493,903 | |
| Fund shares redeemed | | | 232,031 | |
| Management fees | | | 21,165 | |
| Distribution and service fees | | | 9,582 | |
| Transfer agent and administrative fees | | | 7,055 | |
| Portfolio accounting fees | | | 2,822 | |
| Miscellaneous | | | 5,570 | |
| Total liabilities | | | 772,128 | |
| Net assets | | $ | 36,226,080 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 66,308,948 | |
| Accumulated net investment loss | | | (59,464 | ) |
| Accumulated net realized loss on investments | | | (34,499,436 | ) |
| Net unrealized appreciation on investments | | | 4,476,032 | |
| Net assets | | $ | 36,226,080 | |
| A-Class: | | | | |
| Net assets | | $ | 1,550,940 | |
| Capital shares outstanding | | | 79,314 | |
| Net asset value per share | | $ | 19.55 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 20.52 | |
| C-Class: | | | | |
| Net assets | | $ | 3,931,828 | |
| Capital shares outstanding | | | 224,486 | |
| Net asset value per share | | $ | 17.51 | |
| H-Class: | | | | |
| Net assets | | $ | 30,743,312 | |
| Capital shares outstanding | | | 1,578,650 | |
| Net asset value per share | | $ | 19.47 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 252,474 | |
| Income from securities lending, net | | | 3,018 | |
| Interest | | | 170 | |
| Total investment income | | | 255,662 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 157,074 | |
| Transfer agent and administrative fees | | | 52,358 | |
| Distribution and service fees: | | | | |
| A-Class | | | 2,224 | |
| C-Class | | | 26,550 | |
| H-Class | | | 43,496 | |
| Portfolio accounting fees | | | 20,943 | |
| Custodian fees | | | 3,465 | |
| Trustees’ fees* | | | 2,876 | |
| Miscellaneous | | | 27,177 | |
| Total expenses | | | 336,163 | |
| Net investment loss | | | (80,501 | ) |
| | | | | |
| Net Realized And Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,767,052 | |
| Net realized gain | | | 1,767,052 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (1,845,358 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,845,358 | ) |
| Net realized and unrealized loss | | | (78,306 | ) |
| Net decrease in net assets resulting from operations | | $ | (158,807 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 188 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P SMALLCAP 600® PURE value FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (80,501 | ) | | $ | (211,950 | ) |
| Net realized gain on investments | | | 1,767,052 | | | | 801,799 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,845,358 | ) | | | 1,398,357 | |
| Net increase (decrease) in net assets resulting from operations | | | (158,807 | ) | | | 1,988,206 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 1,084,422 | | | | 1,607,485 | |
| C-Class | | | 3,744,708 | | | | 3,511,546 | |
| H-Class | | | 180,897,767 | | | | 235,758,088 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (622,298 | ) | | | (8,919,019 | ) |
| C-Class | | | (2,186,008 | ) | | | (3,810,568 | ) |
| H-Class | | | (173,747,207 | ) | | | (229,990,161 | ) |
| Net increase (decrease) from capital share transactions | | | 9,171,384 | | | | (1,842,629 | ) |
| Net increase in net assets | | | 9,012,577 | | | | 145,577 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 27,213,503 | | | | 27,067,926 | |
| End of year | | $ | 36,226,080 | | | $ | 27,213,503 | |
| Accumulated net investment loss at end of year | | $ | (59,464 | ) | | $ | (124,123 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 61,434 | | | | 93,288 | |
| C-Class | | | 239,487 | | | | 248,404 | |
| H-Class | | | 10,656,634 | | | | 15,003,556 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (38,446 | ) | | | (544,754 | ) |
| C-Class | | | (141,911 | ) | | | (262,957 | ) |
| H-Class | | | (10,507,170 | ) | | | (14,494,039 | ) |
| Net increase in shares | | | 270,028 | | | | 43,498 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 189 |
| S&P SMALLCAP 600® PURE value FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.07 | | | $ | 17.42 | | | $ | 19.60 | | | $ | 11.08 | | | $ | 26.56 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.01 | ) | | | (.12 | ) | | | (.13 | ) | | | (.13 | ) | | | .50 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.49 | | | | (.23 | ) | | | 1.20 | | | | 15.44 | | | | (15.61 | ) |
| Total from investment operations | | | 2.48 | | | | (.35 | ) | | | 1.07 | | | | 15.31 | | | | (15.11 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) |
| Net asset value, end of period | | $ | 19.55 | | | $ | 17.07 | | | $ | 17.42 | | | $ | 19.60 | | | $ | 11.08 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 14.53 | % | | | (2.01 | %) | | | 6.98 | % | | | 150.09 | % | | | (57.21 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,551 | | | $ | 961 | | | $ | 8,845 | | | $ | 5,529 | | | $ | 78 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.08 | %) | | | (0.71 | %) | | | (0.73 | %) | | | (0.62 | %) | | | 2.04 | % |
| Total expenses | | | 1.51 | % | | | 1.53 | % | | | 1.53 | % | | | 1.53 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 655 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.40 | | | $ | 15.85 | | | $ | 18.27 | | | $ | 10.62 | | | $ | 25.71 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.13 | ) | | | (.20 | ) | | | (.23 | ) | | | (.27 | ) | | | .04 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.24 | | | | (.25 | ) | | | 1.06 | | | | 14.71 | | | | (14.76 | ) |
| Total from investment operations | | | 2.11 | | | | (.45 | ) | | | .83 | | | | 14.44 | | | | (14.72 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) |
| Net asset value, end of period | | $ | 17.51 | | | $ | 15.40 | | | $ | 15.85 | | | $ | 18.27 | | | $ | 10.62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 13.70 | % | | | (2.84 | %) | | | 6.12 | % | | | 148.23 | % | | | (57.59 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,932 | | | $ | 1,955 | | | $ | 2,243 | | | $ | 8,999 | | | $ | 691 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.84 | %) | | | (1.39 | %) | | | (1.37 | %) | | | (1.39 | %) | | | 0.21 | % |
| Total expenses | | | 2.26 | % | | | 2.26 | % | | | 2.28 | % | | | 2.28 | % | | | 2.32 | % |
| Portfolio turnover rate | | | 655 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % |
| 190 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| S&P SMALLCAP 600® PURE value FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.00 | | | $ | 17.38 | | | $ | 19.57 | | | $ | 11.07 | | | $ | 26.53 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.06 | ) | | | (.11 | ) | | | (.11 | ) | | | (.12 | ) | | | .27 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.53 | | | | (.27 | ) | | | 1.17 | | | | 15.41 | | | | (15.36 | ) |
| Total from investment operations | | | 2.47 | | | | (.38 | ) | | | 1.06 | | | | 15.29 | | | | (15.09 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.03 | ) | | | (.37 | ) |
| Net realized gains | | | — | | | | — | | | | (3.25 | ) | | | (6.76 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | (3.25 | ) | | | (6.79 | ) | | | (.37 | ) |
| Net asset value, end of period | | $ | 19.47 | | | $ | 17.00 | | | $ | 17.38 | | | $ | 19.57 | | | $ | 11.07 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 14.53 | % | | | (2.19 | %) | | | 6.94 | % | | | 150.07 | % | | | (57.20 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 30,743 | | | $ | 24,298 | | | $ | 15,980 | | | $ | 216,500 | | | $ | 21,489 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.32 | %) | | | (0.69 | %) | | | (0.56 | %) | | | 0.62 | % | | | 1.40 | % |
| Total expenses | | | 1.51 | % | | | 1.49 | % | | | 1.54 | % | | | 1.54 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 655 | % | | | 744 | % | | | 692 | % | | | 443 | % | | | 878 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 191 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
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 Europe STOXX 50® Index (the “underlying index”).
For the one-year period ended March 28, 2013, Europe 1.25x Strategy Fund maintained a daily correlation of over 98% to its benchmark of 125% of the daily price movement of the Europe STOXX 50 Index. Europe 1.25x Strategy Fund H-Class returned 13.06% while the Europe STOXX 50 Index returned 9.87% over the same period.
The sectors contributing the most to return of the underlying index were Health Care and Consumer Staples. Materials and Energy detracted most from return of the underlying index.
The stocks contributing most to performance of the underlying index were Novartis AG, Roche Holding AG and HSBC Holdings plc. Those detracting most from performance of the underlying index were BG Group plc, Anglo American plc and Credit Suisse Group AG.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | | March 31, 2004 |
| C-Class | | | May 10, 2001 |
| H-Class | | | May 8, 2000 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Nestle S.A. ADR | | | 3.2 | % |
| Novartis AG ADR | | | 2.7 | % |
| HSBC Holdings plc ADR | | | 2.7 | % |
| Roche Holding AG ADR | | | 2.3 | % |
| Vodafone Group plc ADR | | | 1.9 | % |
| BP plc ADR | | | 1.8 | % |
| Sanofi ADR | | | 1.7 | % |
| Unilever N.V. | | | 1.7 | % |
| Royal Dutch Shell plc ADR | | | 1.7 | % |
| GlaxoSmithKline plc ADR | | | 1.6 | % |
| Top Ten Total | | | 21.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 192 | the RYDEX FUNDS ANNUAL REPORT |
| performance report and FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*,††
Average Annual Returns*,††
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| C-Class Shares | | | 12.09 | % | | | -9.25 | % | | | 4.26 | % |
| C-Class Shares with CDSC‡ | | | 11.09 | % | | | -9.25 | % | | | 4.26 | % |
| H-Class Shares | | | 13.06 | % | | | -8.56 | % | | | 5.07 | % |
| Europe STOXX 50 Index | | | 9.87 | % | | | -2.81 | % | | | 7.64 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | 12.92 | % | | | -8.60 | % | | | 0.33 | % |
| A-Class Shares with sales charge† | | | 7.53 | % | | | -9.48 | % | | | -0.21 | % |
| Europe STOXX 50 Index | | | 9.87 | % | | | -2.81 | % | | | 3.97 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Europe STOXX 50 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| †† | The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 193 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| EUROPE 1.25x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | | | |
| COMMON STOCKS† - 49.1% | | | | | | | | |
| | | | | | | | | |
| Health Care - 10.5% | | | | | | | | |
| Novartis AG ADR | | | 5,699 | | | $ | 405,997 | |
| Roche Holding AG ADR | | | 5,811 | | | | 340,525 | |
| Sanofi ADR | | | 5,074 | | | | 259,180 | |
| GlaxoSmithKline plc ADR | | | 5,297 | | | | 248,482 | |
| Bayer AG ADR | | | 1,725 | | | | 178,624 | |
| AstraZeneca plc ADR | | | 2,745 | | | | 137,195 | |
| Total Health Care | | | | | | | 1,570,003 | |
| Consumer Staples - 9.7% | | | | | | | | |
| Nestle S.A. ADR | | | 6,639 | | | | 481,128 | |
| Unilever N.V. | | | 6,242 | | | | 255,922 | |
| British American Tobacco plc ADR | | | 2,179 | | | | 233,262 | |
| Diageo plc ADR | | | 1,372 | | | | 172,652 | |
| Anheuser-Busch InBev N.V. ADR | | | 1,578 | | | | 157,090 | |
| Tesco plc ADR | | | 5,333 | | | | 93,168 | |
| Imperial Tobacco Group plc ADR | | | 1,019 | | | | 71,330 | |
| Total Consumer Staples | | | | | | | 1,464,552 | |
| Financials - 9.3% | | | | | | | | |
| HSBC Holdings plc ADR | | | 7,610 | | | | 405,917 | |
| Banco Santander S.A. ADR | | | 32,233 | | | | 219,507 | |
| Allianz SE ADR | | | 9,311 | | | | 126,630 | |
| UBS AG | | | 7,310 | | | | 112,501 | |
| BNP Paribas S.A. ADR | | | 4,288 | | | | 111,016 | |
| Barclays plc ADR1 | | | 5,794 | | | | 102,901 | |
| Banco Bilbao Vizcaya Argentaria S.A. ADR | | | 11,287 | | | | 98,987 | |
| Zurich Insurance Group AG ADR | | | 3,087 | | | | 86,498 | |
| Deutsche Bank AG | | | 1,965 | | | | 76,871 | |
| ING Groep N.V. ADR* | | | 8,039 | | | | 57,961 | |
| Total Financials | | | | | | | 1,398,789 | |
| Energy - 6.6% | | | | | | | | |
| BP plc ADR | | | 6,579 | | | | 278,621 | |
| Royal Dutch Shell plc ADR | | | 3,927 | | | | 255,883 | |
| Total S.A. ADR | | | 4,682 | | | | 224,642 | |
| Eni SpA ADR | | | 2,743 | | | | 123,133 | |
| BG Group plc ADR | | | 6,939 | | | | 119,004 | |
| Total Energy | | | | | | | 1,001,283 | |
| Materials - 3.3% | | | | | | | | |
| BASF SE ADR | | | 1,883 | | | | 165,327 | |
| BHP Billiton plc ADR | | | 2,249 | | | | 130,577 | |
| Rio Tinto plc ADR1 | | | 2,698 | | | | 127,022 | |
| Anglo American plc ADR | | | 5,825 | | | | 74,968 | |
| Total Materials | | | | | | | 497,894 | |
| Telecommunication Services - 3.1% | | | | | | | | |
| Vodafone Group plc ADR | | | 10,329 | | | | 293,447 | |
| Telefonica S.A. ADR | | | 8,082 | | | | 109,188 | |
| Deutsche Telekom AG ADR | | | 6,143 | | | | 64,993 | |
| Total Telecommunication Services | | | | | | | 467,628 | |
| Industrials - 2.3% | | | | | | | | |
| Siemens AG ADR | | | 1,733 | | | | 186,818 | |
| ABB Ltd. ADR | | | 4,840 | | | | 110,158 | |
| Schneider Electric S.A. ADR | | | 3,803 | | | | 55,714 | |
| Total Industrials | | | | | | | 352,690 | |
| Consumer Discretionary - 1.7% | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton | | | | | | | | |
| S.A. ADR | | | 2,844 | | | | 97,435 | |
| Cie Financiere Richemont S.A. ADR | | | 10,641 | | | | 83,213 | |
| Hennes & Mauritz AB ADR | | | 10,152 | | | | 72,384 | |
| Total Consumer Discretionary | | | | | | | 253,032 | |
| Information Technology - 1.5% | | | | | | | | |
| SAP AG ADR1 | | | 1,912 | | | | 153,992 | |
| Telefonaktiebolaget LM Ericsson — | | | | | | | | |
| Class B ADR | | | 6,245 | | | | 78,687 | |
| Total Information Technology | | | | | | | 232,679 | |
| Utilities - 1.1% | | | | | | | | |
| National Grid plc ADR | | | 1,553 | | | | 90,090 | |
| E.ON SE ADR | | | 4,268 | | | | 74,903 | |
| Total Utilities | | | | | | | 164,993 | |
| Total Common Stocks | | | | | | | | |
| (Cost $7,220,865) | | | | | | | 7,403,543 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,2 - 38.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 3,047,365 | | | | 3,047,365 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 2,500,081 | | | | 2,500,081 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 253,425 | | | | 253,425 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $5,800,871) | | | | | | | 5,800,871 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 25,506 | | | | 25,506 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 20,064 | | | | 20,064 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $45,570) | | | | | | | 45,570 | |
| Total Investments - 87.9% | | | | | | | | |
| (Cost $13,067,306) | | | | | | $ | 13,249,984 | |
| Other Assets & Liabilities, net - 12.1% | | | | | | | 1,819,676 | |
| Total Net Assets - 100.0% | | | | | | $ | 15,069,660 | |
| 194 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| europe 1.25x strategy FUND | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain (Loss) | |
| EQUITY FUTURES CONTRACTS PURCHASED†† | | | | | | | | |
| June 2013 STOXX 50 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $7,666,816) | | | 225 | | | $ | 17,739 | |
| June 2013 EURO STOXX 50 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $3,584,193) | | | 109 | | | | (16,432 | ) |
| (Total Aggregate Value of | | | | | | | | |
| Contracts $11,251,009) | | | | | | $ | 1,307 | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Euro FX Currency | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $11,221,000) | | | 70 | | | $ | (56,669 | ) |
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 March 28, 2013 — See Note 11. |
| 2 | Repurchase Agreements — See Note 5. |
| 3 | Securities lending collateral — See Note 11. |
ADR — American Depositary Receipt
plc — Public Limited Company
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 195 |
| europe 1.25x strategy FUND |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $44,820 of securities loaned | | | | |
| (cost $7,220,865) | | $ | 7,403,543 | |
| Repurchase agreements, at value | | | | |
| (cost $5,846,441) | | | 5,846,441 | |
| Total investments | | | | |
| (cost $13,067,306) | | | 13,249,984 | |
| Segregated cash with broker | | | 911,997 | |
| Due from broker | | | 7,589 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,125,618 | |
| Variation margin | | | 88,772 | |
| Dividends | | | 47,547 | |
| Foreign taxes reclaim | | | 6,118 | |
| Interest | | | 73 | |
| Total assets | | | 15,437,698 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 273,445 | |
| Upon return of securities loaned | | | 45,570 | |
| Management fees | | | 10,926 | |
| Distribution and service fees | | | 3,338 | |
| Transfer agent and administrative fees | | | 3,035 | |
| Portfolio accounting fees | | | 1,214 | |
| Miscellaneous | | | 30,510 | |
| Total liabilities | | | 368,038 | |
| Net assets | | $ | 15,069,660 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 28,341,366 | |
| Accumulated net investment loss | | | (56,149 | ) |
| Accumulated net realized loss on investments | | | (13,342,866 | ) |
| Net unrealized appreciation on investments and foreign currency | | | 127,309 | |
| Net assets | | $ | 15,069,660 | |
| A-Class: | | | | |
| Net assets | | $ | 3,915,651 | |
| Capital shares outstanding | | | 276,482 | |
| Net asset value per share | | $ | 14.16 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 14.87 | |
| C-Class: | | | | |
| Net assets | | $ | 401,757 | |
| Capital shares outstanding | | | 31,167 | |
| Net asset value per share | | $ | 12.89 | |
| H-Class: | | | | |
| Net assets | | $ | 10,752,252 | |
| Capital shares outstanding | | | 757,358 | |
| Net asset value per share | | $ | 14.20 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $19,375) | | $ | 357,195 | |
| Interest | | | 10,955 | |
| Income from securities lending, net | | | 2,185 | |
| Total investment income | | | 370,335 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 224,544 | |
| Transfer agent and administrative fees | | | 62,373 | |
| Distribution and service fees: | | | | |
| A-Class | | | 20,988 | |
| C-Class | | | 6,088 | |
| H-Class | | | 39,863 | |
| Portfolio accounting fees | | | 24,949 | |
| Custodian fees | | | 3,498 | |
| Trustees’ fees* | | | 1,548 | |
| Miscellaneous | | | 38,946 | |
| Total expenses | | | 422,797 | |
| Net investment loss | | | (52,462 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,085,689 | |
| Futures contracts | | | 2,487,922 | |
| Foreign currency | | | (14,298 | ) |
| Net realized gain | | | 3,559,313 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 108,788 | |
| Futures contracts | | | 69,580 | |
| Foreign currency | | | 372 | |
| Net change in unrealized appreciation (depreciation) | | | 178,740 | |
| Net realized and unrealized gain | | | 3,738,053 | |
| Net increase in net assets resulting from operations | | $ | 3,685,591 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 196 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| europe 1.25x strategy FUND |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (52,462 | ) | | $ | 156,975 | |
| Net realized gain on investments and foreign currency | | | 3,559,313 | | | | 600,098 | |
| Net change in unrealized appreciation (depreciation) on investments and foreign currency | | | 178,740 | | | | (2,515,876 | ) |
| Net increase (decrease) in net assets resulting from operations and foreign currency | | | 3,685,591 | | | | (1,758,803 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (60,314 | ) | | | — | |
| C-Class | | | (2,197 | ) | | | — | |
| H-Class | | | (58,838 | ) | | | — | |
| Total distributions to shareholders | | | (121,349 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 90,816,378 | | | | 9,432,391 | |
| C-Class | | | 5,587,424 | | | | 14,386,018 | |
| H-Class | | | 241,512,218 | | | | 171,570,269 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 59,279 | | | | — | |
| C-Class | | | 2,187 | | | | — | |
| H-Class | | | 58,304 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (90,230,686 | ) | | | (8,804,569 | ) |
| C-Class | | | (5,730,709 | ) | | | (14,574,700 | ) |
| H-Class | | | (239,461,432 | ) | | | (185,689,568 | ) |
| Net increase (decrease) from capital share transactions | | | 2,612,963 | | | | (13,680,159 | ) |
| Net increase (decrease) in net assets | | | 6,177,205 | | | | (15,438,962 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 8,892,455 | | | | 24,331,417 | |
| End of year | | $ | 15,069,660 | | | $ | 8,892,455 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | (56,149 | ) | | $ | 121,348 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 7,021,653 | | | | 714,987 | |
| C-Class | | | 486,881 | | | | 1,264,090 | |
| H-Class | | | 18,478,661 | | | | 13,533,222 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 4,388 | | | | — | |
| C-Class | | | 177 | | | | — | |
| H-Class | | | 4,309 | | | | — | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (6,804,798 | ) | | | (692,132 | ) |
| C-Class | | | (493,981 | ) | | | (1,275,181 | ) |
| H-Class | | | (18,342,051 | ) | | | (14,569,374 | ) |
| Net increase (decrease) in shares | | | 355,239 | | | | (1,024,388 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 197 |
| europe 1.25x strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.57 | | | $ | 14.06 | | | $ | 14.18 | | | $ | 8.36 | | | $ | 22.25 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.03 | ) | | | .10 | | | | .08 | | | | .04 | | | | .18 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.65 | | | | (1.59 | ) | | | (.20 | ) | | | 5.78 | | | | (14.07 | ) |
| Total from investment operations | | | 1.62 | | | | (1.49 | ) | | | (.12 | ) | | | 5.82 | | | | (13.89 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 14.16 | | | $ | 12.57 | | | $ | 14.06 | | | $ | 14.18 | | | $ | 8.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.92 | % | | | (10.60 | %) | | | (0.85 | %) | | | 69.62 | % | | | (62.43 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,916 | | | $ | 694 | | | $ | 455 | | | $ | 463 | | | $ | 316 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.23 | %) | | | 0.77 | % | | | 0.66 | % | | | 0.33 | % | | | 1.05 | % |
| Total expenses | | | 1.67 | % | | | 1.67 | % | | | 1.69 | % | | | 1.66 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 903 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 11.53 | | | $ | 12.97 | | | $ | 13.17 | | | $ | 7.83 | | | $ | 21.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.10 | ) | | | — | c | | | .03 | | | | (.04 | ) | | | .07 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.49 | | | | (1.44 | ) | | | (.23 | ) | | | 5.38 | | | | (13.24 | ) |
| Total from investment operations | | | 1.39 | | | | (1.44 | ) | | | (.20 | ) | | | 5.34 | | | | (13.17 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 12.89 | | | $ | 11.53 | | | $ | 12.97 | | | $ | 13.17 | | | $ | 7.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.09 | % | | | (11.10 | %) | | | (1.52 | %) | | | 68.20 | % | | | (62.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 402 | | | $ | 439 | | | $ | 638 | | | $ | 2,111 | | | $ | 754 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.83 | %) | | | 0.03 | % | | | 0.22 | % | | | (0.36 | %) | | | 0.42 | % |
| Total expenses | | | 2.42 | % | | | 2.43 | % | | | 2.43 | % | | | 2.42 | % | | | 2.43 | % |
| Portfolio turnover rate | | | 903 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % |
| 198 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
EUROPE 1.25x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.59 | | | $ | 14.06 | | | $ | 14.20 | | | $ | 8.36 | | | $ | 22.26 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.02 | ) | | | .16 | | | | .09 | | | | .03 | | | | .21 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.66 | | | | (1.63 | ) | | | (.23 | ) | | | 5.81 | | | | (14.11 | ) |
| Total from investment operations | | | 1.64 | | | | (1.47 | ) | | | (.14 | ) | | | 5.84 | | | | (13.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 14.20 | | | $ | 12.59 | | | $ | 14.06 | | | $ | 14.20 | | | $ | 8.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 13.06 | % | | | (10.46 | %) | | | (0.99 | %) | | | 69.86 | % | | | (62.44 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,752 | | | $ | 7,759 | | | $ | 23,238 | | | $ | 6,989 | | | $ | 4,739 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.18 | %) | | | 1.22 | % | | | 0.70 | % | | | 0.21 | % | | | 1.22 | % |
| Total expenses | | | 1.67 | % | | | 1.68 | % | | | 1.69 | % | | | 1.70 | % | | | 1.71 | % |
| Portfolio turnover rate | | | 903 | % | | | 318 | % | | | 515 | % | | | 1,353 | % | | | 384 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charge. |
| c | Net investment income is less than $0.01 per share. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 199 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
| | |
| JAPAN 2x STRATEGY FUND | |
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
For the one-year period ended March 28, 2013, Japan 2x Strategy Fund maintained a daily correlation of over 98% to its benchmark of 200% of the daily price movement of the fair value of the Nikkei-225 Stock Average Index. Japan 2x Strategy Fund H-Class returned 12.59%, while the Nikkei-225 Stock Average Index returned 7.83% over the same time period.
The sectors contributing most to performance of the underlying index were Consumer Discretionary and Financials. The sectors detracting most from performance of the underlying index were Information Technology and Industrials.
Stocks contributing most to return of the underlying index were Fast Retailing Company Ltd., SoftBank Corp. and KDDI Corp. Those detracting most from performance of the underlying index were TDK Corp., Fanuc Corp. and Canon, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | February 22, 2008 |
| C-Class | February 22, 2008 |
| H-Class | February 22, 2008 |
The Fund invests principally in derivative investments such as futures contracts.
| 200 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*,††
| Average Annual Returns*,†† | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (02/22/08) | |
| A-Class Shares | | | 12.56 | % | | | -7.08 | % | | | -6.85 | % |
| A-Class Shares with sales charge† | | | 7.21 | % | | | -7.97 | % | | | -7.74 | % |
| C-Class Shares | | | 11.81 | % | | | -7.74 | % | | | -7.52 | % |
| C-Class Shares with CDSC‡ | | | 10.81 | % | | | -7.74 | % | | | -7.52 | % |
| H-Class Shares | | | 12.59 | % | | | -7.02 | % | | | -6.80 | % |
| Nikkei-225 Stock Average Index | | | 7.83 | % | | | 0.96 | % | | | 0.80 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| †† | The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| The RYDEX FUNDS ANNUAL REPORT | 201 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| JAPAN 2x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 91.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 5,444,328 | | | $ | 5,444,328 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 4,466,565 | | | | 4,466,565 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 452,760 | | | | 452,760 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $10,363,653) | | | | | | | 10,363,653 | |
| Total Investments - 91.8% | | | | | | | | |
| (Cost $10,363,653) | | | | | | $ | 10,363,653 | |
| Other Assets & Liabilities, net - 8.2% | | | | | | | 927,158 | |
| Total Net Assets - 100.0% | | | | | | $ | 11,290,811 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Nikkei 225 Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $22,535,425) | | | 361 | | | $ | 1,058,934 | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Japanese Yen | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $22,717,350) | | | 171 | | | $ | 459,797 | |
| † | 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. |
| 202 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| JAPAN 2x STRATEGY FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $10,363,653) | | $ | 10,363,653 | |
| Segregated cash with broker | | | 1,022,200 | |
| Receivables: | | | | |
| Fund shares sold | | | 150,978 | |
| Interest | | | 120 | |
| Total assets | | | 11,536,951 | |
| | | | | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 160,770 | |
| Variation margin | | | 70,775 | |
| Management fees | | | 6,294 | |
| Distribution and service fees | | | 2,222 | |
| Transfer agent and administrative fees | | | 2,098 | |
| Portfolio accounting fees | | | 839 | |
| Miscellaneous | | | 3,142 | |
| Total Liabilities | | | 246,140 | |
| Net assets | | $ | 11,290,811 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 12,767,412 | |
| Accumulated net investment loss | | | (27,700 | ) |
| Accumulated net realized loss on investments | | | (2,967,632 | ) |
| Net unrealized appreciation on investments | | | 1,518,731 | |
| Net assets | | $ | 11,290,811 | |
| A-Class: | | | | |
| Net assets | | $ | 2,025,164 | |
| Capital shares outstanding | | | 116,454 | |
| Net asset value per share | | $ | 17.39 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 18.26 | |
| C-Class: | | | | |
| Net assets | | $ | 245,682 | |
| Capital shares outstanding | | | 14,659 | |
| Net asset value per share | | $ | 16.76 | |
| H-Class: | | | | |
| Net assets | | $ | 9,019,965 | |
| Capital shares outstanding | | | 517,120 | |
| Net asset value per share | | $ | 17.44 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 4,604 | |
| Total investment income | | | 4,604 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 35,107 | |
| Transfer agent and administrative fees | | | 11,702 | |
| Distribution and service fees: | | | | |
| A-Class | | | 2,566 | |
| C-Class | | | 1,202 | |
| H-Class | | | 8,836 | |
| Portfolio accounting fees | | | 4,681 | |
| Custodian fees | | | 690 | |
| Trustees’ fees* | | | 484 | |
| Miscellaneous | | | 6,079 | |
| Total expenses | | | 71,347 | |
| Net investment loss | | | (66,743 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Futures contracts | | | (139,216 | ) |
| Net realized loss | | | (139,216 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Futures contracts | | | 826,029 | |
| Net change in unrealized appreciation (depreciation) | | | 826,029 | |
| Net realized and unrealized gain | | | 686,813 | |
| Net increase in net assets resulting from operations | | $ | 620,070 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 203 |
JAPAN 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (66,743 | ) | | $ | (105,948 | ) |
| Net realized loss on investments | | | (139,216 | ) | | | (1,311,288 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 826,029 | | | | 149,144 | |
| Net increase (decrease) in net assets resulting from operations | | | 620,070 | | | | (1,268,092 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 4,927,467 | | | | 6,900,436 | |
| C-Class | | | 742,044 | | | | 1,962,446 | |
| H-Class | | | 47,073,229 | | | | 59,130,720 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (4,579,922 | ) | | | (11,634,483 | ) |
| C-Class | | | (627,063 | ) | | | (1,938,876 | ) |
| H-Class | | | (43,007,680 | ) | | | (58,485,850 | ) |
| Net increase (decrease) from capital share transactions | | | 4,528,075 | | | | (4,065,607 | ) |
| Net increase (decrease) in net assets | | | 5,148,145 | | | | (5,333,699 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 6,142,666 | | | | 11,476,365 | |
| End of year | | $ | 11,290,811 | | | $ | 6,142,666 | |
| Accumulated net investment loss at end of year | | $ | (27,700 | ) | | $ | (13,890 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 342,232 | | | | 480,177 | |
| C-Class | | | 55,951 | | | | 143,517 | |
| H-Class | | | 3,436,691 | | | | 3,972,584 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (318,220 | ) | | | (784,460 | ) |
| C-Class | | | (50,642 | ) | | | (147,120 | ) |
| H-Class | | | (3,214,905 | ) | | | (4,034,878 | ) |
| Net increase (decrease) in shares | | | 251,107 | | | | (370,180 | ) |
| 204 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| JAPAN 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.45 | | | $ | 14.95 | | | $ | 16.49 | | | $ | 9.01 | | | $ | 25.12 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.20 | ) | | | (.22 | ) | | | (.24 | ) | | | (.19 | ) | | | (.06 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.14 | | | | .72 | | | | (1.30 | ) | | | 7.67 | | | | (16.24 | ) |
| Total from investment operations | | | 1.94 | | | | .50 | | | | (1.54 | ) | | | 7.48 | | | | (16.30 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Payments by affiliates | | | — | | | | — | | | | — | | | | — | | | | .20 | b |
| Net asset value, end of period | | $ | 17.39 | | | $ | 15.45 | | | $ | 14.95 | | | $ | 16.49 | | | $ | 9.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 12.56 | % | | | 3.34 | % | | | (9.34 | %) | | | 83.02 | % | | | (64.10 | %)b |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,025 | | | $ | 1,428 | | | $ | 5,931 | | | $ | 2,234 | | | $ | 299 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.40 | %) | | | (1.49 | %) | | | (1.45 | %) | | | (1.42 | %) | | | (0.42 | %) |
| Total expenses | | | 1.51 | % | | | 1.51 | % | | | 1.55 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.99 | | | $ | 14.60 | | | $ | 16.23 | | | $ | 8.94 | | | $ | 25.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.29 | ) | | | (.31 | ) | | | (.31 | ) | | | (.31 | ) | | | (.17 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.06 | | | | .70 | | | | (1.32 | ) | | | 7.60 | | | | (16.18 | ) |
| Total from investment operations | | | 1.77 | | | | .39 | | | | (1.63 | ) | | | 7.29 | | | | (16.35 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Payments by affiliates | | | — | | | | — | | | | — | | | | — | | | | .20 | b |
| Net asset value, end of period | | $ | 16.76 | | | $ | 14.99 | | | $ | 14.60 | | | $ | 16.23 | | | $ | 8.94 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 11.81 | % | | | 2.67 | % | | | (10.04 | %) | | | 81.54 | % | | | (64.35 | %)b |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 246 | | | $ | 140 | | | $ | 189 | | | $ | 432 | | | $ | 879 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.15 | %) | | | (2.23 | %) | | | (2.18 | %) | | | (2.20 | %) | | | (0.98 | %) |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.29 | % | | | 2.28 | % | | | 2.26 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 205 |
| JAPAN 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.49 | | | $ | 14.98 | | | $ | 16.48 | | | $ | 9.01 | | | $ | 25.12 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.20 | ) | | | (.22 | ) | | | (.23 | ) | | | (.21 | ) | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.15 | | | | .73 | | | | (1.27 | ) | | | 7.68 | | | | (16.22 | ) |
| Total from investment operations | | | 1.95 | | | | .51 | | | | (1.50 | ) | | | 7.47 | | | | (16.30 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (.01 | ) |
| Payments by affiliates | | | — | | | | — | | | | — | | | | — | | | | .20 | b |
| Net asset value, end of period | | $ | 17.44 | | | $ | 15.49 | | | $ | 14.98 | | | $ | 16.48 | | | $ | 9.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 12.59 | % | | | 3.40 | % | | | (9.10 | %) | | | 82.91 | % | | | (64.10 | %)b |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,020 | | | $ | 4,574 | | | $ | 5,356 | | | $ | 5,414 | | | $ | 6,531 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.40 | %) | | | (1.48 | %) | | | (1.44 | %) | | | (1.44 | %) | | | (0.55 | %) |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.54 | % | | | 1.53 | % | | | 1.52 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | 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. |
| c | Total return does not reflect the impact of any applicable sales charges. |
| 206 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| |
| |
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| THE RYDEX FUNDS ANNUAL REPORT | 207 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
| |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Strengthening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the U.S. Dollar Index. Strengthening Dollar 2x Strategy Fund H-Class returned 6.05%, compared with a return of 5.04% for its benchmark, the U.S. Dollar Index.
Contributing most to performance of the underlying index for the year were the Swedish krona, Canadian dollar and the euro. The Japanese yen, British pound and Swiss franc detracted most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | May 25, 2005 |
| C-Class | May 25, 2005 |
| H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| 208 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (05/25/05) | |
| A-Class Shares | | | 5.95 | % | | | -1.07 | % | | | -3.50 | % |
| A-Class Shares with sales charge† | | | 0.92 | % | | | -2.03 | % | | | -4.10 | % |
| C-Class Shares | | | 5.27 | % | | | -1.71 | % | | | -4.17 | % |
| C-Class Shares with CDSC‡ | | | 4.27 | % | | | -1.71 | % | | | -4.17 | % |
| H-Class Shares | | | 6.05 | % | | | -1.11 | % | | | -3.54 | % |
| U.S. Dollar Index | | | 5.04 | % | | | 2.94 | % | | | -0.51 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| The RYDEX FUNDS ANNUAL REPORT | 209 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
|
| STRENGTHENING DOLLAR 2x STRATEGY FUND |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 76.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 10,053,654 | | | $ | 10,053,654 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 8,248,089 | | | | 8,248,089 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 836,081 | | | | 836,081 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 766,329 | | | | 766,329 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $19,904,153) | | | | | | | 19,904,153 | |
| Total Investments - 76.7% | | | | | | | | |
| (Cost $19,904,153) | | | | | | $ | 19,904,153 | |
| Other Assets & Liabilities, net - 23.3% | | | | | | | 6,032,067 | |
| Total Net Assets - 100.0% | | | | | | $ | 25,936,220 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| CURRENCY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 U.S. Dollar Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $42,323,350) | | | 509 | | | $ | 132,281 | |
| | | | | | | | | |
| | | | Units | | | | | |
| CURRENCY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| May 2013 U.S. Dollar Index Swap, | | | | | | | | |
| Terminating 05/28/133 | | | | | | | | |
| (Notional Value $9,675,652) | | | 116,532 | | | $ | 157,002 | |
| † | 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 March 28, 2013. |
| 3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
| 210 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $19,904,153) | | $ | 19,904,153 | |
| Segregated cash with broker | | | 354,350 | |
| Unrealized appreciation on swap agreements | | | 157,002 | |
| Receivable for swap settlement | | | 9,300 | |
| Receivables: | | | | |
| Fund shares sold | | | 6,056,920 | |
| Interest | | | 230 | |
| Total assets | | | 26,481,955 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 413,026 | |
| Variation margin | | | 97,234 | |
| Management fees | | | 17,876 | |
| Distribution and service fees | | | 7,473 | |
| Transfer agent and administrative fees | | | 4,966 | |
| Portfolio accounting fees | | | 1,986 | |
| Miscellaneous | | | 3,174 | |
| Total liabilities | | | 545,735 | |
| Net assets | | $ | 25,936,220 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 45,967,093 | |
| Accumulated net investment loss | | | (93,368 | ) |
| Accumulated net realized loss on investments | | | (20,226,788 | ) |
| Net unrealized appreciation on investments | | | 289,283 | |
| Net assets | | $ | 25,936,220 | |
| A-Class: | | | | |
| Net assets | | $ | 10,426,952 | |
| Capital shares outstanding | | | 731,651 | |
| Net asset value per share | | $ | 14.25 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 14.96 | |
| C-Class: | | | | |
| Net assets | | $ | 3,529,778 | |
| Capital shares outstanding | | | 263,761 | |
| Net asset value per share | | $ | 13.38 | |
| H-Class: | | | | |
| Net assets | | $ | 11,979,490 | |
| Capital shares outstanding | | | 843,646 | |
| Net asset value per share | | $ | 14.20 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 43,406 | |
| Total investment income | | | 43,406 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 314,535 | |
| Transfer agent and administrative fees | | | 87,371 | |
| Distribution and service fees: | | | | |
| A-Class | | | 16,800 | |
| C-Class | | | 44,140 | |
| H-Class | | | 59,536 | |
| Portfolio accounting fees | | | 34,948 | |
| Custodian fees | | | 5,634 | |
| Trustees’ fees* | | | 5,349 | |
| Miscellaneous | | | 45,695 | |
| Total expenses | | | 614,008 | |
| Net investment loss | | | (570,602 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | 738,134 | |
| Futures contracts | | | 2,110,193 | |
| Net realized gain | | | 2,848,327 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | 207,973 | |
| Futures contracts | | | 827,134 | |
| Net change in unrealized appreciation (depreciation) | | | 1,035,107 | |
| Net realized and unrealized gain | | | 3,883,434 | |
| Net increase in net assets resulting from operations | | $ | 3,312,832 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 211 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (570,602 | ) | | $ | (973,517 | ) |
| Net realized gain (loss) on investments | | | 2,848,327 | | | | (1,112,209 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,035,107 | | | | (261,118 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 3,312,832 | | | | (2,346,844 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 48,521,608 | | | | 111,171,758 | |
| C-Class | | | 34,253,394 | | | | 55,468,750 | |
| H-Class | | | 176,827,477 | | | | 392,571,353 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (45,619,434 | ) | | | (109,893,869 | ) |
| C-Class | | | (34,994,261 | ) | | | (55,198,150 | ) |
| H-Class | | | (189,312,228 | ) | | | (389,702,612 | ) |
| Net increase (decrease) from capital share transactions | | | (10,323,444 | ) | | | 4,417,230 | |
| Net increase (decrease) in net assets | | | (7,010,612 | ) | | | 2,070,386 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 32,946,832 | | | | 30,876,446 | |
| End of year | | $ | 25,936,220 | | | $ | 32,946,832 | |
| Accumulated net investment loss at end of year | | $ | (93,368 | ) | | $ | (260,588 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 3,515,259 | | | | 8,200,309 | |
| C-Class | | | 2,618,502 | | | | 4,391,001 | |
| H-Class | | | 12,735,724 | | | | 29,359,395 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (3,294,726 | ) | | | (8,143,418 | ) |
| C-Class | | | (2,676,528 | ) | | | (4,383,207 | ) |
| H-Class | | | (13,533,620 | ) | | | (29,265,128 | ) |
| Net increase (decrease) in shares | | | (635,389 | ) | | | 158,952 | |
| 212 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.45 | | | $ | 13.46 | | | $ | 16.38 | | | $ | 19.64 | | | $ | 19.85 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.21 | ) | | | (.22 | ) | | | (.25 | ) | | | (.25 | ) | | | .02 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.01 | | | | .21 | | | | (2.67 | ) | | | (3.01 | ) | | | 6.50 | |
| Total from investment operations | | | .80 | | | | (.01 | ) | | | (2.92 | ) | | | (3.26 | ) | | | 6.52 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Net asset value, end of period | | $ | 14.25 | | | $ | 13.45 | | | $ | 13.46 | | | $ | 16.38 | | | $ | 19.64 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 5.95 | % | | | (0.07 | %) | | | (17.83 | %) | | | (16.60 | %) | | | 30.59 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,427 | | | $ | 6,875 | | | $ | 6,115 | | | $ | 16,833 | | | $ | 7,314 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.53 | %) | | | (1.62 | %) | | | (1.55 | %) | | | (1.57 | %) | | | 0.07 | % |
| Total expenses | | | 1.66 | % | | | 1.68 | % | | | 1.71 | % | | | 1.67 | % | | | 1.69 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.71 | | | $ | 12.83 | | | $ | 15.74 | | | $ | 19.01 | | | $ | 19.42 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.30 | ) | | | (.30 | ) | | | (.35 | ) | | | (.36 | ) | | | (.14 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .97 | | | | .18 | | | | (2.56 | ) | | | (2.91 | ) | | | 6.46 | |
| Total from investment operations | | | .67 | | | | (.12 | ) | | | (2.91 | ) | | | (3.27 | ) | | | 6.32 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Net asset value, end of period | | $ | 13.38 | | | $ | 12.71 | | | $ | 12.83 | | | $ | 15.74 | | | $ | 19.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 5.27 | % | | | (0.94 | %) | | | (18.49 | %) | | | (17.20 | %) | | | 30.36 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,530 | | | $ | 4,091 | | | $ | 4,028 | | | $ | 10,594 | | | $ | 5,728 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.29 | %) | | | (2.36 | %) | | | (2.29 | %) | | | (2.31 | %) | | | (0.66 | %) |
| Total expenses | | | 2.42 | % | | | 2.44 | % | | | 2.46 | % | | | 2.42 | % | | | 2.44 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 213 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.39 | | | $ | 13.40 | | | $ | 16.31 | | | $ | 19.56 | | | $ | 19.83 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.21 | ) | | | (.22 | ) | | | (.25 | ) | | | (.25 | ) | | | .02 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.02 | | | | .21 | | | | (2.66 | ) | | | (3.00 | ) | | | 6.44 | |
| Total from investment operations | | | .81 | | | | (.01 | ) | | | (2.91 | ) | | | (3.25 | ) | | | 6.46 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (6.73 | ) |
| Net asset value, end of period | | $ | 14.20 | | | $ | 13.39 | | | $ | 13.40 | | | $ | 16.31 | | | $ | 19.56 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 6.05 | % | | | (0.07 | %) | | | (17.84 | %) | | | (16.62 | %) | | | 30.25 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,979 | | | $ | 21,982 | | | $ | 20,733 | | | $ | 60,944 | | | $ | 22,147 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (1.53 | %) | | | (1.62 | %) | | | (1.55 | %) | | | (1.57 | %) | | | 0.08 | % |
| Total expenses | | | 1.66 | % | | | 1.69 | % | | | 1.72 | % | | | 1.67 | % | | | 1.69 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 214 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| |
| |
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| THE RYDEX FUNDS ANNUAL REPORT | 215 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, Weakening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the U.S. Dollar Index. Weakening Dollar 2x Strategy Fund H-Class returned -10.57%, compared with a return of 5.04% for its benchmark, the U.S. Dollar Index.
Contributing most to performance of the underlying index for the year were the Swedish krona, Canadian dollar and the euro. The Japanese yen, British pound and Swiss franc detracted most from performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | May 25, 2005 |
| C-Class | May 25, 2005 |
| H-Class | May 25, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| 216 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (05/25/05) | |
| A-Class Shares | | | -10.55 | % | | | -6.21 | % | | | 0.16 | % |
| A-Class Shares with sales charge† | | | -14.82 | % | | | -7.12 | % | | | -0.46 | % |
| C-Class Shares | | | -11.24 | % | | | -6.91 | % | | | -0.59 | % |
| C-Class Shares with CDSC‡ | | | -12.13 | % | | | -6.91 | % | | | -0.59 | % |
| H-Class Shares | | | -10.57 | % | | | -6.22 | % | | | 0.15 | % |
| U.S. Dollar Index | | | 5.04 | % | | | 2.94 | % | | | -0.51 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 217 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 99.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 6,516,779 | | | $ | 6,516,779 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 5,346,412 | | | | 5,346,412 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 654,123 | | | | 654,123 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 541,947 | | | | 541,947 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $13,059,261) | | | | | | | 13,059,261 | |
| Total Investments - 99.8% | | | | | | | | |
| (Cost $13,059,261) | | | | | | $ | 13,059,261 | |
| Other Assets & Liabilities, net - 0.2% | | | | | | | 31,772 | |
| Total Net Assets - 100.0% | | | | | | $ | 13,091,033 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| | | | | | | |
| CURRENCY FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 U.S. Dollar Index | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $18,791,900) | | | 226 | | | $ | (52,997 | ) |
| | | | | | | | | |
| | | | Units | | | | | |
| CURRENCY INDEX SWAP AGREEMENTS SOLD SHORT†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| May 2013 U.S. Dollar Index Swap, | | | | | | | | |
| Terminating 05/28/133 | | | | | | | | |
| (Notional Value $7,538,119) | | | 90,788 | | | $ | (62,226 | ) |
| † | 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 March 28, 2013. |
| 3 | Total Return based on U.S. Dollar Index +/- financing at a variable rate. |
| 218 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| weakening DOLLAR 2x STRATEGY fund |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $13,059,261) | | $ | 13,059,261 | |
| Segregated cash with broker | | | 209,950 | |
| Receivables: | | | | |
| Fund shares sold | | | 150,041 | |
| Variation margin | | | 57,646 | |
| Interest | | | 151 | |
| Total assets | | | 13,477,049 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 62,226 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 184,481 | |
| Swap settlement | | | 112,166 | |
| Management fees | | | 11,022 | |
| Distribution and service fees | | | 4,291 | |
| Transfer agent and administrative fees | | | 3,062 | |
| Portfolio accounting fees | | | 1,225 | |
| Miscellaneous | | | 7,543 | |
| Total liabilities | | | 386,016 | |
| Net assets | | $ | 13,091,033 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 28,627,017 | |
| Accumulated net investment loss | | | (68,289 | ) |
| Accumulated net realized loss on investments | | | (15,352,472 | ) |
| Net unrealized depreciation on investments | | | (115,223 | ) |
| Net assets | | $ | 13,091,033 | |
| A-Class: | | | | |
| Net assets | | $ | 1,345,783 | |
| Capital shares outstanding | | | 79,383 | |
| Net asset value per share | | $ | 16.95 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 17.80 | |
| C-Class: | | | | |
| Net assets | | $ | 1,687,290 | |
| Capital shares outstanding | | | 106,834 | |
| Net asset value per share | | $ | 15.79 | |
| H-Class: | | | | |
| Net assets | | $ | 10,057,960 | |
| Capital shares outstanding | | | 594,069 | |
| Net asset value per share | | $ | 16.93 | |
| STATEMENT OF OPERATIONS |
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Interest | | $ | 21,022 | |
| Total investment income | | | 21,022 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 156,449 | |
| Transfer agent and administrative fees | | | 43,458 | |
| Distribution and service fees: | | | | |
| A-Class | | | 6,096 | |
| C-Class | | | 20,502 | |
| H-Class | | | 32,236 | |
| Portfolio accounting fees | | | 17,383 | |
| Custodian fees | | | 2,713 | |
| Trustees’ fees* | | | 2,294 | |
| Miscellaneous | | | 20,459 | |
| Total expenses | | | 301,590 | |
| Net investment loss | | | (280,568 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (253,456 | ) |
| Futures contracts | | | (882,535 | ) |
| Net realized loss | | | (1,135,991 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Swap agreements | | | (188,425 | ) |
| Futures contracts | | | (403,301 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | (591,726 | ) |
| Net realized and unrealized loss | | | (1,727,717 | ) |
| Net decrease in net assets resulting | | | | |
| from operations | | $ | (2,008,285 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 219 |
| weakening DOLLAR 2x STRATEGY fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (280,568 | ) | | $ | (513,901 | ) |
| Net realized loss on investments | | | (1,135,991 | ) | | | (3,045,119 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (591,726 | ) | | | (76,395 | ) |
| Net decrease in net assets resulting from operations | | | (2,008,285 | ) | | | (3,635,415 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 26,292,609 | | | | 16,758,536 | |
| C-Class | | | 5,700,939 | | | | 10,391,984 | |
| H-Class | | | 77,055,138 | | | | 130,852,185 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (27,378,877 | ) | | | (18,584,771 | ) |
| C-Class | | | (6,540,815 | ) | | | (11,302,405 | ) |
| H-Class | | | (79,287,767 | ) | | | (138,192,645 | ) |
| Net decrease from capital share transactions | | | (4,158,773 | ) | | | (10,077,116 | ) |
| Net decrease in net assets | | | (6,167,058 | ) | | | (13,712,531 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 19,258,091 | | | | 32,970,622 | |
| End of year | | $ | 13,091,033 | | | $ | 19,258,091 | |
| Accumulated net investment loss at end of year | | $ | (68,289 | ) | | $ | (90,469 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,439,290 | | | | 825,070 | |
| C-Class | | | 336,378 | | | | 540,579 | |
| H-Class | | | 4,279,770 | | | | 6,509,852 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,511,880 | ) | | | (947,230 | ) |
| C-Class | | | (388,412 | ) | | | (587,844 | ) |
| H-Class | | | (4,401,489 | ) | | | (6,947,445 | ) |
| Net decrease in shares | | | (246,343 | ) | | | (607,018 | ) |
| 220 | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.95 | | | $ | 20.34 | | | $ | 17.98 | | | $ | 16.38 | | | $ | 29.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.28 | ) | | | (.33 | ) | | | (.28 | ) | | | (.30 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.72 | ) | | | (1.06 | ) | | | 2.64 | | | | 1.90 | | | | (8.77 | ) |
| Total from investment operations | | | (2.00 | ) | | | (1.39 | ) | | | 2.36 | | | | 1.60 | | | | (8.84 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (1.28 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (2.77 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (4.05 | ) |
| Net asset value, end of period | | $ | 16.95 | | | $ | 18.95 | | | $ | 20.34 | | | $ | 17.98 | | | $ | 16.38 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (10.55 | %) | | | (6.83 | %) | | | 13.13 | % | | | 9.77 | % | | | (29.87 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,346 | | | $ | 2,881 | | | $ | 5,576 | | | $ | 6,753 | | | $ | 17,642 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.53 | %) | | | (1.62 | %) | | | (1.54 | %) | | | (1.57 | %) | | | (0.30 | %) |
| Total expenses | | | 1.65 | % | | | 1.70 | % | | | 1.71 | % | | | 1.68 | % | | | 1.69 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.79 | | | $ | 19.23 | | | $ | 17.12 | | | $ | 15.73 | | | $ | 28.53 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.38 | ) | | | (.44 | ) | | | (.39 | ) | | | (.43 | ) | | | (.21 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.62 | ) | | | (1.00 | ) | | | 2.50 | | | | 1.82 | | | | (8.54 | ) |
| Total from investment operations | | | (2.00 | ) | | | (1.44 | ) | | | 2.11 | | | | 1.39 | | | | (8.75 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (1.28 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (2.77 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (4.05 | ) |
| Net asset value, end of period | | $ | 15.79 | | | $ | 17.79 | | | $ | 19.23 | | | $ | 17.12 | | | $ | 15.73 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (11.24 | %) | | | (7.49 | %) | | | 12.32 | % | | | 8.84 | % | | | (30.37 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,687 | | | $ | 2,826 | | | $ | 3,963 | | | $ | 5,314 | | | $ | 8,687 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.27 | %) | | | (2.36 | %) | | | (2.29 | %) | | | (2.32 | %) | | | (0.93 | %) |
| Total expenses | | | 2.39 | % | | | 2.44 | % | | | 2.46 | % | | | 2.43 | % | | | 2.45 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 221 |
| 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.93 | | | $ | 20.32 | | | $ | 17.96 | | | $ | 16.37 | | | $ | 29.25 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.27 | ) | | | (.32 | ) | | | (.28 | ) | | | (.30 | ) | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.73 | ) | | | (1.07 | ) | | | 2.64 | | | | 1.89 | | | | (8.80 | ) |
| Total from investment operations | | | (2.00 | ) | | | (1.39 | ) | | | 2.36 | | | | 1.59 | | | | (8.83 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (1.28 | ) |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (2.77 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | — | | | | (4.05 | ) |
| Net asset value, end of period | | $ | 16.93 | | | $ | 18.93 | | | $ | 20.32 | | | $ | 17.96 | | | $ | 16.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (10.57 | %) | | | (6.84 | %) | | | 13.14 | % | | | 9.71 | % | | | (29.86 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,058 | | | $ | 13,551 | | | $ | 23,432 | | | $ | 30,036 | | | $ | 60,249 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.52 | %) | | | (1.61 | %) | | | (1.54 | %) | | | (1.57 | %) | | | (0.13 | %) |
| Total expenses | | | 1.64 | % | | | 1.69 | % | | | 1.71 | % | | | 1.68 | % | | | 1.70 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 222 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 223 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
For the one-year period ended March 28, 2013, Real Estate Fund H-Class gained 15.95%, compared to a gain of 14.94% for the MSCI U.S. REIT Index. The Fund maintained a daily correlation of over 98% to its benchmark.
The Specialized REITs industry contributed most to the performance of the Fund, followed by Retail REITs and Mortgage REITs. There were no detractors from performance, but Real Estate Development Companies and Real Estate Operating Companies contributed least.
The strongest performing holdings included Weyerhaeuser Co., HCP, Inc. and Ventas, Inc. Equity Residential, AvalonBay Communities, Inc. and Altisource Portfolio Solutions SA were the main performance detractors for the year.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | | September 1, 2004 |
| C-Class | | | February 20, 2004 |
| H-Class | | | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Simon Property Group, Inc. | | | 2.8 | % |
| American Tower Corp. — Class A | | | 2.2 | % |
| Public Storage | | | 2.1 | % |
| HCP, Inc. | | | 1.9 | % |
| Ventas, Inc. | | | 1.9 | % |
| Prologis, Inc. | | | 1.8 | % |
| Equity Residential | | | 1.8 | % |
| General Growth Properties, Inc. | | | 1.7 | % |
| Health Care REIT, Inc. | | | 1.7 | % |
| Weyerhaeuser Co. | | | 1.7 | % |
| Top Ten Total | | | 19.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 224 | the RYDEX FUNDS ANNUAL REPORT |
| performance report and FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | |
| Periods Ended 03/28/13 | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 16.03 | % | | | 3.70 | % | | | 4.80 | % |
| A-Class Shares with sales charge† | | | 10.52 | % | | | 2.69 | % | | | 4.20 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| MSCI U.S. REIT Index | | | 14.94 | % | | | 6.78 | % | | | 8.88 | % |
| | | | | | | | | | | | (02/20/04) | |
| C-Class Shares | | | 15.12 | % | | | 2.87 | % | | | 4.44 | % |
| C-Class Shares with CDSC‡ | | | 14.12 | % | | | 2.87 | % | | | 4.44 | % |
| H-Class Shares | | | 15.95 | % | | | 3.67 | % | | | 5.23 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 5.69 | % |
| MSCI U.S. REIT Index | | | 14.94 | % | | | 6.78 | % | | | 9.30 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 225 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| REAL ESTATE fund | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.4% | | | | | | | | |
| | | | | | | | | |
| REAL ESTATE INVESTMENT TRUSTS (REITs) - 90.9% | | | | | | | | |
| SPECIALIZED REITs - 22.2% | | | | | | | | |
| Public Storage | | | 3,605 | | | $ | 549,114 | |
| HCP, Inc. | | | 9,921 | | | | 494,661 | |
| Ventas, Inc. | | | 6,633 | | | | 485,536 | |
| Health Care REIT, Inc. | | | 6,504 | | | | 441,687 | |
| Host Hotels & Resorts, Inc. | | | 20,897 | | | | 365,489 | |
| Plum Creek Timber Company, Inc. | | | 5,866 | | | | 306,205 | |
| Rayonier, Inc. | | | 4,788 | | | | 285,700 | |
| Senior Housing Properties Trust | | | 8,831 | | | | 236,936 | |
| Extra Space Storage, Inc. | | | 5,566 | | | | 218,577 | |
| Omega Healthcare Investors, Inc. | | | 6,468 | | | | 196,368 | |
| Hospitality Properties Trust | | | 6,970 | | | | 191,257 | |
| Healthcare Realty Trust, Inc. | | | 5,873 | | | | 166,734 | |
| Medical Properties Trust, Inc. | | | 10,227 | | | | 164,041 | |
| EPR Properties | | | 3,129 | | | | 162,864 | |
| RLJ Lodging Trust | | | 7,130 | | | | 162,279 | |
| Healthcare Trust of America, Inc. — Class A | | | 13,720 | | | | 161,210 | |
| LaSalle Hotel Properties | | | 6,156 | | | | 156,239 | |
| CubeSmart | | | 9,461 | | | | 149,484 | |
| Sovran Self Storage, Inc. | | | 2,288 | | | | 147,553 | |
| Sunstone Hotel Investors, Inc.* | | | 11,801 | | | | 145,270 | |
| Potlatch Corp. | | | 3,089 | | | | 141,662 | |
| DiamondRock Hospitality Co. | | | 15,013 | | | | 139,771 | |
| Strategic Hotels & Resorts, Inc.* | | | 15,830 | | | | 132,181 | |
| Pebblebrook Hotel Trust | | | 5,090 | | | | 131,271 | |
| Total Specialized REITs | | | | | | | 5,732,089 | |
| Retail REITs - 17.5% | | | | | | | | |
| Simon Property Group, Inc. | | | 4,534 | | | | 718,911 | |
| General Growth Properties, Inc. | | | 22,408 | | | | 445,471 | |
| Kimco Realty Corp. | | | 13,981 | | | | 313,174 | |
| Macerich Co. | | | 4,830 | | | | 310,955 | |
| Realty Income Corp. | | | 6,805 | | | | 308,607 | |
| Federal Realty Investment Trust | | | 2,565 | | | | 277,123 | |
| DDR Corp. | | | 13,827 | | | | 240,866 | |
| Taubman Centers, Inc. | | | 2,959 | | | | 229,796 | |
| Regency Centers Corp. | | | 4,257 | | | | 225,238 | |
| National Retail Properties, Inc. | | | 5,938 | | | | 214,777 | |
| CBL & Associates Properties, Inc. | | | 8,631 | | | | 203,692 | |
| Weingarten Realty Investors | | | 6,433 | | | | 202,961 | |
| Tanger Factory Outlet Centers | | | 5,327 | | | | 192,731 | |
| Retail Properties of America, Inc. — Class A | | | 12,930 | | | | 191,364 | |
| Equity One, Inc. | | | 7,243 | | | | 173,615 | |
| Glimcher Realty Trust | | | 11,483 | | | | 133,203 | |
| Acadia Realty Trust | | | 4,520 | | | | 125,520 | |
| Total Retail REITs | | | | | | | 4,508,004 | |
| Office REITs - 13.4% | | | | | | | | |
| Boston Properties, Inc. | | | 3,895 | | | | 393,628 | |
| Digital Realty Trust, Inc. | | | 4,458 | | | | 298,284 | |
| SL Green Realty Corp. | | | 3,376 | | | | 290,707 | |
| Duke Realty Corp. | | | 14,173 | | | | 240,658 | |
| Alexandria Real Estate Equities, Inc. | | | 3,091 | | | | 219,399 | |
| Kilroy Realty Corp. | | | 3,826 | | | | 200,482 | |
| BioMed Realty Trust, Inc. | | | 8,990 | | | | 194,184 | |
| Douglas Emmett, Inc. | | | 7,720 | | | | 192,460 | |
| Piedmont Office Realty Trust, | | | | | | | | |
| Inc. — Class A | | | 9,526 | | | | 186,614 | |
| Highwoods Properties, Inc. | | | 4,710 | | | | 186,375 | |
| CommonWealth REIT | | | 7,572 | | | | 169,916 | |
| Mack-Cali Realty Corp. | | | 5,685 | | | | 162,648 | |
| Lexington Realty Trust | | | 13,623 | | | | 160,751 | |
| Brandywine Realty Trust | | | 10,429 | | | | 154,871 | |
| Corporate Office Properties Trust | | | 5,694 | | | | 151,916 | |
| Government Properties Income Trust | | | 4,790 | | | | 123,247 | |
| Hudson Pacific Properties, Inc. | | | 5,170 | | | | 112,448 | |
| Total Office REITs | | | | | | | 3,438,588 | |
| Residential REITs - 12.0% | | | | | | | | |
| Equity Residential | | | 8,179 | | | | 450,337 | |
| AvalonBay Communities, Inc. | | | 3,235 | | | | 409,777 | |
| UDR, Inc. | | | 10,418 | | | | 252,011 | |
| Essex Property Trust, Inc. | | | 1,630 | | | | 245,445 | |
| Camden Property Trust | | | 3,560 | | | | 244,501 | |
| American Campus Communities, Inc. | | | 4,983 | | | | 225,929 | |
| Apartment Investment & | | | | | | | | |
| Management Co. — Class A | | | 7,004 | | | | 214,743 | |
| BRE Properties, Inc. | | | 4,055 | | | | 197,397 | |
| Home Properties, Inc. | | | 2,939 | | | | 186,391 | |
| Equity Lifestyle Properties, Inc. | | | 2,411 | | | | 185,165 | |
| Mid-America Apartment | | | | | | | | |
| Communities, Inc. | | | 2,524 | | | | 174,307 | |
| Post Properties, Inc. | | | 3,423 | | | | 161,223 | |
| Education Realty Trust, Inc. | | | 10,590 | | | | 111,513 | |
| Silver Bay Realty Trust Corp. | | | 831 | | | | 17,208 | |
| Total Residential REITs | | | | | | | 3,075,947 | |
| Mortgage REITs - 11.9% | | | | | | | | |
| Annaly Capital Management, Inc. | | | 25,434 | | | | 404,145 | |
| American Capital Agency Corp. | | | 11,243 | | | | 368,546 | |
| Starwood Property Trust, Inc. | | | 7,102 | | | | 197,152 | |
| MFA Financial, Inc. | | | 20,873 | | | | 194,536 | |
| Two Harbors Investment Corp. | | | 15,205 | | | | 191,735 | |
| Invesco Mortgage Capital, Inc. | | | 8,109 | | | | 173,452 | |
| Newcastle Investment Corp. | | | 15,230 | | | | 170,119 | |
| ARMOUR Residential REIT, Inc. | | | 25,780 | | | | 168,343 | |
| Hatteras Financial Corp. | | | 6,107 | | | | 167,515 | |
| CYS Investments, Inc. | | | 12,366 | | | | 145,177 | |
| Redwood Trust, Inc. | | | 5,980 | | | | 138,616 | |
| NorthStar Realty Finance Corp. | | | 14,580 | | | | 138,218 | |
| PennyMac Mortgage Investment Trust | | | 4,940 | | | | 127,897 | |
| American Capital Mortgage | | | | | | | | |
| Investment Corp. | | | 4,900 | | | | 126,665 | |
| Colony Financial, Inc. | | | 5,570 | | | | 123,654 | |
| Capstead Mortgage Corp. | | | 8,795 | | | | 112,752 | |
| iStar Financial, Inc.* | | | 9,140 | | | | 99,535 | |
| Total Mortgage REITs | | | | | | | 3,048,057 | |
| 226 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| REAL ESTATE fund | |
| | | Shares | | | Value | |
| Diversifed REITs - 4.0% | | | | | | | | |
| Vornado Realty Trust | | | 4,881 | | | $ | 408,246 | |
| Liberty Property Trust | | | 5,608 | | | | 222,918 | |
| Colonial Properties Trust | | | 6,401 | | | | 144,727 | |
| Washington Real Estate Investment Trust | | | 5,041 | | | | 140,341 | |
| Cousins Properties, Inc. | | | 10,350 | | | | 110,642 | |
| Total Diversifed REITs | | | | | | | 1,026,874 | |
| Industrial REITs - 3.9% | | | | | | | | |
| Prologis, Inc. | | | 11,269 | | | | 450,534 | |
| DCT Industrial Trust, Inc. | | | 20,010 | | | | 148,074 | |
| First Industrial Realty Trust, Inc. | | | 8,470 | | | | 145,091 | |
| EastGroup Properties, Inc. | | | 2,341 | | | | 136,246 | |
| DuPont Fabros Technology, Inc. | | | 5,439 | | | | 132,005 | |
| Total Industrial REITs | | | | | | | 1,011,950 | |
| Wireless Telecommunication Services - 2.2% | | | | | | | | |
| American Tower Corp. — Class A | | | 7,404 | | | | 569,516 | |
| Forest Products - 1.7% | | | | | | | | |
| Weyerhaeuser Co. | | | 13,619 | | | | 427,364 | |
| Security & Alarm Services - 1.5% | | | | | | | | |
| Corrections Corporation of America | | | 5,270 | | | | 205,899 | |
| Geo Group, Inc. | | | 4,610 | | | | 173,428 | |
| Total Security & Alarm Services | | | | | | | 379,327 | |
| Hotels, Resorts & Cruise Lines - 0.6% | | | | | | | | |
| Ryman Hospitality Properties | | | 3,480 | | | | 159,210 | |
| Total Real Estate Investment Trusts (REITs) | | | | | | | 23,376,926 | |
| Real Estate Management & Development - 8.5% | | | | | | | | |
| Real Estate Services - 3.8% | | | | | | | | |
| CBRE Group, Inc. — Class A* | | | 11,862 | | | | 299,515 | |
| Realogy Holdings Corp.* | | | 5,764 | | | | 281,514 | |
| Jones Lang LaSalle, Inc. | | | 2,178 | | | | 216,515 | |
| Altisource Portfolio Solutions S.A.* | | | 2,405 | | | | 167,749 | |
| Total Real Estate Services | | | | | | | 965,293 | |
| Real Estate Operating Companies - 1.9% | | | | | | | | |
| Brookfield Office Properties, Inc. | | | 17,686 | | | | 303,668 | |
| Forest City Enterprises, Inc. — Class A* | | | 10,605 | | | | 188,451 | |
| Total Real Estate Operating Companies | | | | | | | 492,119 | |
| Diversified Real Estate Activities - 1.5% | | | | | | | | |
| Brookfield Asset Management, | | | | | | | | |
| Inc. — Class A | | | 6,350 | | | | 231,712 | |
| St. Joe Co.* | | | 6,928 | | | | 147,220 | |
| Total Diversified Real Estate Activities | | | | | | | 378,932 | |
| Real Estate Development - 0.7% | | | | | | | | |
| Howard Hughes Corp.* | | | 2,260 | | | | 189,411 | |
| Internet Software & Services - 0.6% | | | | | | | | |
| Zillow, Inc. — Class A*,1 | | | 2,610 | | | | 142,689 | |
| Total Real Estate Management & Development | | | | | | | 2,168,444 | |
| Total Common Stocks | | | | | | | | |
| (Cost $18,542,809) | | | | | | | 25,545,370 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 64,616 | | | | 64,616 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $64,616) | | | | | | | 64,616 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 39,179 | | | | 39,179 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 30,821 | | | | 30,821 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $70,000) | | | | | | | 70,000 | |
| Total Investments - 100.0% | | | | | | | | |
| (Cost $18,677,425) | | | | | | $ | 25,679,986 | |
| Other Assets & Liabilities, net - 0.0% | | | | | | | (1,639 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 25,678,347 | |
| * | 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 March 28, 2013 — 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 ANNUAL REPORT | 227 |
| REAL ESTATE fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $68,338 of | | | | |
| securities loaned | | | | |
| (cost $18,542,809) | | $ | 25,545,370 | |
| Repurchase agreements, at value | | | | |
| (cost $134,616) | | | 134,616 | |
| Total investments | | | | |
| (cost $18,677,425) | | | 25,679,986 | |
| Cash | | | 19,788 | |
| Receivables: | | | | |
| Securities sold | | | 2,955,063 | |
| Fund shares sold | | | 359,798 | |
| Dividends | | | 134,891 | |
| Interest | | | 566 | |
| Total assets | | | 29,150,092 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 3,348,648 | |
| Upon return of securities loaned | | | 70,000 | |
| Management fees | | | 18,610 | |
| Distribution and service fees | | | 7,223 | |
| Transfer agent and administrative fees | | | 5,473 | |
| Portfolio accounting fees | | | 2,190 | |
| Miscellaneous | | | 19,601 | |
| Total liabilities | | | 3,471,745 | |
| Net assets | | $ | 25,678,347 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 38,300,632 | |
| Undistributed net investment income | | | 238,366 | |
| Accumulated net realized loss on investments | | | (19,863,212 | ) |
| Net unrealized appreciation on investments | | | 7,002,561 | |
| Net assets | | $ | 25,678,347 | |
| A-Class: | | | | |
| Net assets | | $ | 12,495,481 | |
| Capital shares outstanding | | | 362,907 | |
| Net asset value per share | | $ | 34.43 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 36.15 | |
| C-Class: | | | | |
| Net assets | | $ | 2,909,805 | |
| Capital shares outstanding | | | 91,250 | |
| Net asset value per share | | $ | 31.89 | |
| H-Class: | | | | |
| Net assets | | $ | 10,273,061 | |
| Capital shares outstanding | | | 298,849 | |
| Net asset value per share | | $ | 34.38 | |
| STATEMENT OF OPERATIONS |
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $2,608) | | $ | 945,828 | |
| Income from securities lending, net | | | 1,912 | |
| Interest | | | 117 | |
| Total investment income | | | 947,857 | |
| Expenses: | | | | |
| Management fees | | | 255,039 | |
| Transfer agent and administrative fees | | | 75,011 | |
| Distribution and service fees: | | | | |
| A-Class | | | 16,795 | |
| C-Class | | | 25,076 | |
| H-Class | | | 51,948 | |
| Portfolio accounting fees | | | 30,004 | |
| Custodian fees | | | 4,853 | |
| Trustees’ fees* | | | 2,536 | |
| Miscellaneous | | | 39,211 | |
| Total expenses | | | 500,473 | |
| Net investment income | | | 447,384 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (718,672 | ) |
| Net realized loss | | | (718,672 | ) |
| Net change in unrealized appreciation | | | | |
| (depreciation) on: | | | | |
| Investments | | | 855,154 | |
| Net change in unrealized appreciation | | | | |
| (depreciation) | | | 855,154 | |
| Net realized and unrealized gain | | | 136,482 | |
| Net increase in net assets resulting | | | | |
| from operations | | $ | 583,866 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 228 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| REAL ESTATE fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 447,384 | | | $ | 265,144 | |
| Net realized loss on investments | | | (718,672 | ) | | | (6,951,187 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 855,154 | | | | (2,024,497 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 583,866 | | | | (8,710,540 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (18,360 | ) | | | (13,842 | ) |
| C-Class | | | (59,353 | ) | | | (19,533 | ) |
| H-Class | | | (292,727 | ) | | | (77,240 | ) |
| Total distributions to shareholders | | | (370,440 | ) | | | (110,615 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 58,943,343 | | | | 13,167,117 | |
| C-Class | | | 43,646,934 | | | | 67,554,814 | |
| H-Class | | | 191,827,597 | | | | 222,385,631 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 16,977 | | | | 13,078 | |
| C-Class | | | 57,394 | | | | 18,741 | |
| H-Class | | | 290,464 | | | | 76,349 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (48,200,407 | ) | | | (14,286,238 | ) |
| C-Class | | | (42,855,707 | ) | | | (68,113,410 | ) |
| H-Class | | | (195,933,585 | ) | | | (222,715,004 | ) |
| Net increase (decrease) from capital share transactions | | | 7,793,010 | | | | (1,898,922 | ) |
| Net increase (decrease) in net assets | | | 8,006,436 | | | | (10,720,077 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 17,671,911 | | | | 28,391,988 | |
| End of year | | $ | 25,678,347 | | | $ | 17,671,911 | |
| Undistributed net investment income at end of year | | $ | 238,366 | | | $ | 156,672 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,864,738 | | | | 458,395 | |
| C-Class | | | 1,492,700 | | | | 2,537,675 | |
| H-Class | | | 6,095,718 | | | | 7,867,436 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 557 | | | | 521 | |
| C-Class | | | 2,027 | | | | 797 | |
| H-Class | | | 9,539 | | | | 3,047 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,580,487 | ) | | | (518,172 | ) |
| C-Class | | | (1,467,018 | ) | | | (2,560,890 | ) |
| H-Class | | | (6,253,367 | ) | | | (8,183,044 | ) |
| Net increase (decrease) in shares | | | 164,407 | | | | (394,235 | ) |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 229 |
| REAL ESTATE fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.27 | | | $ | 29.06 | | | $ | 24.24 | | | $ | 12.83 | | | $ | 32.42 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .58 | | | | .45 | | | | .27 | | | | .44 | | | | .74 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.18 | | | | 1.07 | | | | 5.17 | | | | 11.11 | | | | (19.43 | ) |
| Total from investment operations | | | 4.76 | | | | 1.52 | | | | 5.44 | | | | 11.55 | | | | (18.69 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Total distributions | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Net asset value, end of period | | $ | 34.43 | | | $ | 30.27 | | | $ | 29.06 | | | $ | 24.24 | | | $ | 12.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.03 | % | | | 5.42 | % | | | 22.72 | % | | | 90.16 | % | | | (58.00 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,495 | | | $ | 2,364 | | | $ | 3,991 | | | $ | 4,303 | | | $ | 1,554 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.82 | % | | | 1.59 | % | | | 1.07 | % | | | 2.15 | % | | | 2.81 | % |
| Total expenses | | | 1.61 | % | | | 1.61 | % | | | 1.63 | % | | | 1.65 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 699 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.29 | | | $ | 27.41 | | | $ | 23.11 | | | $ | 12.33 | | | $ | 31.44 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .27 | | | | .22 | | | | .10 | | | | .40 | | | | .66 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.93 | | | | .97 | | | | 4.82 | | | | 10.52 | | | | (18.87 | ) |
| Total from investment operations | | | 4.20 | | | | 1.19 | | | | 4.92 | | | | 10.92 | | | | (18.21 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Total distributions | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Net asset value, end of period | | $ | 31.89 | | | $ | 28.29 | | | $ | 27.41 | | | $ | 23.11 | | | $ | 12.33 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 15.12 | % | | | 4.57 | % | | | 21.58 | % | | | 88.70 | % | | | (58.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,910 | | | $ | 1,798 | | | $ | 2,356 | | | $ | 2,143 | | | $ | 1,075 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.92 | % | | | 0.83 | % | | | 0.42 | % | | | 2.06 | % | | | 2.62 | % |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.41 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 699 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % |
| 230 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| REAL ESTATE fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.23 | | | $ | 29.02 | | | $ | 24.22 | | | $ | 12.82 | | | $ | 32.40 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .46 | | | | .42 | | | | .29 | | | | .50 | | | | .61 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.29 | | | | 1.10 | | | | 5.13 | | | | 11.04 | | | | (19.29 | ) |
| Total from investment operations | | | 4.75 | | | | 1.52 | | | | 5.42 | | | | 11.54 | | | | (18.68 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Total distributions | | | (.60 | ) | | | (.31 | ) | | | (.62 | ) | | | (.14 | ) | | | (.90 | ) |
| Net asset value, end of period | | $ | 34.38 | | | $ | 30.23 | | | $ | 29.02 | | | $ | 24.22 | | | $ | 12.82 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 15.95 | % | | | 5.42 | % | | | 22.70 | % | | | 90.15 | % | | | (58.01 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,273 | | | $ | 13,511 | | | $ | 22,045 | | | $ | 34,926 | | | $ | 1,757 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.45 | % | | | 1.48 | % | | | 1.13 | % | | | 2.41 | % | | | 2.14 | % |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.63 | % | | | 1.68 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 699 | % | | | 974 | % | | | 485 | % | | | 1,520 | % | | | 780 | % |
| a | Net investment income per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 231 |
| performance report and FUND PROFILE (Unaudited) | March 28, 2013 |
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.
For the one-year period ended March 28, 2013, the Government Long Bond 1.2x Strategy Fund Investor Class returned 10.63%. The price movement of the Long Treasury Bond was 4.81% for the same period. The Fund maintained a daily correlation of over 98% to its benchmark.
At the beginning of the period, the yield on the 30-year bond was 3.33%. Shortly thereafter, on April 3, 2012, the long bond also reached its highest yield for the period, at 3.45%. The long bond rallied from April through July and hit its lowest yield for the period on July 25, 2012, at 2.45%. A mix of positive and negative economic news resulted in significant volatility from August through the rest of the period, affording sporadic and temporary investment opportunities in the Fund. At the end of the period, March 28, 2013, the yield on the long bond was 3.10%.
Derivatives in the Fund are used to provide additional exposure to composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| Investor Class | | | January 3, 1994 |
| Advisor Class | | | August 1, 2003 |
| A-Class | | | March 31, 2004 |
| C-Class | | | May 2, 2001 |
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.
| 232 | the RYDEX FUNDS ANNUAL REPORT |
| performance report and FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 10.63 | % | | | 9.41 | % | | | 7.38 | % |
| C-Class Shares | | | 9.69 | % | | | 8.35 | % | | | 6.30 | % |
| C-Class Shares with CDSC‡ | | | 8.69 | % | | | 8.35 | % | | | 6.30 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -0.79 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 7.24 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | | | | | | | (08/01/03) | |
| Advisor Class Shares | | | 10.21 | % | | | 8.85 | % | | | 7.92 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -0.59 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 8.04 | % |
| | | | | | | | | | | | (03/31/04) | |
| A-Class Shares | | | 10.62 | % | | | 9.20 | % | | | 7.44 | % |
| A-Class Shares with sales charge† | | | 5.39 | % | | | 8.14 | % | | | 6.86 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -1.62 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 7.33 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Barclays Long Treasury Bond Index and Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| ** | Does not reflect any interest. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| the RYDEX FUNDS ANNUAL REPORT | 233 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| GOVERNMENT LONG BOND 1.2x strategy FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| U.S. GOVERNMENT SECURITIES† - 58.1% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 3.12% due 02/15/43 | | $ | 235,322,000 | | | $ | 235,763,228 | |
| Total U.S. Government Securities | | | | | | | | |
| (Cost $233,492,612) | | | | | | | 235,763,228 | |
| REPURCHASE AGREEMENTS††,1 - 38.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 82,890,149 | | | | 82,890,149 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 68,003,667 | | | | 68,003,667 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 6,893,299 | | | | 6,893,299 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $157,787,115) | | | | | | | 157,787,115 | |
| Total Investments - 97.0% | | | | | | | | |
| (Cost $391,279,727) | | | | | | $ | 393,550,343 | |
| Other Assets & Liabilities, net - 3.0% | | | | | | | 12,163,558 | |
| Total Net Assets - 100.0% | | | | | | $ | 405,713,901 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 U.S. Treasury Ultra Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $286,190,250) | | | 1,816 | | | $ | (817,414 | ) |
| † | 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. |
| 234 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $233,492,612) | | $ | 235,763,228 | |
| Repurchase agreements, at value | | | | |
| (cost $157,787,115) | | | 157,787,115 | |
| Total investments | | | | |
| (cost $391,279,727) | | | 393,550,343 | |
| Segregated cash with broker | | | 6,946,200 | |
| Receivables: | | | | |
| Securities sold | | | 27,451,375 | |
| Fund shares sold | | | 2,215,524 | |
| Interest | | | 1,022,417 | |
| Total assets | | | 431,185,859 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 23,887,759 | |
| Variation margin | | | 1,078,250 | |
| Management fees | | | 176,684 | |
| Transfer agent and administrative fees | | | 70,675 | |
| Distribution and service fees | | | 53,636 | |
| Portfolio accounting fees | | | 31,811 | |
| Miscellaneous | | | 173,143 | |
| Total liabilities | | | 25,471,958 | |
| Net assets | | $ | 405,713,901 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 408,104,703 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (3,844,004 | ) |
| Net unrealized appreciation on investments | | | 1,453,202 | |
| Net assets | | $ | 405,713,901 | |
| Investor Class: | | | | |
| Net assets | | $ | 281,799,800 | |
| Capital shares outstanding | | | 17,411,672 | |
| Net asset value per share | | $ | 16.18 | |
| Advisor Class: | | | | |
| Net assets | | $ | 103,844,512 | |
| Capital shares outstanding | | | 6,459,902 | |
| Net asset value per share | | $ | 16.08 | |
| A-Class: | | | | |
| Net assets | | $ | 15,476,064 | |
| Capital shares outstanding | | | 952,746 | |
| Net asset value per share | | $ | 16.24 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 17.05 | |
| C-Class: | | | | |
| Net assets | | $ | 4,593,525 | |
| Capital shares outstanding | | | 284,105 | |
| Net asset value per share | | $ | 16.17 | |
| STATEMENT OF OPERATIONS |
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Interest | | $ | 5,617,238 | |
| Income from securities lending, net | | | 596 | |
| Total investment income | | | 5,617,834 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 1,341,741 | |
| Transfer agent and administrative fees | | | 536,700 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 419,387 | |
| A-Class | | | 16,997 | |
| C-Class | | | 52,633 | |
| Portfolio accounting fees | | | 249,785 | |
| Custodian fees | | | 40,012 | |
| Trustees’ fees* | | | 23,810 | |
| Miscellaneous | | | 342,803 | |
| Total expenses | | | 3,023,868 | |
| Net investment income | | | 2,593,966 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 13,799,962 | |
| Futures contracts | | | 13,326,422 | |
| Net realized gain | | | 27,126,384 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 2,126,991 | |
| Futures contracts | | | (1,030,138 | ) |
| Net change in unrealized appreciation (depreciation) | | | 1,096,853 | |
| Net realized and unrealized gain | | | 28,223,237 | |
| Net increase in net assets resulting from operations | | $ | 30,817,203 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 235 |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 2,593,966 | | | $ | 3,518,295 | |
| Net realized gain on investments | | | 27,126,384 | | | | 37,622,236 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,096,853 | | | | (1,174,151 | ) |
| Net increase in net assets resulting from operations | | | 30,817,203 | | | | 39,966,380 | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (2,127,527 | ) | | | (1,811,096 | ) |
| Advisor Class | | | (551,392 | ) | | | (1,508,473 | ) |
| A-Class | | | (66,997 | ) | | | (113,166 | ) |
| C-Class | | | (24,074 | ) | | | (78,463 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (623,474 | ) | | | — | |
| Advisor Class | | | (95,242 | ) | | | — | |
| A-Class | | | (10,206 | ) | | | — | |
| C-Class | | | (24,298 | ) | | | — | |
| Total distributions to shareholders | | | (3,523,210 | ) | | | (3,511,198 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 4,398,937,441 | | | | 1,675,880,698 | |
| Advisor Class | | | 2,577,283,551 | | | | 2,528,532,134 | |
| A-Class | | | 169,090,892 | | | | 51,950,833 | |
| C-Class | | | 58,589,050 | | | | 81,980,435 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 2,688,476 | | | | 1,774,830 | |
| Advisor Class | | | 641,252 | | | | 1,506,029 | |
| A-Class | | | 50,869 | | | | 75,151 | |
| C-Class | | | 44,860 | | | | 71,194 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (4,168,594,233 | ) | | | (1,691,477,174 | ) |
| Advisor Class | | | (2,508,113,796 | ) | | | (2,570,913,999 | ) |
| A-Class | | | (163,895,099 | ) | | | (45,216,771 | ) |
| C-Class | | | (58,947,953 | ) | | | (84,944,406 | ) |
| Net increase (decrease) from capital share transactions | | | 307,775,310 | | | | (50,781,046 | ) |
| Net increase (decrease) in net assets | | | 335,069,303 | | | | (14,325,864 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 70,644,598 | | | | 84,970,462 | |
| End of year | | $ | 405,713,901 | | | $ | 70,644,598 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 164,097 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 263,692,387 | | | | 113,773,929 | |
| Advisor Class | | | 158,020,133 | | | | 180,330,851 | |
| A-Class | | | 10,204,545 | | | | 3,367,899 | |
| C-Class | | | 3,483,146 | | | | 5,659,684 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 156,605 | | | | 124,695 | |
| Advisor Class | | | 37,497 | | | | 107,513 | |
| A-Class | | | 2,987 | | | | 5,334 | |
| C-Class | | | 2,617 | | | | 5,263 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (249,368,699 | ) | | | (114,879,517 | ) |
| Advisor Class | | | (152,382,645 | ) | | | (182,419,554 | ) |
| A-Class | | | (9,984,222 | ) | | | (2,884,296 | ) |
| C-Class | | | (3,500,820 | ) | | | (5,899,279 | ) |
| Net increase (decrease) in shares | | | 20,363,531 | | | | (2,707,478 | ) |
| 236 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.91 | | | $ | 11.43 | | | $ | 10.96 | | | $ | 13.74 | | | $ | 11.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .19 | | | | .32 | | | | .36 | | | | .36 | | | | .36 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.40 | | | | 3.48 | | | | .47 | | | | (2.78 | ) | | | 1.97 | |
| Total from investment operations | | | 1.59 | | | | 3.80 | | | | .83 | | | | (2.42 | ) | | | 2.33 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.24 | ) | | | (.32 | ) | | | (.36 | ) | | | (.36 | ) | | | (.37 | ) |
| Net realized gains | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.32 | ) | | | (.32 | ) | | | (.36 | ) | | | (.36 | ) | | | (.37 | ) |
| Net asset value, end of period | | $ | 16.18 | | | $ | 14.91 | | | $ | 11.43 | | | $ | 10.96 | | | $ | 13.74 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 10.63 | % | | | 33.38 | % | | | 7.42 | % | | | (17.71 | %) | | | 20.17 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 281,800 | | | $ | 43,709 | | | $ | 44,707 | | | $ | 282,388 | | | $ | 43,237 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.15 | % | | | 2.24 | % | | | 3.03 | % | | | 3.16 | % | | | 2.79 | % |
| Total expenses | | | 0.95 | % | | | 0.95 | % | | | 0.98 | % | | | 0.98 | % | | | 0.98 | % |
| Portfolio turnover rate | | | 1,759 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.78 | | | $ | 11.36 | | | $ | 10.88 | | | $ | 13.66 | | | $ | 11.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .11 | | | | .25 | | | | .31 | | | | .32 | | | | .31 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.42 | | | | 3.42 | | | | .47 | | | | (2.80 | ) | | | 1.93 | |
| Total from investment operations | | | 1.53 | | | | 3.67 | | | | .78 | | | | (2.48 | ) | | | 2.24 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.15 | ) | | | (.25 | ) | | | (.30 | ) | | | (.30 | ) | | | (.30 | ) |
| Net realized gains | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.23 | ) | | | (.25 | ) | | | (.30 | ) | | | (.30 | ) | | | (.30 | ) |
| Net asset value, end of period | | $ | 16.08 | | | $ | 14.78 | | | $ | 11.36 | | | $ | 10.88 | | | $ | 13.66 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 10.21 | % | | | 32.56 | % | | | 7.03 | % | | | (18.18 | %) | | | 19.49 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 103,845 | | | $ | 11,600 | | | $ | 31,420 | | | $ | 28,990 | | | $ | 7,867 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.63 | % | | | 1.77 | % | | | 2.46 | % | | | 2.76 | % | | | 2.49 | % |
| Total expenses | | | 1.43 | % | | | 1.45 | % | | | 1.48 | % | | | 1.48 | % | | | 1.48 | % |
| Portfolio turnover rate | | | 1,759 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 237 |
| GOVERNMENT LONG BOND 1.2x strategy FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.92 | | | $ | 11.45 | | | $ | 10.96 | | | $ | 13.75 | | | $ | 11.79 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .16 | | | | .29 | | | | .33 | | | | .33 | | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.43 | | | | 3.47 | | | | .49 | | | | (2.79 | ) | | | 1.95 | |
| Total from investment operations | | | 1.59 | | | | 3.76 | | | | .82 | | | | (2.46 | ) | | | 2.29 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.19 | ) | | | (.29 | ) | | | (.33 | ) | | | (.33 | ) | | | (.33 | ) |
| Net realized gains | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.27 | ) | | | (.29 | ) | | | (.33 | ) | | | (.33 | ) | | | (.33 | ) |
| Net asset value, end of period | | $ | 16.24 | | | $ | 14.92 | | | $ | 11.45 | | | $ | 10.96 | | | $ | 13.75 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 10.62 | % | | | 33.00 | % | | | 7.35 | % | | | (17.98 | %) | | | 19.84 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 15,476 | | | $ | 10,885 | | | $ | 2,753 | | | $ | 5,576 | | | $ | 11,119 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.94 | % | | | 2.02 | % | | | 2.75 | % | | | 2.84 | % | | | 2.74 | % |
| Total expenses | | | 1.20 | % | | | 1.20 | % | | | 1.23 | % | | | 1.24 | % | | | 1.23 | % |
| Portfolio turnover rate | | | 1,759 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.88 | | | $ | 11.42 | | | $ | 10.94 | | | $ | 13.72 | | | $ | 11.77 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .05 | | | | .19 | | | | .24 | | | | .25 | | | | .25 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.40 | | | | 3.45 | | | | .48 | | | | (2.78 | ) | | | 1.94 | |
| Total from investment operations | | | 1.45 | | | | 3.64 | | | | .72 | | | | (2.53 | ) | | | 2.19 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.08 | ) | | | (.18 | ) | | | (.24 | ) | | | (.25 | ) | | | (.24 | ) |
| Net realized gains | | | (.08 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.16 | ) | | | (.18 | ) | | | (.24 | ) | | | (.25 | ) | | | (.24 | ) |
| Net asset value, end of period | | $ | 16.17 | | | $ | 14.88 | | | $ | 11.42 | | | $ | 10.94 | | | $ | 13.72 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 9.69 | % | | | 32.01 | % | | | 6.47 | % | | | (18.56 | %) | | | 18.90 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,594 | | | $ | 4,451 | | | $ | 6,091 | | | $ | 12,695 | | | $ | 5,502 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.31 | % | | | 1.32 | % | | | 1.93 | % | | | 2.17 | % | | | 2.00 | % |
| Total expenses | | | 1.94 | % | | | 1.95 | % | | | 1.97 | % | | | 2.00 | % | | | 1.97 | % |
| Portfolio turnover rate | | | 1,759 | % | | | 2,322 | % | | | 1,930 | % | | | 1,503 | % | | | 1,794 | % |
| a | Net investment income per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 238 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| THE RYDEX FUNDS ANNUAL REPORT | 239 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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 contract on a specified debt instrument on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 28, 2013, the Inverse Government Long Bond Strategy Fund Investor Class returned -9.10%. The price movement of the Long Treasury Bond was 4.81% for the same period. The Fund maintained a daily correlation of over 98% to its benchmark.
At the beginning of the period, the yield on the 30-year bond was 3.33%. Shortly thereafter, on April 3, 2012, the long bond also reached its high-est yield for the period, at 3.45%. The long bond rallied from April through July and hit its lowest yield for the period on July 25, 2012, at 2.45%. A mix of positive and negative economic news resulted in significant volatility from August through the rest of the period, affording sporadic and temporary investment opportunities in the Fund. At the end of the period, March 28, 2013, the yield on the long bond was 3.10%.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | March 3, 1995 |
| Advisor Class | August 1, 2003 |
| A-Class | March 31, 2004 |
| C-Class | March 28, 2001 |
The Fund invests principally in short sales and derivative investments such as futures contracts.
| 240 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | -9.10 | % | | | -12.16 | % | | | -7.80 | % |
| C-Class Shares | | | -10.06 | % | | | -13.05 | % | | | -8.73 | % |
| C-Class Shares with CDSC‡ | | | -10.96 | % | | | -13.05 | % | | | -8.73 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -0.79 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 7.24 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | | | | | | | (08/01/03) | |
| Advisor Class Shares | | | -9.64 | % | | | -12.67 | % | | | -9.06 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -0.59 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 8.04 | % |
| | | | | | | | | (03/31/04) | |
| A-Class Shares | | | -9.43 | % | | | -12.40 | % | | | -8.15 | % |
| A-Class Shares with sales charge† | | | -13.72 | % | | | -13.25 | % | | | -8.64 | % |
| Daily Price Movement of Long Treasury Bond** | | | 4.81 | % | | | -0.24 | % | | | -1.62 | % |
| Barclays Long Treasury Bond Index | | | 7.31 | % | | | 8.34 | % | | | 7.33 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Barclays Long Treasury Bond Index and Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| ** | Does not reflect any interest. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 241 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 53.3% | | | | | | | | |
| Farmer Mac1 | | | | | | | | |
| 0.01% due 04/01/13 | | $ | 100,000,000 | | | $ | 100,000,000 | |
| Freddie Mac2 | | | | | | | | |
| 0.09% due 08/27/13 | | | 15,000,000 | | | | 14,994,930 | |
| 0.12% due 10/16/13 | | | 15,000,000 | | | | 14,991,585 | |
| Total Freddie Mac | | | | | | | 29,986,515 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $129,982,492) | | | | | | | 129,986,515 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS†† - 107.3% | | | | | | | | |
| Individual Repurchase Agreement3 | | | | | | | | |
| Barclays Capital issued 03/28/13 | | | | | | | | |
| at 0.05% due 04/01/13 | | | | | | | | |
| (secured by a U.S. Treasury | | | | | | | | |
| Bond, at a rate of 3.13% and | | | | | | | | |
| maturing 02/15/43 as collateral, | | | | | | | | |
| with a value of $147,814,056) | | | | | | | | |
| to be repurchased at $144,879,305 | | | 144,878,500 | | | | 144,878,500 | |
| Joint Repurchase Agreements4 | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 61,333,354 | | | | 61,333,354 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 50,318,319 | | | | 50,318,319 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 5,100,596 | | | | 5,100,596 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $261,630,769) | | | | | | | 261,630,769 | |
| Total Long Investments - 160.6% | | | | | | | | |
| (Cost $391,613,261) | | | | | | $ | 391,617,284 | |
| | | | | | | | | |
| U.S. GOVERNMENT SECURITIES SOLD SHORT† - (60.1)% | | | | | | | | |
| U.S. Treasury Bond | | | | | | | | |
| 3.13% due 02/15/43 | | | 146,376,000 | | | | (146,650,455 | ) |
| Total U.S. Government Securities Sold Short | | | | | | | | |
| (Proceeds $145,444,053) | | | | | | | (146,650,455 | ) |
| Other Assets & Liabilities, net - (0.5)% | | | | | | | (1,206,058 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 243,760,771 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 U.S. Treasury Ultra Long Bond | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $111,418,781) | | | 707 | | | $ | (204,348 | ) |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| 1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
| 3 | All or a portion of this security is pledged as short collateral at March 28, 2013. |
| 4 | Repurchase Agreements — See Note 5. |
| 242 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $129,982,492) | | $ | 129,986,515 | |
| Repurchase agreements, at value | | | | |
| (cost $261,630,769) | | | 261,630,769 | |
| Total investments | | | | |
| (cost $391,613,261) | | | 391,617,284 | |
| Segregated cash with broker | | | 2,704,275 | |
| Receivables: | | | | |
| Fund shares sold | | | 650,225 | |
| Variation margin | | | 419,782 | |
| Interest | | | 2,158 | |
| Total assets | | | 395,393,724 | |
| Liabilities: | | | | |
| Securities sold short, at value | | | | |
| (proceeds $145,444,053) | | | 146,650,455 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 3,640,381 | |
| Accrued interest | | | 569,788 | |
| Securities purchased | | | 300,563 | |
| Management fees | | | 192,317 | |
| Distribution and service fees | | | 60,219 | |
| Transfer agent and administrative fees | | | 53,421 | |
| Portfolio accounting fees | | | 21,282 | |
| Miscellaneous | | | 144,527 | |
| Total liabilities | | | 151,632,953 | |
| Net assets | | $ | 243,760,771 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 702,274,047 | |
| Accumulated net investment loss | | | (2,708,996 | ) |
| Accumulated net realized loss on investments | | | (454,397,553 | ) |
| Net unrealized depreciation on investments | | | (1,406,727 | ) |
| Net assets | | $ | 243,760,771 | |
| Investor Class: | | | | |
| Net assets | | $ | 143,738,815 | |
| Capital shares outstanding | | | 16,356,647 | |
| Net asset value per share | | $ | 8.79 | |
| Advisor Class: | | | | |
| Net assets | | $ | 11,776,358 | |
| Capital shares outstanding | | | 1,411,432 | |
| Net asset value per share | | $ | 8.34 | |
| A-Class: | | | | |
| Net assets | | $ | 32,841,738 | |
| Capital shares outstanding | | | 3,839,534 | |
| Net asset value per share | | $ | 8.55 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 8.98 | |
| C-Class: | | | | |
| Net assets | | $ | 55,403,860 | |
| Capital shares outstanding | | | 7,116,793 | |
| Net asset value per share | | $ | 7.78 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 593,462 | |
| Total investment income | | | 593,462 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 3,143,775 | |
| Transfer agent and administrative fees | | | 873,269 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 239,463 | |
| A-Class | | | 79,702 | |
| C-Class | | | 577,922 | |
| Portfolio accounting fees | | | 320,684 | |
| Short interest expense | | | 5,698,603 | |
| Custodian fees | | | 54,922 | |
| Trustees’ fees* | | | 41,058 | |
| Miscellaneous | | | 439,354 | |
| Total expenses | | | 11,468,752 | |
| Net investment loss | | | (10,875,290 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Futures contracts | | | (3,290,314 | ) |
| Securities sold short | | | (14,418,194 | ) |
| Net realized loss | | | (17,708,508 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (29,993 | ) |
| Securities sold short | | | (17,699,461 | ) |
| Futures contracts | | | (6,675,896 | ) |
| Net change in unrealized appreciation (depreciation) | | | (24,405,350 | ) |
| Net realized and unrealized loss | | | (42,113,858 | ) |
| Net decrease in net assets resulting from operations | | $ | (52,989,148 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 243 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (10,875,290 | ) | | $ | (20,138,267 | ) |
| Net realized loss on investments | | | (17,708,508 | ) | | | (172,237,958 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (24,405,350 | ) | | | 33,194,914 | |
| Net decrease in net assets resulting from operations | | | (52,989,148 | ) | | | (159,181,311 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 3,594,467,805 | | | | 1,308,403,784 | |
| Advisor Class | | | 2,168,935,484 | | | | 2,192,757,950 | |
| A-Class | | | 100,243,846 | | | | 22,252,450 | |
| C-Class | | | 19,297,982 | | | | 43,128,478 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (3,668,091,952 | ) | | | (1,366,228,209 | ) |
| Advisor Class | | | (2,344,063,973 | ) | | | (2,029,756,332 | ) |
| A-Class | | | (101,709,475 | ) | | | (39,208,507 | ) |
| C-Class | | | (26,000,280 | ) | | | (57,271,653 | ) |
| Net increase (decrease) from capital share transactions | | | (256,920,563 | ) | | | 74,077,961 | |
| Net decrease in net assets | | | (309,909,711 | ) | | | (85,103,350 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 553,670,482 | | | | 638,773,832 | |
| End of year | | $ | 243,760,771 | | | $ | 553,670,482 | |
| Accumulated net investment loss at end of year | | $ | (2,708,996 | ) | | $ | (4,115,790 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 415,498,961 | | | | 131,857,730 | |
| Advisor Class | | | 260,105,303 | | | | 224,370,362 | |
| A-Class | | | 11,795,275 | | | | 2,217,179 | |
| C-Class | | | 2,497,307 | | | | 4,392,197 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (424,741,010 | ) | | | (137,294,023 | ) |
| Advisor Class | | | (280,261,535 | ) | | | (206,359,255 | ) |
| A-Class | | | (11,940,868 | ) | | | (3,972,717 | ) |
| C-Class | | | (3,412,838 | ) | | | (6,045,734 | ) |
| Net increase (decrease) in shares | | | (30,459,405 | ) | | | 9,165,739 | |
| 244 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.67 | | | $ | 13.08 | | | $ | 14.65 | | | $ | 13.32 | | | $ | 16.81 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.24 | ) | | | (.43 | ) | | | (.62 | ) | | | (.33 | ) | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.64 | ) | | | (2.98 | ) | | | (.95 | ) | | | 1.66 | | | | (3.38 | ) |
| Total from investment operations | | | (.88 | ) | | | (3.41 | ) | | | (1.57 | ) | | | 1.33 | | | | (3.49 | ) |
| Net asset value, end of period | | $ | 8.79 | | | $ | 9.67 | | | $ | 13.08 | | | $ | 14.65 | | | $ | 13.32 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (9.10 | %) | | | (26.07 | %) | | | (10.72 | %) | | | 9.98 | % | | | (20.76 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 143,739 | | | $ | 247,454 | | | $ | 406,031 | | | $ | 376,574 | | | $ | 269,155 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.82 | %) | | | (3.99 | %) | | | (4.78 | %) | | | (2.23 | %) | | | (0.72 | %) |
| Total expensesc | | | 2.99 | % | | | 4.13 | % | | | 5.06 | % | | | 2.53 | % | | | 2.80 | % |
| Portfolio turnover rate | | | 1,309 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.23 | | | $ | 12.60 | | | $ | 14.17 | | | $ | 12.95 | | | $ | 16.41 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.27 | ) | | | (.41 | ) | | | (.66 | ) | | | (.39 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | (2.96 | ) | | | (.91 | ) | | | 1.61 | | | | (3.28 | ) |
| Total from investment operations | | | (.89 | ) | | | (3.37 | ) | | | (1.57 | ) | | | 1.22 | | | | (3.46 | ) |
| Net asset value, end of period | | $ | 8.34 | | | $ | 9.23 | | | $ | 12.60 | | | $ | 14.17 | | | $ | 12.95 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (9.64 | %) | | | (26.75 | %) | | | (11.08 | %) | | | 9.42 | % | | | (21.08 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,776 | | | $ | 199,137 | | | $ | 44,798 | | | $ | 66,668 | | | $ | 35,153 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (3.29 | %) | | | (4.22 | %) | | | (5.28 | %) | | | (2.79 | %) | | | (1.19 | %) |
| Total expensesc | | | 3.45 | % | | | 4.38 | % | | | 5.56 | % | | | 3.09 | % | | | 3.36 | % |
| Portfolio turnover rate | | | 1,309 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 245 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.44 | | | $ | 12.80 | | | $ | 14.36 | | | $ | 13.10 | | | $ | 16.57 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.27 | ) | | | (.45 | ) | | | (.64 | ) | | | (.35 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.62 | ) | | | (2.91 | ) | | | (.92 | ) | | | 1.61 | | | | (3.32 | ) |
| Total from investment operations | | | (.89 | ) | | | (3.36 | ) | | | (1.56 | ) | | | 1.26 | | | | (3.47 | ) |
| Net asset value, end of period | | $ | 8.55 | | | $ | 9.44 | | | $ | 12.80 | | | $ | 14.36 | | | $ | 13.10 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (9.43 | %) | | | (26.25 | %) | | | (10.86 | %) | | | 9.62 | % | | | (20.94 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 32,842 | | | $ | 37,607 | | | $ | 73,475 | | | $ | 80,151 | | | $ | 54,574 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (3.20 | %) | | | (4.24 | %) | | | (5.03 | %) | | | (2.47 | %) | | | (0.94 | %) |
| Total expensesc | | | 3.37 | % | | | 4.38 | % | | | 5.31 | % | | | 2.77 | % | | | 3.00 | % |
| Portfolio turnover rate | | | 1,309 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 8.65 | | | $ | 11.82 | | | $ | 13.36 | | | $ | 12.28 | | | $ | 15.65 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.30 | ) | | | (.48 | ) | | | (.68 | ) | | | (.43 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.57 | ) | | | (2.69 | ) | | | (.86 | ) | | | 1.51 | | | | (3.12 | ) |
| Total from investment operations | | | (.87 | ) | | | (3.17 | ) | | | (1.54 | ) | | | 1.08 | | | | (3.37 | ) |
| Net asset value, end of period | | $ | 7.78 | | | $ | 8.65 | | | $ | 11.82 | | | $ | 13.36 | | | $ | 12.28 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (10.06 | %) | | | (26.82 | %) | | | (11.53 | %) | | | 8.79 | % | | | (21.53 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 55,404 | | | $ | 69,472 | | | $ | 114,470 | | | $ | 140,451 | | | $ | 123,413 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (3.96 | %) | | | (4.98 | %) | | | (5.78 | %) | | | (3.17 | %) | | | (1.70 | %) |
| Total expensesc | | | 4.13 | % | | | 5.12 | % | | | 6.06 | % | | | 3.47 | % | | | 3.81 | % |
| Portfolio turnover rate | | | 1,309 | % | | | 1,107 | % | | | 771 | % | | | 985 | % | | | 584 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Total expenses may include interest expense related to short sales. Excluding interest expense, the operating expense ratios for the years ended would be: |
| | | 03/28/13 | | | 03/31/12 | | | 03/31/11 | | | 03/31/10 | | | 03/31/09 | |
| Investor Class | | | 1.39 | % | | | 1.39 | % | | | 1.42 | % | | | 1.41 | % | | | 1.41 | % |
| Advisor Class | | | 1.88 | % | | | 1.87 | % | | | 1.91 | % | | | 1.91 | % | | | 1.91 | % |
| A-Class | | | 1.64 | % | | | 1.65 | % | | | 1.67 | % | | | 1.66 | % | | | 1.65 | % |
| C-Class | | | 2.39 | % | | | 2.40 | % | | | 2.42 | % | | | 2.41 | % | | | 2.41 | % |
| 246 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| THE RYDEX FUNDS ANNUAL REPORT | 247 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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.
High Yield Strategy Fund H-Class returned 12.83% for the one year period ended March 28, 2013. For comparison, the Barclays U.S. High Yield Index returned 13.13%.
Energy and Telecommunication Services were the sectors that contributed most to the performance of the underlying index. No sector detracted from return of the underlying index, but the Finance & Investment segment contributed least.
From a ratings perspective, credits with a B rating contributed most to the performance of the underlying index, followed by holdings with a higher, BB rating. Credits in the underlying index with the lowest rating (CCC or below) contributed least to return.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| 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.
| 248 | THE RYDEX FUNDS ANNUAL REPORT |
performance report and FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (04/16/07) | |
| A-Class Shares | | | 12.86 | % | | | 8.84 | % | | | 6.92 | % |
| A-Class Shares with sales charge† | | | 7.51 | % | | | 7.79 | % | | | 6.05 | % |
| C-Class Shares | | | 11.98 | % | | | 8.04 | % | | | 6.12 | % |
| C-Class Shares with CDSC‡ | | | 10.98 | % | | | 8.04 | % | | | 6.12 | % |
| H-Class Shares | | | 12.83 | % | | | 8.85 | % | | | 6.91 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 3.36 | % |
| Barclays U.S. High Yield Index | | | 13.13 | % | | | 11.65 | % | | | 8.90 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the Barclays U.S. High Yield Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 249 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| High Yield strategy FUND | |
| | | Shares | | | Value | |
| EXCHANGE TRADED FUNDS† - 10.4% | | | | | | | | |
| iShares iBoxx $ High Yield | | | | | | | | |
| Corporate Bond Fund | | | 499,175 | | | $ | 47,042,252 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $45,877,421) | | | | | | | 47,042,252 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 82.9% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 186,211,168 | | | | 186,211,168 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 152,768,963 | | | | 152,768,963 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 20,153,144 | | | | 20,153,144 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 15,485,667 | | | | 15,485,667 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $374,618,942) | | | | | | | 374,618,942 | |
| Total Investments - 93.3% | | | | | | | | |
| (Cost $420,496,363) | | | | | | $ | 421,661,194 | |
| Other Assets & Liabilities, net - 6.7% | | | | | | | 30,187,224 | |
| Total Net Assets - 100.0% | | | | | | $ | 451,848,418 | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $338,049,023) | | | 2,725 | | | $ | 362,762 | |
| CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD††,3 | | | | | | | | | | |
| | | | | Protection | | | | | | | | | | | | Upfront | | | | |
| | | | | Premium | | | Maturity | | | Notional | | | Notional | | | Payments | | | Unrealized | |
| Index | | Counterparty | | Rate | | | Date | | | Principal | | | Value | | | Paid | | | Appreciation | |
| CDX.NA.HY-20 Index | | Goldman Sachs International | 5.00 | % | | | 06/20/18 | | | $ | 4,800,000 | | | $ | (4,953,000 | ) | | $ | 145,195 | | | $ | 7,805 | |
| CDX.NA.HY-20 Index | | Credit Suisse International | | | 5.00 | % | | | 06/20/18 | | | | 167,900,000 | | | | (173,251,813 | ) | | | 5,045,329 | | | | 306,484 | |
| CDX.NA.HY-20 Index | | Barclays Bank plc | | | 5.00 | % | | | 06/20/18 | | | | 220,700,000 | | | | (227,734,812 | ) | | | 6,607,134 | | | | 427,678 | |
| † | 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 March 28, 2013. |
| 3 | Credit Default Swaps — See Note 6. |
| 250 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| HIGH YIELD STRATEGY FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $45,877,421) | | $ | 47,042,252 | |
| Repurchase agreements, at value | | | | |
| (cost $374,618,942) | | | 374,618,942 | |
| Total investments | | | | |
| (cost $420,496,363) | | | 421,661,194 | |
| Segregated cash with broker | | | 14,626,250 | |
| Unamortized upfront payments paid on credit default swaps | | | 11,797,658 | |
| Unrealized appreciation on swap agreements | | | 741,967 | |
| Receivables: | | | | |
| Credit default swap settlement | | | 15,831,146 | |
| Protection fees on credit default swaps | | | 659,998 | |
| Fund shares sold | | | 122,183 | |
| Interest | | | 12,304 | |
| Total assets | | | 465,452,700 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Credit default swap settlement | | | 12,260,750 | |
| Management fees | | | 285,804 | |
| Fund shares redeemed | | | 276,390 | |
| Variation margin | | | 268,345 | |
| Distribution and service fees | | | 99,726 | |
| Transfer agent and administrative fees | | | 95,268 | |
| Portfolio accounting fees | | | 33,888 | |
| Miscellaneous | | | 284,111 | |
| Total liabilities | | | 13,604,282 | |
| Net assets | | $ | 451,848,418 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 421,613,036 | |
| Undistributed net investment income | | | 5,911,646 | |
| Accumulated net realized gain on investments | | | 22,054,176 | |
| Net unrealized appreciation on investments | | | 2,269,560 | |
| Net assets | | $ | 451,848,418 | |
| A-Class: | | | | |
| Net assets | | $ | 10,776,911 | |
| Capital shares outstanding | | | 428,357 | |
| Net asset value per share | | $ | 25.16 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 26.41 | |
| C-Class: | | | | |
| Net assets | | $ | 6,958,295 | |
| Capital shares outstanding | | | 292,014 | |
| Net asset value per share | | $ | 23.83 | |
| H-Class: | | | | |
| Net assets | | $ | 434,113,212 | |
| Capital shares outstanding | | | 17,283,257 | |
| Net asset value per share | | $ | 25.12 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 1,458,527 | |
| Interest | | | 375,273 | |
| Income from securities lending, net | | | 24,047 | |
| Total investment income | | | 1,857,847 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 2,656,472 | |
| Transfer agent and administrative fees | | | 885,490 | |
| Distribution and service fees: | | | | |
| A-Class | | | 50,404 | |
| C-Class | | | 73,515 | |
| H-Class | | | 816,708 | |
| Portfolio accounting fees | | | 321,739 | |
| Custodian fees | | | 53,415 | |
| Trustees’ fees* | | | 28,187 | |
| Miscellaneous | | | 527,970 | |
| Total expenses | | | 5,413,900 | |
| Net investment loss | | | (3,556,053 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (713,705 | ) |
| Swap agreements | | | 37,077,709 | |
| Futures contracts | | | 2,378,733 | |
| Net realized gain | | | 38,742,737 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 867,341 | |
| Swap agreements | | | 2,287,508 | |
| Futures contracts | | | 1,168,369 | |
| Net change in unrealized appreciation (depreciation) | | | 4,323,218 | |
| Net realized and unrealized gain | | | 43,065,955 | |
| Net increase in net assets resulting from operations | | $ | 39,509,902 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 251 |
HIGH YIELD STRATEGY FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (3,556,053 | ) | | $ | (2,834,352 | ) |
| Net realized gain on investments | | | 38,742,737 | | | | 17,921,727 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,323,218 | | | | (2,032,176 | ) |
| Net increase in net assets resulting from operations | | | 39,509,902 | | | | 13,055,199 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (512,061 | ) | | | (547,032 | ) |
| C-Class | | | (118,088 | ) | | | (168,804 | ) |
| H-Class | | | (7,099,893 | ) | | | (6,784,948 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (289,960 | ) | | | — | |
| C-Class | | | (66,869 | ) | | | — | |
| H-Class | | | (4,020,392 | ) | | | — | |
| Total distributions to shareholders | | | (12,107,263 | ) | | | (7,500,784 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 180,394,541 | | | | 125,538,758 | |
| C-Class | | | 58,421,116 | | | | 77,987,615 | |
| H-Class | | | 857,060,522 | | | | 1,220,509,361 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 378,053 | | | | 131,423 | |
| C-Class | | | 169,710 | | | | 153,755 | |
| H-Class | | | 10,977,334 | | | | 6,728,875 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (183,362,099 | ) | | | (127,439,479 | ) |
| C-Class | | | (59,616,169 | ) | | | (77,109,524 | ) |
| H-Class | | | (726,159,066 | ) | | | (1,082,668,489 | ) |
| Net increase from capital share transactions | | | 138,263,942 | | | | 143,832,295 | |
| Net increase in net assets | | | 165,666,581 | | | | 149,386,710 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 286,181,837 | | | | 136,795,127 | |
| End of year | | $ | 451,848,418 | | | $ | 286,181,837 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | 5,911,646 | | | $ | (296,427 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 7,565,849 | | | | 5,627,710 | |
| C-Class | | | 2,584,176 | | | | 3,669,955 | |
| H-Class | | | 36,387,768 | | | | 54,935,323 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 15,798 | | | | 6,020 | |
| C-Class | | | 7,470 | | | | 7,350 | |
| H-Class | | | 459,495 | | | | 308,664 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (7,671,852 | ) | | | (5,777,601 | ) |
| C-Class | | | (2,634,577 | ) | | | (3,631,647 | ) |
| H-Class | | | (31,221,244 | ) | | | (48,876,797 | ) |
| Net increase in shares | | | 5,492,883 | | | | 6,268,977 | |
| 252 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| HIGH YIELD STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.93 | | | $ | 21.98 | | | $ | 20.42 | | | $ | 16.64 | | | $ | 24.31 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.22 | ) | | | (.27 | ) | | | (.30 | ) | | | (.26 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.13 | | | | 1.77 | | | | 3.37 | | | | 5.39 | | | | (3.51 | ) |
| Total from investment operations | | | 2.91 | | | | 1.50 | | | | 3.07 | | | | 5.13 | | | | (3.67 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.43 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net realized gains | | | (.25 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.68 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net asset value, end of period | | $ | 25.16 | | | $ | 22.93 | | | $ | 21.98 | | | $ | 20.42 | | | $ | 16.64 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.86 | % | | | 6.94 | % | | | 15.21 | % | | | 31.07 | % | | | (16.15 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,777 | | | $ | 11,890 | | | $ | 14,561 | | | $ | 4,800 | | | $ | 5,748 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.92 | %) | | | (1.21 | %) | | | (1.40 | %) | | | (1.37 | %) | | | (0.71 | %) |
| Total expensesc | | | 1.50 | % | | | 1.49 | % | | | 1.54 | % | | | 1.54 | % | | | 1.57 | % |
| Portfolio turnover rate | | | 95 | % | | | 583 | % | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.92 | | | $ | 21.19 | | | $ | 19.87 | | | $ | 16.33 | | | $ | 24.12 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.37 | ) | | | (.45 | ) | | | (.45 | ) | | | (.40 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.96 | | | | 1.73 | | | | 3.28 | | | | 5.29 | | | | (3.54 | ) |
| Total from investment operations | | | 2.59 | | | | 1.28 | | | | 2.83 | | | | 4.89 | | | | (3.79 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.43 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net realized gains | | | (.25 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.68 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net asset value, end of period | | $ | 23.83 | | | $ | 21.92 | | | $ | 21.19 | | | $ | 19.87 | | | $ | 16.33 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 11.98 | % | | | 6.16 | % | | | 14.40 | % | | | 30.17 | % | | | (16.83 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,958 | | | $ | 7,343 | | | $ | 6,129 | | | $ | 3,351 | | | $ | 1,773 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.62 | %) | | | (2.10 | %) | | | (2.13 | %) | | | (2.13 | %) | | | (1.21 | %) |
| Total expensesa | | | 2.27 | % | | | 2.25 | % | | | 2.28 | % | | | 2.29 | % | | | 2.32 | % |
| Portfolio turnover rate | | | 95 | % | | | 583 | % | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 253 |
| HIGH YIELD STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.90 | | | $ | 21.95 | | | $ | 20.38 | | | $ | 16.61 | | | $ | 24.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.24 | ) | | | (.28 | ) | | | (.30 | ) | | | (.26 | ) | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.14 | | | | 1.78 | | | | 3.38 | | | | 5.38 | | | | (3.63 | ) |
| Total from investment operations | | | 2.90 | | | | 1.50 | | | | 3.08 | | | | 5.12 | | | | (3.67 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.43 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net realized gains | | | (.25 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.68 | ) | | | (.55 | ) | | | (1.51 | ) | | | (1.35 | ) | | | (4.00 | ) |
| Net asset value, end of period | | $ | 25.12 | | | $ | 22.90 | | | $ | 21.95 | | | $ | 20.38 | | | $ | 16.61 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.83 | % | | | 6.95 | % | | | 15.29 | % | | | 31.07 | % | | | (16.16 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 434,113 | | | $ | 266,950 | | | $ | 116,106 | | | $ | 16,368 | | | $ | 239,528 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.99 | %) | | | (1.26 | %) | | | (1.38 | %) | | | (1.37 | %) | | | (0.20 | %) |
| Total expensesc | | | 1.51 | % | | | 1.49 | % | | | 1.53 | % | | | 1.53 | % | | | 1.56 | % |
| Portfolio turnover rate | | | 95 | % | | | 583 | % | | | — | | | | — | | | | — | |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Does not include expenses of the underlying funds in which the Fund invests. |
| 254 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| THE RYDEX FUNDS ANNUAL REPORT | 255 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
| |
| 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.
Inverse High Yield Strategy Fund H-Class returned -14.81% for the one year period ended March 28, 2013. For comparison, the Barclays U.S. High Yield Index returned 13.13%.
Energy and Telecommunication Services were the sectors that contributed most to the performance of the underlying index. No sector detracted from return of the underlying index, but the Finance & Investment segment contributed least.
From a ratings perspective, credits with a B rating contributed most to the performance of the underlying index, followed by holdings with a higher, BB rating. Credits in the underlying index with the lowest rating (CCC or below) contributed least to return.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 7 of this report.
Performance displayed represents past performance which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | 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.
| 256 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) |
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (04/16/07) | |
| A-Class Shares | | | -14.81 | % | | | -13.47 | % | | | -11.10 | % |
| A-Class Shares with sales charge† | | | -18.85 | % | | | -14.31 | % | | | -11.82 | % |
| C-Class Shares | | | -15.51 | % | | | -14.13 | % | | | -11.73 | % |
| C-Class Shares with CDSC‡ | | | -16.36 | % | | | -14.13 | % | | | -11.73 | % |
| H-Class Shares | | | -14.81 | % | | | -13.47 | % | | | -11.06 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 3.36 | % |
| Barclays U.S. High Yield Index | | | 13.13 | % | | | 11.65 | % | | | 8.90 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the Barclays U.S. High Yield Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| THE RYDEX FUNDS ANNUAL REPORT | 257 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| INVERSE HIGH YIELD STRATEGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 95.5% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 5,432,279 | | | $ | 5,432,279 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 4,456,679 | | | | 4,456,679 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 552,549 | | | | 552,549 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 451,758 | | | | 451,758 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $10,893,265) | | | | | | | 10,893,265 | |
| Total Investments - 95.5% | | | | | | | | |
| (Cost $10,893,265) | | | | | | $ | 10,893,265 | |
| Other Assets & Liabilities, net - 4.5% | | | | | | | 508,869 | |
| Total Net Assets - 100.0% | | | | | | $ | 11,402,134 | |
| | | | | | Unrealized | |
| | | Contracts | | | Loss | |
| | | | | | | |
| INTEREST RATE FUTURES CONTRACTS SOLD SHORT† | | | | | | | | |
| June 2013 U.S. Treasury 5 Year Note | | | | | | | | |
| Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $9,676,266) | | | 78 | | | $ | (9,160 | ) |
CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED††
| | | | | Protection | | | | | | | | | | | | Upfront | | | | |
| | | | | Premium | | | Maturity | | | Notional | | | Notional | | | Payments | | | Unrealized | |
| Index | | Counterparty | | Rate | | | Date | | | Principal | | | Value | | | Received | | | Depreciation | |
| CDX.NA.HY-20 Index | | Barclays Bank plc | | | 5.00 | % | | | 06/20/18 | | | $ | 6,700,000 | | | $ | 6,913,563 | | | $ | (200,579 | ) | | $ | (12,983 | ) |
| CDX.NA.HY-20 Index | | Credit Suisse International | | | 5.00 | % | | | 06/20/18 | | | | 3,400,000 | | | | 3,508,375 | | | | (101,788 | ) | | | (6,589 | ) |
| CDX.NA.HY-20 Index | | Goldman Sachs International | | | 5.00 | % | | | 06/20/18 | | | | 800,000 | | | | 825,500 | | | | (24,199 | ) | | | (1,301 | ) |
| † | 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 March 28, 2013. |
| 258 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $10,893,265) | | $ | 10,893,265 | |
| Segregated cash with broker | | | 1,050,151 | |
| Receivables: | | | | |
| Credit default swap settlement | | | 339,361 | |
| Fund shares sold | | | 25,762 | |
| Variation margin | | | 7,486 | |
| Interest | | | 126 | |
| Total assets | | | 12,316,151 | |
| Liabilities: | | | | |
| Unamortized upfront payments received on credit default swaps | | | 326,566 | |
| Unrealized depreciation on swap agreements | | | 20,873 | |
| Payable for: | | | | |
| Credit default swap settlement | | | 514,757 | |
| Protection fees on credit default swaps | | | 18,167 | |
| Management fees | | | 9,579 | |
| Fund shares redeemed | | | 5,243 | |
| Distribution and service fees | | | 4,138 | |
| Transfer agent and administrative fees | | | 3,193 | |
| Portfolio accounting fees | | | 1,277 | |
| Miscellaneous | | | 10,224 | |
| Total liabilities | | | 914,017 | |
| Net assets | | $ | 11,402,134 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 26,453,784 | |
| Accumulated net investment loss | | | (227,498 | ) |
| Accumulated net realized loss on investments | | | (14,794,119 | ) |
| Net unrealized depreciation on investments | | | (30,033 | ) |
| Net assets | | $ | 11,402,134 | |
| A-Class: | | | | |
| Net assets | | $ | 156,536 | |
| Capital shares outstanding | | | 6,528 | |
| Net asset value per share | | $ | 23.98 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 25.18 | |
| C-Class: | | | | |
| Net assets | | $ | 2,037,232 | |
| Capital shares outstanding | | | 88,643 | |
| Net asset value per share | | $ | 22.98 | |
| H-Class: | | | | |
| Net assets | | $ | 9,208,366 | |
| Capital shares outstanding | | | 383,027 | |
| Net asset value per share | | $ | 24.04 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | |
| Interest | | $ | 22,972 | |
| Total investment income | | | 22,972 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 142,535 | |
| Transfer agent and administrative fees | | | 47,512 | |
| Distribution and service fees: | | | | |
| A-Class | | | 5,062 | |
| C-Class | | | 8,931 | |
| H-Class | | | 40,217 | |
| Portfolio accounting fees | | | 19,004 | |
| Custodian fees | | | 3,056 | |
| Trustees’ fees* | | | 2,015 | |
| Miscellaneous | | | 23,829 | |
| Total expenses | | | 292,161 | |
| Net investment loss | | | (269,189 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | (3,600,524 | ) |
| Futures contracts | | | (559,090 | ) |
| Net realized loss | | | (4,159,614 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (96,832 | ) |
| Futures contracts | | | (8,535 | ) |
| Net change in unrealized appreciation (depreciation) | | | (105,367 | ) |
| Net realized and unrealized loss | | | (4,264,981 | ) |
| Net decrease in net assets resulting from operations | | $ | (4,534,170 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 259 |
| INVERSE HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (269,189 | ) | | $ | (316,240 | ) |
| Net realized loss on investments | | | (4,159,614 | ) | | | (3,594,796 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (105,367 | ) | | | (104,030 | ) |
| Net decrease in net assets resulting from operations | | | (4,534,170 | ) | | | (4,015,066 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 60,080,922 | | | | 71,981,360 | |
| C-Class | | | 8,417,111 | | | | 8,812,685 | |
| H-Class | | | 384,851,085 | | | | 333,685,614 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (59,399,320 | ) | | | (72,478,567 | ) |
| C-Class | | | (6,874,799 | ) | | | (10,566,693 | ) |
| H-Class | | | (385,744,592 | ) | | | (326,559,879 | ) |
| Net increase from capital share transactions | | | 1,330,407 | | | | 4,874,520 | |
| Net increase (decrease) in net assets | | | (3,203,763 | ) | | | 859,454 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 14,605,897 | | | | 13,746,443 | |
| End of year | | $ | 11,402,134 | | | $ | 14,605,897 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | (227,498 | ) | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,222,764 | | | | 2,353,360 | |
| C-Class | | | 339,193 | | | | 299,399 | |
| H-Class | | | 14,453,392 | | | | 10,932,156 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (2,235,986 | ) | | | (2,380,877 | ) |
| C-Class | | | (276,015 | ) | | | (355,403 | ) |
| H-Class | | | (14,543,669 | ) | | | (10,761,580 | ) |
| Net increase (decrease) in shares | | | (40,321 | ) | | | 87,055 | |
| 260 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE HIGH YIELD STRATEGY FUND |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.15 | | | $ | 31.99 | | | $ | 38.51 | | | $ | 55.13 | | | $ | 51.26 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.37 | ) | | | (.43 | ) | | | (.47 | ) | | | (.63 | ) | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.80 | ) | | | (3.41 | ) | | | (6.05 | ) | | | (15.60 | ) | | | 5.29 | |
| Total from investment operations | | | (4.17 | ) | | | (3.84 | ) | | | (6.52 | ) | | | (16.23 | ) | | | 5.19 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Net asset value, end of period | | $ | 23.98 | | | $ | 28.15 | | | $ | 31.99 | | | $ | 38.51 | | | $ | 55.13 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (14.81 | %) | | | (11.98 | %) | | | (16.96 | %) | | | 29.47 | % | | | 10.17 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 157 | | | $ | 556 | | | $ | 1,512 | | | $ | 2,269 | | | $ | 2,278 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.38 | %) | | | (1.39 | %) | | | (1.39 | %) | | | (1.43 | %) | | | (0.19 | %) |
| Total expenses | | | 1.49 | % | | | 1.51 | % | | | 1.53 | % | | | 1.54 | % | | | 1.52 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.21 | | | $ | 31.12 | | | $ | 37.77 | | | $ | 54.49 | | | $ | 51.06 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.53 | ) | | | (.55 | ) | | | (.72 | ) | | | (.95 | ) | | | (.52 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.70 | ) | | | (3.36 | ) | | | (5.93 | ) | | | (15.38 | ) | | | 5.27 | |
| Total from investment operations | | | (4.23 | ) | | | (3.91 | ) | | | (6.65 | ) | | | (16.33 | ) | | | 4.75 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Net asset value, end of period | | $ | 22.98 | | | $ | 27.21 | | | $ | 31.12 | | | $ | 37.77 | | | $ | 54.49 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (15.51 | %) | | | (12.60 | %) | | | (17.61 | %) | | | (30.00 | %) | | | 9.34 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,037 | | | $ | 693 | | | $ | 2,535 | | | $ | 2,055 | | | $ | 869 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (2.13 | %) | | | (1.87 | %) | | | (2.13 | %) | | | (2.18 | %) | | | (1.00 | %) |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.28 | % | | | 2.29 | % | | | 2.28 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 261 |
| INVERSE HIGH YIELD STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.22 | | | $ | 32.04 | | | $ | 38.60 | | | $ | 55.26 | | | $ | 51.38 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.36 | ) | | | (.47 | ) | | | (.50 | ) | | | (.61 | ) | | | (.29 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.82 | ) | | | (3.35 | ) | | | (6.06 | ) | | | (15.66 | ) | | | 5.49 | |
| Total from investment operations | | | (4.18 | ) | | | (3.82 | ) | | | (6.56 | ) | | | (16.27 | ) | | | 5.20 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net realized gains | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Total distributions | | | — | | | | — | | | | — | | | | (.39 | ) | | | (1.32 | ) |
| Net asset value, end of period | | $ | 24.04 | | | $ | 28.22 | | | $ | 32.04 | | | $ | 38.60 | | | $ | 55.26 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (14.81 | %) | | | (11.92 | %) | | | (16.99 | %) | | | (29.47 | %) | | | 10.17 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,208 | | | $ | 13,357 | | | $ | 9,699 | | | $ | 27,954 | | | $ | 13,799 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.38 | %) | | | (1.51 | %) | | | (1.38 | %) | | | (1.43 | %) | | | (0.55 | %) |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.53 | % | | | 1.53 | % | | | 1.53 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 262 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| THE RYDEX FUNDS ANNUAL REPORT | 263 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
For the one-year period ended March 28, 2013, U.S. Government Money Market Fund returned 0.00%.
At March 28, 2013, the average weighted maturity of the holdings in the Fund was 52 days. At period-end, approximately 49% of the Fund consisted of repurchase agreements collateralized by U.S. government securities, 27% U.S. government agency discount notes and 15% commercial paper.
As the Federal Reserve has decided that quantitative easing should continue near-term, short-term money market rates continued to fall through the period. Money market rates are expected to remain low through 2013.
Discussions regarding additional money market regulations are expected now that the appointment of a new head of the Securities and Exchange Commission has been confirmed.
As the Federal Reserve continues its programs to keep interest rates low, the Fund continues to waive Fund expenses.
Performance displayed represents past performance, which is no guarantee of future results.
An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Holdings Diversification (Market Exposure as % of Net Assets)
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.
| 264 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Money Market Class | | | 0.00 | % | | | 0.21 | % | | | 1.28 | % |
| * | Effective June 15, 2012, the Fund’s Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares and Investor2 Class shares were converted into the newly created Money Market Class. The performance for periods prior to that date reflects the performance of the former Investor Class. |
| THE RYDEX FUNDS ANNUAL REPORT | 265 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
| | | Face | | | | |
| | | Amount | | | | Value | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 20.6% | | | | | | | | |
| Farmer Mac1 | | | | | | | | |
| 0.19% due 04/02/13 | | $ | 25,000,000 | | | $ | 24,999,867 | |
| 0.14% due 10/18/13 | | | 25,000,000 | | | | 24,980,555 | |
| 0.15% due 12/30/13 | | | 25,000,000 | | | | 24,971,563 | |
| 0.19% due 09/06/13 | | | 15,000,000 | | | | 14,987,492 | |
| 0.18% due 06/14/13 | | | 10,000,000 | | | | 9,996,300 | |
| 0.21% due 11/01/13 | | | 10,000,000 | | | | 9,987,517 | |
| 0.20% due 11/25/13 | | | 10,000,000 | | | | 9,986,778 | |
| 0.17% due 05/23/13 | | | 5,000,000 | | | | 4,998,772 | |
| Total Farmer Mac | | | | | | | 124,908,844 | |
| Federal Farm Credit Bank1 | | | | | | | | |
| 0.18% due 10/18/13 | | | 10,000,000 | | | | 9,990,000 | |
| 0.20% due 11/05/13 | | | 10,000,000 | | | | 9,987,889 | |
| Total Federal Farm Credit Bank | | | | | | | 19,977,889 | |
| Freddie Mac2 | | | | | | | | |
| 0.17% due 07/01/13 | | | 15,000,000 | | | | 14,993,554 | |
| Fannie Mae2 | | | | | | | | |
| 0.14% due 09/03/13 | | | 15,000,000 | | | | 14,990,313 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $174,870,600) | | | | | | | 174,870,600 | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 6.5% | | | | | | | | |
| Federal Home Loan Bank1 | | | | | | | | |
| 0.22% due 04/25/13 | | | 15,000,000 | | | | 14,999,970 | |
| 0.20% due 04/30/13 | | | 15,000,000 | | | | 14,999,856 | |
| 0.17% due 06/21/13 | | | 10,000,000 | | | | 9,999,733 | |
| 0.12% due 10/04/13 | | | 10,000,000 | | | | 9,996,584 | |
| 0.18% due 09/04/13 | | | 5,000,000 | | | | 5,000,000 | |
| Total Federal Home Loan Bank | | | | | | | 54,996,143 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $54,996,143) | | | | | | | 54,996,143 | |
| | | | | | | | | |
| COMMERCIAL PAPER†† - 15.3% | | | | | | | | |
| Caterpillar Financial Services Corp. | | | | | | | | |
| 0.10% due 04/04/13 | | | 10,000,000 | | | | 9,999,917 | |
| Toyota Motor Credit Corp. | | | | | | | | |
| 0.30% due 04/08/13 | | | 10,000,000 | | | | 9,999,417 | |
| Societe Generale North America, Inc. | | | | | | | | |
| 0.55% due 04/08/13 | | | 10,000,000 | | | | 9,998,930 | |
| Prudential plc | | | | | | | | |
| 0.23% due 04/18/133 | | | 10,000,000 | | | | 9,998,914 | |
| General RE Corp. | | | | | | | | |
| 0.13% due 05/07/13 | | | 10,000,000 | | | | 9,998,500 | |
| BNP Paribas Finance, Inc. | | | | | | | | |
| 0.18% due 05/06/13 | | | 10,000,000 | | | | 9,998,250 | |
| UBS Finance Delaware LLC | | | | | | | | |
| 0.54% due 04/19/13 | | | 10,000,000 | | | | 9,997,300 | |
| American Honda Finance Corp. | | | | | | | | |
| 0.15% due 06/21/13 | | | 10,000,000 | | | | 9,996,625 | |
| Sheffield Receivables Corp. | | | | | | | | |
| 0.14% due 06/06/13 | | | 10,000,000 | | | | 9,996,333 | |
| ING US Funding LLC | | | | | | | | |
| 0.47% due 05/01/13 | | | 10,000,000 | | | | 9,996,083 | |
| Nestle Capital Corp. | | | | | | | | |
| 0.24% due 05/20/13 | | | 5,000,000 | | | | 4,998,367 | |
| 0.18% due 07/25/13 | | | 5,000,000 | | | | 4,997,125 | |
| Total Nestle Capital Corp. | | | | | | | 9,995,492 | |
| General Electric Capital Corp. | | | | | | | | |
| 0.19% due 07/08/13 | | | 10,000,000 | | | | 9,994,828 | |
| Barclays US Funding Corp. | | | | | | | | |
| 0.42% due 08/27/13 | | | 10,000,000 | | | | 9,981,911 | |
| Total Commercial Paper | | | | | | | | |
| (Cost $129,952,500) | | | | | | | 129,952,500 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS†† - 48.5% | | | | | | | | |
| Individual Repurchase Agreement | | | | | | | | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 secured by: | | | | | | | | |
| U.S. Treasury Bills, 0.00% | | | | | | | | |
| 08/22/13 – 09/05/13 | | | | | | | | |
| with a value of $144,945,926, | | | | | | | | |
| to be repurchased at $144,945,926 | | | 142,103,779 | | | | 142,103,779 | |
| Joint Repurchase Agreements3 | | | | | | | | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 115,940,268 | | | | 115,940,268 | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 141,320,411 | | | | 141,320,411 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 11,752,468 | | | | 11,752,468 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $411,116,926) | | | | | | | 411,116,926 | |
| Total Investments - 90.9% | | | | | | | | |
| (Cost $770,936,169) | | | | | | $ | 770,936,169 | |
| Other Assets & Liabilities, net - 9.1% | | | | | | | 77,434,134 | |
| Total Net Assets - 100.0% | | | | | | $ | 848,370,303 | |
| †† | 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 |
| 266 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $359,819,243) | | $ | 359,819,243 | |
| Repurchase agreements, at value | | | | |
| (cost $411,116,926) | | | 411,116,926 | |
| Total investments | | | | |
| (cost $770,936,169) | | | 770,936,169 | |
| Receivables: | | | | |
| Fund shares sold | | | 92,862,515 | |
| Interest | | | 43,338 | |
| Total assets | | | 863,842,022 | |
| Liabilities: | | | | |
| Overdraft due to custodian bank | | | 503 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 15,012,542 | |
| Miscellaneous | | | 458,674 | |
| Total liabilities | | | 15,471,719 | |
| Net assets | | $ | 848,370,303 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 848,368,876 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | 1,427 | |
| Net unrealized appreciation on investments | | | — | |
| Net assets | | $ | 848,370,303 | |
| Capital shares outstanding | | | 848,945,106 | |
| Net asset value per share | | $ | 1.00 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 1,757,988 | |
| Total investment income | | | 1,757,988 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 5,099,596 | |
| Transfer agent and administrative fees | | | 2,039,849 | |
| Portfolio accounting fees | | | 642,781 | |
| Custodian fees | | | 158,700 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 318,630 | |
| C-Class | | | 87,381 | |
| Trustees’ fees* | | | 113,598 | |
| Miscellaneous | | | 1,282,825 | |
| Total expenses | | | 9,743,360 | |
| | | | | |
| Less: | | | | |
| Expenses waived by service company | | | (2,406,526 | ) |
| Expenses waived by distributor | | | (406,011 | ) |
| Expenses waived by Advisor | | | (5,173,179 | ) |
| Total waived expenses | | | (7,985,716 | ) |
| Net expenses | | | 1,757,644 | |
| Net investment income | | | 344 | |
| | | | | |
| Net Realized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,465 | |
| Net realized gain | | | 1,465 | |
| Net increase in net assets resulting from operations | | $ | 1,809 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 267 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 344 | | | $ | 4,154 | |
| Net realized gain on investments | | | 1,465 | | | | 33,814 | |
| Net increase in net assets resulting from operations | | | 1,809 | | | | 37,968 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Money Market Class* | | | (345 | ) | | | (2,991 | ) |
| Investor2 Class | | | (3 | ) | | | (169 | ) |
| Advisor Class | | | (22 | ) | | | (613 | ) |
| A-Class | | | (3 | ) | | | (155 | ) |
| C-Class | | | (3 | ) | | | (195 | ) |
| Net realized gains | | | | | | | | |
| Money Market Class* | | | — | | | | (14,115 | ) |
| Investor2 Class | | | — | | | | (524 | ) |
| Advisor Class | | | — | | | | (3,382 | ) |
| A-Class | | | — | | | | (517 | ) |
| C-Class | | | — | | | | (803 | ) |
| Total distributions to shareholders | | | (376 | ) | | | (23,464 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Money Market Class* | | | 13,013,527,296 | | | | 8,520,351,901 | |
| Investor2 Class | | | 5,842,956 | | | | 38,434,174 | |
| Advisor Class | | | 1,158,477,495 | | | | 5,981,133,747 | |
| A-Class | | | 74,372,553 | | | | 140,249,344 | |
| C-Class | | | 87,542,579 | | | | 332,253,713 | |
| Distributions reinvested | | | | | | | | |
| Money Market Class* | | | 242 | | | | 17,010 | |
| Investor2 Class | | | 1 | | | | 677 | |
| Advisor Class | | | 21 | | | | 3,962 | |
| A-Class | | | 2 | | | | 627 | |
| C-Class | | | 1 | | | | 968 | |
| Cost of shares redeemed | | | | | | | | |
| Money Market Class* | | | (13,061,917,403 | ) | | | (8,746,713,127 | ) |
| Investor2 Class | | | (8,730,690 | ) | | | (45,998,905 | ) |
| Advisor Class | | | (1,602,575,758 | ) | | | (5,497,279,690 | ) |
| A-Class | | | (83,203,673 | ) | | | (142,707,495 | ) |
| C-Class | | | (78,326,643 | ) | | | (345,516,973 | ) |
| Conversion activity** | | | | | | | | |
| Money Market Class* | | | 289,192,453 | | | | — | |
| Investor2 Class | | | (34,998,123 | ) | | | — | |
| Advisor Class | | | (179,664,763 | ) | | | — | |
| A-Class | | | (29,552,538 | ) | | | — | |
| C-Class | | | (44,977,029 | ) | | | — | |
| Net decrease from capital share transactions | | | (494,991,021 | ) | | | 234,229,933 | |
| Net increase (decrease) in net assets | | | (494,989,588 | ) | | | 234,244,437 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 1,343,359,891 | | | | 1,109,115,454 | |
| End of year | | | 848,370,303 | | | | 1,343,359,891 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 977 | |
| 268 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| U.S. GOVERNMENT MONEY MARKET FUND | |
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Money Market Class* | | | 13,013,011,949 | | | | 8,520,351,901 | |
| Investor2 Class | | | 5,842,955 | | | | 38,434,174 | |
| Advisor Class | | | 1,158,365,043 | | | | 5,981,133,747 | |
| A-Class | | | 74,372,552 | | | | 140,249,345 | |
| C-Class | | | 87,542,579 | | | | 332,253,713 | |
| Shares issued from reinvestment of distribution | | | | | | | | |
| Money Market Class* | | | 296 | | | | 17,013 | |
| Investor2 Class | | | 1 | | | | 677 | |
| Advisor Class | | | 25 | | | | 3,962 | |
| A-Class | | | 2 | | | | 627 | |
| C-Class | | | 1 | | | | 969 | |
| Shares redeemed | | | | | | | | |
| Money Market Class* | | | (13,061,402,052 | ) | | | (8,746,713,127 | ) |
| Investor2 Class | | | (8,730,690 | ) | | | (45,998,904 | ) |
| Advisor Class | | | (1,602,463,309 | ) | | | (5,497,279,690 | ) |
| A-Class | | | (83,203,673 | ) | | | (142,707,495 | ) |
| C-Class | | | (78,326,643 | ) | | | (345,516,973 | ) |
| Conversion activity** | | | | | | | | |
| Money Market Class* | | | 289,368,668 | | | | — | |
| Investor2 Class | | | (34,994,846 | ) | | | — | |
| Advisor Class | | | (179,777,212 | ) | | | — | |
| A-Class | | | (29,569,296 | ) | | | — | |
| C-Class | | | (45,027,314 | ) | | | — | |
| Net increase (decrease) in shares | | | (494,990,964 | ) | | | 234,229,939 | |
| * | The Money Market Class commenced operations on June 15, 2012. Operating results presented reflect the operating history of the Investor Class for periods prior to June 15, 2012 — See Note 12. |
| ** | Effective June 15, 2012, the Fund's Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares and Investor2 Class shares were converted into the newly created Money Market Class — See Note 12. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 269 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Money Market Classa | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | b | | | — | b | | | — | b | | | — | b | | | .01 | |
| Net gain on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | — | b | | | — | b | | | — | b | | | — | | | | — | |
| Total from investment operations | | | — | b | | | — | b | | | — | b | | | — | b | | | .01 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (— | )b | | | (— | )b | | | (— | )b | | | (— | )b | | | (.01 | ) |
| Net realized gains | | | — | | | | (— | )b | | | (— | )b | | | — | | | | — | |
| Total distributions | | | (— | )b | | | (— | )b | | | (— | )b | | | (— | )b | | | (.01 | ) |
| Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | 0.00 | % | | | 0.00 | % | | | 0.01 | % | | | 0.01 | % | | | 1.06 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 848,370 | | | $ | 607,565 | | | $ | 833,899 | | | $ | 872,765 | | | $ | 1,114,286 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.00 | %d | | | 0.00 | %d | | | 0.01 | % | | | 0.01 | % | | | 1.02 | % |
| Total expenses | | | 0.95 | % | | | 0.91 | % | | | 0.94 | % | | | 0.93 | % | | | 0.95 | % |
| Net expensesc | | | 0.17 | % | | | 0.11 | % | | | 0.22 | % | | | 0.37 | % | | | 0.90 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | Effective June 15, 2012, the Fund’s Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares and Investor2 Class shares were converted into the newly created Money Market Class. The financial highlights for periods prior to that date reflect the performance of the former Investor Class. |
| b | Less than $0.01 per share. |
| c | Net expense information reflects the expense ratios after expense waivers. |
| 270 | THE RYDEX funds ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”) as a non-diversified, open-ended investment company of the series type. Each series, in effect, represents a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of 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. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares have a minimum initial investment of $2 million and a minimum account balance of $1 million. Institutional Class shares are offered without a front-end sales charge or CDSC.
At March 28, 2013, the Trust consisted of fifty-one separate funds. This report covers the Target Beta Funds (the “Funds”), while the other Funds are contained in separate reports. Only A-Class, C-Class, H-Class, Advisor Class, Investor Class and Money Market Class shares had been issued by the Funds.
Guggenheim Investments (“GI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Distributors, LLC (“GDL”) acts as principal underwriter for the Trust. GI, RFS and GDL 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
Since March 28, 2013 represents the last day during the Funds’ annual period on which the New York Stock Exchange was open for trading, the Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ net asset value calculations used for shareholder transactions.
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 will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated at the close of the New York Stock Exchange ("NYSE"), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the March 28, 2013, 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 is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of 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 using the last quoted value of the index that the swap pertains to at the close of the NYSE, adjusted to include dividends accrued, and 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 using a broker quote for the value of the index
| THE RYDEX FUNDS ANNUAL REPORT | 271 |
NOTES TO FINANCIAL STATEMENTS (continued)
and financing charges and/or interest associated with the swap agreements.
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, 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 (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
Investments for which market quotations are not readily available are fair valued as determined in good faith by 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) obtaining general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) obtaining 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.
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.
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
| 272 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (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 H-Class shares and service and distribution fees related to Advisor Class shares and C-Class shares, are charged directly to specific Classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.
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 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 credit default swap enables a Fund to buy or sell protection against a defined credit event of an issuer or a basket of securities. Generally, the seller of credit protection against an issuer or basket of securities receives a periodic payment from the buyer to compensate against potential default events. If a default event occurs, the seller must pay the buyer the full notional value of the reference obligation in exchange for the reference obligation. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the Fund selling the credit protection. 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.
| THE RYDEX FUNDS ANNUAL REPORT | 273 |
NOTES TO FINANCIAL STATEMENTS (continued)
In conjunction with the use of short sales, futures and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.
The 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) | |
| 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 below, 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 and H-Class shares for which GDL 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 GDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GDL, in turn, will pay the Service Provider out of its fees. GDL 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, GDL will receive shareholder servicing fees from the Funds at an annual rate not to exceed 0.25% of average daily net assets. GDL, 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 GDL for paying the shareholder’s financial advisor an ongoing sales commission. GDL advances the first year’s service and distribution fees to the financial advisor. GDL 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 services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder services fees are waived, dealer compensation will be reduced to the extent of such waiver.
For the year ended March 28, 2013, GDL retained sales charges of $219,176 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and GDL.
| 274 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
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 marketparticipants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:
Level 1 — quoted prices in active markets for identical securities.
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at March 28, 2013:
| | | 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 | | $ | 50,309,173 | | | $ | 8,562 | | | $ | 22,533,840 | | | $ | 234,859 | | | $ | — | | | $ | 73,086,434 | |
| S&P 500® Fund | | | 215,699,268 | | | | 1,903 | | | | 71,493,049 | | | | 259,494 | | | | — | | | | 287,453,714 | |
| Inverse S&P 500® Strategy Fund | | | — | | | | — | | | | 127,959,094 | | | | — | | | | — | | | | 127,959,094 | |
| NASDAQ-100® Fund | | | 487,244,541 | | | | 1,813 | | | | 34,554,223 | | | | 72,249 | | | | — | | | | 521,872,826 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | | | | 10,192,560 | | | | — | | | | — | | | | 10,192,560 | |
| Mid-Cap 1.5x Strategy Fund | | | 39,767,060 | | | | 679,817 | | | | 23,822,116 | | | | 212,739 | | | | — | | | | 64,481,732 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | | | | 1,547,085 | | | | — | | | | — | | | | 1,547,085 | |
| Russell 2000® 1.5x Strategy Fund | | | 30,109,419 | | | | 5,405 | | | | 18,364,537 | | | | 53,850 | | | | — | | | | 48,533,211 | |
| Russell 2000® Fund | | | 61,880,002 | | | | 19,224 | | | | 45,633,590 | | | | 66,028 | | | | — | | | | 107,598,844 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | | | | 13,890,316 | | | | — | | | | — | | | | 13,890,316 | |
| S&P 500® Pure Growth Fund | | | 75,924,801 | | | | — | | | | 355,799 | | | | — | | | | — | | | | 76,280,600 | |
| S&P 500® Pure Value Fund | | | 82,693,895 | | | | — | | | | 1,357,444 | | | | — | | | | — | | | | 84,051,339 | |
| S&P MidCap 400® Pure Growth Fund | | | 305,285,447 | | | | — | | | | 1,621,573 | | | | — | | | | — | | | | 306,907,020 | |
| S&P MidCap 400® Pure Value Fund | | | 82,835,159 | | | | — | | | | 1,323,825 | | | | — | | | | — | | | | 84,158,984 | |
| S&P SmallCap 600® Pure Growth Fund | | | 9,928,860 | | | | — | | | | 255,708 | | | | — | | | | — | | | | 10,184,568 | |
| S&P SmallCap 600® Pure Value Fund | | | 36,020,665 | | | | — | | | | 559,487 | | | | — | | | | — | | | | 36,580,152 | |
| Europe 1.25x Strategy Fund | | | 7,403,543 | | | | — | | | | 5,846,441 | | | | 17,739 | | | | — | | | | 13,267,723 | |
| Japan 2x Strategy Fund | | | — | | | | 1,518,731 | | | | 10,363,653 | | | | — | | | | — | | | | 11,882,384 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | 132,281 | | | | 19,904,153 | | | | 157,002 | | | | — | | | | 20,193,436 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 13,059,261 | | | | — | | | | — | | | | 13,059,261 | |
| Real Estate Fund | | | 25,545,370 | | | | — | | | | 134,616 | | | | — | | | | — | | | | 25,679,986 | |
| Government Long Bond 1.2x Strategy Fund | | | 235,763,228 | | | | — | | | | 157,787,115 | | | | — | | | | — | | | | 393,550,343 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 391,617,284 | | | | — | | | | — | | | | 391,617,284 | |
| High Yield Strategy Fund | | | 47,042,252 | | | | 362,762 | | | | 374,618,942 | | | | 741,967 | | | | — | | | | 422,765,923 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | 10,893,265 | | | | — | | | | — | | | | 10,893,265 | |
| U.S. Government Money Market Fund | | | — | | | | — | | | | 770,936,169 | | | | — | | | | — | | | | 770,936,169 | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
| Inverse S&P 500® Strategy Fund | | $ | — | | | $ | 261,043 | | | $ | — | | | $ | 388,437 | | | $ | — | | | $ | 649,480 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 17,114 | | | | — | | | | 27,574 | | | | — | | | | 44,688 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 29,490 | | | | — | | | | 5,499 | | | | — | | | | 34,989 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 72 | | | | — | | | | 22,844 | | | | — | | | | 22,916 | |
| Europe 1.25x Strategy Fund | | | — | | | | 56,669 | | | | — | | | | 16,432 | | | | — | | | | 73,101 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 52,997 | | | | — | | | | 62,226 | | | | — | | | | 115,223 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | 817,414 | | | | — | | | | — | | | | — | | | | 817,414 | |
| Inverse Government Long Bond Strategy Fund | | | 146,650,455 | | | | 204,348 | | | | — | | | | — | | | | — | | | | 146,854,803 | |
| Inverse High Yield Strategy Fund | | | — | | | | 9,160 | | | | — | | | | 20,873 | | | | — | | | | 30,033 | |
* Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.
For the year ended March 28, 2013, there were no transfers between levels.
| THE RYDEX FUNDS ANNUAL REPORT | 275 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 March 28, 2013, the repurchase agreements in the joint account were as follows:
| Counterparty and | | | | | | | | | | | | | | |
| Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| HSBC Group | | | | | | | | | | Fannie Mae | | | | | | | | |
| 0.10% | | | | | | | | | | 0.50% – 1.63% | | | | | | | | |
| Due 04/01/13 | | $ | 741,750,000 | | | $ | 741,758,242 | | | 10/22/15 – 01/10/20 | | $ | 550,000,000 | | | $ | 557,685,694 | |
| | | | | | | | | | | Freddie Mac | | | | | | | | |
| | | | | | | | | | | 0.50% | | | | | | | | |
| | | | | | | | | | | 10/09/15 | | | 150,000,000 | | | | 151,635,000 | |
| | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
| | | | | | | | | | | 4.25% | | | | | | | | |
| | | | | | | | | | | 11/15/40 | | | 37,262,600 | | | | 47,292,608 | |
| Mizuho Financial Group, Inc. | | | | | | | | | | U.S. Treasury Bills | | | | | | | | |
| 0.11% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 04/01/13 | | | 608,536,964 | | | | 608,544,401 | | | 06/27/13 – 09/19/13 | | | 467,120,000 | | | | 466,966,256 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 1.75% | | | | | | | | |
| | | | | | | | | | | 05/31/16 | | | 145,841,100 | | | | 153,748,492 | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.10% | | | | | | | | | | 0.50% | | | | | | | | |
| Due 04/01/13 | | | 87,611,804 | | | | 87,612,291 | | | 07/31/17 | | | 89,334,100 | | | | 89,365,466 | |
| Deutsche Bank | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.10% | | | | | | | | | | 2.13% | | | | | | | | |
| Due 04/01/13 | | | 61,685,310 | | | | 61,685,995 | | | 02/29/16 | | | 59,756,300 | | | | 62,922,554 | |
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 payment as an adjustment to the stated periodic premium.
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
| 276 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
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 250 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of March 28, 2013.
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.
The following Funds utilized derivatives for the following purposes:
| | | Futures | | | Swaps | |
| Fund | | 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 Strategy 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 Dollar 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 | |
The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis.
| | | Approximate percentage of Fund’s | |
| | | net assets on a daily basis | |
| Fund | | | Long | | | | Short | |
| Nova Fund | | | 80% | | | | — | |
| S&P 500® Fund | | | 25% | | | | — | |
| Inverse S&P 500® Strategy Fund | | | — | | | | 100% | |
| NASDAQ-100® Fund | | | 5% | | | | — | |
| 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 | | | 85% | | | | — | |
| Russell 2000® Fund | | | 45% | | | | — | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 100% | |
| Europe 1.25x Strategy Fund* | | | 75% | | | | — | |
| Japan 2x Strategy Fund* | | | 200% | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | 200% | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 200% | |
| Government Long Bond 1.2x Strategy Fund | | | 70% | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | 45% | |
| High Yield Strategy Fund* | | | 90% | | | | — | |
| Inverse High Yield Strategy Fund* | | | — | | | | 100% | |
* These Funds utilize a combination of currency and/or financial-linked derivatives to obtain exposure to their benchmarks. The gross derivative instrument exposure is 150%, 400%, 165% and 185% for the Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, High Yield Strategy Fund and Inverse High Yield Strategy Fund, respectively.
| THE RYDEX FUNDS ANNUAL REPORT | 277 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 28, 2013:
| Derivative Investment Type | | Asset Derivatives | | Liability Derivatives |
| Equity/Interest Rate/Currency contracts | | Variation margin | | Variation margin |
| Equity/Currency/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 March 28, 2013:
| | | Asset Derivative Investments Value | |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | March 28, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2013 | |
| Nova Fund | | $ | 8,562 | | | $ | 234,859 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 243,421 | |
| S&P 500® Fund | | | 1,903 | | | | 259,494 | | | | — | | | | — | | | | — | | | | — | | | | 261,397 | |
| NASDAQ-100® Fund | | | 1,813 | | | | 72,249 | | | | — | | | | — | | | | — | | | | — | | | | 74,062 | |
| Mid-Cap 1.5x Strategy Fund | | | 679,817 | | | | 212,739 | | | | — | | | | — | | | | — | | | | — | | | | 892,556 | |
| Russell 2000® 1.5x Strategy Fund | | | 5,405 | | | | 53,850 | | | | — | | | | — | | | | — | | | | — | | | | 59,255 | |
| Russell 2000® Fund | | | 19,224 | | | | 66,028 | | | | — | | | | — | | | | — | | | | — | | | | 85,252 | |
| Europe 1.25x Strategy Fund | | | 17,739 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 17,739 | |
| Japan 2x Strategy Fund | | | 1,058,934 | | | | — | | | | 459,797 | | | | — | | | | — | | | | — | | | | 1,518,731 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 132,281 | | | | 157,002 | | | | — | | | | — | | | | 289,283 | |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 362,762 | | | | 741,967 | | | | 1,104,729 | |
| | | Liability Derivative Investments Value | |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Currency | | | Currency | | | Interest Rate | | | Credit Default | | | March 28, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2013 | |
| Inverse S&P 500® Strategy Fund | | $ | 261,043 | | | $ | 388,437 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 649,480 | |
| Inverse NASDAQ-100® Strategy Fund | | | 17,114 | | | | 27,574 | | | | — | | | | — | | | | — | | | | — | | | | 44,688 | |
| Inverse Mid-Cap Strategy Fund | | | 29,490 | | | | 5,499 | | | | — | | | | — | | | | — | | | | — | | | | 34,989 | |
| Inverse Russell 2000® Strategy Fund | | | 72 | | | | 22,844 | | | | — | | | | — | | | | — | | | | — | | | | 22,916 | |
| Europe 1.25x Strategy Fund | | | 16,432 | | | | — | | | | 56,669 | | | | — | | | | — | | | | — | | | | 73,101 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 52,997 | | | | 62,226 | | | | — | | | | — | | | | 115,223 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 817,414 | | | | — | | | | 817,414 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 204,348 | | | | — | | | | 204,348 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 9,160 | | | | 20,873 | | | | 30,033 | |
* 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 year ended March 28, 2013:
| Derivative Investment Type | Location of Gain (Loss) on Derivatives |
| Equity/Currency/Credit contracts | Net realized gain (loss) on swap agreements |
| | Net change in unrealized appreciation (depreciation) on swap agreements |
| Equity/Interest Rate/Currency contracts | Net realized gain (loss) on futures contracts |
| | Net change in unrealized appreciation (depreciation) on futures contracts |
| 278 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 28, 2013:
| Realized Gain (Loss) on Derivative Investments Recognized on 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 | | $ | (883,490 | ) | | $ | 5,733,212 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,849,722 | |
| S&P 500® Fund | | | 1,106,323 | | | | 1,459,043 | | | | — | | | | — | | | | — | | | | — | | | | 2,565,366 | |
| Inverse S&P 500® Strategy Fund | | | (9,811,099 | ) | | | (13,189,695 | ) | | | — | | | | — | | | | — | | | | — | | | | (23,000,794 | ) |
| NASDAQ-100® Fund | | | 5,869,348 | | | | (1,907,592 | ) | | | — | | | | — | | | | — | | | | — | | | | 3,961,756 | |
| Inverse NASDAQ-100® Strategy Fund | | | (1,005,563 | ) | | | (524,288 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,529,851 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 2,264,410 | | | | 4,047,581 | | | | — | | | | — | | | | — | | | | — | | | | 6,311,991 | |
| Inverse Mid-Cap Strategy Fund | | | (387,692 | ) | | | (448,050 | ) | | | — | | | | — | | | | — | | | | — | | | | (835,742 | ) |
| Russell 2000® 1.5x Strategy Fund | | | (140,878 | ) | | | 4,012,628 | | | | — | | | | — | | | | — | | | | — | | | | 3,871,750 | |
| Russell 2000® Fund | | | (132,187 | ) | | | 760,706 | | | | — | | | | — | | | | — | | | | — | | | | 628,519 | |
| Inverse Russell 2000® Strategy Fund | | | (1,039,036 | ) | | | (3,064,021 | ) | | | — | | | | — | | | | — | | | | — | | | | (4,103,057 | ) |
| Europe 1.25x Strategy Fund | | | 2,289,083 | | | | — | | | | 198,839 | | | | — | | | | — | | | | — | | | | 2,487,922 | |
| Japan 2x Strategy Fund | | | 1,479,837 | | | | — | | | | (1,619,053 | ) | | | — | | | | — | | | | — | | | | (139,216 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 2,110,193 | | | | 738,134 | | | | — | | | | — | | | | 2,848,327 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (882,535 | ) | | | (253,456 | ) | | | — | | | | — | | | | (1,135,991 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 13,326,422 | | | | — | | | | 13,326,422 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (3,290,314 | ) | | | — | | | | (3,290,314 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 2,378,733 | | | | 37,077,709 | | | | 39,456,442 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (559,090 | ) | | | (3,600,524 | ) | | | (4,159,614 | ) |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on 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 | | $ | (44,736 | ) | | $ | 238,988 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 194,252 | |
| S&P 500® Fund | | | (45,658 | ) | | | 195,615 | | | | — | | | | — | | | | — | | | | — | | | | 149,957 | |
| Inverse S&P 500® Strategy Fund | | | (201,335 | ) | | | (190,267 | ) | | | — | | | | — | | | | — | | | | — | | | | (391,602 | ) |
| NASDAQ-100® Fund | | | (725,686 | ) | | | 204,393 | | | | — | | | | — | | | | — | | | | — | | | | (521,293 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | (17,114 | ) | | | (68,693 | ) | | | — | | | | — | | | | — | | | | — | | | | (85,807 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 484,714 | | | | 238,872 | | | | — | | | | — | | | | — | | | | — | | | | 723,586 | |
| Inverse Mid-Cap Strategy Fund | | | (30,787 | ) | | | (9,214 | ) | | | — | | | | — | | | | — | | | | — | | | | (40,001 | ) |
| Russell 2000® 1.5x Strategy Fund | | | (49,319 | ) | | | 92,549 | | | | — | | | | — | | | | — | | | | — | | | | 43,230 | |
| Russell 2000® Fund | | | (15,124 | ) | | | 109,419 | | | | — | | | | — | | | | — | | | | — | | | | 94,295 | |
| Inverse Russell 2000® Strategy Fund | | | 111,290 | | | | (67,952 | ) | | | — | | | | — | | | | — | | | | — | | | | 43,338 | |
| Europe 1.25x Strategy Fund | | | 152,430 | | | | — | | | | (82,850 | ) | | | — | | | | — | | | | — | | | | 69,580 | |
| Japan 2x Strategy Fund | | | 379,837 | | | | — | | | | 446,192 | | | | — | | | | — | | | | — | | | | 826,029 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 827,134 | | | | 207,973 | | | | — | | | | — | | | | 1,035,107 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | (403,301 | ) | | | (188,425 | ) | | | — | | | | — | | | | (591,726 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (1,030,138 | ) | | | — | | | | (1,030,138 | ) |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (6,675,896 | ) | | | — | | | | (6,675,896 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | 1,168,369 | | | | 2,287,508 | | | | 3,455,877 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (8,535 | ) | | | (96,832 | ) | | | (105,367 | ) |
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.
| THE RYDEX FUNDS ANNUAL REPORT | 279 |
NOTES TO FINANCIAL STATEMENTS (continued)
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2010-2013), 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. It simplified some of the tax provisions applicable to regulated investment companies, the tax reporting to their shareholders and improved the tax efficiency of certain fund structures. The changes were generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds are 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.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 28, 2013, the following capital loss carryforward amounts expired, were used, or were permanently lost due to loss limitation rules in Section 382 of the Internal Revenue Code:
| Fund | | Amount | |
| Nova Fund | | $ | (12,672,632 | ) |
| S&P 500® Fund | | | (1,526,943 | ) |
| Inverse S&P 500® Strategy Fund | | | (65,527,919 | ) |
| NASDAQ-100® Fund | | | (39,977,153 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | (3,723,075 | ) |
| Mid-Cap 1.5x Strategy Fund | | | (8,517,054 | ) |
| Russell 2000® 1.5x Strategy Fund | | | (5,920,635 | ) |
| S&P 500® Pure Value Fund | | | (1,269,864 | ) |
| S&P MidCap 400® Pure Growth Fund | | | (10,721,429 | ) |
| S&P MidCap 400® Pure Value Fund | | | (2,639,402 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | (1,009,978 | ) |
| S&P SmallCap 600® Pure Value Fund | | | (537,874 | ) |
| Europe 1.25x Strategy Fund | | | (2,846,752 | ) |
| Japan 2x Strategy Fund | | | (686,813 | ) |
| Strengthening Dollar 2x Strategy Fund | | | (3,883,434 | ) |
| Government Long Bond 1.2x Strategy Fund | | | (25,142,921 | ) |
| Inverse Government Long Bond Strategy Fund | | | (63,759,468 | ) |
| 280 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributions paid during the year ended March 28, 2013, was as follows:
| | | Ordinary | | | Long-Term | | | Total | |
| Fund | | Income | | | Capital Gain | | | Distributions | |
| Nova Fund | | $ | 72,406 | | | $ | — | | | $ | 72,406 | |
| S&P 500® Fund | | | 606,873 | | | | — | | | | 606,873 | |
| 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 | | | 81,734 | | | | — | | | | 81,734 | |
| S&P MidCap 400® Pure Growth Fund | | | — | | | | — | | | | — | |
| S&P MidCap 400® Pure Value Fund | | | — | | | | — | | | | — | |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | — | |
| S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | — | |
| Europe 1.25x Strategy Fund | | | 121,349 | | | | — | | | | 121,349 | |
| Japan 2x Strategy Fund | | | — | | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | |
| Real Estate Fund | | | 370,440 | | | | — | | | | 370,440 | |
| Government Long Bond 1.2x Strategy Fund | | | 3,523,210 | | | | — | | | | 3,523,210 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | |
| High Yield Strategy Fund | | | 7,730,042 | | | | 4,377,221 | | | | 12,107,263 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | |
| U.S. Government Money Market Fund | | | 376 | | | | — | | | | 376 | |
The tax character of distributions paid during the year ended March 31, 2012, was as follows:
| | | Ordinary | | | Long-Term | | | Total | |
| Fund | | Income | | | Capital Gain | | | Distributions | |
| 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 | | | 394,919 | | | | 241,421 | | | | 636,340 | |
| S&P 500® Pure Value Fund | | | — | | | | — | | | | — | |
| S&P MidCap 400® Pure Growth Fund | | | — | | | | — | | | | — | |
| S&P MidCap 400® Pure Value Fund | | | — | | | | — | | | | — | |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | — | |
| S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | — | |
| Europe 1.25x Strategy Fund | | | — | | | | — | | | | — | |
| Japan 2x Strategy Fund | | | — | | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | |
| Real Estate Fund | | | 110,615 | | | | — | | | | 110,615 | |
| Government Long Bond 1.2x Strategy Fund | | | 3,511,198 | | | | — | | | | 3,511,198 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | — | |
| High Yield Strategy Fund | | | 7,500,784 | | | | — | | | | 7,500,784 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | |
| U.S. Government Money Market Fund | | | 23,464 | | | | — | | | | 23,464 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
| THE RYDEX FUNDS ANNUAL REPORT | 281 |
NOTES TO FINANCIAL STATEMENTS (continued)
The tax character of distributable earnings/(accumulated losses) at March 28, 2013, was as follows:
| | | Undistributed | | | Undistributed | | | Net Unrealized | | | | |
| | | Ordinary | | | Long-Term | | | Appreciation/ | | | Capital Loss | |
| Fund | | Income | | | Capital Gain | | | (Depreciation) | | | Carryforward1 | |
| Nova Fund | | $ | — | | | $ | — | | | $ | 13,333,391 | | | $ | (31,996,261 | ) |
| S&P 500® Fund | | | — | | | | — | | | | 42,972,161 | | | | (19,816,297 | ) |
| Inverse S&P 500® Strategy Fund | | | — | | | | — | | | | (369,283 | ) | | | (348,297,659 | ) |
| NASDAQ-100® Fund | | | — | | | | 59,488,494 | | | | 255,501,334 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | | | | (27,574 | ) | | | (76,574,007 | ) |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | — | | | | 6,940,212 | | | | (7,314,398 | ) |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | | | | (5,499 | ) | | | (15,304,215 | ) |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | — | | | | 1,842,421 | | | | (4,511,523 | ) |
| Russell 2000® Fund | | | — | | | | — | | | | 8,408,833 | | | | (3,998,405 | ) |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | | | | (22,844 | ) | | | (55,520,753 | ) |
| S&P 500® Pure Growth Fund | | | — | | | | — | | | | 13,904,875 | | | | (425,719 | ) |
| S&P 500® Pure Value Fund | | | — | | | | — | | | | 10,205,313 | | | | (168,978 | ) |
| S&P MidCap 400® Pure Growth Fund | | | — | | | | 5,466,643 | | | | 50,225,408 | | | | — | |
| S&P MidCap 400® Pure Value Fund | | | 52,110 | | | | — | | | | 1,722,874 | | | | (4,151,187 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | 1,627,836 | | | | (9,674,335 | ) |
| S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | 1,866,989 | | | | (31,890,393 | ) |
| Europe 1.25x Strategy Fund | | | — | | | | — | | | | (452,722 | ) | | | (12,762,836 | ) |
| Japan 2x Strategy Fund | | | — | | | | — | | | | — | | | | (1,448,901 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | (19,937,505 | ) |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | (14,159,021 | ) |
| Real Estate Fund | | | 253,789 | | | | — | | | | 1,670,120 | | | | (14,546,194 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 761,831 | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (2,312,219 | ) | | | (447,663,688 | ) |
| High Yield Strategy Fund | | | 26,312,899 | | | | 2,128,261 | | | | 1,794,222 | | | | — | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | (20,873 | ) | | | (12,090,492 | ) |
| U.S. Government Money Market Fund | | | 1,427 | | | | — | | | | — | | | | — | |
Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.
| 282 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
1A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | Total | |
| | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Unlimited | | | Capital Loss | |
| Fund | | 2014 | | | 2015 | | | 2016 | | | 2017 | | | 2018 | | | 2019 | | | Short-Term | | | Long-Term | | | Carryforward | |
| Nova Fund | | $ | — | | | $ | — | | | $ | — | | | $ | (29,780,391 | ) | | $ | (2,215,870 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (31,996,261 | ) |
| S&P 500® Fund | | | — | | | | — | | | | — | | | | (14,866,098 | ) | | | (4,950,199 | ) | | | — | | | | — | | | | — | | | | (19,816,297 | ) |
| Inverse S&P 500® Strategy Fund | | | (37,877,636 | ) | | | (59,724,340 | ) | | | — | | | | — | | | | (107,667,355 | ) | | | (64,265,070 | ) | | | (66,249,747 | ) | | | (12,513,511 | ) | | | (348,297,659 | ) |
| NASDAQ-100® Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | | (17,351,209 | ) | | | (15,380,081 | ) | | | (8,534,020 | ) | | | — | | | | (16,105,314 | ) | | | (9,266,829 | ) | | | (8,676,580 | ) | | | (1,259,974 | ) | | | (76,574,007 | ) |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | — | | | | — | | | | (3,190,389 | ) | | | (4,124,009 | ) | | | — | | | | — | | | | — | | | | (7,314,398 | ) |
| Inverse Mid-Cap Strategy Fund | | | — | | | | (3,855,787 | ) | | | (850,800 | ) | | | — | | | | (6,411,872 | ) | | | (1,499,847 | ) | | | (2,215,830 | ) | | | (470,079 | ) | | | (15,304,215 | ) |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | — | | | | — | | | | (4,511,523 | ) | | | — | | | | — | | | | — | | | | — | | | | (4,511,523 | ) |
| Russell 2000® Fund | | | — | | | | — | | | | — | | | | — | | | | (2,495,832 | ) | | | — | | | | (1,181,081 | ) | | | (321,492 | ) | | | (3,998,405 | ) |
| Inverse Russell 2000® Strategy Fund | | | — | | | | (13,474,576 | ) | | | (7,459,340 | ) | | | — | | | | (15,938,452 | ) | | | (10,451,551 | ) | | | (6,059,163 | ) | | | (2,137,671 | ) | | | (55,520,753 | ) |
| S&P 500® Pure Growth Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (425,719 | ) | | | — | | | | (425,719 | ) |
| S&P 500® Pure Value Fund | | | — | | | | — | | | | — | | | | — | | | | (168,978 | ) | | | — | | | | — | | | | — | | | | (168,978 | ) |
| S&P MidCap 400® Pure Growth Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| S&P MidCap 400® Pure Value Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | (1,769,395 | ) | | | (2,340,462 | ) | | | (41,330 | ) | | | (4,151,187 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | — | | | | — | | | | (5,316,867 | ) | | | (56,524 | ) | | | — | | | | (4,300,944 | ) | | | — | | | | (9,674,335 | ) |
| S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | (31,890,393 | ) | | | — | | | | — | | | | (31,890,393 | ) |
| Europe 1.25x Strategy Fund | | | — | | | | — | | | | — | | | | (10,664,774 | ) | | | — | | | | (2,098,062 | ) | | | — | | | | — | | | | (12,762,836 | ) |
| Japan 2x Strategy Fund | | | — | | | | — | | | | — | | | | (973,570 | ) | | | — | | | | — | | | | (190,132 | ) | | | (285,199 | ) | | | (1,448,901 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (15,541,911 | ) | | | (4,395,594 | ) | | | — | | | | — | | | | (19,937,505 | ) |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | — | | | | (6,635,880 | ) | | | — | | | | (3,988,430 | ) | | | (1,413,884 | ) | | | (2,120,827 | ) | | | (14,159,021 | ) |
| Real Estate Fund | | | — | | | | — | | | | — | | | | (2,247,435 | ) | | | (4,305,317 | ) | | | — | | | | (7,993,442 | ) | | | — | | | | (14,546,194 | ) |
| Government Long Bond 1.2x | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | (82,212,943 | ) | | | (60,731,802 | ) | | | (2,188,094 | ) | | | (24,167,315 | ) | | | (68,305,233 | ) | | | (23,242,075 | ) | | | (155,683,487 | ) | | | (31,132,739 | ) | | | (447,663,688 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | (3,356,295 | ) | | | (4,361,182 | ) | | | (3,745,410 | ) | | | (627,605 | ) | | | (12,090,492 | ) |
| U.S. Government Money Market Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to wash sales, “mark-to-market” of passive foreign investment companies and foreign currency gains and losses. Additional differences may result from the tax treatment of net investment losses and expired capital loss carryforwards. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
| THE RYDEX FUNDS ANNUAL REPORT | 283 |
NOTES TO FINANCIAL STATEMENTS (continued)
On the Statements of Assets and Liabilities, the following adjustments were made for permanent book/tax differences:
| | | | | | Undistributed | | | Accumulated | |
| | | Paid In | | | Net Investment | | | Net Realized | |
| Fund | | Capital | | | Income | | | Gain (Loss) | |
| Nova Fund | | $ | (7,948 | ) | | $ | 4,737 | | | $ | 3,211 | |
| S&P 500® Fund | | | (52,852 | ) | | | 50,110 | | | | 2,742 | |
| Inverse S&P 500® Strategy Fund | | | (67,764,735 | ) | | | 2,236,816 | | | | 65,527,919 | |
| NASDAQ-100® Fund | | | (112,092 | ) | | | 112,423 | | | | (331 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | (3,928,765 | ) | | | 205,688 | | | | 3,723,077 | |
| Mid-Cap 1.5x Strategy Fund | | | (107,156 | ) | | | 98,679 | | | | 8,477 | |
| Inverse Mid-Cap Strategy Fund | | | (60,687 | ) | | | 60,687 | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | (36,625 | ) | | | 28,557 | | | | 8,068 | |
| Russell 2000® Fund | | | (269,141 | ) | | | 246,205 | | | | 22,936 | |
| Inverse Russell 2000® Strategy Fund | | | (370,954 | ) | | | 370,955 | | | | (1 | ) |
| S&P 500® Pure Growth Fund | | | (349,099 | ) | | | 348,995 | | | | 104 | |
| S&P 500® Pure Value Fund | | | 279,740 | | | | (279,740 | ) | | | — | |
| S&P MidCap 400® Pure Growth Fund | | | 238,773 | | | | 1,611,921 | | | | (1,850,694 | ) |
| S&P MidCap 400® Pure Value Fund | | | — | | | | — | | | | — | |
| S&P SmallCap 600® Pure Growth Fund | | | (98,547 | ) | | | 98,152 | | | | 395 | |
| S&P SmallCap 600® Pure Value Fund | | | (149,602 | ) | | | 145,160 | | | | 4,442 | |
| Europe 1.25x Strategy Fund | | | (10,612 | ) | | | (3,686 | ) | | | 14,298 | |
| Japan 2x Strategy Fund | | | (52,933 | ) | | | 52,933 | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | (737,823 | ) | | | 737,822 | | | | 1 | |
| Weakening Dollar 2x Strategy Fund | | | (302,748 | ) | | | 302,748 | | | | — | |
| Real Estate Fund | | | (136,717 | ) | | | 4,750 | | | | 131,967 | |
| Government Long Bond 1.2x Strategy Fund | | | (765,147 | ) | | | 11,927 | | | | 753,220 | |
| Inverse Government Long Bond Strategy Fund | | | (76,041,552 | ) | | | 12,282,084 | | | | 63,759,468 | |
| High Yield Strategy Fund | | | — | | | | 17,494,168 | | | | (17,494,168 | ) |
| Inverse High Yield Strategy Fund | | | (814,739 | ) | | | 41,691 | | | | 773,048 | |
| U.S. Government Money Market Fund | | | 34,797 | | | | (945 | ) | | | (33,852 | ) |
At March 28, 2013, 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 | | $ | 59,744,481 | | | $ | 13,602,169 | | | $ | (503,637 | ) | | $ | 13,098,532 | |
| S&P 500® Fund | | | 244,479,649 | | | | 44,704,266 | | | | (1,991,599 | ) | | | 42,712,667 | |
| Inverse S&P 500® Strategy Fund | | | 127,939,940 | | | | 19,153 | | | | — | | | | 19,153 | |
| NASDAQ-100® Fund | | | 266,369,679 | | | | 256,323,134 | | | | (894,049 | ) | | | 255,429,085 | |
| Inverse NASDAQ-100® Strategy Fund | | | 10,192,560 | | | | — | | | | — | | | | — | |
| Mid-Cap 1.5x Strategy Fund | | | 56,861,703 | | | | 6,838,276 | | | | (110,803 | ) | | | 6,727,473 | |
| Inverse Mid-Cap Strategy Fund | | | 1,547,085 | | | | — | | | | — | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | 46,685,385 | | | | 2,214,921 | | | | (426,350 | ) | | | 1,788,571 | |
| Russell 2000® Fund | | | 99,170,787 | | | | 9,804,082 | | | | (1,461,277 | ) | | | 8,342,805 | |
| Inverse Russell 2000® Strategy Fund | | | 13,890,316 | | | | — | | | | — | | | | — | |
| S&P 500® Pure Growth Fund | | | 62,375,725 | | | | 14,211,526 | | | | (306,651 | ) | | | 13,904,875 | |
| S&P 500® Pure Value Fund | | | 73,846,028 | | | | 10,882,176 | | | | (676,863 | ) | | | 10,205,313 | |
| S&P MidCap 400® Pure Growth Fund | | | 256,681,612 | | | | 53,017,977 | | | | (2,792,569 | ) | | | 50,225,408 | |
| S&P MidCap 400® Pure Value Fund | | | 82,436,110 | | | | 2,354,732 | | | | (631,858 | ) | | | 1,722,874 | |
| S&P SmallCap 600® Pure Growth Fund | | | 8,556,732 | | | | 1,782,469 | | | | (154,633 | ) | | | 1,627,836 | |
| S&P SmallCap 600® Pure Value Fund | | | 34,713,163 | | | | 2,639,038 | | | | (772,049 | ) | | | 1,866,989 | |
| Europe 1.25x Strategy Fund | | | 13,702,697 | | | | — | | | | (452,713 | ) | | | (452,713 | ) |
| Japan 2x Strategy Fund | | | 10,363,653 | | | | — | | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | 19,904,153 | | | | — | | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | 13,059,261 | | | | — | | | | — | | | | — | |
| Real Estate Fund | | | 24,009,866 | | | | 1,742,761 | | | | (72,641 | ) | | | 1,670,120 | |
| Government Long Bond 1.2x Strategy Fund | | | 392,788,512 | | | | 791,603 | | | | (29,772 | ) | | | 761,831 | |
| Inverse Government Long Bond Strategy Fund | | | 391,613,261 | | | | 4,023 | | | | — | | | | 4,023 | |
| High Yield Strategy Fund | | | 420,608,939 | | | | 1,052,255 | | | | — | | | | 1,052,255 | |
| Inverse High Yield Strategy Fund | | | 10,893,265 | | | | — | | | | — | | | | — | |
| U.S. Government Money Market Fund | | | 770,936,169 | | | | — | | | | — | | | | — | |
| 284 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 28, 2013, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2013:
| Fund | | Ordinary | | | Capital | |
| Nova Fund | | $ | (10,845 | ) | | $ | — | |
| S&P 500® Fund | | | (4,405 | ) | | | (466,197 | ) |
| Inverse S&P 500® Strategy Fund | | | (466,290 | ) | | | (16,364,038 | ) |
| NASDAQ-100® Fund | | | (525,244 | ) | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | | (56,251 | ) | | | (1,835,195 | ) |
| Mid-Cap 1.5x Strategy Fund | | | (151,408 | ) | | | — | |
| Inverse Mid-Cap Strategy Fund | | | (11,126 | ) | | | (578,757 | ) |
| Russell 2000® 1.5x Strategy Fund | | | (89,128 | ) | | | — | |
| Russell 2000® Fund | | | (170,825 | ) | | | — | |
| Inverse Russell 2000® Strategy Fund | | | (49,409 | ) | | | (2,147,358 | ) |
| S&P 500® Pure Growth Fund | | | (155,123 | ) | | | — | |
| S&P MidCap 400® Pure Growth Fund | | | (669,216 | ) | | | — | |
| S&P SmallCap 600® Pure Growth Fund | | | (58,810 | ) | | | — | |
| S&P SmallCap 600® Pure Value Fund | | | (59,464 | ) | | | — | |
| Europe 1.25x Strategy Fund | | | (56,148 | ) | | | — | |
| Japan 2x Strategy Fund | | | (27,700 | ) | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | (93,368 | ) | | | — | |
| Weakening Dollar 2x Strategy Fund | | | (68,289 | ) | | | (1,308,674 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | (3,152,633 | ) |
| Inverse Government Long Bond Strategy Fund | | | (2,708,996 | ) | | | (5,828,373 | ) |
| Inverse High Yield Strategy Fund | | | (227,498 | ) | | | (2,712,787 | ) |
Appropriate tax adjustments have been made to the tax cost of investments, accumulated earnings on a tax basis, capital loss carryforwards, post-October losses and utilized capital loss carryforwards in accordance with March 31, 2013 tax year end of the Funds.
9. Securities Transactions
For the year ended March 28, 2013, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were as follows:
| Fund | | Purchases | | | Sales | |
| Nova Fund | | $ | 59,988,578 | | | $ | 58,239,417 | |
| S&P 500® Fund | | | 148,998,924 | | | | 169,950,503 | |
| Inverse S&P 500® Strategy Fund | | | — | | | | — | |
| NASDAQ-100® Fund | | | 623,662,803 | | | | 922,569,067 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | |
| Mid-Cap 1.5x Strategy Fund | | | 141,188,468 | | | | 127,499,726 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | 120,706,672 | | | | 108,479,848 | |
| Russell 2000® Fund | | | 68,458,660 | | | | 61,219,264 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | |
| S&P 500® Pure Growth Fund | | | 354,038,635 | | | | 340,021,863 | |
| S&P 500® Pure Value Fund | | | 367,154,882 | | | | 369,835,072 | |
| S&P MidCap 400® Pure Growth Fund | | | 535,068,280 | | | | 619,978,371 | |
| S&P MidCap 400® Pure Value Fund | | | 291,030,378 | | | | 240,673,524 | |
| S&P SmallCap 600® Pure Growth Fund | | | 108,509,385 | | | | 131,609,021 | |
| S&P SmallCap 600® Pure Value Fund | | | 166,582,689 | | | | 157,482,950 | |
| Europe 1.25x Strategy Fund | | | 109,607,497 | | | | 109,321,977 | |
| Japan 2x Strategy Fund | | | — | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | |
| Real Estate Fund | | | 206,801,502 | | | | 198,569,741 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | 25,000,000 | |
| High Yield Strategy Fund | | | 51,751,541 | | | | 23,008,942 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | |
| U.S. Government Money Market Fund | | | — | | | | — | |
| THE RYDEX FUNDS ANNUAL REPORT | 285 |
NOTES TO FINANCIAL STATEMENTS (continued)
For the year ended March 28, 2013, the cost of purchases and proceeds from sales of government securities were:
| Fund | | Purchases | | | Sales | |
| Government Long Bond 1.2x Strategy Fund | | $ | 3,486,479,569 | | | $ | 3,323,505,753 | |
| Inverse Government Long Bond Strategy Fund | | | 2,418,982,885 | | | | 2,667,513,236 | |
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 year ended March 28, 2013. The Funds did not have any borrowings under this agreement at March 28, 2013.
The average daily balances borrowed for the year ended March 28, 2013 were as follows:
| Fund | | Amount | |
| Nova Fund | | $ | 411 | |
| S&P 500® Fund | | | 737 | |
| Russell 2000® 1.5x Strategy Fund | | | 9,630 | |
| S&P 500® Pure Growth Fund | | | 32,715 | |
| S&P 500® Pure Value Fund | | | 33,367 | |
| S&P MidCap 400® Pure Growth Fund | | | 16,800 | |
| S&P MidCap 400® Pure Value Fund | | | 7,756 | |
| S&P SmallCap 600® Pure Growth Fund | | | 12,222 | |
| S&P SmallCap 600® Pure Value Fund | | | 18,260 | |
| Real Estate Fund | | | 8,981 | |
| Government Long Bond 1.2x Strategy Fund | | | 521 | |
| Inverse Government Long Bond Strategy Fund | | | 66,178 | |
| U.S. Government Money Market Fund | | | 38,881 | |
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 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 the 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 March 28, 2013, the Funds participated in securities lending as follows:
| | | Value of | | | Cash Collateral | |
| Fund | | Securities Loaned | | | Received | |
| Nova Fund | | $ | 40,988 | | | $ | 41,780 | |
| S&P 500® Fund | | | 257,060 | | | | 262,473 | |
| NASDAQ-100® Fund | | | 685,964 | | | | 706,061 | |
| Mid-Cap 1.5x Strategy Fund | | | 270,390 | | | | 276,204 | |
| Russell 2000® 1.5x Strategy Fund | | | 212,639 | | | | 220,766 | |
| Russell 2000® Fund | | | 994,101 | | | | 1,025,426 | |
| S&P 500® Pure Value Fund | | | 1,101,426 | | | | 1,125,004 | |
| S&P MidCap 400® Pure Growth Fund | | | 295,389 | | | | 301,500 | |
| S&P MidCap 400® Pure Value Fund | | | 738,617 | | | | 757,265 | |
| S&P SmallCap 600® Pure Growth Fund | | | 152,857 | | | | 152,255 | * |
| S&P SmallCap 600® Pure Value Fund | | | 470,483 | | | | 493,903 | |
| Europe 1.25x Strategy Fund | | | 44,820 | | | | 45,570 | |
| Real Estate Fund | | | 68,338 | | | | 70,000 | |
* Subsequent to March 28, 2013, additional collateral was received.
| 286 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued)
The following represents a breakdown of the collateral for the joint repurchase agreements at March 28, 2013:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| HSBC Securities, Inc. | | | | | | | | | | Fannie Mae | | | | | | | | |
| 0.17% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 04/01/13 | | $ | 14,334,268 | | | $ | 14,334,539 | | | 11/15/17 | | $ | 2,790,164 | | | $ | 2,666,114 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.00% | | | | | | | | |
| | | | | | | | | | | 11/15/19 | | | 13,365,954 | | | | 11,957,850 | |
| RBS Securities, Inc. | | | | | | | | | | Federal Home Loan Bank | | | | | | | | |
| 0.18% | | | | | | | | | | 0.375% | | | | | | | | |
| Due 04/01/13 | | | 18,221,722 | | | | 18,222,086 | | | 10/18/13 | | | 1,832,012 | | | | 1,837,210 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.50% | | | | | | | | |
| | | | | | | | | | | 05/27/15 | | | 16,668,738 | | | | 16,751,927 | |
12. U.S. Government Money Market Fund Consolidation
Effective June 15, 2012, 816,436,768 Investor Class shares, 179,777,212 Advisor Class shares, 29,569,296 A-Class shares, 45,027,314 C-Class shares, and 34,994,846 Investor2 Class shares of the U.S. Government Money Market Fund (the “Fund”) were converted to the Fund’s new share class, the Money Market Class shares, at a 1 for 1 conversion ratio. The Money Market Class shares expense structure was substantially similar to the former Investor Class. Accordingly, for financial reporting purposes, the Money Market Class’ operating results presented in the financial statements and financial highlights reflect the operating history of the Investor Class for periods prior to June 15, 2012.
13. New Accounting Pronouncement
In January 2013, the Financial Accounting Standards Board ("FASB") issued an Accounting Standards Update ("ASU") No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending. The new disclosure is effective for Funds whose annual or interim periods begin on or after January 1, 2013. Management is evaluating the impact of this update on its current disclosures.
14. 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.
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 “SLCFC actions”).
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multi-district litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”). On November 6, 2012, the defendants moved to dismiss the SLCFC actions. On December 21, 2012, the plaintiffs filed a memorandum in opposition to the motion to dismiss. On February 4, 2013, the defendants filed a reply in support of the motion to dismiss. The Court has not yet issued a decision on the motion.
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.
| THE RYDEX FUNDS ANNUAL REPORT | 287 |
NOTES TO FINANCIAL STATEMENTS (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.
| 288 | THE RYDEX FUNDS ANNUAL REPORT |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders
of Rydex Series Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Nova Fund, S&P 500® Fund, Inverse S&P 500® Strategy Fund, NASDAQ-100® Fund, Inverse NASDAQ-100® Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 1.5x Strategy Fund, Russell 2000® Fund, Inverse Russell 2000® Strategy Fund, S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund, Weakening Dollar 2x Strategy Fund, Real Estate Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, Inverse High Yield Strategy Fund and U.S. Government Money Market Fund (twenty-six of the series constituting the Rydex Series Funds) (the “Funds”) as of March 28, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 28, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 28, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
May 24, 2013
| THE RYDEX FUNDS ANNUAL REPORT | 289 |
OTHER INFORMATION (Unaudited)
Tax Information
This information is being provided as required by the Internal Revenue Code (IRC). Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
Of the taxable ordinary income distributions paid during the fiscal year ending March 28, 2013, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:
| Fund | | % Qualifying | |
| Nova Fund | | | 100.00% | |
| S&P 500® Fund | | | 100.00% | |
| S&P 500® Pure Value Fund | | | 100.00% | |
| Europe 1.25x Strategy Fund | | | 0.00% | |
| High Yield Strategy Fund | | | 3.90% | |
The following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
| Fund | | % Qualifying | |
| Nova Fund | | | 100.00% | |
| S&P 500® Fund | | | 100.00% | |
| S&P 500® Pure Value Fund | | | 100.00% | |
| Europe 1.25x Strategy Fund | | | 100.00% | |
| High Yield Strategy Fund | | | 17.79% | |
Additionally, of the taxable ordinary income distributions paid during the fiscal year ending March 28, 2013, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively:
| Fund | | % Qualifying | | | % STCG Qualifying | |
| Government Long Bond 1.2x Strategy Fund | | | 100.00% | | | | 100.00% | |
| High Yield Strategy Fund | | | 98.92% | | | | 0.00% | |
| U.S. Government Money Market Fund | | | 100.00% | | | | 0.00% | |
With respect to the taxable year ended March 28, 2013, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| | | | | | S&P MidCap | |
| | | High Yield | | | 400® Pure | |
| | | Strategy Fund | | | Growth Fund | |
| From long-term capital gains, subject to the 15% rate gains category: | | $ | 4,377,221 | | | $ | — | |
| From long-term capital gains, using proceeds from shareholder redemptions: | | | — | | | | 1,883,920 | |
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.
| 290 | THE RYDEX FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) (concluded)
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
Distributor Name Change
Effective January 1, 2013, Rydex Distributors, LLC changed its name to Guggenheim Distributors, LLC. The name change marks another step in the business integration process following the acquisition of Rydex by Guggenheim announced last year. The name change should not result in any material change to the day-to-day management or operations of the funds.
| THE RYDEX FUNDS ANNUAL REPORT | 291 |
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 | | 136 | |
| (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 | | 136 | |
| (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 | | 136 | |
| (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 | | 136 | |
| (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
| 292 | THE RYDEX FUNDS 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 | | 136 | |
| (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 | | 136 | |
| (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 | | 136 | |
| (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 | | 136 | |
| (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: Guggenheim Distributors, LLC (f/k/a Rydex Distributors, LLC), 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 ANNUAL REPORT | 293 |
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 Guggenheim Distributors, LLC Previous: Senior Manager, Security Investors, LLC and Guggenheim Distributors, LLC (2004–2009) |
| | | |
Amy J. Lee*
Vice President and Secretary (1961) | | Current: Managing Director, Guggenheim Investments; Senior Vice President & Secretary, Security Investors, LLC; Secretary & Vice President, Rydex ETF Trust, Rydex Dynamic Funds, Rydex Variable Trust, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Guggenheim Specialized Products, LLC, Guggenheim Distributors, LLC and Rydex Fund Services, LLC Previous: Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987–2012); Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/ka/ PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011) |
| | | |
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. |
| 294 | THE RYDEX FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Distributors, LLC, 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 ANNUAL REPORT | 295 |
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.
| 296 | THE RYDEX FUNDS ANNUAL REPORT |
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SECTOR FUNDS
BANKING FUND
BASIC MATERIALS FUND
BIOTECHNOLOGY FUND
CONSUMER PRODUCTS FUND
ELECTRONICS FUND
ENERGY FUND
ENERGY SERVICES FUND
FINANCIAL SERVICES FUND
HEALTH CARE FUND
INTERNET FUND
LEISURE FUND
PRECIOUS METALS FUND
RETAILING FUND
TECHNOLOGY FUND
TELECOMMUNICATIONS FUND
TRANSPORTATION FUND
UTILITIES FUND
RSECF-ANN-2-0313x0314
GO GREEN!
ELIMINATE MAILBOX CLUTTER
Go paperless with Guggenheim Investments eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.
With Guggenheim Investments eDelivery you can:
| · | View online confirmations and statements at your convenience. |
| · | Receive email notifications when your most recent confirmations, statements and other account documents are available for review. |
| · | Access prospectuses, annual reports and semiannual reports online. |
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 Guggenheim Distributors, LLC.
TABLE OF CONTENTS
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
March 28, 2013
Dear Shareholder
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for 17 Rydex sector funds.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
Guggenheim Distributors, LLC is the distributor of the Funds. Guggenheim Distributors, LLC is affiliated with Guggenheim Partners and Security Investors, LLC.
This report covers performance of the following Funds for the one-year period ended March 28, 2013:
| – Banking Fund |
| – Basic Materials Fund |
| – Biotechnology Fund |
| – Consumer Products Fund |
| – Electronics Fund |
| – Energy Fund |
| – Energy Services Fund |
| – Financial Services Fund |
| – Health Care Fund |
| – Internet Fund |
| – Leisure Fund |
| – Precious Metals Fund |
| – Retailing Fund |
| – Technology Fund |
| – Telecommunications Fund |
| – Transportation Fund |
| – Utilities Fund |
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
April 30, 2013
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.
Sector funds may not be suitable for all investors. Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the fund’s holdings in issuers of the same or similar offerings. These funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund.
| 2 | THE RYDEX FUNDS ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW | March 28, 2013 |
Recent economic results have been solid, powered by the monetary accommodation from central banks around the world. The U.S. Federal Reserve has signaled that it is likely to continue with its asset purchase program throughout 2013 in an effort to combat long-term structural unemployment. This, coupled with rebound in the housing market, has provided a tailwind for the economy. The run-up in U.S. equity prices, with some major indices testing or exceeding their all-time highs, has also contributed to heightened expectations about the economy and markets. In the fixed income domain, abundant liquidity and the continuation of open-ended quantitative easing have produced a benign credit environment with low default rates.
Following Congress’ New Year’s reprieve on the Fiscal Cliff, markets turned their attention to the impact of sequestration, as well as ongoing tax and spending debates. Despite some uncertainty created by recent political partisanship in Washington, the U.S. economy seems to be on firm footing. Construction spending has been rising, state and local employment has been contributing to GDP and employment growth has been fairly strong. Investors have benefited from the themes that have dominated the environment since the recovery began: tighter credit spreads, low interest rates, improving employment, modest inflation and sustained economic growth. Moreover, the U.S. economic expansion has withstood recent less-than-favorable Chinese economic data and Europe’s continued growth problems and banking crises in certain periphery countries.
For the one-year period ended March 28, 2013, the Standard & Poor’s 500 (“S&P 500”) Index*, which is generally regarded as an indicator of the broad U.S. stock market, returned 13.96%. Foreign developed markets performed in a comparable manner: 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 11.25%. Global growth concerns affected emerging markets. The return of the MSCI Emerging Market Index* was 1.66%.
In the bond market, higher quality issues underperformed lower-rated bonds, as investors embraced risk. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, posted a 3.77% return for the period, while the Barclays U.S .High Yield Index* returned 13.13%. Reflecting the Fed’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 0.12% for the one-year period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
| ECONOMIC AND MARKET OVERVIEW (concluded) | March 28, 2013 |
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
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. 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 free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P 500® Consumer Discretionary Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Consumer Discretionary index includes companies in the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media and retailing.
S&P 500® Consumer Staples Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Consumer Staples index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages and tobacco and producers of non-durable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Energy index comprises companies whose businesses are dominated by either of the following activities: The construction or provision of oil rigs, drilling equipment and other energy-related equipment and services, including seismic data collection; companies engaged in the exploration, production, marketing, refining and/or transportation of oil and gas products, coal and other consumable fuels.
S&P 500® Financials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Financials index contains companies involved in activities such as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, and financial investment, and real estate, including REITs.
S&P 500® Health Care Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Health Care index encompasses two main industry groups. The first includes companies who manufacture health care equipment and supplies or provide health care related services, including distributors of health care products, providers of basic health-care services, and owners and operators of health care facilities and organizations. The first group also includes companies operating in the health care technology industry. The second group includes companies primarily involved in the research, development, production and marketing of pharmaceuticals, biotechnology and life sciences products.
S&P 500® Industrials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Industrials index includes companies whose businesses are dominated by one of the following activities: the manufacture and distribution of capital goods, including aerospace & defense, construction, engineering & building products, electrical equipment and industrial machinery; the provision of commercial services and supplies, including printing, environmental, office and security services; the provision of professional services, including employment and research & consulting services; or the provision of transportation services, including airlines, couriers, marine, road & rail and transportation infrastructure.
S&P 500® Information Technology Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Information Technology index covers the following general areas: Technology software & services, including companies that primarily develop software in various fields such as the Internet, applications, systems, databases management and/or home entertainment, and companies that provide information technology consulting and services, as well as data processing and outsourced services; secondly, Technology Hardware & Equipment, including manufacturers and distributors of communications equipment, computers & peripherals, electronic equipment and related instruments; and thirdly, Semiconductors & Semiconductor Equipment Manufacturers.
S&P 500® Materials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Materials index encompasses a wide range of commodity-related manufacturing industries. Included in this sector are companies that manufacture chemicals, construction materials, glass, paper, forest products and related packaging products, and metals, minerals and mining companies, including producers of steel.
S&P 500® Telecommunications Services Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Telecommunications Services index contains companies that provide communications services primarily through a fixed-line, cellular, wireless, high bandwidth and/or fiber optic cable network.
S&P 500® Utilities Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Utilities index encompasses those companies considered electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
| 4 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)
All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, 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 September 30, 2012 and ending March 28, 2013.
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 ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| Banking Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 13.13 | % | | | $1,000.00 | | | | $1,131.30 | | | | $7.16 | |
| Advisor Class | | | 1.87 | % | | | 12.85 | % | | | 1,000.00 | | | | 1,128.50 | | | | 9.76 | |
| A-Class | | | 1.63 | % | | | 13.01 | % | | | 1,000.00 | | | | 1,130.10 | | | | 8.51 | |
| C-Class | | | 2.37 | % | | | 12.56 | % | | | 1,000.00 | | | | 1,125.60 | | | | 12.35 | |
| Basic Materials Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 1.94 | % | | | 1,000.00 | | | | 1,019.40 | | | | 6.78 | |
| Advisor Class | | | 1.87 | % | | | 1.71 | % | | | 1,000.00 | | | | 1,017.10 | | | | 9.25 | |
| A-Class | | | 1.62 | % | | | 1.82 | % | | | 1,000.00 | | | | 1,018.20 | | | | 8.02 | |
| C-Class | | | 2.37 | % | | | 1.45 | % | | | 1,000.00 | | | | 1,014.50 | | | | 11.71 | |
| Biotechnology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 14.10 | % | | | 1,000.00 | | | | 1,141.00 | | | | 7.19 | |
| Advisor Class | | | 1.87 | % | | | 13.80 | % | | | 1,000.00 | | | | 1,138.00 | | | | 9.80 | |
| A-Class | | | 1.62 | % | | | 13.94 | % | | | 1,000.00 | | | | 1,139.40 | | | | 8.50 | |
| C-Class | | | 2.37 | % | | | 13.52 | % | | | 1,000.00 | | | | 1,135.20 | | | | 12.41 | |
| Consumer Products Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 16.71 | % | | | 1,000.00 | | | | 1,167.10 | | | | 7.28 | |
| Advisor Class | | | 1.87 | % | | | 16.40 | % | | | 1,000.00 | | | | 1,164.00 | | | | 9.92 | |
| A-Class | | | 1.62 | % | | | 16.55 | % | | | 1,000.00 | | | | 1,165.50 | | | | 8.60 | |
| C-Class | | | 2.37 | % | | | 16.11 | % | | | 1,000.00 | | | | 1,161.10 | | | | 12.56 | |
| Electronics Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 13.48 | % | | | 1,000.00 | | | | 1,134.80 | | | | 7.17 | |
| Advisor Class | | | 1.87 | % | | | 13.13 | % | | | 1,000.00 | | | | 1,131.30 | | | | 9.77 | |
| A-Class | | | 1.62 | % | | | 13.34 | % | | | 1,000.00 | | | | 1,133.40 | | | | 8.47 | |
| C-Class | | | 2.37 | % | | | 12.84 | % | | | 1,000.00 | | | | 1,128.40 | | | | 12.37 | |
| Energy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 9.66 | % | | | 1,000.00 | | | | 1,096.60 | | | | 7.04 | |
| Advisor Class | | | 1.87 | % | | | 9.35 | % | | | 1,000.00 | | | | 1,093.50 | | | | 9.60 | |
| A-Class | | | 1.62 | % | | | 9.52 | % | | | 1,000.00 | | | | 1,095.20 | | | | 8.32 | |
| C-Class | | | 2.37 | % | | | 9.10 | % | | | 1,000.00 | | | | 1,091.00 | | | | 12.15 | |
| Energy Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 10.79 | % | | | 1,000.00 | | | | 1,107.90 | | | | 7.08 | |
| Advisor Class | | | 1.87 | % | | | 10.52 | % | | | 1,000.00 | | | | 1,105.20 | | | | 9.65 | |
| A-Class | | | 1.62 | % | | | 10.65 | % | | | 1,000.00 | | | | 1,106.50 | | | | 8.37 | |
| C-Class | | | 2.37 | % | | | 10.26 | % | | | 1,000.00 | | | | 1,102.60 | | | | 12.22 | |
| Financial Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 16.57 | % | | | 1,000.00 | | | | 1,165.70 | | | | 7.28 | |
| Advisor Class | | | 1.87 | % | | | 16.29 | % | | | 1,000.00 | | | | 1,162.90 | | | | 9.92 | |
| A-Class | | | 1.62 | % | | | 16.42 | % | | | 1,000.00 | | | | 1,164.20 | | | | 8.60 | |
| C-Class | | | 2.37 | % | | | 15.99 | % | | | 1,000.00 | | | | 1,159.90 | | | | 12.55 | |
| Health Care Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 13.44 | % | | | 1,000.00 | | | | 1,134.40 | | | | 7.17 | |
| Advisor Class | | | 1.87 | % | | | 13.14 | % | | | 1,000.00 | | | | 1,131.40 | | | | 9.77 | |
| A-Class | | | 1.62 | % | | | 13.27 | % | | | 1,000.00 | | | | 1,132.70 | | | | 8.47 | |
| C-Class | | | 2.37 | % | | | 12.86 | % | | | 1,000.00 | | | | 1,128.60 | | | | 12.37 | |
| 6 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| Internet Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.38 | % | | | 12.27 | % | | | $1,000.00 | | | | $1,122.70 | | | | $7.18 | |
| Advisor Class | | | 1.87 | % | | | 11.98 | % | | | 1,000.00 | | | | 1,119.80 | | | | 9.72 | |
| A-Class | | | 1.62 | % | | | 12.14 | % | | | 1,000.00 | | | | 1,121.40 | | | | 8.43 | |
| C-Class | | | 2.38 | % | | | 11.69 | % | | | 1,000.00 | | | | 1,116.90 | | | | 12.35 | |
| Leisure Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 16.74 | % | | | 1,000.00 | | | | 1,167.40 | | | | 7.28 | |
| Advisor Class | | | 1.87 | % | | | 16.44 | % | | | 1,000.00 | | | | 1,164.40 | | | | 9.92 | |
| A-Class | | | 1.62 | % | | | 16.58 | % | | | 1,000.00 | | | | 1,165.80 | | | | 8.60 | |
| C-Class | | | 2.37 | % | | | 16.16 | % | | | 1,000.00 | | | | 1,161.60 | | | | 12.56 | |
| Precious Metals Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.27 | % | | | (24.96 | %) | | | 1,000.00 | | | | 750.40 | | | | 5.45 | |
| Advisor Class | | | 1.78 | % | | | (25.15 | %) | | | 1,000.00 | | | | 748.50 | | | | 7.63 | |
| A-Class | | | 1.53 | % | | | (25.07 | %) | | | 1,000.00 | | | | 749.30 | | | | 6.56 | |
| C-Class | | | 2.28 | % | | | (25.34 | %) | | | 1,000.00 | | | | 746.60 | | | | 9.76 | |
| Retailing Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 8.94 | % | | | 1,000.00 | | | | 1,089.40 | | | | 7.02 | |
| Advisor Class | | | 1.87 | % | | | 8.72 | % | | | 1,000.00 | | | | 1,087.20 | | | | 9.57 | |
| A-Class | | | 1.62 | % | | | 8.80 | % | | | 1,000.00 | | | | 1,088.00 | | | | 8.29 | |
| C-Class | | | 2.37 | % | | | 8.41 | % | | | 1,000.00 | | | | 1,084.10 | | | | 12.11 | |
| Technology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 7.15 | % | | | 1,000.00 | | | | 1,071.50 | | | | 6.96 | |
| Advisor Class | | | 1.87 | % | | | 6.95 | % | | | 1,000.00 | | | | 1,069.50 | | | | 9.49 | |
| A-Class | | | 1.62 | % | | | 7.08 | % | | | 1,000.00 | | | | 1,070.80 | | | | 8.23 | |
| C-Class | | | 2.37 | % | | | 6.58 | % | | | 1,000.00 | | | | 1,065.80 | | | | 12.01 | |
| Telecommunications Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 3.88 | % | | | 1,000.00 | | | | 1,038.80 | | | | 6.85 | |
| Advisor Class | | | 1.87 | % | | | 3.61 | % | | | 1,000.00 | | | | 1,036.10 | | | | 9.34 | |
| A-Class | | | 1.62 | % | | | 3.79 | % | | | 1,000.00 | | | | 1,037.90 | | | | 8.10 | |
| C-Class | | | 2.37 | % | | | 3.61 | % | | | 1,000.00 | | | | 1,036.10 | | | | 11.83 | |
| Transportation Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.38 | % | | | 28.28 | % | | | 1,000.00 | | | | 1,282.80 | | | | 7.72 | |
| Advisor Class | | | 1.88 | % | | | 27.92 | % | | | 1,000.00 | | | | 1,279.20 | | | | 10.51 | |
| A-Class | | | 1.62 | % | | | 28.09 | % | | | 1,000.00 | | | | 1,280.90 | | | | 9.06 | |
| C-Class | | | 2.37 | % | | | 27.59 | % | | | 1,000.00 | | | | 1,275.90 | | | | 13.23 | |
| Utilities Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 11.17 | % | | | 1,000.00 | | | | 1,111.70 | | | | 7.09 | |
| Advisor Class | | | 1.87 | % | | | 10.94 | % | | | 1,000.00 | | | | 1,109.40 | | | | 9.67 | |
| A-Class | | | 1.62 | % | | | 11.04 | % | | | 1,000.00 | | | | 1,110.40 | | | | 8.38 | |
| C-Class | | | 2.37 | % | | | 10.60 | % | | | 1,000.00 | | | | 1,106.00 | | | | 12.24 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| Table 2. Based on hypothetical 5% return (before expenses)5 | |
| Banking Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,018.10 | | | | $6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.63 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.80 | | | | 8.20 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Basic Materials Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Biotechnology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Consumer Products Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Electronics Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Energy Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Energy Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Financial Services Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Health Care Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| 8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| Internet Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.38 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,018.05 | | | | $6.94 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.38 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.06 | | | | 11.94 | |
| Leisure Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Precious Metals Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.27 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.60 | | | | 6.39 | |
| Advisor Class | | | 1.78 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.06 | | | | 8.95 | |
| A-Class | | | 1.53 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,017.30 | | | | 7.70 | |
| C-Class | | | 2.28 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.56 | | | | 11.45 | |
| Retailing Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Technology Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Telecommunications Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Transportation Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.38 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.05 | | | | 6.94 | |
| Advisor Class | | | 1.88 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.56 | | | | 9.45 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| Utilities Fund | | | | | | | | | | | | | | | | | | | | |
| Investor Class | | | 1.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,018.10 | | | | 6.89 | |
| Advisor Class | | | 1.87 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.61 | | | | 9.40 | |
| A-Class | | | 1.62 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.85 | | | | 8.15 | |
| C-Class | | | 2.37 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.11 | | | | 11.90 | |
| 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 179/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period September 30, 2012 to March 28, 2013. |
| 4 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | Hypothetical return for the period September 30, 2012 to March 31, 2013. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
For the one-year period ended March 28, 2013, Banking Fund Investor Class returned 12.84%, compared with the S&P 500 Financials Index, which returned 17.60%. The broader S&P 500 Index returned 13.96%.
All industries that compose the Fund contributed to return; the leading contributor was commercial banks, followed by diversified financial services. Capital markets contributed least to Fund return.
Among the best-performing holdings in the Fund for the period were Bank of America Corp., Citigroup, Inc. and Ocwen Financial Corp. The worst-performing holdings for the period were Banco Santander S.A., Deutsche Bank AG and Valley National Bancorp.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| Investor Class | | | April 1, 1998 |
| Advisor Class | | | April 1, 1998 |
| A-Class | | | September 1, 2004 |
| C-Class | | | March 30, 2001 |
| | | | | |
| Ten Largest Holdings (% of Total Net Assets) | | | | |
| Bank of America Corp. | | | 4.1 | % |
| Wells Fargo & Co. | | | 4.1 | % |
| Citigroup, Inc. | | | 3.8 | % |
| JPMorgan Chase & Co. | | | 3.8 | % |
| U.S. Bancorp | | | 3.2 | % |
| PNC Financial Services Group, Inc. | | | 2.4 | % |
| Capital One Financial Corp. | | | 2.3 | % |
| Bank of New York Mellon Corp. | | | 2.3 | % |
| State Street Corp. | | | 2.1 | % |
| BB&T Corp. | | | 1.9 | % |
| Top Ten Total | | | 30.0 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 10 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 12.84 | % | | | -5.41 | % | | | -1.77 | % |
| Advisor Class Shares | | | 12.32 | % | | | -5.85 | % | | | -2.29 | % |
| C-Class Shares | | | 11.74 | % | | | -6.27 | % | | | -2.76 | % |
| C-Class Shares with CDSC† | | | 10.74 | % | | | -6.27 | % | | | -2.76 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Financials Index | | | 17.60 | % | | | -4.07 | % | | | 1.01 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 12.60 | % | | | -5.68 | % | | | -6.48 | % |
| A-Class Shares with sales charge‡ | | | 7.24 | % | | | -6.60 | % | | | -7.00 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Financials Index | | | 17.60 | % | | | -4.07 | % | | | -2.90 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
BANKING FUND
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.7% | | | | | | | | |
| | | | | | | | | |
| REGIONAL BANKS - 37.3% | | | | | | | | |
| PNC Financial Services Group, Inc. | | | 6,987 | | | $ | 464,637 | |
| BB&T Corp. | | | 11,619 | | | | 364,720 | |
| SunTrust Banks, Inc. | | | 10,582 | | | | 304,867 | |
| Fifth Third Bancorp | | | 18,136 | | | | 295,798 | |
| M&T Bank Corp.1 | | | 2,748 | | | | 283,484 | |
| Regions Financial Corp. | | | 32,230 | | | | 263,964 | |
| KeyCorp | | | 23,837 | | | | 237,417 | |
| CIT Group, Inc.* | | | 5,207 | | | | 226,400 | |
| Popular, Inc.* | | | 7,481 | | | | 206,550 | |
| Huntington Bancshares, Inc. | | | 26,236 | | | | 193,884 | |
| First Republic Bank | | | 4,591 | | | | 177,304 | |
| Zions Bancorporation | | | 6,619 | | | | 165,409 | |
| Cullen/Frost Bankers, Inc. | | | 2,480 | | | | 155,074 | |
| Signature Bank* | | | 1,945 | | | | 153,188 | |
| Commerce Bancshares, Inc. | | | 3,751 | | | | 153,153 | |
| East West Bancorp, Inc. | | | 5,750 | | | | 147,603 | |
| SVB Financial Group* | | | 1,987 | | | | 140,958 | |
| City National Corp. | | | 2,385 | | | | 140,500 | |
| First Niagara Financial Group, Inc. | | | 15,751 | | | | 139,554 | |
| Prosperity Bancshares, Inc. | | | 2,723 | | | | 129,043 | |
| BankUnited, Inc. | | | 5,010 | | | | 128,356 | |
| Hancock Holding Co. | | | 4,083 | | | | 126,246 | |
| Associated Banc-Corp. | | | 8,216 | | | | 124,801 | |
| First Horizon National Corp. | | | 11,513 | | | | 122,959 | |
| TCF Financial Corp. | | | 8,163 | | | | 122,118 | |
| Bank of Hawaii Corp. | | | 2,351 | | | | 119,454 | |
| Fulton Financial Corp. | | | 10,195 | | | | 119,282 | |
| Susquehanna Bancshares, Inc. | | | 9,586 | | | | 119,154 | |
| Valley National Bancorp1 | | | 10,876 | | | | 111,370 | |
| Webster Financial Corp. | | | 4,584 | | | | 111,208 | |
| UMB Financial Corp. | | | 2,265 | | | | 111,144 | |
| FirstMerit Corp.1 | | | 6,428 | | | | 106,255 | |
| FNB Corp. | | | 8,542 | | | | 103,358 | |
| Trustmark Corp. | | | 4,079 | | | | 102,016 | |
| Texas Capital Bancshares, Inc.* | | | 2,430 | | | | 98,294 | |
| National Penn Bancshares, Inc. | | | 9,150 | | | | 97,814 | |
| BancorpSouth, Inc. | | | 5,997 | | | | 97,751 | |
| Cathay General Bancorp | | | 4,831 | | | | 97,200 | |
| IBERIABANK Corp. | | | 1,904 | | | | 95,238 | |
| Umpqua Holdings Corp. | | | 7,122 | | | | 94,438 | |
| PrivateBancorp, Inc. — Class A | | | 4,877 | | | | 92,224 | |
| Old National Bancorp | | | 6,620 | | | | 91,025 | |
| Wintrust Financial Corp. | | | 2,446 | | | | 90,600 | |
| United Bankshares, Inc.1 | | | 3,390 | | | | 90,208 | |
| MB Financial, Inc. | | | 3,690 | | | | 89,187 | |
| Westamerica Bancorporation | | | 1,910 | | | | 86,580 | |
| CVB Financial Corp. | | | 7,540 | | | | 84,976 | |
| Total Regional Banks | | | | | | | 7,176,763 | |
| DIVERSIFIED BANKS - 29.2% | | | | | | | | |
| Wells Fargo & Co. | | | 21,125 | | | | 781,414 | |
| U.S. Bancorp | | | 18,383 | | | | 623,735 | |
| Itau Unibanco Holding S.A. ADR | | | 14,968 | | | | 266,430 | |
| Banco Bradesco S.A. ADR | | | 14,631 | | | | 249,021 | |
| Credicorp Ltd. | | | 1,395 | | | | 231,640 | |
| ICICI Bank Ltd. ADR | | | 5,315 | | | | 228,014 | |
| Toronto-Dominion Bank | | | 2,615 | | | | 217,751 | |
| Royal Bank of Canada | | | 3,548 | | | | 213,944 | |
| HSBC Holdings plc ADR | | | 3,990 | | | | 212,827 | |
| Bank of Montreal | | | 3,356 | | | | 211,260 | |
| Grupo Financiero Santander Mexico | | | | | | | | |
| SAB de CV ADR* | | | 13,660 | | | | 210,774 | |
| Bank of Nova Scotia | | | 3,580 | | | | 208,607 | |
| HDFC Bank Ltd. ADR | | | 5,520 | | | | 206,558 | |
| Bancolombia S.A. ADR | | | 3,235 | | | | 204,614 | |
| Barclays plc ADR1 | | | 11,469 | | | | 203,689 | |
| Banco Santander Brasil S.A. ADR | | | 27,899 | | | | 202,547 | |
| Mitsubishi UFJ Financial Group, Inc. ADR | | | 33,530 | | | | 201,180 | |
| Canadian Imperial Bank of Commerce2 | | | 2,555 | | | | 200,389 | |
| Comerica, Inc. | | | 5,574 | | | | 200,385 | |
| Banco Santander Chile ADR | | | 6,888 | | | | 196,101 | |
| Banco Santander S.A. ADR | | | 27,389 | | | | 186,519 | |
| Banco Bilbao Vizcaya Argentaria S.A. ADR | | | 20,267 | | | | 177,742 | |
| Total Diversified Banks | | | | | | | 5,635,141 | |
| OTHER DIVERSIFIED FINANCIAL SERVICES - 12.5% | | | | | | | | |
| Bank of America Corp. | | | 64,503 | | | | 785,646 | |
| Citigroup, Inc. | | | 16,458 | | | | 728,102 | |
| JPMorgan Chase & Co. | | | 15,315 | | | | 726,850 | |
| ING Groep N.V. ADR* | | | 24,510 | | | | 176,717 | |
| Total Other Diversified Financial Services | | | | | | | 2,417,315 | |
| THRIFTS & MORTGAGE FINANCE - 8.8% | | | | | | | | |
| Home Loan Servicing Solutions Ltd. | | | 8,770 | | | | 204,604 | |
| New York Community Bancorp, Inc.1 | | | 13,717 | | | | 196,839 | |
| Ocwen Financial Corp.* | | | 4,520 | | | | 171,398 | |
| People’s United Financial, Inc. | | | 12,405 | | | | 166,723 | |
| Hudson City Bancorp, Inc. | | | 19,214 | | | | 166,009 | |
| Nationstar Mortgage Holdings, Inc.*,1 | | | 3,900 | | | | 143,910 | |
| Radian Group, Inc. | | | 10,000 | | | | 107,100 | |
| EverBank Financial Corp. | | | 6,880 | | | | 105,952 | |
| Capitol Federal Financial, Inc. | | | 8,761 | | | | 105,745 | |
| Washington Federal, Inc. | | | 6,037 | | | | 105,648 | |
| Northwest Bancshares, Inc. | | | 6,740 | | | | 85,531 | |
| Astoria Financial Corp. | | | 7,656 | | | | 75,488 | |
| Flagstar Bancorp, Inc.* | | | 5,010 | | | | 69,789 | |
| Total Thrifts & Mortgage Finance | | | | | | | 1,704,736 | |
| ASSET MANAGEMENT & CUSTODY BANKS - 5.8% | | | | | | | | |
| Bank of New York Mellon Corp. | | | 15,696 | | | | 439,330 | |
| State Street Corp. | | | 6,850 | | | | 404,767 | |
| Northern Trust Corp. | | | 5,160 | | | | 281,530 | |
| Total Asset Management & Custody Banks | | | | | | | 1,125,627 | |
| 12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
BANKING FUND
| | | Shares | | | Value | |
| Diversified Capital Markets - 3.2% | | | | | | | | |
| UBS AG | | | 13,366 | | | $ | 205,703 | |
| Credit Suisse Group AG ADR | | | 7,730 | | | | 202,526 | |
| Deutsche Bank AG | | | 5,108 | | | | 199,825 | |
| Total Diversified Capital Markets | | | | | | | 608,054 | |
Consumer Finance - 2.3% | | | | | | | | |
| Capital One Financial Corp. | | | 8,110 | | | | 445,645 | |
| Mortgage REITs - 0.6% | | | | | | | | |
| CapitalSource, Inc. | | | 11,584 | | | | 111,438 | |
| Total Common Stocks | | | | | | | | |
| (Cost $14,171,451) | | | | | | | 19,224,719 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,3 - 0.2% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 41,999 | | | | 41,999 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $41,999) | | | | | | | 41,999 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 2.5% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 275,232 | | | | 275,232 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 216,514 | | | | 216,514 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $491,746) | | | | | | | 491,746 | |
| Total Investments - 102.4% | | | | | | | | |
| (Cost $14,705,196) | | | | | | $ | 19,758,464 | |
| Other Assets & Liabilities, net - (2.4)% | | | | | | | (469,061 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 19,289,403 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Security was acquired through a private placement. |
| 3 | Repurchase Agreement — See Note 5. |
| 4 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $481,300 of securities loaned | | | | |
| (cost $14,171,451) | | $ | 19,224,719 | |
| Repurchase agreements, at value | | | | |
| (cost $533,745) | | | 533,745 | |
| Total investments | | | | |
| (cost $14,705,196) | | | 19,758,464 | |
| Cash | | | 3,292 | |
| Receivables: | | | | |
| Securities sold | | | 221,699 | |
| Fund shares sold | | | 37,399 | |
| Dividends | | | 28,655 | |
| Foreign taxes reclaim | | | 237 | |
| Interest | | | 80 | |
| Total assets | | | 20,049,826 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 491,746 | |
| Fund shares redeemed | | | 230,464 | |
| Management fees | | | 13,447 | |
| Distribution and service fees | | | 5,810 | |
| Transfer agent and administrative fees | | | 3,955 | |
| Portfolio accounting fees | | | 1,582 | |
| Miscellaneous | | | 13,419 | |
| Total liabilities | | | 760,423 | |
| Net assets | | $ | 19,289,403 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 40,553,513 | |
| Undistributed net investment income | | | 172,444 | |
| Accumulated net realized loss on investments | | | (26,489,822 | ) |
| Net unrealized appreciation on investments | | | 5,053,268 | |
| Net assets | | $ | 19,289,403 | |
| Investor Class: | | | | |
| Net assets | | $ | 8,914,982 | |
| Capital shares outstanding | | | 169,539 | |
| Net asset value per share | | $ | 52.58 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,235,070 | |
| Capital shares outstanding | | | 88,766 | |
| Net asset value per share | | $ | 47.71 | |
| A-Class: | | | | |
| Net assets | | $ | 2,103,477 | |
| Capital shares outstanding | | | 43,159 | |
| Net asset value per share | | $ | 48.74 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 51.17 | |
| C-Class: | | | | |
| Net assets | | $ | 4,035,874 | |
| Capital shares outstanding | | | 88,229 | |
| Net asset value per share | | $ | 45.74 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $8,173) | | $ | 511,632 | |
| Income from securities lending, net | | | 730 | |
| Interest | | | 123 | |
| Total investment income | | | 512,485 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 179,452 | |
| Transfer agent and administrative fees | | | 52,780 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 24,988 | |
| A-Class | | | 7,014 | |
| C-Class | | | 31,593 | |
| Portfolio accounting fees | | | 21,112 | |
| Custodian fees | | | 3,936 | |
| Trustees’ fees* | | | 1,774 | |
| Miscellaneous | | | 27,379 | |
| Total expenses | | | 350,028 | |
| Net investment income | | | 162,457 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (870,744 | ) |
| Net realized loss | | | (870,744 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 614,730 | |
| Net change in unrealized appreciation (depreciation) | | | 614,730 | |
| Net realized and unrealized loss | | | (256,014 | ) |
| Net decrease in net assets resulting from operations | | $ | (93,557 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 162,457 | | | $ | 82,876 | |
| Net realized loss on investments | | | (870,744 | ) | | | (308,256 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 614,730 | | | | 985,526 | |
| Net increase (decrease) in net assets resulting from operations | | | (93,557 | ) | | | 760,146 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (34,316 | ) | | | (4,887 | ) |
| Advisor Class | | | (35,517 | ) | | | (312 | ) |
| A-Class | | | (2,491 | ) | | | (1,058 | ) |
| C-Class | | | (10,552 | ) | | | (2,425 | ) |
| Total distributions to shareholders | | | (82,876 | ) | | | (8,682 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 48,557,653 | | | | 74,194,636 | |
| Advisor Class | | | 27,915,563 | | | | 8,893,776 | |
| A-Class | | | 7,960,541 | | | | 7,556,286 | |
| C-Class | | | 18,118,088 | | | | 21,091,736 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 29,924 | | | | 4,793 | |
| Advisor Class | | | 35,505 | | | | 310 | |
| A-Class | | | 2,316 | | | | 941 | |
| C-Class | | | 9,324 | | | | 2,128 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (68,846,342 | ) | | | (54,909,089 | ) |
| Advisor Class | | | (24,816,806 | ) | | | (8,436,847 | ) |
| A-Class | | | (8,398,878 | ) | | | (5,211,904 | ) |
| C-Class | | | (18,195,856 | ) | | | (19,941,025 | ) |
| Net increase (decrease) from capital share transactions | | | (17,628,968 | ) | | | 23,245,741 | |
| Net increase (decrease) in net assets | | | (17,805,401 | ) | | | 23,997,205 | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 37,094,804 | | | | 13,097,599 | |
| End of year | | $ | 19,289,403 | | | $ | 37,094,804 | |
| Undistributed net investment income at end of year | | $ | 172,444 | | | $ | 82,877 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,044,393 | | | | 1,701,638 | |
| Advisor Class | | | 649,106 | | | | 227,380 | |
| A-Class | | | 184,181 | | | | 176,291 | |
| C-Class | | | 437,246 | | | | 543,253 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 642 | | | | 135 | |
| Advisor Class | | | 838 | | | | 10 | |
| A-Class | | | 54 | | | | 28 | |
| C-Class | | | 229 | | | | 68 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,497,165 | ) | | | (1,255,178 | ) |
| Advisor Class | | | (587,096 | ) | | | (215,262 | ) |
| A-Class | | | (212,144 | ) | | | (124,945 | ) |
| C-Class | | | (442,727 | ) | | | (514,199 | ) |
| Net increase (decrease) in shares | | | (422,443 | ) | | | 539,219 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.75 | | | $ | 49.75 | | | $ | 50.73 | | | $ | 32.62 | | | $ | 75.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .54 | | | | .44 | | | | .13 | | | | .28 | | | | 1.30 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.44 | | | | (3.39 | ) | | | (.99 | ) | | | 20.05 | | | | (42.98 | ) |
| Total from investment operations | | | 5.98 | | | | (2.95 | ) | | | (.86 | ) | | | 20.33 | | | | (41.68 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Total distributions | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Net asset value, end of period | | $ | 52.58 | | | $ | 46.75 | | | $ | 49.75 | | | $ | 50.73 | | | $ | 32.62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.84 | % | | | (5.89 | %) | | | (1.66 | %) | | | 63.48 | % | | | (55.66 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,915 | | | $ | 29,061 | | | $ | 8,711 | | | $ | 26,340 | | | $ | 23,804 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.16 | % | | | 1.02 | % | | | 0.27 | % | | | 0.67 | % | | | 2.42 | % |
| Total expenses | | | 1.35 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 382 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 42.63 | | | $ | 45.63 | | | $ | 46.79 | | | $ | 30.36 | | | $ | 70.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .17 | | | | .12 | | | | (.08 | ) | | | .06 | | | | 1.20 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.06 | | | | (3.07 | ) | | | (.96 | ) | | | 18.59 | | | | (40.24 | ) |
| Total from investment operations | | | 5.23 | | | | (2.95 | ) | | | (1.04 | ) | | | 18.65 | | | | (39.04 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Total distributions | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Net asset value, end of period | | $ | 47.71 | | | $ | 42.63 | | | $ | 45.63 | | | $ | 46.79 | | | $ | 30.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.32 | % | | | (6.43 | %) | | | (2.19 | %) | | | 62.66 | % | | | (55.70 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,235 | | | $ | 1,105 | | | $ | 629 | | | $ | 1,291 | | | $ | 2,509 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.38 | % | | | 0.30 | % | | | (0.18 | %) | | | 0.17 | % | | | 2.42 | % |
| Total expenses | | | 1.86 | % | | | 1.83 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 382 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % |
| 16 | THE RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 43.45 | | | $ | 46.38 | | | $ | 47.41 | | | $ | 30.67 | | | $ | 71.50 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .36 | | | | .30 | | | | .04 | | | | .02 | | | | 1.30 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.08 | | | | (3.18 | ) | | | (.95 | ) | | | 18.94 | | | | (40.83 | ) |
| Total from investment operations | | | 5.44 | | | | (2.88 | ) | | | (.91 | ) | | | 18.96 | | | | (39.53 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Total distributions | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Net asset value, end of period | | $ | 48.74 | | | $ | 43.45 | | | $ | 46.38 | | | $ | 47.41 | | | $ | 30.67 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.60 | % | | | (6.19 | %) | | | (1.89 | %) | | | 63.04 | % | | | (55.77 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,103 | | | $ | 3,088 | | | $ | 913 | | | $ | 6,381 | | | $ | 851 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.88 | % | | | 0.73 | % | | | 0.09 | % | | | 0.06 | % | | | 2.71 | % |
| Total expenses | | | 1.59 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 382 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.09 | | | $ | 44.20 | | | $ | 45.51 | | | $ | 29.90 | | | $ | 69.50 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .01 | | | | (.01 | ) | | | (.29 | ) | | | (.16 | ) | | | .90 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.79 | | | | (3.05 | ) | | | (.90 | ) | | | 17.99 | | | | (39.20 | ) |
| Total from investment operations | | | 4.80 | | | | (3.06 | ) | | | (1.19 | ) | | | 17.83 | | | | (38.30 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Total distributions | | | (.15 | ) | | | (.05 | ) | | | (.12 | ) | | | (2.22 | ) | | | (1.30 | ) |
| Net asset value, end of period | | $ | 45.74 | | | $ | 41.09 | | | $ | 44.20 | | | $ | 45.51 | | | $ | 29.90 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 11.74 | % | | | (6.88 | %) | | | (2.58 | %) | | | 60.86 | % | | | (55.64 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,036 | | | $ | 3,841 | | | $ | 2,844 | | | $ | 5,607 | | | $ | 2,114 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.02 | % | | | (0.03 | %) | | | (0.67 | %) | | | (0.42 | %) | | | 1.82 | % |
| Total expenses | | | 2.35 | % | | | 2.35 | % | | | 2.38 | % | | | 2.38 | % | | | 2.40 | % |
| Portfolio turnover rate | | | 382 | % | | | 544 | % | | | 1,130 | % | | | 986 | % | | | 1,055 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Per share amounts for the period March 31, 2008 – 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 ANNUAL REPORT | 17 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
For the one-year period ended March 28, 2013, Basic Materials Fund Investor Class returned 0.65%, compared with 8.35% for the S&P 500 Materials Index. The broader S&P 500 Index returned 13.96%.
The Fund is composed largely of two industries — chemicals and metals & mining. Chemicals was the largest contributor to performance, followed by containers and packaging. The largest detractor from return was the metals & mining industry.
The top-performing holdings were Monsanto Co., Sherwin-Williams Co. and LyondellBasell Industries N.V. The worst-performing holdings included Cliffs Natural Resources, Inc., Molycorp, Inc. and Barrick Gold Corp.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| 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. | | | 3.2 | % |
| EI du Pont de Nemours & Co. | | | 2.8 | % |
| Dow Chemical Co. | | | 2.5 | % |
| Praxair, Inc. | | | 2.4 | % |
| Southern Copper Corp. | | | 2.4 | % |
| Freeport-McMoRan Copper & Gold, Inc. | | | 2.3 | % |
| LyondellBasell Industries N.V. — Class A | | | 2.2 | % |
| Vale S.A. ADR | | | 2.2 | % |
| Mosaic Co. | | | 2.1 | % |
| Ecolab, Inc. | | | 2.0 | % |
| Top Ten Total | | | 24.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 18 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 0.65 | % | | | 0.35 | % | | | 11.79 | % |
| Advisor Class Shares | | | 0.16 | % | | | -0.15 | % | | | 11.23 | % |
| C-Class Shares | | | -0.35 | % | | | -0.65 | % | | | 10.68 | % |
| C-Class Shares with CDSC† | | | -1.35 | % | | | -0.65 | % | | | 10.68 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Materials Index | | | 8.35 | % | | | 2.04 | % | | | 10.62 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 0.41 | % | | | 0.09 | % | | | 7.97 | % |
| A-Class Shares with sales charge‡ | | | -4.36 | % | | | -0.88 | % | | | 7.36 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Materials Index | | | 8.35 | % | | | 2.04 | % | | | 7.30 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and C-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| |
| THE RYDEX FUNDS ANNUAL REPORT | 19 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| BASIC MATERIALS FUND |
| | | Shares | | | Value | |
| COMMON STOCKS† - 100.1% | | | | | | |
| | | | | | | |
| GOLD - 15.9% | | | | | | | | |
| Newmont Mining Corp. | | | 26,803 | | | $ | 1,122,779 | |
| Barrick Gold Corp. | | | 37,226 | | | | 1,094,445 | |
| Goldcorp, Inc. | | | 26,738 | | | | 899,200 | |
| Yamana Gold, Inc. | | | 37,864 | | | | 581,212 | |
| Kinross Gold Corp. | | | 68,469 | | | | 542,959 | |
| Royal Gold, Inc. | | | 7,382 | | | | 524,343 | |
| Agnico-Eagle Mines Ltd.1 | | | 12,460 | | | | 511,358 | |
| Cia de Minas Buenaventura S.A. ADR | | | 18,665 | | | | 484,543 | |
| AngloGold Ashanti Ltd. ADR | | | 19,706 | | | | 464,076 | |
| Gold Fields Ltd. ADR | | | 59,591 | | | | 461,830 | |
| Randgold Resources Ltd. ADR | | | 5,350 | | | | 459,993 | |
| IAMGOLD Corp. | | | 63,581 | | | | 457,783 | |
| Eldorado Gold Corp. | | | 46,488 | | | | 443,031 | |
| New Gold, Inc.* | | | 41,621 | | | | 378,751 | |
| Harmony Gold Mining Company Ltd. ADR | | | 57,843 | | | | 370,774 | |
| Allied Nevada Gold Corp.* | | | 16,918 | | | | 278,470 | |
| Total Gold | | | | | | | 9,075,547 | |
| SPECIALTY CHEMICALS - 13.7% | | | | | | | | |
| Ecolab, Inc. | | | 14,605 | | | | 1,171,029 | |
| Sherwin-Williams Co. | | | 6,029 | | | | 1,018,238 | |
| Sigma-Aldrich Corp. | | | 9,436 | | | | 732,988 | |
| Celanese Corp. — Class A | | | 14,037 | | | | 618,330 | |
| International Flavors & Fragrances, Inc. | | | 7,825 | | | | 599,943 | |
| WR Grace & Co.* | | | 7,542 | | | | 584,580 | |
| Valspar Corp. | | | 8,935 | | | | 556,204 | |
| Ashland, Inc. | | | 7,482 | | | | 555,913 | |
| Albemarle Corp. | | | 8,811 | | | | 550,864 | |
| Rockwood Holdings, Inc. | | | 8,376 | | | | 548,125 | |
| RPM International, Inc. | | | 15,400 | | | | 486,332 | |
| Cytec Industries, Inc. | | | 5,838 | | | | 432,479 | |
| Total Specialty Chemicals | | | | | | | 7,855,025 | |
| STEEL - 11.3% | | | | | | | | |
| Vale S.A. ADR | | | 72,794 | | | | 1,258,612 | |
| Nucor Corp. | | | 19,902 | | | | 918,477 | |
| Reliance Steel & Aluminum Co. | | | 7,923 | | | | 563,880 | |
| ArcelorMittal | | | 38,224 | | | | 498,059 | |
| Gerdau S.A. ADR | | | 61,340 | | | | 472,931 | |
| Steel Dynamics, Inc. | | | 29,126 | | | | 462,230 | |
| Allegheny Technologies, Inc. | | | 13,916 | | | | 441,276 | |
| United States Steel Corp.2 | | | 20,674 | | | | 403,143 | |
| Cliffs Natural Resources, Inc.2 | | | 20,569 | | | | 391,017 | |
| Carpenter Technology Corp. | | | 7,914 | | | | 390,081 | |
| POSCO ADR | | | 5,100 | | | | 375,921 | |
| Cia Siderurgica Nacional S.A. ADR | | | 74,295 | | | | 332,842 | |
| Total Steel | | | | | | | 6,508,469 | |
| DIVERSIFIED CHEMICALS - 10.4% | | | | | | | | |
| EI du Pont de Nemours & Co. | | | 32,884 | | | | 1,616,578 | |
| Dow Chemical Co. | | | 45,238 | | | | 1,440,378 | |
| PPG Industries, Inc. | | | 7,583 | | | | 1,015,667 | |
| Eastman Chemical Co. | | | 10,952 | | | | 765,216 | |
| FMC Corp. | | | 11,447 | | | | 652,822 | |
| Huntsman Corp. | | | 26,758 | | | | 497,431 | |
| Total Diversified Chemicals | | | | | | | 5,988,092 | |
| DIVERSIFIED METALS & MINING - 10.1% | | | | | | | | |
| Southern Copper Corp. | | | 36,417 | | | | 1,368,186 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 40,671 | | | | 1,346,210 | |
| Rio Tinto plc ADR2 | | | 14,335 | | | | 674,892 | |
| BHP Billiton Ltd. ADR | | | 9,834 | | | | 672,941 | |
| Teck Resources Ltd. — Class B | | | 15,913 | | | | 448,110 | |
| Compass Minerals International, Inc. | | | 5,100 | | | | 402,390 | |
| BHP Billiton plc ADR | | | 6,200 | | | | 359,972 | |
| Walter Energy, Inc. | | | 11,235 | | | | 320,198 | |
| Molycorp, Inc.*,2 | | | 41,860 | | | | 217,672 | |
| Total Diversified Metals & Mining | | | | | | | 5,810,571 | |
| FERTILIZERS & AGRICULTURAL CHEMICALS - 9.4% | | | | | | | | |
| Monsanto Co. | | | 17,250 | | | | 1,822,118 | |
| Mosaic Co. | | | 19,762 | | | | 1,178,013 | |
| CF Industries Holdings, Inc. | | | 4,244 | | | | 807,930 | |
| Potash Corporation of Saskatchewan, Inc. | | | 19,920 | | | | 781,860 | |
| Agrium, Inc. | | | 5,074 | | | | 494,715 | |
| Intrepid Potash, Inc. | | | 15,100 | | | | 283,276 | |
| Total Fertilizers & Agricultural Chemicals | | | | | | | 5,367,912 | |
| INDUSTRIAL GASES - 5.3% | | | | | | | | |
| Praxair, Inc. | | | 12,276 | | | | 1,369,265 | |
| Air Products & Chemicals, Inc. | | | 11,553 | | | | 1,006,497 | |
| Airgas, Inc. | | | 6,581 | | | | 652,572 | |
| Total Industrial Gases | | | | | | | 3,028,334 | |
| PAPER PACKAGING - 3.8% | | | | | | | | |
| Rock Tenn Co. — Class A | | | 6,826 | | | | 633,384 | |
| Packaging Corporation of America | | | 11,500 | | | | 516,005 | |
| Sealed Air Corp. | | | 21,234 | | | | 511,952 | |
| Bemis Company, Inc. | | | 12,308 | | | | 496,751 | |
| Total Paper Packaging | | | | | | | 2,158,092 | |
| COMMODITY CHEMICALS - 4.1% | | | | | | | | |
| LyondellBasell Industries N.V. — Class A | | | 20,100 | | | | 1,272,129 | |
| Westlake Chemical Corp. | | | 6,360 | | | | 594,660 | |
| Axiall Corp. | | | 8,000 | | | | 497,280 | |
| Total Commodity Chemicals | | | | | | | 2,364,069 | |
| CONSTRUCTION MATERIALS - 4.1% | | | | | | | | |
| Cemex SAB de CV ADR* | | | 67,527 | | | | 824,505 | |
| Vulcan Materials Co. | | | 11,658 | | | | 602,719 | |
| Martin Marietta Materials, Inc. | | | 5,068 | | | | 517,037 | |
| Eagle Materials, Inc. | | | 6,280 | | | | 418,436 | |
| Total Construction Materials | | | | | | | 2,362,697 | |
| PAPER PRODUCTS - 3.6% | | | | | | | | |
| International Paper Co. | | | 23,523 | | | | 1,095,701 | |
| MeadWestvaco Corp. | | | 16,390 | | | | 594,957 | |
| Domtar Corp. | | | 5,100 | | | | 395,862 | |
| Total Paper Products | | | | | | | 2,086,520 | |
| |
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| Basic Materials Fund |
| | | Shares | | | Value | |
| | | | | | | |
| PRECIOUS METALS & MINERALS - 3.4% | | | | | | | | |
| Silver Wheaton Corp. | | | 22,195 | | | $ | 695,813 | |
| Pan American Silver Corp. | | | 22,898 | | | | 375,069 | |
| Coeur d’Alene Mines Corp.* | | | 16,716 | | | | 315,264 | |
| Stillwater Mining Co.* | | | 23,151 | | | | 299,342 | |
| Hecla Mining Co. | | | 63,250 | | | | 249,838 | |
| Total Precious Metals & Minerals | | | | | | | 1,935,326 | |
| METAL & GLASS CONTAINERS - 3.0% | | | | | | | | |
| Ball Corp. | | | 13,672 | | | | 650,514 | |
| Crown Holdings, Inc.* | | | 14,241 | | | | 592,568 | |
| Owens-Illinois, Inc.* | | | 18,563 | | | | 494,704 | |
| Total Metal & Glass Containers | | | | | | | 1,737,786 | |
| ALUMINUM - 1.3% | | | | | | | | |
| Alcoa, Inc. | | | 85,089 | | | | 724,958 | |
| FOREST PRODUCTS - 0.7% | | | | | | | | |
| Louisiana-Pacific Corp.* | | | 19,050 | | | | 411,480 | |
| Total Common Stocks | | | | | | | | |
| (Cost $32,705,981) | | | | | | | 57,414,878 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,3 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 304,080 | | | | 304,080 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $304,080) | | | | | | | 304,080 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 1.2% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 396,495 | | | | 396,495 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 311,906 | | | | 311,906 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $708,401) | | | | | | | 708,401 | |
| Total Investments - 101.8% | | | | | | | | |
| (Cost $33,718,462) | | | | | | $ | 58,427,359 | |
| Other Assets & Liabilities, net - (1.8)% | | | | | | | (1,030,371 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 57,396,988 | |
| * | 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 | Security was acquired through a private placement. |
| 2 | All or portion of this security is on loan at March 28, 2013 — See Note 6. |
| 3 | Repurchase Agreement — See Note 5. |
| 4 | Securities lending collateral — See Note 6. |
| ADR | — American Depositary Receipt |
| | plc — Public Limited Company |
| |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $681,303 of securities loaned | | | | |
| (cost $32,705,981) | | $ | 57,414,878 | |
| Repurchase agreements, at value | | | | |
| (cost $1,012,481) | | | 1,012,481 | |
| Total investments | | | | |
| (cost $33,718,462) | | | 58,427,359 | |
| Cash | | | 22,160 | |
| Receivables: | | | | |
| Securities sold | | | 839,274 | |
| Dividends | | | 72,867 | |
| Fund shares sold | | | 21,823 | |
| Interest | | | 535 | |
| Total assets | | | 59,384,018 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,173,655 | |
| Upon return of securities loaned | | | 708,401 | |
| Management fees | | | 42,802 | |
| Transfer agent and administrative fees | | | 12,589 | |
| Distribution and service fees | | | 9,998 | |
| Portfolio accounting fees | | | 5,035 | |
| Miscellaneous | | | 34,550 | |
| Total liabilities | | | 1,987,030 | |
| Net assets | | $ | 57,396,988 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 66,666,588 | |
| Undistributed net investment income | | | 259,097 | |
| Accumulated net realized loss on investments | | | (34,237,594 | ) |
| Net unrealized appreciation on investments | | | 24,708,897 | |
| Net assets | | $ | 57,396,988 | |
| Investor Class: | | | | |
| Net assets | | $ | 36,011,948 | |
| Capital shares outstanding | | | 721,070 | |
| Net asset value per share | | $ | 49.94 | |
| Advisor Class: | | | | |
| Net assets | | $ | 3,615,602 | |
| Capital shares outstanding | | | 77,762 | |
| Net asset value per share | | $ | 46.50 | |
| A-Class: | | | | |
| Net assets | | $ | 11,103,521 | |
| Capital shares outstanding | | | 233,272 | |
| Net asset value per share | | $ | 47.60 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 49.97 | |
| C-Class: | | | | |
| Net assets | | $ | 6,665,917 | |
| Capital shares outstanding | | | 151,091 | |
| Net asset value per share | | $ | 44.12 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $36,374) | | $ | 1,347,153 | |
| Income from securities lending, net | | | 37,547 | |
| Interest | | | 216 | |
| Total investment income | | | 1,384,916 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 508,953 | |
| Transfer agent and administrative fees | | | 149,692 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 21,382 | |
| A-Class | | | 22,244 | |
| C-Class | | | 70,724 | |
| Portfolio accounting fees | | | 59,876 | |
| Custodian fees | | | 9,282 | |
| Trustees’ fees* | | | 6,625 | |
| Tax expense | | | 5,107 | |
| Miscellaneous | | | 77,208 | |
| Total expenses | | | 931,093 | |
| Net investment income | | | 453,823 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 311,441 | |
| Net realized gain | | | 311,441 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (1,310,252 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,310,252 | ) |
| Net realized and unrealized loss | | | (998,811 | ) |
| Net decrease in net assets resulting from operations | | $ | (544,988 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 453,823 | | | $ | 21,656 | |
| Net realized gain (loss) on investments | | | 311,441 | | | | (8,317,969 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,310,252 | ) | | | (16,403,333 | ) |
| Net decrease in net assets resulting from operations | | | (544,988 | ) | | | (24,699,646 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (159,284 | ) | | | — | |
| Advisor Class | | | (14,458 | ) | | | — | |
| A-Class | | | (29,092 | ) | | | — | |
| C-Class | | | (24,821 | ) | | | — | |
| Total distributions to shareholders | | | (227,655 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 175,560,604 | | | | 158,637,965 | |
| Advisor Class | | | 10,456,179 | | | | 35,677,067 | |
| A-Class | | | 6,275,946 | | | | 13,460,261 | |
| C-Class | | | 28,696,473 | | | | 61,071,902 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 142,259 | | | | — | |
| Advisor Class | | | 10,612 | | | | — | |
| A-Class | | | 26,621 | | | | — | |
| C-Class | | | 23,063 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (176,485,331 | ) | | | (178,091,332 | ) |
| Advisor Class | | | (11,897,822 | ) | | | (43,057,527 | ) |
| A-Class | | | (4,371,972 | ) | | | (19,707,926 | ) |
| C-Class | | | (30,128,845 | ) | | | (64,560,166 | ) |
| Net decrease from capital share transactions | | | (1,692,213 | ) | | | (36,569,756 | ) |
| Net decrease in net assets | | | (2,464,856 | ) | | | (61,269,402 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 59,861,844 | | | | 121,131,246 | |
| End of year | | $ | 57,396,988 | | | $ | 59,861,844 | |
| Undistributed net investment income at end of year | | $ | 259,097 | | | $ | 27,822 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,611,782 | | | | 3,036,471 | |
| Advisor Class | | | 230,287 | | | | 762,822 | |
| A-Class | | | 130,171 | | | | 266,896 | |
| C-Class | | | 667,452 | | | | 1,333,277 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 2,927 | | | | — | |
| Advisor Class | | | 234 | | | | — | |
| A-Class | | | 574 | | | | — | |
| C-Class | | | 535 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,633,585 | ) | | | (3,602,522 | ) |
| Advisor Class | | | (266,206 | ) | | | (950,966 | ) |
| A-Class | | | (95,233 | ) | | | (405,994 | ) |
| C-Class | | | (704,019 | ) | | | (1,408,986 | ) |
| Net decrease in shares | | | (55,081 | ) | | | (969,002 | ) |
| |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.80 | | | $ | 56.36 | | | $ | 44.65 | | | $ | 27.43 | | | $ | 50.49 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .46 | | | | .09 | | | | —b | | | | .24 | | | | .20 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.15 | ) | | | (6.65 | ) | | | 11.82 | | | | 17.07 | | | | (22.77 | ) |
| Total from investment operations | | | .31 | | | | (6.56 | ) | | | 11.82 | | | | 17.31 | | | | (22.57 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Total distributions | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Net asset value, end of period | | $ | 49.94 | | | $ | 49.80 | | | $ | 56.36 | | | $ | 44.65 | | | $ | 27.43 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.65 | % | | | (11.66 | %) | | | 26.50 | % | | | 63.12 | % | | | (44.54 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 36,012 | | | $ | 36,847 | | | $ | 73,606 | | | $ | 44,582 | | | $ | 98,767 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.95 | % | | | 0.17 | % | | | 0.00 | % | | | 0.65 | % | | | 0.46 | % |
| Total expenses | | | 1.36 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 251 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.61 | | | $ | 53.00 | | | $ | 42.20 | | | $ | 26.06 | | | $ | 48.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .19 | | | | .08 | | | | (.20 | ) | | | .03 | | | | .05 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.13 | ) | | | (6.47 | ) | | | 11.11 | | | | 16.20 | | | | (21.77 | ) |
| Total from investment operations | | | .06 | | | | (6.39 | ) | | | 10.91 | | | | 16.23 | | | | (21.72 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Total distributions | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Net asset value, end of period | | $ | 46.50 | | | $ | 46.61 | | | $ | 53.00 | | | $ | 42.20 | | | $ | 26.06 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.16 | % | | | (12.08 | %) | | | 25.88 | % | | | 62.30 | % | | | (44.83 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,616 | | | $ | 5,287 | | | $ | 15,986 | | | $ | 8,799 | | | $ | 4,705 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.43 | % | | | 0.17 | % | | | (0.44 | %) | | | 0.07 | % | | | 0.13 | % |
| Total expenses | | | 1.86 | % | | | 1.86 | % | | | 1.89 | % | | | 1.89 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 251 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % |
| |
| 24 | THE RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 47.58 | | | $ | 53.99 | | | $ | 42.88 | | | $ | 26.41 | | | $ | 48.80 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .32 | | | | (.01 | ) | | | (.09 | ) | | | .15 | | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.13 | ) | | | (6.40 | ) | | | 11.31 | | | | 16.41 | | | | (22.02 | ) |
| Total from investment operations | | | .19 | | | | (6.41 | ) | | | 11.22 | | | | 16.56 | | | | (21.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Total distributions | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Net asset value, end of period | | $ | 47.60 | | | $ | 47.58 | | | $ | 53.99 | | | $ | 42.88 | | | $ | 26.41 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 0.41 | % | | | (11.87 | %) | | | 26.20 | % | | | 62.72 | % | | | (44.71 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,104 | | | $ | 9,410 | | | $ | 18,187 | | | $ | 8,159 | | | $ | 3,986 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.69 | % | | | (0.03 | %) | | | (0.19 | %) | | | 0.40 | % | | | 0.30 | % |
| Total expenses | | | 1.61 | % | | | 1.61 | % | | | 1.64 | % | | | 1.65 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 251 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.45 | | | $ | 50.80 | | | $ | 40.67 | | | $ | 25.24 | | | $ | 47.02 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.03 | ) | | | (.33 | ) | | | (.40 | ) | | | (.13 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.13 | ) | | | (6.02 | ) | | | 10.64 | | | | 15.65 | | | | (21.11 | ) |
| Total from investment operations | | | (.16 | ) | | | (6.35 | ) | | | 10.24 | | | | 15.52 | | | | (21.29 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Total distributions | | | (.17 | ) | | | — | | | | (.11 | ) | | | (.09 | ) | | | (.49 | ) |
| Net asset value, end of period | | $ | 44.12 | | | $ | 44.45 | | | $ | 50.80 | | | $ | 40.67 | | | $ | 25.24 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (0.35 | %) | | | (12.50 | %) | | | 25.21 | % | | | 61.51 | % | | | (45.11 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,666 | | | $ | 8,317 | | | $ | 13,353 | | | $ | 9,125 | | | $ | 4,024 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.07 | %) | | | (0.73 | %) | | | (0.93 | %) | | | (0.37 | %) | | | (0.46 | %) |
| Total expenses | | | 2.36 | % | | | 2.36 | % | | | 2.39 | % | | | 2.40 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 251 | % | | | 217 | % | | | 292 | % | | | 455 | % | | | 288 | % |
a Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b Net investment income is less than $0.01 per share.
c Total return does not reflect the impact of any applicable sales charges.
| |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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 biological engineering and in the design, manufacture or sale of related biotechnology products or services (“Biotechnology Companies”).
For the one-year period ended March 28, 2013, Biotechnology Fund Investor Class returned 32.71%, compared with the S&P 500 Health Care Index, which returned 25.19%. The broader S&P 500 Index returned 13.96%.
All industries contributed to Fund return, led by holdings in its largest segment, biotechnology, and followed by life sciences tools & services and pharmaceuticals.
The best-performing holdings in the Fund were Gilead Sciences, Inc., Amgen, Inc. and Pharmacyclics, Inc. The worst-performing holdings in the Fund included Dendreon Corp., Halozyme Therapeutics, Inc. and Amarin Corp. plc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | 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. | | | 8.6 | % |
| Gilead Sciences, Inc. | | | 8.3 | % |
| Biogen Idec, Inc. | | | 6.6 | % |
| Celgene Corp. | | | 6.5 | % |
| Alexion Pharmaceuticals, Inc. | | | 4.0 | % |
| Regeneron Pharmaceuticals, Inc. | | | 3.9 | % |
| Vertex Pharmaceuticals, Inc. | | | 3.3 | % |
| Life Technologies Corp. | | | 3.1 | % |
| BioMarin Pharmaceutical, Inc. | | | 2.6 | % |
| Illumina, Inc. | | | 2.5 | % |
| Top Ten Total | | | 49.4 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| |
| 26 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 32.71 | % | | | 17.88 | % | | | 13.54 | % |
| Advisor Class Shares | | | 32.10 | % | | | 17.29 | % | | | 12.99 | % |
| C-Class Shares | | | 31.39 | % | | | 16.73 | % | | | 12.41 | % |
| C-Class Shares with CDSC† | | | 30.39 | % | | | 16.73 | % | | | 12.41 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Health Care Index | | | 25.19 | % | | | 10.59 | % | | | 7.57 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 32.40 | % | | | 17.59 | % | | | 11.69 | % |
| A-Class Shares with sales charge‡ | | | 26.11 | % | | | 16.46 | % | | | 11.06 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Health Care Index | | | 25.19 | % | | | 10.59 | % | | | 7.44 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| |
| THE RYDEX FUNDS ANNUAL REPORT | 27 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| BIOTECHNOLOGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.8% | | | | | | | | |
| | | | | | | | | |
| Biotechnology - 85.9% | | | | | | | | |
| Amgen, Inc. | | | 197,034 | | | $ | 20,197,956 | |
| Gilead Sciences, Inc.* | | | 399,604 | | | | 19,552,624 | |
| Biogen Idec, Inc.* | | | 80,033 | | | | 15,439,166 | |
| Celgene Corp.* | | | 132,157 | | | | 15,318,318 | |
| Alexion Pharmaceuticals, Inc.* | | | 100,974 | | | | 9,303,744 | |
| Regeneron Pharmaceuticals, Inc.* | | | 52,419 | | | | 9,246,712 | |
| Vertex Pharmaceuticals, Inc.* | | | 141,052 | | | | 7,755,039 | |
| BioMarin Pharmaceutical, Inc.* | | | 97,911 | | | | 6,095,939 | |
| Onyx Pharmaceuticals, Inc.* | | | 62,066 | | | | 5,515,185 | |
| Pharmacyclics, Inc.* | | | 61,680 | | | | 4,959,689 | |
| Seattle Genetics, Inc.*,1 | | | 132,187 | | | | 4,693,960 | |
| Medivation, Inc.* | | | 88,070 | | | | 4,119,034 | |
| United Therapeutics Corp.* | | | 62,583 | | | | 3,809,427 | |
| Cubist Pharmaceuticals, Inc.* | | | 80,698 | | | | 3,778,280 | |
| Incyte Corporation Ltd.*,1 | | | 159,269 | | | | 3,728,487 | |
| Ariad Pharmaceuticals, Inc.* | | | 199,275 | | | | 3,604,885 | |
| Elan Corp. plc ADR* | | | 298,983 | | | | 3,527,999 | |
| Cepheid, Inc.* | | | 90,576 | | | | 3,475,401 | |
| Opko Health, Inc.*,1 | | | 435,500 | | | | 3,322,865 | |
| Alkermes plc* | | | 138,819 | | | | 3,291,398 | |
| Theravance, Inc.* | | | 138,250 | | | | 3,265,465 | |
| Infinity Pharmaceuticals, Inc.*,1 | | | 67,090 | | | | 3,251,852 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 170,300 | | | | 3,114,787 | |
| Myriad Genetics, Inc.* | | | 122,072 | | | | 3,100,629 | |
| Arena Pharmaceuticals, Inc.*,1 | | | 359,500 | | | | 2,951,495 | |
| Isis Pharmaceuticals, Inc.*,1 | | | 165,880 | | | | 2,810,007 | |
| Amarin Corporation plc ADR*,1 | | | 365,460 | | | | 2,708,059 | |
| Alnylam Pharmaceuticals, Inc.* | | | 108,041 | | | | 2,632,959 | |
| Acorda Therapeutics, Inc.* | | | 78,895 | | | | 2,527,007 | |
| ImmunoGen, Inc.*,1 | | | 157,200 | | | | 2,524,632 | |
| Aegerion Pharmaceuticals, Inc.* | | | 60,500 | | | | 2,440,570 | |
| Sarepta Therapeutics, Inc.*,1 | | | 63,800 | | | | 2,357,410 | |
| PDL BioPharma, Inc.1 | | | 304,413 | | | | 2,225,259 | |
| NPS Pharmaceuticals, Inc.* | | | 210,300 | | | | 2,142,957 | |
| Celldex Therapeutics, Inc.* | | | 176,800 | | | | 2,047,344 | |
| Achillion Pharmaceuticals, Inc.* | | | 228,700 | | | | 1,998,838 | |
| Exelixis, Inc.*,1 | | | 431,100 | | | | 1,991,682 | |
| InterMune, Inc.* | | | 207,855 | | | | 1,881,088 | |
| Dendreon Corp.*,1 | | | 372,451 | | | | 1,761,693 | |
| Keryx Biopharmaceuticals, Inc.*,1 | | | 226,900 | | | | 1,597,376 | |
| Spectrum Pharmaceuticals, Inc.1 | | | 192,303 | | | | 1,434,580 | |
| Total Biotechnology | | | | | | | 201,501,797 | |
| Life Sciences Tools & Services - 11.5% | | | | | | | | |
| Life Technologies Corp.* | | | 113,620 | | | | 7,343,261 | |
| Illumina, Inc.*,1 | | | 106,436 | | | | 5,747,544 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 33,269 | | | | 4,191,894 | |
| Techne Corp. | | | 51,400 | | | | 3,487,490 | |
| Charles River Laboratories | | | | | | | | |
| International, Inc.* | | | 71,300 | | | | 3,156,451 | |
| QIAGEN N.V.* | | | 147,600 | | | | 3,111,408 | |
| Total Life Sciences Tools & Services | | | | | | | 27,038,048 | |
| | | | | | | | | |
| Pharmaceuticals - 2.4% | | | | | | | | |
| Medicines Co.* | | | 90,700 | | | | 3,031,194 | |
| Nektar Therapeutics* | | | 233,300 | | | | 2,566,300 | |
| Total Pharmaceuticals | | | | | | | 5,597,494 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $136,559,268) | | | | | | | 234,137,339 | |
| | | | | | | | | |
| RIGHTS - 0.0% | | | | | | | | |
| Clinical Data, Inc. | | | | | | | | |
| Expires 12/31/20*,†††,2 | | | 24,000 | | | | — | |
| | | | | | | | | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENT††,3 - 0.8% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 1,836,438 | | | | 1,836,438 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $1,836,438) | | | | | | | 1,836,438 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,4 - 7.0% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 9,139,101 | | | | 9,139,101 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 7,189,349 | | | | 7,189,349 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $16,328,450) | | | | | | | 16,328,450 | |
| Total Investments - 107.6% | | | | | | | | |
| (Cost $154,724,156) | | | | | | $ | 252,302,227 | |
| Other Assets & Liabilities, net - (7.6)% | | | | | | | (17,903,339 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 234,398,888 | |
| * | 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 March 28, 2013 — See Note 6. |
| 3 | Repurchase Agreement — See Note 5. |
| 4 | Securities lending collateral — See Note 6. |
ADR — American Depositary Receipt
plc — Public Limited Company
| | |
| 28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $15,841,926 of securities loaned | | | | |
| (cost $136,559,268) | | $ | 234,137,339 | |
| Repurchase agreements, at value | | | | |
| (cost $18,164,888) | | | 18,164,888 | |
| Total investments | | | | |
| (cost $154,724,156) | | | 252,302,227 | |
| Receivables: | | | | |
| Fund shares sold | | | 2,684,654 | |
| Interest | | | 26,147 | |
| Total assets | | | 255,013,028 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 16,328,450 | |
| Securities purchased | | | 2,640,450 | |
| Fund shares redeemed | | | 1,249,883 | |
| Management fees | | | 156,409 | |
| Transfer agent and administrative fees | | | 46,003 | |
| Distribution and service fees | | | 25,546 | |
| Portfolio accounting fees | | | 18,401 | |
| Miscellaneous | | | 148,998 | |
| Total liabilities | | | 20,614,140 | |
| Net assets | | $ | 234,398,888 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 153,135,511 | |
| Accumulated net investment loss | | | (1,307,774 | ) |
| Accumulated net realized loss on investments | | | (15,006,920 | ) |
| Net unrealized appreciation on investments | | | 97,578,071 | |
| Net assets | | $ | 234,398,888 | |
| Investor Class: | | | | |
| Net assets | | $ | 171,844,138 | |
| Capital shares outstanding | | | 3,509,409 | |
| Net asset value per share | | $ | 48.97 | |
| Advisor Class: | | | | |
| Net assets | | $ | 22,486,176 | |
| Capital shares outstanding | | | 496,755 | |
| Net asset value per share | | $ | 45.27 | |
| A-Class: | | | | |
| Net assets | | $ | 26,391,463 | |
| Capital shares outstanding | | | 571,521 | |
| Net asset value per share | | $ | 46.18 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 48.48 | |
| C-Class: | | | | |
| Net assets | | $ | 13,677,111 | |
| Capital shares outstanding | | | 315,050 | |
| Net asset value per share | | $ | 43.41 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 564,389 | |
| Income from securities lending, net | | | 154,172 | |
| Interest | | | 1,068 | |
| Total investment income | | | 719,629 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 1,604,597 | |
| Transfer agent and administrative fees | | | 471,941 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 79,610 | |
| A-Class | | | 56,109 | |
| C-Class | | | 103,030 | |
| Portfolio accounting fees | | | 188,774 | |
| Custodian fees | | | 36,451 | |
| Trustees’ fees* | | | 13,911 | |
| Miscellaneous | | | 249,275 | |
| Total expenses | | | 2,803,698 | |
| Net investment loss | | | (2,084,069 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 4,729,472 | |
| Net realized gain | | | 4,729,472 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 51,758,234 | |
| Net change in unrealized appreciation (depreciation) | | | 51,758,234 | |
| Net realized and unrealized gain | | | 56,487,706 | |
| Net increase in net assets resulting from operations | | $ | 54,403,637 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| |
| See Notes to Financial Statements. | The RYDEX FUNDS ANNUAL REPORT | 29 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (2,084,069 | ) | | $ | (1,105,434 | ) |
| Net realized gain (loss) on investments | | | 4,729,472 | | | | (1,767,250 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 51,758,234 | | | | 12,875,710 | |
| Net increase in net assets resulting from operations | | | 54,403,637 | | | | 10,003,026 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 469,000,382 | | | | 409,078,194 | |
| Advisor Class | | | 78,606,634 | | | | 57,985,279 | |
| A-Class | | | 54,901,267 | | | | 13,301,426 | |
| C-Class | | | 40,956,893 | | | | 41,235,486 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (426,833,879 | ) | | | (373,528,443 | ) |
| Advisor Class | | | (69,817,795 | ) | | | (57,829,153 | ) |
| A-Class | | | (38,802,538 | ) | | | (10,403,210 | ) |
| C-Class | | | (37,066,779 | ) | | | (38,491,682 | ) |
| Net increase from capital share transactions | | | 70,944,185 | | | | 41,347,897 | |
| Net increase in net assets | | | 125,347,822 | | | | 51,350,923 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 109,051,066 | | | | 57,700,143 | |
| End of year | | $ | 234,398,888 | | | $ | 109,051,066 | |
| Accumulated net investment loss at end of year | | $ | (1,307,774 | ) | | $ | (589,343 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 11,739,617 | | | | 12,989,084 | |
| Advisor Class | | | 2,073,757 | | | | 2,002,963 | |
| A-Class | | | 1,440,618 | | | | 438,491 | |
| C-Class | | | 1,112,660 | | | | 1,445,494 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (10,642,905 | ) | | | (12,108,672 | ) |
| Advisor Class | | | (1,819,571 | ) | | | (2,032,560 | ) |
| A-Class | | | (1,005,019 | ) | | | (382,591 | ) |
| C-Class | | | (1,008,536 | ) | | | (1,363,188 | ) |
| Net increase in shares | | | 1,890,621 | | | | 989,021 | |
| |
| 30 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.90 | | | $ | 29.16 | | | $ | 27.34 | | | $ | 19.37 | | | $ | 21.51 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.40 | ) | | | (.34 | ) | | | (.33 | ) | | | (.21 | ) | | | (.19 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 12.47 | | | | 8.08 | | | | 2.15 | | | | 8.18 | | | | (1.95 | ) |
| Total from investment operations | | | 12.07 | | | | 7.74 | | | | 1.82 | | | | 7.97 | | | | (2.14 | ) |
| Net asset value, end of period | | $ | 48.97 | | | $ | 36.90 | | | $ | 29.16 | | | $ | 27.34 | | | $ | 19.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 32.71 | % | | | 26.54 | % | | | 6.66 | % | | | 41.15 | % | | | (9.95 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 171,844 | | | $ | 89,027 | | | $ | 44,686 | | | $ | 147,631 | | | $ | 65,829 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.98 | %) | | | (1.09 | %) | | | (1.26 | %) | | | (0.90 | %) | | | (0.86 | %) |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 197 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.27 | | | $ | 27.22 | | | $ | 25.66 | | | $ | 18.27 | | | $ | 20.39 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.56 | ) | | | (.48 | ) | | | (.43 | ) | | | (.30 | ) | | | (.29 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.56 | | | | 7.53 | | | | 1.99 | | | | 7.69 | | | | (1.83 | ) |
| Total from investment operations | | | 11.00 | | | | 7.05 | | | | 1.56 | | | | 7.39 | | | | (2.12 | ) |
| Net asset value, end of period | | $ | 45.27 | | | $ | 34.27 | | | $ | 27.22 | | | $ | 25.66 | | | $ | 18.27 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 32.10 | % | | | 25.90 | % | | | 6.08 | % | | | 40.45 | % | | | (10.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 22,486 | | | $ | 8,313 | | | $ | 7,410 | | | $ | 9,144 | | | $ | 6,675 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.46 | %) | | | (1.65 | %) | | | (1.77 | %) | | | (1.38 | %) | | | (1.40 | %) |
| Total expenses | | | 1.86 | % | | | 1.87 | % | | | 1.89 | % | | | 1.89 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 197 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % |
| |
| See Notes to Financial Statements. | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.88 | | | $ | 27.64 | | | $ | 25.98 | | | $ | 18.45 | | | $ | 20.54 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | �� |
| Net investment lossa | | | (.48 | ) | | | (.37 | ) | | | (.37 | ) | | | (.25 | ) | | | (.24 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.78 | | | | 7.61 | | | | 2.03 | | | | 7.78 | | | | (1.85 | ) |
| Total from investment operations | | | 11.30 | | | | 7.24 | | | | 1.66 | | | | 7.53 | | | | (2.09 | ) |
| Net asset value, end of period | | $ | 46.18 | | | $ | 34.88 | | | $ | 27.64 | | | $ | 25.98 | | | $ | 18.45 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 32.40 | % | | | 26.19 | % | | | 6.39 | % | | | 40.81 | % | | | (10.18 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26,391 | | | $ | 4,741 | | | $ | 2,211 | | | $ | 2,869 | | | $ | 4,346 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.21 | %) | | | (1.30 | %) | | | (1.51 | %) | | | (1.12 | %) | | | (1.17 | %) |
| Total expenses | | | 1.61 | % | | | 1.61 | % | | | 1.64 | % | | | 1.64 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 197 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.04 | | | $ | 26.38 | | | $ | 24.96 | | | $ | 17.87 | | | $ | 20.03 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.73 | ) | | | (.58 | ) | | | (.54 | ) | | | (.38 | ) | | | (.38 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.10 | | | | 7.24 | | | | 1.96 | | | | 7.47 | | | | (1.78 | ) |
| Total from investment operations | | | 10.37 | | | | 6.66 | | | | 1.42 | | | | 7.09 | | | | (2.16 | ) |
| Net asset value, end of period | | $ | 43.41 | | | $ | 33.04 | | | $ | 26.38 | | | $ | 24.96 | | | $ | 17.87 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 31.39 | % | | | 25.25 | % | | | 5.65 | % | | | 39.68 | % | | | (10.78 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 13,677 | | | $ | 6,969 | | | $ | 3,393 | | | $ | 4,705 | | | $ | 4,028 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.96 | %) | | | (2.06 | %) | | | (2.27 | %) | | | (1.78 | %) | | | (1.89 | %) |
| Total expenses | | | 2.36 | % | | | 2.36 | % | | | 2.39 | % | | | 2.39 | % | | | 2.39 | % |
| Portfolio turnover rate | | | 197 | % | | | 333 | % | | | 337 | % | | | 316 | % | | | 370 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| |
| 32 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| |
| the RYDEX FUNDS ANNUAL REPORT | 33 |
| performance Report and FUND PROFILE (Unaudited) | March 28, 2013 |
consumer products fund
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
For the one-year period ended March 28, 2013, Consumer Products Fund Investor Class returned 19.26%, compared with 20.25% for the S&P 500 Consumer Staples Index. The broader S&P 500 Index returned 13.96%.
Within the sector, food products was the largest contributor to Fund performance, followed by beverages. Personal products was the only detractor from Fund performance.
Fund performance for the period got the biggest boost from Procter & Gamble Co., PepsiCo, Inc. and Kimberly-Clark Corp. The Fund’s leading detractors during the period were Herbalife Ltd., Monster Beverage Corp. and SUPERVALU, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| 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. | | | 5.6 | % |
| Coca-Cola Co. | | | 5.3 | % |
| Philip Morris International, Inc. | | | 4.8 | % |
| PepsiCo, Inc. | | | 4.4 | % |
| Altria Group, Inc. | | | 3.3 | % |
| Mondelez International, Inc. — Class A | | | 3.0 | % |
| Colgate-Palmolive Co. | | | 3.0 | % |
| Kimberly-Clark Corp. | | | 2.4 | % |
| General Mills, Inc. | | | 2.3 | % |
| Kraft Foods Group, Inc. | | | 2.2 | % |
| Top Ten Total | | | 36.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| |
| 34 | the RYDEX FUNDS ANNUAL REPORT |
| performance Report and FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 19.26 | % | | | 10.59 | % | | | 11.49 | % |
| Advisor Class Shares | | | 18.66 | % | | | 10.06 | % | | | 10.94 | % |
| C-Class Shares | | | 18.06 | % | | | 9.51 | % | | | 10.36 | % |
| C-Class Shares with CDSC† | | | 17.06 | % | | | 9.51 | % | | | 10.36 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Consumer Staples Index | | | 20.25 | % | | | 10.40 | % | | | 10.84 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 18.98 | % | | | 10.33 | % | | | 9.31 | % |
| A-Class Shares with sales charge‡ | | | 13.33 | % | | | 9.26 | % | | | 8.69 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Consumer Staples Index | | | 20.25 | % | | | 10.40 | % | | | 10.07 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| |
| the RYDEX FUNDS ANNUAL REPORT | 35 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| consumer products fund |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.3% | | | | | | | | |
| | | | | | | | | |
| Packaged Foods & Meats - 30.7% | | | | | | | | |
| Mondelez International, Inc. — Class A | | | 219,700 | | | $ | 6,725,018 | |
| General Mills, Inc. | | | 104,037 | | | | 5,130,064 | |
| Kraft Foods Group, Inc. | | | 95,700 | | | | 4,931,421 | |
| Kellogg Co. | | | 67,020 | | | | 4,318,099 | |
| HJ Heinz Co. | | | 58,537 | | | | 4,230,469 | |
| Hershey Co. | | | 44,592 | | | | 3,903,138 | |
| Mead Johnson Nutrition Co. — Class A | | | 45,849 | | | | 3,551,005 | |
| Campbell Soup Co. | | | 76,317 | | | | 3,461,739 | |
| ConAgra Foods, Inc. | | | 95,482 | | | | 3,419,210 | |
| Hormel Foods Corp. | | | 72,986 | | | | 3,015,782 | |
| JM Smucker Co. | | | 29,152 | | | | 2,890,712 | |
| McCormick & Company, Inc. | | | 37,886 | | | | 2,786,515 | |
| Green Mountain Coffee Roasters, Inc.*,1 | | | 46,774 | | | | 2,654,892 | |
| Tyson Foods, Inc. — Class A | | | 105,915 | | | | 2,628,810 | |
| Unilever N.V. — Class Y | | | 54,541 | | | | 2,236,181 | |
| BRF - Brasil Foods S.A. ADR | | | 97,580 | | | | 2,157,494 | |
| Flowers Foods, Inc. | | | 60,395 | | | | 1,989,411 | |
| Hillshire Brands Co. | | | 52,840 | | | | 1,857,326 | |
| Smithfield Foods, Inc.* | | | 64,196 | | | | 1,699,910 | |
| Dean Foods Co.* | | | 88,081 | | | | 1,596,909 | |
| Hain Celestial Group, Inc.* | | | 24,900 | | | | 1,520,892 | |
| TreeHouse Foods, Inc.* | | | 20,872 | | | | 1,359,811 | |
| Sanderson Farms, Inc. | | | 18,200 | | | | 994,084 | |
| Total Packaged Foods & Meats | | | | | | | 69,058,892 | |
| Household Products - 14.7% | | | | | | | | |
| Procter & Gamble Co. | | | 164,860 | | | | 12,704,111 | |
| Colgate-Palmolive Co. | | | 56,711 | | | | 6,693,599 | |
| Kimberly-Clark Corp. | | | 56,422 | | | | 5,528,228 | |
| Clorox Co. | | | 34,767 | | | | 3,077,923 | |
| Church & Dwight Company, Inc. | | | 41,806 | | | | 2,701,922 | |
| Energizer Holdings, Inc. | | | 22,365 | | | | 2,230,461 | |
| Total Household Products | | | | | | | 32,936,244 | |
| Soft Drinks - 14.3% | | | | | | | | |
| Coca-Cola Co. | | | 296,000 | | | | 11,970,240 | |
| PepsiCo, Inc. | | | 124,301 | | | | 9,833,452 | |
| Coca-Cola Enterprises, Inc. | | | 77,194 | | | | 2,850,002 | |
| Dr Pepper Snapple Group, Inc. | | | 60,025 | | | | 2,818,174 | |
| Monster Beverage Corp.* | | | 52,153 | | | | 2,489,784 | |
| Fomento Economico Mexicano SAB de CV ADR | | | 20,493 | | | | 2,325,956 | |
| Total Soft Drinks | | | | | | | 32,287,608 | |
| Tobacco - 12.9% | | | | | | | | |
| Philip Morris International, Inc. | | | 117,823 | | | | 10,923,370 | |
| Altria Group, Inc. | | | 215,200 | | | | 7,400,728 | |
| Reynolds American, Inc. | | | 99,508 | | | | 4,427,111 | |
| Lorillard, Inc. | | | 85,205 | | | | 3,438,022 | |
| British American Tobacco plc ADR | | | 18,200 | | | | 1,948,310 | |
| Universal Corp. | | | 17,500 | | | | 980,700 | |
| Total Tobacco | | | | | | | 29,118,241 | |
| Food Retail - 5.9% | | | | | | | | |
| Kroger Co. | | | 112,153 | | | | 3,716,750 | |
| Whole Foods Market, Inc. | | | 40,207 | | | | 3,487,957 | |
| Safeway, Inc. | | | 86,645 | | | | 2,283,096 | |
| Casey’s General Stores, Inc. | | | 22,600 | | | | 1,317,580 | |
| Harris Teeter Supermarkets, Inc. | | | 29,600 | | | | 1,264,216 | |
| Fresh Market, Inc.* | | | 29,500 | | | | 1,261,715 | |
| Total Food Retail | | | | | | | 13,331,314 | |
| Personal Products - 5.1% | | | | | | | | |
| Estee Lauder Companies, Inc. — Class A | | | 68,156 | | | | 4,364,030 | |
| Herbalife Ltd.1 | | | 82,841 | | | | 3,102,395 | |
| Avon Products, Inc. | | | 127,602 | | | | 2,645,189 | |
| Nu Skin Enterprises, Inc. — Class A | | | 33,130 | | | | 1,464,346 | |
| Total Personal Products | | | | | | | 11,575,960 | |
| Distillers & Vintners - 4.9% | | | | | | | | |
| Brown-Forman Corp. — Class B | | | 49,056 | | | | 3,502,598 | |
| Beam, Inc. | | | 43,970 | | | | 2,793,854 | |
| Constellation Brands, Inc. — Class A* | | | 55,744 | | | | 2,655,644 | |
| Diageo plc ADR | | | 17,300 | | | | 2,177,032 | |
| Total Distillers & Vintners | | | | | | | 11,129,128 | |
| Agricultural Products - 4.6% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 124,603 | | | | 4,202,859 | |
| Bunge Ltd. | | | 38,596 | | | | 2,849,543 | |
| Ingredion, Inc. | | | 29,174 | | | | 2,109,864 | |
| Darling International, Inc.* | | | 69,320 | | | | 1,244,987 | |
| Total Agricultural Products | | | | | | | 10,407,253 | |
| Brewers - 3.8% | | | | | | | | |
| Anheuser-Busch InBev N.V. ADR | | | 31,612 | | | | 3,146,975 | |
| Cia de Bebidas das Americas ADR | | | 64,680 | | | | 2,737,904 | |
| Molson Coors Brewing Co. — Class B | | | 54,117 | | | | 2,647,945 | |
| Total Brewers | | | | | | | 8,532,824 | |
| Food Distributors - 2.4% | | | | | | | | |
| Sysco Corp. | | | 116,005 | | | | 4,079,896 | |
| United Natural Foods, Inc.* | | | 27,970 | | | | 1,376,124 | |
| Total Food Distributors | | | | | | | 5,456,020 | |
| Total Common Stocks | | | | | | | | |
| (Cost $171,673,014) | | | | | | | 223,833,484 | |
| |
| 36 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| consumer products fund |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 1,440,640 | | | $ | 1,440,640 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $1,440,640) | | | | | | | 1,440,640 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 1,604,303 | | | | 1,604,303 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 1,262,038 | | | | 1,262,038 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $2,866,341) | | | | | | | 2,866,341 | |
| Total Investments - 101.2% | | | | | | | | |
| (Cost $175,979,995) | | | | | | $ | 228,140,465 | |
| Other Assets & Liabilities, net - (1.2)% | | | | | | | (2,744,745 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 225,395,720 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6.
ADR — American Depositary Receipt
plc — Public Limited Company |
| |
| See Notes to Financial Statements . | the RYDEX FUNDS ANNUAL REPORT | 37 |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $2,816,833 of securities loaned | | | | |
| (cost $171,673,014) | | $ | 223,833,484 | |
| Repurchase agreements, at value | | | | |
| (cost $4,306,981) | | | 4,306,981 | |
| Total investments | | | | |
| (cost $175,979,995) | | | 228,140,465 | |
| Cash | | | 52,628 | |
| Receivables: | | | | |
| Dividends | | | 445,495 | |
| Fund shares sold | | | 390,157 | |
| Interest | | | 4,924 | |
| Total assets | | | 229,033,669 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 2,866,341 | |
| Fund shares redeemed | | | 450,139 | |
| Management fees | | | 149,745 | |
| Transfer agent and administrative fees | | | 44,043 | |
| Distribution and service fees | | | 18,362 | |
| Portfolio accounting fees | | | 17,617 | |
| Miscellaneous | | | 91,702 | |
| Total liabilities | | | 3,637,949 | |
| Net assets | | $ | 225,395,720 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 184,076,711 | |
| Undistributed net investment income | | | 1,720,103 | |
| Accumulated net realized loss on investments | | | (12,561,564 | ) |
| Net unrealized appreciation on investments | | | 52,160,470 | |
| Net assets | | $ | 225,395,720 | |
| Investor Class: | | | | |
| Net assets | | $ | 181,944,727 | |
| Capital shares outstanding | | | 3,806,796 | |
| Net asset value per share | | $ | 47.79 | |
| Advisor Class: | | | | |
| Net assets | | $ | 10,148,285 | |
| Capital shares outstanding | | | 231,349 | |
| Net asset value per share | | $ | 43.87 | |
| A-Class: | | | | |
| Net assets | | $ | 21,603,691 | |
| Capital shares outstanding | | | 480,097 | |
| Net asset value per share | | $ | 45.00 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 47.24 | |
| C-Class: | | | | |
| Net assets | | $ | 11,699,017 | |
| Capital shares outstanding | | | 283,125 | |
| Net asset value per share | | $ | 41.32 | |
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $12,191) | | $ | 4,668,934 | |
| Income from securities lending, net | | | 29,134 | |
| Interest | | | 694 | |
| Total investment income | | | 4,698,762 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 1,458,382 | |
| Transfer agent and administrative fees | | | 428,936 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 67,435 | |
| A-Class | | | 47,071 | |
| C-Class | | | 103,558 | |
| Portfolio accounting fees | | | 171,572 | |
| Custodian fees | | | 26,980 | |
| Trustees’ fees* | | | 16,303 | |
| Miscellaneous | | | 217,756 | |
| Total expenses | | | 2,537,993 | |
| Net investment income | | | 2,160,769 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 4,310,827 | |
| Net realized gain | | | 4,310,827 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 18,511,373 | |
| Net change in unrealized appreciation (depreciation) | | | 18,511,373 | |
| Net realized and unrealized gain | | | 22,822,200 | |
| Net increase in net assets resulting from operations | | $ | 24,982,969 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| |
| 38 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 2,160,769 | | | $ | 1,504,928 | |
| Net realized gain (loss) on investments | | | 4,310,827 | | | | (6,633,752 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 18,511,373 | | | | 20,261,583 | |
| Net increase in net assets resulting from operations | | | 24,982,969 | | | | 15,132,759 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (316,169 | ) | | | (990,072 | ) |
| Advisor Class | | | (40,225 | ) | | | (144,687 | ) |
| A-Class | | | (51,236 | ) | | | (240,403 | ) |
| C-Class | | | (33,036 | ) | | | (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 | | | (440,666 | ) | | | (3,934,423 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 400,842,592 | | | | 659,811,510 | |
| Advisor Class | | | 59,744,738 | | | | 75,806,217 | |
| A-Class | | | 11,183,601 | | | | 31,615,141 | |
| C-Class | | | 40,893,529 | | | | 57,692,984 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 309,479 | | | | 2,488,504 | |
| Advisor Class | | | 40,024 | | | | 373,093 | |
| A-Class | | | 37,747 | | | | 494,046 | |
| C-Class | | | 31,073 | | | | 339,654 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (392,919,700 | ) | | | (573,144,067 | ) |
| Advisor Class | | | (67,940,005 | ) | | | (63,966,727 | ) |
| A-Class | | | (13,768,084 | ) | | | (17,284,638 | ) |
| C-Class | | | (40,741,804 | ) | | | (52,151,706 | ) |
| Net increase (decrease) from capital share transactions | | | (2,286,810 | ) | | | 122,074,011 | |
| Net increase in net assets | | | 22,255,493 | | | | 133,272,347 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 203,140,227 | | | | 69,867,880 | |
| End of year | | $ | 225,395,720 | | | $ | 203,140,227 | |
| Undistributed net investment income at end of year | | $ | 1,720,103 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 9,597,574 | | | | 17,440,289 | |
| Advisor Class | | | 1,572,679 | | | | 2,159,455 | |
| A-Class | | | 283,087 | | | | 881,716 | |
| C-Class | | | 1,143,508 | | | | 1,721,281 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 7,460 | | | | 69,356 | |
| Advisor Class | | | 1,050 | | | | 11,251 | |
| A-Class | | | 966 | | | | 14,574 | |
| C-Class | | | 864 | | | | 10,800 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (9,666,092 | ) | | | (15,233,138 | ) |
| Advisor Class | | | (1,800,187 | ) | | | (1,815,584 | ) |
| A-Class | | | (358,129 | ) | | | (488,025 | ) |
| C-Class | | | (1,137,871 | ) | | | (1,563,405 | ) |
| Net increase (decrease) in shares | | | (355,091 | ) | | | 3,208,570 | |
| |
| See Notes to Financial Statements. | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 40.19 | | | $ | 36.37 | | | $ | 37.83 | | | $ | 26.39 | | | $ | 36.40 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .57 | | | | .49 | | | | .69 | | | | .50 | | | | .55 | |
| Net gain (loss) on investments (realized and unrealized) | | | 7.14 | | | | 4.82 | | | | 4.40 | | | | 11.04 | | | | (10.35 | ) |
| Total from investment operations | | | 7.71 | | | | 5.31 | | | | 5.09 | | | | 11.54 | | | | (9.80 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.11 | ) | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | |
| Total distributions | | | (.11 | ) | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) |
| Net asset value, end of period | | $ | 47.79 | | | $ | 40.19 | | | $ | 36.37 | | | $ | 37.83 | | | $ | 26.39 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 19.26 | % | | | 15.06 | % | | | 14.81 | % | | | 43.75 | % | | | (26.96 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 181,945 | | | $ | 155,432 | | | $ | 57,876 | | | $ | 182,915 | | | $ | 14,703 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.38 | % | | | 1.29 | % | | | 1.84 | % | | | 1.46 | % | | | 1.81 | % |
| Total expenses | | | 1.35 | % | | | 1.35 | % | | | 1.38 | % | | | 1.37 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 230 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.08 | | | $ | 33.84 | | | $ | 35.77 | | | $ | 25.09 | | | $ | 34.78 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .35 | | | | .24 | | | | .62 | | | | .35 | | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.55 | | | | 4.49 | | | | 4.00 | | | | 10.43 | | | | (9.82 | ) |
| Total from investment operations | | | 6.90 | | | | 4.73 | | | | 4.62 | | | | 10.78 | | | | (9.48 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.11 | ) | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | |
| Total distributions | | | (.11 | ) | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) |
| Net asset value, end of period | | $ | 43.87 | | | $ | 37.08 | | | $ | 33.84 | | | $ | 35.77 | | | $ | 25.09 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.66 | % | | | 14.49 | % | | | 14.32 | % | | | 42.99 | % | | | (27.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 10,148 | | | $ | 16,975 | | | $ | 3,475 | | | $ | 5,824 | | | $ | 11,113 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.93 | % | | | 0.68 | % | | | 1.78 | % | | | 1.17 | % | | | 1.18 | % |
| Total expenses | | | 1.85 | % | | | 1.84 | % | | | 1.88 | % | | | 1.88 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 230 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % |
| |
| 40 | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.93 | | | $ | 34.49 | | | $ | 36.26 | | | $ | 25.37 | | | $ | 35.09 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .44 | | | | .40 | | | | .41 | | | | .55 | | | | .42 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.74 | | | | 4.53 | | | | 4.37 | | | | 10.44 | | | | (9.93 | ) |
| Total from investment operations | | | 7.18 | | | | 4.93 | | | | 4.78 | | | | 10.99 | | | | (9.51 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.11 | ) | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | |
| Total distributions | | | (.11 | ) | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) |
| Net asset value, end of period | | $ | 45.00 | | | $ | 37.93 | | | $ | 34.49 | | | $ | 36.26 | | | $ | 25.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.98 | % | | | 14.80 | % | | | 14.58 | % | | | 43.34 | % | | | (27.14 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 21,604 | | | $ | 21,021 | | | $ | 5,033 | | | $ | 21,277 | | | $ | 2,898 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.12 | % | | | 1.11 | % | | | 1.14 | % | | | 1.72 | % | | | 1.41 | % |
| Total expenses | | | 1.60 | % | | | 1.60 | % | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 230 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 35.11 | | | $ | 32.28 | | | $ | 34.57 | | | $ | 24.36 | | | $ | 33.95 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .13 | | | | .12 | | | | .30 | | | | .24 | | | | .19 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.19 | | | | 4.20 | | | | 3.96 | | | | 10.07 | | | | (9.57 | ) |
| Total from investment operations | | | 6.32 | | | | 4.32 | | | | 4.26 | | | | 10.31 | | | | (9.38 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.11 | ) | | | (.57 | ) | | | (.82 | ) | | | (.10 | ) | | | (.21 | ) |
| Net realized gains | | | — | | | | (.92 | ) | | | (5.73 | ) | | | — | | | | — | |
| Total distributions | | | (.11 | ) | | | (1.49 | ) | | | (6.55 | ) | | | (.10 | ) | | | (.21 | ) |
| Net asset value, end of period | | $ | 41.32 | | | $ | 35.11 | | | $ | 32.28 | | | $ | 34.57 | | | $ | 24.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.06 | % | | | 13.91 | % | | | 13.78 | % | | | 42.35 | % | | | (27.67 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11,699 | | | $ | 9,712 | | | $ | 3,484 | | | $ | 4,194 | | | $ | 3,067 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.37 | % | | | 0.36 | % | | | 0.90 | % | | | 0.77 | % | | | 0.65 | % |
| Total expenses | | | 2.35 | % | | | 2.35 | % | | | 2.38 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 230 | % | | | 402 | % | | | 400 | % | | | 200 | % | | | 445 | % |
| a | Net investment income per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 41 |
| performance Report and FUND PROFILE (Unaudited) | March 28, 2013 |
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
For the one-year period ended March 28, 2013, Electronics Fund Investor Class returned -5.41%, compared with -1.12% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.96%.
Almost all the holdings in the Fund are in the semiconductors & semiconductor equipment industry, which as a group had negative return and accounted for the Fund’s negative performance.
For the period, Fund performance got the biggest boost from Cree, Inc., Cymer, Inc. and Micron Technology, Inc. Holdings detracting from Fund performance for the period were Intel Corp., Advanced Micro Devices, Inc. and Marvell Technology Group Ltd.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| Investor Class | | 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. | | | 10.7 | % |
| Texas Instruments, Inc. | | | 6.4 | % |
| Broadcom Corp. — Class A | | | 4.5 | % |
| Applied Materials, Inc. | | | 4.1 | % |
| Analog Devices, Inc. | | | 3.9 | % |
| Altera Corp. | | | 3.4 | % |
| Micron Technology, Inc. | | | 3.3 | % |
| Xilinx, Inc. | | | 3.2 | % |
| Maxim Integrated Products, Inc. | | | 3.1 | % |
| Linear Technology Corp. | | | 3.0 | % |
| Top Ten Total | | | 45.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| |
| 42 | the RYDEX FUNDS ANNUAL REPORT |
| performance Report and FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | -5.41 | % | | | 0.71 | % | | | 2.58 | % |
| Advisor Class Shares | | | -5.97 | % | | | 0.22 | % | | | 2.08 | % |
| C-Class Shares | | | -6.44 | % | | | -0.25 | % | | | 1.58 | % |
| C-Class Shares with CDSC† | | | -7.38 | % | | | -0.25 | % | | | 1.58 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 9.18 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | -5.63 | % | | | 0.43 | % | | | 0.78 | % |
| A-Class Shares with sales charge‡ | | | -10.10 | % | | | -0.54 | % | | | 0.21 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 7.40 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| |
| the RYDEX FUNDS ANNUAL REPORT | 43 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.8% | | | | | | | | |
| | | | | | | | | |
| Semiconductors - 83.5% | | | | | | | | |
| Intel Corp. | | | 25,359 | | | $ | 554,093 | |
| Texas Instruments, Inc. | | | 9,360 | | | | 332,092 | |
| Broadcom Corp. — Class A | | | 6,734 | | | | 233,468 | |
| Analog Devices, Inc. | | | 4,303 | | | | 200,046 | |
| Altera Corp. | | | 4,984 | | | | 176,782 | |
| Micron Technology, Inc.* | | | 17,075 | | | | 170,409 | |
| Xilinx, Inc. | | | 4,335 | | | | 165,467 | |
| Maxim Integrated Products, Inc. | | | 4,948 | | | | 161,552 | |
| Linear Technology Corp. | | | 4,121 | | | | 158,123 | |
| NVIDIA Corp. | | | 11,661 | | | | 149,494 | |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 8,672 | | | | 149,072 | |
| Microchip Technology, Inc. | | | 3,862 | | | | 141,967 | |
| Cree, Inc.* | | | 2,490 | | | | 136,228 | |
| Avago Technologies Ltd. | | | 3,384 | | | | 121,553 | |
| Marvell Technology Group Ltd. | | | 11,041 | | | | 116,814 | |
| Skyworks Solutions, Inc.* | | | 4,905 | | | | 108,057 | |
| ON Semiconductor Corp.* | | | 12,234 | | | | 101,298 | |
| LSI Corp.* | | | 14,746 | | | | 99,978 | |
| Freescale Semiconductor Ltd.* | | | 6,655 | | | | 99,093 | |
| Atmel Corp.* | | | 13,250 | | | | 92,220 | |
| NXP Semiconductor N.V.* | | | 2,929 | | | | 88,632 | |
| ARM Holdings plc ADR | | | 2,021 | | | | 85,630 | |
| Semtech Corp.* | | | 2,351 | | | | 83,202 | |
| First Solar, Inc.* | | | 2,976 | | | | 80,233 | |
| Microsemi Corp.* | | | 3,403 | | | | 78,848 | |
| Mellanox Technologies Ltd.* | | | 1,392 | | | | 77,270 | |
| Cavium, Inc.* | | | 1,893 | | | | 73,467 | |
| Fairchild Semiconductor International, Inc. — Class A* | | | 4,950 | | | | 69,993 | |
| Cypress Semiconductor Corp. | | | 5,996 | | | | 66,136 | |
| Cirrus Logic, Inc.* | | | 2,769 | | | | 62,995 | |
| SunPower Corp. — Class A* | | | 5,315 | | | | 61,335 | |
| OmniVision Technologies, Inc.* | | | 3,240 | | | | 44,647 | |
| Total Semiconductors | | | | | | | 4,340,194 | |
| Semiconductor Equipment - 16.3% | | | | | | | | |
| Applied Materials, Inc. | | | 15,686 | | | | 211,447 | |
| KLA-Tencor Corp. | | | 2,912 | | | | 153,579 | |
| Lam Research Corp.* | | | 3,270 | | | | 135,574 | |
| ASML Holding N.V. — Class G | | | 1,482 | | | | 100,791 | |
| Teradyne, Inc.* | | | 5,605 | | | | 90,913 | |
| Cymer, Inc.* | | | 926 | | | | 88,989 | |
| Veeco Instruments, Inc.* | | | 1,746 | | | | 66,924 | |
| Total Semiconductor Equipment | | | | | | | 848,217 | |
| Total Common Stocks | | | | | | | | |
| (Cost $3,234,438) | | | | | | | 5,188,411 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,1 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 14,593 | | | | 14,593 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $14,593) | | | | | | | 14,593 | |
| Total Investments - 100.1% | | | | | | | | |
| (Cost $3,249,031) | | | | | | $ | 5,203,004 | |
| Other Assets & Liabilities, net - (0.1)% | | | | | | | (7,063 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 5,195,941 | |
| * | 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 ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 | | | |
| | | | |
| Assets: | | | |
| Investments, at value | | | | |
| (cost $3,234,438) | | $ | 5,188,411 | |
| Repurchase agreements, at value | | | | |
| (cost $14,593) | | | 14,593 | |
| Total investments | | | | |
| (cost $3,249,031) | | | 5,203,004 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,765,021 | |
| Dividends | | | 1,782 | |
| Interest | | | 64 | |
| Total assets | | | 6,969,871 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 1,749,360 | |
| Fund shares redeemed | | | 15,087 | |
| Management fees | | | 3,838 | |
| Transfer agent and administrative fees | | | 1,129 | |
| Distribution and service fees | | | 580 | |
| Portfolio accounting fees | | | 451 | |
| Miscellaneous | | | 3,485 | |
| Total liabilities | | | 1,773,930 | |
| Net assets | | $ | 5,195,941 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 24,855,441 | |
| Undistributed net investment income | | | 2,979 | |
| Accumulated net realized loss on investments | | | (21,616,452 | ) |
| Net unrealized appreciation on investments | | | 1,953,973 | |
| Net assets | | $ | 5,195,941 | |
| Investor Class: | | | | |
| Net assets | | $ | 2,941,692 | |
| Capital shares outstanding | | | 56,453 | |
| Net asset value per share | | $ | 52.11 | |
| Advisor Class: | | | | |
| Net assets | | $ | 1,288,249 | |
| Capital shares outstanding | | | 26,655 | |
| Net asset value per share | | $ | 48.33 | |
| A-Class: | | | | |
| Net assets | | $ | 298,591 | |
| Capital shares outstanding | | | 6,058 | |
| Net asset value per share | | $ | 49.29 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 51.75 | |
| C-Class: | | | | |
| Net assets | | $ | 667,409 | |
| Capital shares outstanding | | | 14,409 | |
| Net asset value per share | | $ | 46.32 | |
| Year Ended March 28, 2013 | | | |
| | | | |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $126) | | $ | 96,791 | |
| Income from securities lending, net | | | 1,417 | |
| Interest | | | 37 | |
| Total investment income | | | 98,245 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 45,846 | |
| Transfer agent and administrative fees | | | 13,484 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 2,437 | |
| A-Class | | | 1,196 | |
| C-Class | | | 4,152 | |
| Portfolio accounting fees | | | 5,394 | |
| Custodian fees | | | 869 | |
| Trustees’ fees* | | | 744 | |
| Miscellaneous | | | 6,610 | |
| Total expenses | | | 80,732 | |
| Net investment income | | | 17,513 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 422,790 | |
| Net realized gain | | | 422,790 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (749,275 | ) |
| Net change in unrealized appreciation (depreciation) | | | (749,275 | ) |
| Net realized and unrealized loss | | | (326,485 | ) |
| Net decrease in net assets resulting from operations | | $ | (308,972 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 45 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 17,513 | | | $ | (40,638 | ) |
| Net realized gain on investments | | | 422,790 | | | | 645,228 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (749,275 | ) | | | (2,200,960 | ) |
| Net decrease in net assets resulting from operations | | | (308,972 | ) | | | (1,596,370 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 69,160,019 | | | | 98,746,392 | |
| Advisor Class | | | 21,228,472 | | | | 26,293,819 | |
| A-Class | | | 3,492,941 | | | | 4,470,157 | |
| C-Class | | | 27,559,976 | | | | 56,542,448 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (71,451,834 | ) | | | (99,518,199 | ) |
| Advisor Class | | | (21,186,488 | ) | | | (27,450,204 | ) |
| A-Class | | | (3,819,431 | ) | | | (5,415,408 | ) |
| C-Class | | | (27,124,726 | ) | | | (57,348,385 | ) |
| Net decrease from capital share transactions | | | (2,141,071 | ) | | | (3,679,380 | ) |
| Net decrease in net assets | | | (2,450,043 | ) | | | (5,275,750 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 7,645,984 | | | | 12,921,734 | |
| End of year | | $ | 5,195,941 | | | $ | 7,645,984 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | 2,979 | | | $ | (14,534 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,407,308 | | | | 1,826,514 | |
| Advisor Class | | | 471,632 | | | | 530,537 | |
| A-Class | | | 75,195 | | | | 90,548 | |
| C-Class | | | 633,511 | | | | 1,191,961 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,449,849 | ) | | | (1,842,695 | ) |
| Advisor Class | | | (469,703 | ) | | | (560,085 | ) |
| A-Class | | | (81,755 | ) | | | (106,039 | ) |
| C-Class | | | (624,407 | ) | | | (1,209,292 | ) |
| Net decrease in shares | | | (38,068 | ) | | | (78,551 | ) |
| |
| 46 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010d | | | 2009d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.09 | | | $ | 60.57 | | | $ | 52.33 | | | $ | 32.76 | | | $ | 50.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .22 | | | | (.12 | ) | | | (.13 | ) | | | (.02 | ) | | | (— | )b |
| Net gain (loss) on investments (realized and unrealized) | | | (3.20 | ) | | | (5.36 | ) | | | 8.37 | | | | 19.59 | | | | (17.54 | ) |
| Total from investment operations | | | (2.98 | ) | | | (5.48 | ) | | | 8.24 | | | | 19.57 | | | | (17.54 | ) |
| Net asset value, end of period | | $ | 52.11 | | | $ | 55.09 | | | $ | 60.57 | | | $ | 52.33 | | | $ | 32.76 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.41 | %) | | | (9.05 | %) | | | 15.75 | % | | | 59.74 | % | | | (34.89 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,942 | | | $ | 5,453 | | | $ | 6,976 | | | $ | 15,988 | | | $ | 106,703 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.45 | % | | | (0.22 | %) | | | (0.23 | %) | | | (0.06 | %) | | | (0.03 | %) |
| Total expenses | | | 1.35 | % | | | 1.35 | % | | | 1.39 | % | | | 1.38 | % | | | 1.34 | % |
| Portfolio turnover rate | | | 1,640 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010d | | | 2009d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.40 | | | $ | 56.77 | | | $ | 49.26 | | | $ | 31.01 | | | $ | 47.80 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.12 | ) | | | (.34 | ) | | | (.41 | ) | | | (.16 | ) | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.95 | ) | | | (5.03 | ) | | | 7.92 | | | | 18.41 | | | | (16.69 | ) |
| Total from investment operations | | | (3.07 | ) | | | (5.37 | ) | | | 7.51 | | | | 18.25 | | | | (16.79 | ) |
| Net asset value, end of period | | $ | 48.33 | | | $ | 51.40 | | | $ | 56.77 | | | $ | 49.26 | | | $ | 31.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.97 | %) | | | (9.46 | %) | | | 15.25 | % | | | 58.85 | % | | | (35.15 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,288 | | | $ | 1,271 | | | $ | 3,081 | | | $ | 1,634 | | | $ | 3,152 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.26 | %) | | | (0.67 | %) | | | (0.79 | %) | | | (0.39 | %) | | | (0.29 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.87 | % | | | 1.86 | % |
| Portfolio turnover rate | | | 1,640 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % |
| |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 47 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010d | | | 2009d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 52.23 | | | $ | 57.59 | | | $ | 49.88 | | | $ | 31.31 | | | $ | 48.25 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .24 | | | | (.19 | ) | | | (.21 | ) | | | (.14 | ) | | | (.10 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | (3.18 | ) | | | (5.17 | ) | | | 7.92 | | | | 18.71 | | | | (16.84 | ) |
| Total from investment operations | | | (2.94 | ) | | | (5.36 | ) | | | 7.71 | | | | 18.57 | | | | (16.94 | ) |
| Net asset value, end of period | | $ | 49.29 | | | $ | 52.23 | | | $ | 57.59 | | | $ | 49.88 | | | $ | 31.31 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (5.63 | %) | | | (9.31 | %) | | | 15.46 | % | | | 59.31 | % | | | (35.13 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 299 | | | $ | 659 | | | $ | 1,619 | | | $ | 1,329 | | | $ | 42 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.51 | % | | | (0.36 | %) | | | (0.43 | %) | | | (0.31 | %) | | | (0.26 | %) |
| Total expenses | | | 1.60 | % | | | 1.62 | % | | | 1.64 | % | | | 1.62 | % | | | 1.60 | % |
| Portfolio turnover rate | | | 1,640 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010d | | | 2009d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.50 | | | $ | 55.03 | | | $ | 47.90 | | | $ | 30.28 | | | $ | 46.90 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.18 | ) | | | (.70 | ) | | | (.65 | ) | | | (.51 | ) | | | (.30 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | (3.00 | ) | | | (4.83 | ) | | | 7.78 | | | | 18.13 | | | | (16.32 | ) |
| Total from investment operations | | | (3.18 | ) | | | (5.53 | ) | | | 7.13 | | | | 17.62 | | | | (16.62 | ) |
| Net asset value, end of period | | $ | 46.32 | | | $ | 49.50 | | | $ | 55.03 | | | $ | 47.90 | | | $ | 30.28 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | (6.44 | %) | | | (10.01 | %) | | | 14.86 | % | | | 58.19 | % | | | (35.39 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 667 | | | $ | 263 | | | $ | 1,246 | | | $ | 3,342 | | | $ | 460 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.41 | %) | | | (1.42 | %) | | | (1.31 | %) | | | (1.21 | %) | | | (0.74 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 1,640 | % | | | 1,329 | % | | | 1,171 | % | | | 592 | % | | | 408 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Net investment loss is less than $0.01 per share. |
| c | Total return does not reflect the impact of any applicable sales charges. |
| d | Per share amounts for the period March 31, 2008 – April 19, 2009, have been restated to reflect a 1:5 reverse share split effective April 20, 2009. |
| |
| 48 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| THE RYDEX FUNDS ANNUAL REPORT | 49 |
| PERFORMANCE REPORT AND FUND PROFILE (UNAUDITED) | March 28, 2013 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
For the one-year period ended March 28, 2013, Energy Fund Investor Class returned 8.50%, compared with 10.95% for the S&P 500 Energy Index. The broader S&P 500 Index returned 13.96%.
Within the sector, the oil, gas & consumable fuels segment that composes about three-fourths of the Fund was the largest contributor to return. The segment most sensitive to changes in the price of oil, energy equipment & services, accounted for about 25% of the holdings, and it also contributed to return. The lightly weighted gas utilities and industrial conglomerates segments both detracted from return.
Marathon Petroleum Corp., Valero Energy Corp. and Cabot Oil & Gas Corp. were among the most significant positive contributors to Fund performance for the period. Holdings detracting most from performance were Petrobras Petroleo Brasileiro, Apache Corp. and Devon Energy Corp.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | April 21, 1998 |
| Advisor Class | May 5, 1998 |
| A-Class | September 1, 2004 |
| C-Class | April 19, 2001 |
| Ten Largest Holdings (% of Total Net Assets) |
| Exxon Mobil Corp. | | | 6.3 | % |
| Chevron Corp. | | | 4.7 | % |
| Schlumberger Ltd. | | | 3.1 | % |
| ConocoPhillips | | | 2.7 | % |
| Occidental Petroleum Corp. | | | 2.4 | % |
| Phillips 66 | | | 2.2 | % |
| Kinder Morgan, Inc. | | | 2.1 | % |
| Anadarko Petroleum Corp. | | | 2.1 | % |
| Halliburton Co. | | | 1.9 | % |
| EOG Resources, Inc. | | | 1.8 | % |
| Top Ten Total | | | 29.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 50 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | 5 Year | | 10 Year |
| Investor Class Shares | | | 8.50 | % | | | 0.58 | % | | | 13.11 | % |
| Advisor Class Shares | | | 7.92 | % | | | 0.08 | % | | | 12.56 | % |
| C-Class Shares | | | 7.40 | % | | | -0.42 | % | | | 11.99 | % |
| C-Class Shares with CDSC† | | | 6.40 | % | | | -0.42 | % | | | 11.99 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Energy Index | | | 10.95 | % | | | 3.04 | % | | | 14.52 | % |
| | | | | | | Since |
| | | | | | | Inception |
| | | 1 Year | | 5 Year | | (09/01/04) |
| A-Class Shares | | | 8.20 | % | | | 0.31 | % | | | 9.86 | % |
| A-Class Shares with sales charge‡ | | | 3.05 | % | | | -0.66 | % | | | 9.24 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Energy Index | | | 10.95 | % | | | 3.04 | % | | | 12.03 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 51 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| ENERGY FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.5% | | | | | | | | |
| | | | | | | | | |
| Oil & Gas Exploration & Production - 34.2% | | | | | | | | |
| ConocoPhillips | | | 31,349 | | | $ | 1,884,076 | |
| Anadarko Petroleum Corp. | | | 16,741 | | | | 1,464,001 | |
| EOG Resources, Inc. | | | 9,983 | | | | 1,278,524 | |
| Apache Corp. | | | 15,880 | | | | 1,225,302 | |
| Marathon Oil Corp. | | | 31,247 | | | | 1,053,649 | |
| Devon Energy Corp. | | | 18,161 | | | | 1,024,644 | |
| Noble Energy, Inc. | | | 8,688 | | | | 1,004,854 | |
| Pioneer Natural Resources Co. | | | 7,135 | | | | 886,524 | |
| Continental Resources, Inc.* | | | 9,811 | | | | 852,870 | |
| Cabot Oil & Gas Corp. | | | 12,045 | | | | 814,362 | |
| Range Resources Corp. | | | 9,656 | | | | 782,522 | |
| Southwestern Energy Co.* | | | 20,765 | | | | 773,704 | |
| Cobalt International Energy, Inc.* | | | 27,030 | | | | 762,246 | |
| Chesapeake Energy Corp. | | | 37,045 | | | | 756,088 | |
| Concho Resources, Inc.* | | | 7,221 | | | | 703,542 | |
| Equities Corp. | | | 10,210 | | | | 691,728 | |
| Encana Corp. | | | 32,214 | | | | 626,884 | |
| Canadian Natural Resources Ltd. | | | 18,622 | | | | 598,325 | |
| Denbury Resources, Inc.* | | | 30,713 | | | | 572,797 | |
| Cimarex Energy Co. | | | 7,335 | | | | 553,352 | |
| Plains Exploration & Production Co.* | | | 11,514 | | | | 546,570 | |
| Talisman Energy, Inc. | | | 43,698 | | | | 535,301 | |
| Whiting Petroleum Corp.* | | | 10,436 | | | | 530,566 | |
| QEP Resources, Inc. | | | 16,092 | | | | 512,369 | |
| SM Energy Co. | | | 7,278 | | | | 431,003 | |
| Gulfport Energy Corp.* | | | 9,376 | | | | 429,702 | |
| Energy XXI Bermuda Ltd. | | | 15,455 | | | | 420,685 | |
| Oasis Petroleum, Inc.* | | | 10,705 | | | | 407,539 | |
| WPX Energy, Inc.* | | | 23,467 | | | | 375,941 | |
| Ultra Petroleum Corp.*,1 | | | 18,372 | | | | 369,277 | |
| Newfield Exploration Co.* | | | 16,389 | | | | 367,441 | |
| Rosetta Resources, Inc.* | | | 7,200 | | | | 342,576 | |
| Kodiak Oil & Gas Corp.* | | | 36,282 | | | | 329,803 | |
| Total Oil & Gas Exploration & Production | | | | | | | 23,908,767 | |
| Integrated Oil & Gas - 21.9% | | | | | | | | |
| Exxon Mobil Corp. | | | 49,061 | | | | 4,420,888 | |
| Chevron Corp. | | | 27,853 | | | | 3,309,493 | |
| Occidental Petroleum Corp. | | | 21,436 | | | | 1,679,939 | |
| Hess Corp. | | | 15,202 | | | | 1,088,615 | |
| BP plc ADR | | | 22,686 | | | | 960,752 | |
| Petroleo Brasileiro S.A. ADR | | | 56,382 | | | | 934,250 | |
| Murphy Oil Corp. | | | 12,188 | | | | 776,741 | |
| Suncor Energy, Inc. | | | 20,741 | | | | 622,437 | |
| Royal Dutch Shell plc ADR | | | 8,817 | | | | 574,516 | |
| InterOil Corp.*,1 | | | 7,000 | | | | 532,770 | |
| SandRidge Energy, Inc.*,1 | | | 65,631 | | | | 345,875 | |
| Total Integrated Oil & Gas | | | | | | | 15,246,276 | |
| Oil & Gas Equipment & Services - 17.1% | | | | | | | | |
| Schlumberger Ltd. | | | 28,425 | | | | 2,128,749 | |
| Halliburton Co. | | | 32,393 | | | | 1,309,001 | |
| National Oilwell Varco, Inc. | | | 17,167 | | | | 1,214,565 | |
| Baker Hughes, Inc. | | | 21,047 | | | | 976,791 | |
| Cameron International Corp.* | | | 13,363 | | | | 871,268 | |
| FMC Technologies, Inc.* | | | 14,733 | | | | 801,328 | |
| Weatherford International Ltd.* | | | 51,395 | | | | 623,935 | |
| Oceaneering International, Inc. | | | 8,895 | | | | 590,717 | |
| Core Laboratories N.V. | | | 3,527 | | | | 486,444 | |
| Dresser-Rand Group, Inc.* | | | 7,700 | | | | 474,782 | |
| Tenaris S.A. ADR | | | 11,605 | | | | 473,252 | |
| Oil States International, Inc.* | | | 5,690 | | | | 464,133 | |
| Superior Energy Services, Inc.* | | | 16,999 | | | | 441,464 | |
| Tidewater, Inc. | | | 7,100 | | | | 358,550 | |
| McDermott International, Inc.* | | | 31,600 | | | | 347,284 | |
| Lufkin Industries, Inc. | | | 5,200 | | | | 345,228 | |
| Total Oil & Gas Equipment & Services | | | | | | | 11,907,491 | |
| Oil & Gas Drilling - 8.1% | | | | | | | | |
| Ensco plc — Class A | | | 15,422 | | | | 925,320 | |
| Transocean Ltd. | | | 15,375 | | | | 798,885 | |
| Noble Corp. | | | 19,787 | | | | 754,874 | |
| Diamond Offshore Drilling, Inc.1 | | | 9,700 | | | | 674,732 | |
| Nabors Industries Ltd. | | | 35,900 | | | | 582,298 | |
| Seadrill Ltd. | | | 14,853 | | | | 552,680 | |
| Helmerich & Payne, Inc. | | | 8,702 | | | | 528,211 | |
| Rowan Companies plc — Class A* | | | 12,884 | | | | 455,578 | |
| Patterson-UTI Energy, Inc. | | | 16,634 | | | | 396,555 | |
| Total Oil & Gas Drilling | | | | | | | 5,669,133 | |
| Oil & Gas Refining & Marketing - 8.0% | | | | | | | | |
| Phillips 66 | | | 21,472 | | | | 1,502,395 | |
| Marathon Petroleum Corp. | | | 13,536 | | | | 1,212,826 | |
| Valero Energy Corp. | | | 24,628 | | | | 1,120,328 | |
| HollyFrontier Corp. | | | 13,633 | | | | 701,418 | |
| Tesoro Corp. | | | 10,712 | | | | 627,188 | |
| Western Refining, Inc. | | | 10,940 | | | | 387,385 | |
| Total Oil & Gas Refining & Marketing | | | | | | | 5,551,540 | |
| Oil & Gas Storage & Transportation - 7.9% | | | | | | | | |
| Kinder Morgan, Inc. | | | 38,607 | | | | 1,493,318 | |
| Williams Companies, Inc. | | | 30,312 | | | | 1,135,488 | |
| Spectra Energy Corp. | | | 33,590 | | | | 1,032,893 | |
| Kinder Morgan Management LLC* | | | 8,300 | | | | 729,155 | |
| Cheniere Energy, Inc.* | | | 21,011 | | | | 588,308 | |
| Enbridge, Inc. | | | 11,300 | | | | 525,902 | |
| Total Oil & Gas Storage & Transportation | | | | | | | 5,505,064 | |
| Coal & Consumable Fuels - 2.3% | | | | | | | | |
| CONSOL Energy, Inc. | | | 17,746 | | | | 597,153 | |
| Peabody Energy Corp. | | | 24,414 | | | | 516,356 | |
| Alpha Natural Resources, Inc.* | | | 35,253 | | | | 289,427 | |
| Arch Coal, Inc. | | | 41,224 | | | | 223,846 | |
| Total Coal & Consumable Fuels | | | | | | | 1,626,782 | |
| Total Common Stocks | | | | | | | | |
| (Cost $37,477,515) | | | | | | | 69,415,053 | |
| 52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| ENERGY FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 1.0% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 698,193 | | | $ | 698,193 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $698,193) | | | | | | | 698,193 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 491,003 | | | | 491,003 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 386,252 | | | | 386,252 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $877,255) | | | | | | | 877,255 | |
| Total Investments - 101.8% | | | | | | | | |
| (Cost $39,052,963) | | | | | | $ | 70,990,501 | |
| Other Assets & Liabilities, net - (1.8)% | | | | | | | (1,279,287 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 69,711,214 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
ENERGY FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $854,491 of securities loaned | | | | |
| (cost $37,477,515) | | $ | 69,415,053 | |
| Repurchase agreements, at value | | | | |
| (cost $1,575,448) | | | 1,575,448 | |
| Total investments | | | | |
| (cost $39,052,963) | | | 70,990,501 | |
| Cash | | | 34,450 | |
| Receivables: | | | | |
| Fund shares sold | | | 276,864 | |
| Dividends | | | 31,839 | |
| Interest | | | 2,705 | |
| Total assets | | | 71,336,359 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 877,255 | |
| Fund shares redeemed | | | 628,333 | |
| Management fees | | | 52,988 | |
| Transfer agent and administrative fees | | | 15,585 | |
| Distribution and service fees | | | 11,414 | |
| Portfolio accounting fees | | | 6,234 | |
| Miscellaneous | | | 33,336 | |
| Total liabilities | | | 1,625,145 | |
| Net assets | | $ | 69,711,214 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 61,107,054 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (23,333,378 | ) |
| Net unrealized appreciation on investments | | | 31,937,538 | |
| Net assets | | $ | 69,711,214 | |
| Investor Class: | | | | |
| Net assets | | $ | 49,159,836 | |
| Capital shares outstanding | | | 1,882,049 | |
| Net asset value per share | | $ | 26.12 | |
| Advisor Class: | | | | |
| Net assets | | $ | 5,272,177 | |
| Capital shares outstanding | | | 217,582 | |
| Net asset value per share | | $ | 24.23 | |
| A-Class: | | | | |
| Net assets | | $ | 5,586,375 | |
| Capital shares outstanding | | | 225,583 | |
| Net asset value per share | | $ | 24.76 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 25.99 | |
| C-Class: | | | | |
| Net assets | | $ | 9,692,826 | |
| Capital shares outstanding | | | 422,723 | |
| Net asset value per share | | $ | 22.93 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $19,893) | | $ | 1,143,292 | |
| Income from securities lending, net | | | 8,954 | |
| Interest | | | 217 | |
| Total investment income | | | 1,152,463 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 517,191 | |
| Transfer agent and administrative fees | | | 152,115 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 29,108 | |
| A-Class | | | 12,510 | |
| C-Class | | | 98,144 | |
| Portfolio accounting fees | | | 60,845 | |
| Custodian fees | | | 9,687 | |
| Trustees’ fees* | | | 7,058 | |
| Miscellaneous | | | 77,796 | |
| Total expenses | | | 964,454 | |
| Net investment income | | | 188,009 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (30,051 | ) |
| Net realized loss | | | (30,051 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 3,094,351 | |
| Net change in unrealized appreciation (depreciation) | | | 3,094,351 | |
| Net realized and unrealized gain | | | 3,064,300 | |
| Net increase in net assets resulting from operations | | $ | 3,252,309 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 188,009 | | | $ | (3,737 | ) |
| Net realized loss on investments | | | (30,051 | ) | | | (5,643,611 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 3,094,351 | | | | (21,665,145 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 3,252,309 | | | | (27,312,493 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (105,253 | ) | | | — | |
| Advisor Class | | | (19,330 | ) | | | — | |
| A-Class | | | (14,395 | ) | | | — | |
| C-Class | | | (31,997 | ) | | | — | |
| Return of capital | | | | | | | | |
| Investor Class | | | (605,329 | ) | | | — | |
| Advisor Class | | | (111,169 | ) | | | — | |
| A-Class | | | (82,789 | ) | | | — | |
| C-Class | | | (184,019 | ) | | | — | |
| Total distributions to shareholders | | | (1,154,281 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 154,529,221 | | | | 259,673,506 | |
| Advisor Class | | | 21,390,571 | | | | 45,234,147 | |
| A-Class | | | 4,920,012 | | | | 36,601,233 | |
| C-Class | | | 36,226,645 | | | | 70,279,961 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 694,988 | | | | — | |
| Advisor Class | | | 128,424 | | | | — | |
| A-Class | | | 82,881 | | | | — | |
| C-Class | | | 209,883 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (148,970,159 | ) | | | (294,390,687 | ) |
| Advisor Class | | | (27,017,234 | ) | | | (47,103,298 | ) |
| A-Class | | | (5,254,596 | ) | | | (42,750,254 | ) |
| C-Class | | | (40,129,113 | ) | | | (73,838,306 | ) |
| Net decrease from capital share transactions | | | (3,188,477 | ) | | | (46,293,698 | ) |
| Net decrease in net assets | | | (1,090,449 | ) | | | (73,606,191 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 70,801,663 | | | | 144,407,854 | |
| End of year | | $ | 69,711,214 | | | $ | 70,801,663 | |
| Accumulated net investment loss at end of year | | $ | — | | | $ | (2,890 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 6,309,043 | | | | 10,314,220 | |
| Advisor Class | | | 991,630 | | | | 2,028,589 | |
| A-Class | | | 210,950 | | | | 1,545,449 | |
| C-Class | | | 1,745,084 | | | | 3,174,677 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 30,270 | | | | — | |
| Advisor Class | | | 6,021 | | | | — | |
| A-Class | | | 3,805 | | | | — | |
| C-Class | | | 10,380 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,123,443 | ) | | | (11,910,644 | ) |
| Advisor Class | | | (1,262,927 | ) | | | (2,140,312 | ) |
| A-Class | | | (229,600 | ) | | | (1,843,425 | ) |
| C-Class | | | (1,934,674 | ) | | | (3,348,275 | ) |
| Net decrease in shares | | | (243,461 | ) | | | (2,179,721 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
ENERGY FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.58 | | | $ | 28.70 | | | $ | 20.91 | | | $ | 14.01 | | | $ | 27.29 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .12 | | | | .07 | | | | — | b | | | .10 | | | | .06 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 1.89 | | | | (4.19 | ) | | | 7.82 | | | | 6.82 | | | | (12.61 | ) |
| Total from investment operations | | | 2.01 | | | | (4.12 | ) | | | 7.82 | | | | 6.92 | | | | (12.55 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) |
| Return of capital | | | (.40 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.47 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 26.12 | | | $ | 24.58 | | | $ | 28.70 | | | $ | 20.91 | | | $ | 14.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 8.50 | % | | | (14.39 | %) | | | 37.43 | % | | | 49.37 | % | | | (46.01 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 49,160 | | | $ | 40,947 | | | $ | 93,648 | | | $ | 35,228 | | | $ | 53,627 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.52 | % | | | 0.27 | % | | | 0.00 | % | | | 0.51 | % | | | 0.28 | % |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 248 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.95 | | | $ | 26.93 | | | $ | 19.72 | | | $ | 13.28 | | | $ | 26.07 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .01 | | | | (.08 | ) | | | (.11 | ) | | | (— | )b | | | (.04 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 1.74 | | | | (3.90 | ) | | | 7.35 | | | | 6.46 | | | | (12.02 | ) |
| Total from investment operations | | | 1.75 | | | | (3.98 | ) | | | 7.24 | | | | 6.46 | | | | (12.06 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) |
| Return of capital | | | (.40 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.47 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 24.23 | | | $ | 22.95 | | | $ | 26.93 | | | $ | 19.72 | | | $ | 13.28 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 7.92 | % | | | (14.78 | %) | | | 36.75 | % | | | 48.62 | % | | | (46.29 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,272 | | | $ | 11,080 | | | $ | 16,015 | | | $ | 6,489 | | | $ | 4,679 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.06 | % | | | (0.33 | %) | | | (0.53 | %) | | | (0.02 | %) | | | (0.16 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 248 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % |
| 56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.38 | | | $ | 27.40 | | | $ | 20.01 | | | $ | 13.44 | | | $ | 26.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .08 | | | | (.01 | ) | | | (.08 | ) | | | .06 | | | | .02 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 1.77 | | | | (4.01 | ) | | | 7.50 | | | | 6.53 | | | | (12.15 | ) |
| Total from investment operations | | | 1.85 | | | | (4.02 | ) | | | 7.42 | | | | 6.59 | | | | (12.13 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) |
| Return of capital | | | (.40 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.47 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 24.76 | | | $ | 23.38 | | | $ | 27.40 | | | $ | 20.01 | | | $ | 13.44 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 8.20 | % | | | (14.67 | %) | | | 37.11 | % | | | 49.01 | % | | | (46.15 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,586 | | | $ | 5,622 | | | $ | 14,752 | | | $ | 3,903 | | | $ | 4,845 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.38 | % | | | (0.05 | %) | | | (0.38 | %) | | | 0.35 | % | | | 0.10 | % |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 248 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.85 | | | $ | 25.78 | | | $ | 18.97 | | | $ | 12.84 | | | $ | 25.37 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.09 | ) | | | (.19 | ) | | | (.20 | ) | | | (.08 | ) | | | (.14 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 1.64 | | | | (3.74 | ) | | | 7.04 | | | | 6.23 | | | | (11.66 | ) |
| Total from investment operations | | | 1.55 | | | | (3.93 | ) | | | 6.84 | | | | 6.15 | | | | (11.80 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.07 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | — | | | | (.73 | ) |
| Return of capital | | | (.40 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.47 | ) | | | — | | | | (.03 | ) | | | (.02 | ) | | | (.73 | ) |
| Net asset value, end of period | | $ | 22.93 | | | $ | 21.85 | | | $ | 25.78 | | | $ | 18.97 | | | $ | 12.84 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 7.40 | % | | | (15.24 | %) | | | 36.09 | % | | | 47.87 | % | | | (46.55 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,693 | | | $ | 13,153 | | | $ | 19,993 | | | $ | 13,972 | | | $ | 9,865 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.45 | %) | | | (0.84 | %) | | | (0.99 | %) | | | (0.48 | %) | | | (0.65 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 248 | % | | | 288 | % | | | 273 | % | | | 228 | % | | | 310 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Net investment income is less than $0.01 per share. |
| c | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production (“Energy Services Companies”).
For the one-year period ended March 28, 2013, Energy Services Fund Investor Class returned 7.00%, compared with the S&P 500 Energy Index, which returned 10.95%. The broader S&P 500 Index returned 13.96%.
The energy equipment & services holdings in this Fund accounted for most of the Fund’s positive return for the period.
Halliburton Co., Schlumberger Ltd. and Exterran Holdings, Inc. were the Fund’s best-performing holdings for the period. The Fund’s worst-performing holdings included Key Energy Services, Inc., Weatherford International Ltd. and National Oilwell Varco, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | April 1, 1998 |
| Advisor Class | April 2, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| Ten Largest Holdings (% of Total Net Assets) |
| Schlumberger Ltd. | | | 10.6 | % |
| Halliburton Co. | | | 6.5 | % |
| National Oilwell Varco, Inc. | | | 6.1 | % |
| Baker Hughes, Inc. | | | 4.9 | % |
| Cameron International Corp. | | | 4.3 | % |
| Ensco plc — Class A | | | 4.2 | % |
| FMC Technologies, Inc. | | | 4.0 | % |
| Transocean Ltd. | | | 3.5 | % |
| Diamond Offshore Drilling, Inc. | | | 3.4 | % |
| Noble Corp. | | | 3.2 | % |
| Top Ten Total | | | 50.7 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 58 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 7.00 | % | | | -1.28 | % | | | 12.10 | % |
| Advisor Class Shares | | | 6.47 | % | | | -1.77 | % | | | 11.54 | % |
| C-Class Shares | | | 5.94 | % | | | -2.26 | % | | | 11.00 | % |
| C-Class Shares with CDSC† | | | 4.94 | % | | | -2.26 | % | | | 11.00 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Energy Index | | | 10.95 | % | | | 3.04 | % | | | 14.52 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 6.73 | % | | | -1.52 | % | | | 9.84 | % |
| A-Class Shares with sales charge‡ | | | 1.67 | % | | | -2.47 | % | | | 9.22 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Energy Index | | | 10.95 | % | | | 3.04 | % | | | 12.03 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 59 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| ENERGY SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.8% | | | | | | | | |
| | | | | | | | | |
| Oil & Gas Equipment & Services - 69.8% | | | | | | | | |
| Schlumberger Ltd. | | | 70,717 | | | $ | 5,295,996 | |
| Halliburton Co. | | | 80,461 | | | | 3,251,429 | |
| National Oilwell Varco, Inc. | | | 42,760 | | | | 3,025,270 | |
| Baker Hughes, Inc. | | | 52,371 | | | | 2,430,538 | |
| Cameron International Corp.* | | | 33,281 | | | | 2,169,921 | |
| FMC Technologies, Inc.* | | | 36,717 | | | | 1,997,038 | |
| Oceaneering International, Inc. | | | 22,218 | | | | 1,475,497 | |
| Weatherford International Ltd.* | | | 97,998 | | | | 1,189,696 | |
| Dresser-Rand Group, Inc.* | | | 19,051 | | | | 1,174,685 | |
| Oil States International, Inc.* | | | 14,041 | | | | 1,145,324 | |
| Superior Energy Services, Inc.* | | | 42,144 | | | | 1,094,480 | |
| Dril-Quip, Inc.* | | | 11,828 | | | | 1,031,047 | |
| Tidewater, Inc. | | | 17,736 | | | | 895,668 | |
| Bristow Group, Inc. | | | 13,290 | | | | 876,343 | |
| McDermott International, Inc.* | | | 78,603 | | | | 863,847 | |
| Lufkin Industries, Inc. | | | 12,695 | | | | 842,821 | |
| Helix Energy Solutions Group, Inc.* | | | 36,349 | | | | 831,665 | |
| Core Laboratories N.V. | | | 5,735 | | | | 790,971 | |
| CARBO Ceramics, Inc. | | | 8,463 | | | | 770,725 | |
| Tenaris S.A. ADR | | | 18,471 | | | | 753,247 | |
| Exterran Holdings, Inc.* | | | 26,585 | | | | 717,795 | |
| Hornbeck Offshore Services, Inc.* | | | 15,197 | | | | 706,053 | |
| Key Energy Services, Inc.* | | | 72,641 | | | | 586,939 | |
| C&J Energy Services, Inc.* | | | 25,532 | | | | 584,683 | |
| Basic Energy Services, Inc.* | | | 28,969 | | | | 396,006 | |
| Total Oil & Gas Equipment & Services | | | | | | | 34,897,684 | |
| Oil & Gas Drilling - 30.0% | | | | | | | | |
| Ensco plc — Class A | | | 34,846 | | | | 2,090,760 | |
| Transocean Ltd. | | | 33,547 | | | | 1,743,102 | |
| Diamond Offshore Drilling, Inc.1 | | | 24,246 | | | | 1,686,552 | |
| Noble Corp. | | | 41,293 | | | | 1,575,328 | |
| Helmerich & Payne, Inc. | | | 21,741 | | | | 1,319,679 | |
| Rowan Companies plc — Class A* | | | 31,999 | | | | 1,131,485 | |
| Nabors Industries Ltd. | | | 67,100 | | | | 1,088,362 | |
| Atwood Oceanics, Inc.* | | | 19,249 | | | | 1,011,342 | |
| Patterson-UTI Energy, Inc. | | | 41,446 | | | | 988,073 | |
| Seadrill Ltd. | | | 26,248 | | | | 976,688 | |
| Unit Corp.* | | | 17,340 | | | | 789,837 | |
| Hercules Offshore, Inc.* | | | 81,110 | | | | 601,836 | |
| Total Oil & Gas Drilling | | | | | | | 15,003,044 | |
| Total Common Stocks | | | | | | | | |
| (Cost $19,853,262) | | | | | | | 49,900,728 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.6% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 295,242 | | | | 295,242 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $295,242) | | | | | | | 295,242 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 77,764 | | | | 77,764 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 61,174 | | | | 61,174 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $138,938) | | | | | | | 138,938 | |
| Total Investments - 100.7% | | | | | | | | |
| (Cost $20,287,442) | | | | | | $ | 50,334,908 | |
| Other Assets & Liabilities, net - (0.7)% | | | | | | | (364,246 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 49,970,662 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
ADR — American Depositary Receipt
| | plc — Public Limited Company |
| 60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $135,642 of securities loaned | | | | |
| (cost $19,853,262) | | $ | 49,900,728 | |
| Repurchase agreements, at value | | | | |
| (cost $434,180) | | | 434,180 | |
| Total investments | | | | |
| (cost $20,287,442) | | | 50,334,908 | |
| Cash | | | 8,187 | |
| Receivables: | | | | |
| Securities sold | | | 1,354,770 | |
| Fund shares sold | | | 167,219 | |
| Dividends | | | 27,993 | |
| Interest | | | 120 | |
| Total assets | | | 51,893,197 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 1,691,588 | |
| Upon return of securities loaned | | | 138,938 | |
| Management fees | | | 37,188 | |
| Distribution and service fees | | | 12,993 | |
| Transfer agent and administrative fees | | | 10,937 | |
| Portfolio accounting fees | | | 4,375 | |
| Miscellaneous | | | 26,516 | |
| Total liabilities | | | 1,922,535 | |
| Net assets | | $ | 49,970,662 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 59,313,784 | |
| Accumulated net investment loss | | | (83,951 | ) |
| Accumulated net realized loss on investments | | | (39,306,637 | ) |
| Net unrealized appreciation on investments | | | 30,047,466 | |
| Net assets | | $ | 49,970,662 | |
| Investor Class: | | | | |
| Net assets | | $ | 26,097,298 | |
| Capital shares outstanding | | | 479,480 | |
| Net asset value per share | | $ | 54.43 | |
| Advisor Class: | | | | |
| Net assets | | $ | 9,685,057 | |
| Capital shares outstanding | | | 190,943 | |
| Net asset value per share | | $ | 50.72 | |
| A-Class: | | | | |
| Net assets | | $ | 5,534,508 | |
| Capital shares outstanding | | | 106,713 | |
| Net asset value per share | | $ | 51.86 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 54.45 | |
| C-Class: | | | | |
| Net assets | | $ | 8,653,799 | |
| Capital shares outstanding | | | 178,923 | |
| Net asset value per share | | $ | 48.37 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,414) | | $ | 634,607 | |
| Income from securities lending, net | | | 12,841 | |
| Interest | | | 217 | |
| Total investment income | | | 647,665 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 437,711 | |
| Transfer agent and administrative fees | | | 128,738 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 32,136 | |
| A-Class | | | 15,168 | |
| C-Class | | | 87,668 | |
| Portfolio accounting fees | | | 51,495 | |
| Custodian fees | | | 8,192 | |
| Trustees’ fees* | | | 6,665 | |
| Miscellaneous | | | 63,833 | |
| Total expenses | | | 831,606 | |
| Net investment loss | | | (183,941 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 3,214,998 | |
| Net realized gain | | | 3,214,998 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (1,359,057 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,359,057 | ) |
| Net realized and unrealized gain | | | 1,855,941 | |
| Net increase in net assets resulting from operations | | $ | 1,672,000 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
ENERGY SERVICES FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (183,941 | ) | | $ | (420,225 | ) |
| Net realized gain on investments | | | 3,214,998 | | | | 10,379,464 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,359,057 | ) | | | (46,057,326 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 1,672,000 | | | | (36,098,087 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 148,932,078 | | | | 234,908,118 | |
| Advisor Class | | | 44,594,641 | | | | 34,706,940 | |
| A-Class | | | 2,262,133 | | | | 20,278,466 | |
| C-Class | | | 29,691,711 | | | | 44,471,112 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (157,984,849 | ) | | | (327,454,174 | ) |
| Advisor Class | | | (42,995,012 | ) | | | (40,482,465 | ) |
| A-Class | | | (4,241,348 | ) | | | (32,499,776 | ) |
| C-Class | | | (31,597,061 | ) | | | (46,859,111 | ) |
| Net decrease from capital share transactions | | | (11,337,707 | ) | | | (112,930,890 | ) |
| Net decrease in net assets | | | (9,665,707 | ) | | | (149,028,977 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 59,636,369 | | | | 208,665,346 | |
| End of year | | $ | 49,970,662 | | | $ | 59,636,369 | |
| Accumulated net investment loss at end of year | | $ | (83,951 | ) | | $ | (35,120 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,027,302 | | | | 4,303,024 | |
| Advisor Class | | | 956,449 | | | | 674,396 | |
| A-Class | | | 47,873 | | | | 373,580 | |
| C-Class | | | 678,750 | | | | 915,082 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,223,101 | ) | | | (6,042,507 | ) |
| Advisor Class | | | (933,961 | ) | | | (797,982 | ) |
| A-Class | | | (87,570 | ) | | | (641,283 | ) |
| C-Class | | | (721,979 | ) | | | (961,820 | ) |
| Net decrease in shares | | | (256,237 | ) | | | (2,177,510 | ) |
| 62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.87 | | | $ | 62.66 | | | $ | 42.83 | | | $ | 25.07 | | | $ | 58.04 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.05 | ) | | | (.14 | ) | | | (.21 | ) | | | (.01 | ) | | | (.24 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.61 | | | | (11.65 | ) | | | 20.04 | | | | 17.77 | | | | (32.73 | ) |
| Total from investment operations | | | 3.56 | | | | (11.79 | ) | | | 19.83 | | | | 17.76 | | | | (32.97 | ) |
| Net asset value, end of period | | $ | 54.43 | | | $ | 50.87 | | | $ | 62.66 | | | $ | 42.83 | | | $ | 25.07 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 7.00 | % | | | (18.82 | %) | | | 46.27 | % | | | 70.84 | % | | | (56.81 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26,097 | | | $ | 34,353 | | | $ | 151,318 | | | $ | 49,371 | | | $ | 59,706 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.10 | %) | | | (0.25 | %) | | | (0.42 | %) | | | (0.01 | %) | | | (0.48 | %) |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 275 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 47.64 | | | $ | 58.97 | | | $ | 40.50 | | | $ | 23.83 | | | $ | 55.45 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.25 | ) | | | (.34 | ) | | | (.42 | ) | | | (.26 | ) | | | (.43 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.33 | | | | (10.99 | ) | | | 18.89 | | | | 16.93 | | | | (31.19 | ) |
| Total from investment operations | | | 3.08 | | | | (11.33 | ) | | | 18.47 | | | | 16.67 | | | | (31.62 | ) |
| Net asset value, end of period | | $ | 50.72 | | | $ | 47.64 | | | $ | 58.97 | | | $ | 40.50 | | | $ | 23.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 6.47 | % | | | (19.21 | %) | | | 45.61 | % | | | 69.95 | % | | | (57.02 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 9,685 | | | $ | 8,025 | | | $ | 17,222 | | | $ | 6,631 | | | $ | 7,058 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.54 | %) | | | (0.66 | %) | | | (0.93 | %) | | | (0.70 | %) | | | (0.92 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 275 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
ENERGY SERVICES FUND
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.59 | | | $ | 60.01 | | | $ | 41.12 | | | $ | 24.13 | | | $ | 55.99 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.17 | ) | | | (.25 | ) | | | (.31 | ) | | | (.16 | ) | | | (.31 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.44 | | | | (11.17 | ) | | | 19.20 | | | | 17.15 | | | | (31.55 | ) |
| Total from investment operations | | | 3.27 | | | | (11.42 | ) | | | 18.89 | | | | 16.99 | | | | (31.86 | ) |
| Net asset value, end of period | | $ | 51.86 | | | $ | 48.59 | | | $ | 60.01 | | | $ | 41.12 | | | $ | 24.13 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 6.73 | % | | | (19.03 | %) | | | 45.94 | % | | | 70.41 | % | | | (56.90 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,535 | | | $ | 7,115 | | | $ | 24,849 | | | $ | 8,957 | | | $ | 4,920 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.37 | %) | | | (0.47 | %) | | | (0.67 | %) | | | (0.43 | %) | | | (0.68 | %) |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 275 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 45.66 | | | $ | 56.81 | | | $ | 39.22 | | | $ | 23.19 | | | $ | 54.22 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.49 | ) | | | (.54 | ) | | | (.60 | ) | | | (.44 | ) | | | (.64 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.20 | | | | (10.61 | ) | | | 18.19 | | | | 16.47 | | | | (30.39 | ) |
| Total from investment operations | | | 2.71 | | | | (11.15 | ) | | | 17.59 | | | | 16.03 | | | | (31.03 | ) |
| Net asset value, end of period | | $ | 48.37 | | | $ | 45.66 | | | $ | 56.81 | | | $ | 39.22 | | | $ | 23.19 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 5.94 | % | | | (19.63 | %) | | | 44.85 | % | | | 69.12 | % | | | (57.23 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,654 | | | $ | 10,144 | | | $ | 15,276 | | | $ | 11,059 | | | $ | 9,196 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.11 | %) | | | (1.13 | %) | | | (1.43 | %) | | | (1.25 | %) | | | (1.41 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 275 | % | | | 162 | % | | | 205 | % | | | 472 | % | | | 207 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| THE RYDEX FUNDS ANNUAL REPORT | 65 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the financial services sector (“Financial Services Companies”).
For the one-year period ended March 28, 2013, Financial Services Fund Investor Class returned 16.37%, while the S&P 500 Financials Index returned 17.60% over the same period. The broader S&P 500 Index returned 13.96%.
All segments contributed to the Fund’s return. Insurance was the largest contributor to return, followed by real estate investment trusts (REITs). Contributing least to return was thrifts & mortgage finance.
Berkshire Hathaway, Inc., Bank of America Corp. and Citigroup, Inc. were the best-performing holdings in the Fund for the period. The worst-performing holdings for the period were UBS AG, Manulife Financial Corp. and Deutsche Bank AG.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | April 2, 1998 |
| Advisor Class | April 6, 1998 |
| A-Class | September 1, 2004 |
| C-Class | April 19, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Berkshire Hathaway, Inc. — Class B | | | 3.1 | % |
| Wells Fargo & Co. | | | 2.7 | % |
| JPMorgan Chase & Co. | | | 2.5 | % |
| Bank of America Corp. | | | 2.2 | % |
| Citigroup, Inc. | | | 2.2 | % |
| American Express Co. | | | 1.7 | % |
| Goldman Sachs Group, Inc. | | | 1.6 | % |
| U.S. Bancorp | | | 1.5 | % |
| American International Group, Inc. | | | 1.5 | % |
| Simon Property Group, Inc. | | | 1.4 | % |
| Top Ten Total | | | 20.4 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 66 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 16.37 | % | | | -0.99 | % | | | 2.81 | % |
| Advisor Class Shares | | | 15.80 | % | | | -1.52 | % | | | 2.26 | % |
| C-Class Shares | | | 15.21 | % | | | -1.92 | % | | | 1.77 | % |
| C-Class Shares with CDSC† | | | 14.21 | % | | | -1.92 | % | | | 1.77 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Financials Index | | | 17.60 | % | | | -4.07 | % | | | 1.01 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 16.06 | % | | | -1.24 | % | | | -1.27 | % |
| A-Class Shares with sales charge‡ | | | 10.55 | % | | | -2.19 | % | | | -1.83 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Financials Index | | | 17.60 | % | | | -4.07 | % | | | -2.90 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 67 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
FINANCIAL SERVICES FUND
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.5% | | | | | | | | |
| | | | | | | | | |
| Diversified Banks - 10.0% | | | | | | | | |
| Wells Fargo & Co. | | | 20,045 | | | $ | 741,464 | |
| U.S. Bancorp | | | 12,485 | | | | 423,616 | |
| Itau Unibanco Holding S.A. ADR | | | 13,127 | | | | 233,661 | |
| Banco Bradesco S.A. ADR | | | 12,808 | | | | 217,999 | |
| Credicorp Ltd. | | | 1,260 | | | | 209,223 | |
| Toronto-Dominion Bank | | | 2,360 | | | | 196,517 | |
| ICICI Bank Ltd. ADR | | | 4,579 | | | | 196,439 | |
| HSBC Holdings plc ADR | | | 3,611 | | | | 192,611 | |
| Barclays plc ADR | | | 9,990 | | | | 177,422 | |
| Comerica, Inc. | | | 3,928 | | | | 141,212 | |
| Total Diversified Banks | | | | | | | 2,730,164 | |
| Property & Casualty Insurance - 9.7% | | | | | | | | |
| Berkshire Hathaway, Inc. — Class B* | | | 8,179 | | | | 852,252 | |
| Travelers Companies, Inc. | | | 3,743 | | | | 315,123 | |
| Chubb Corp. | | | 3,038 | | | | 265,916 | |
| ACE Ltd. | | | 2,942 | | | | 261,750 | |
| Allstate Corp. | | | 5,296 | | | | 259,875 | |
| XL Group plc — Class A | | | 6,929 | | | | 209,949 | |
| Progressive Corp. | | | 8,198 | | | | 207,163 | |
| Cincinnati Financial Corp. | | | 3,247 | | | | 153,226 | |
| Fidelity National Financial, Inc. — Class A | | | 5,170 | | | | 130,439 | |
| Total Property & Casualty Insurance | | | | | | | 2,655,693 | |
| Specialized REITs- 9.2% | | | | | | | | |
| American Tower Corp. — Class A | | | 3,970 | | | | 305,371 | |
| Public Storage | | | 1,928 | | | | 293,673 | |
| Ventas, Inc. | | | 3,554 | | | | 260,153 | |
| HCP, Inc. | | | 5,125 | | | | 255,533 | |
| Health Care REIT, Inc. | | | 3,489 | | | | 236,938 | |
| Weyerhaeuser Co. | | | 7,038 | | | | 220,852 | |
| Host Hotels & Resorts, Inc. | | | 10,778 | | | | 188,507 | |
| Plum Creek Timber Company, Inc. | | | 3,145 | | | | 164,169 | |
| Rayonier, Inc. | | | 2,564 | | | | 152,994 | |
| Senior Housing Properties Trust | | | 4,500 | | | | 120,735 | |
| Extra Space Storage, Inc. | | | 2,980 | | | | 117,025 | |
| Corrections Corporation of America | | | 2,830 | | | | 110,568 | |
| Ryman Hospitality Properties | | | 1,870 | | | | 85,553 | |
| Total Specialized REITs | | | | | | | 2,512,071 | |
| Asset Management & Custody Banks - 9.0% | | | | | | | | |
| BlackRock, Inc. — Class A | | | 1,441 | | | | 370,164 | |
| Franklin Resources, Inc. | | | 2,075 | | | | 312,931 | |
| Bank of New York Mellon Corp. | | | 10,639 | | | | 297,786 | |
| State Street Corp. | | | 4,588 | | | | 271,105 | |
| T. Rowe Price Group, Inc. | | | 3,223 | | | | 241,306 | |
| Ameriprise Financial, Inc. | | | 2,872 | | | | 211,523 | |
| Northern Trust Corp. | | | 3,633 | | | | 198,216 | |
| Invesco Ltd. | | | 6,557 | | | | 189,891 | |
| Affiliated Managers Group, Inc.* | | | 1,020 | | | | 156,641 | |
| Legg Mason, Inc. | | | 3,460 | | | | 111,239 | |
| American Capital Ltd.* | | | 7,600 | | | | 110,922 | |
| Total Asset Management & Custody Banks | | | | | | | 2,471,724 | |
| Regional Banks - 7.0% | | | | | | | | |
| PNC Financial Services Group, Inc. | | | 4,694 | | | | 312,151 | |
| BB&T Corp. | | | 7,891 | | | | 247,698 | |
| SunTrust Banks, Inc. | | | 7,174 | | | | 206,683 | |
| Fifth Third Bancorp | | | 12,304 | | | | 200,678 | |
| M&T Bank Corp. | | | 1,931 | | | | 199,202 | |
| Regions Financial Corp. | | | 21,861 | | | | 179,042 | |
| KeyCorp | | | 16,165 | | | | 161,003 | |
| CIT Group, Inc.* | | | 3,669 | | | | 159,528 | |
| Huntington Bancshares, Inc. | | | 17,807 | | | | 131,594 | |
| Zions Bancorporation | | | 4,440 | | | | 110,956 | |
| Total Regional Banks | | | | | | | 1,908,535 | |
| Other Diversified Financial Services - 6.9% | | | | | | | | |
| JPMorgan Chase & Co. | | | 14,463 | | | | 686,414 | |
| Bank of America Corp. | | | 50,209 | | | | 611,546 | |
| Citigroup, Inc. | | | 13,393 | | | | 592,506 | |
| Total Other Diversified Financial Services | | | | | | | 1,890,466 | |
| Retail REITs - 6.7% | | | | | | | | |
| Simon Property Group, Inc. | | | 2,429 | | | | 385,143 | |
| General Growth Properties, Inc. | | | 11,564 | | | | 229,892 | |
| Macerich Co. | | | 2,592 | | | | 166,873 | |
| Realty Income Corp. | | | 3,654 | | | | 165,709 | |
| Kimco Realty Corp. | | | 7,229 | | | | 161,930 | |
| Federal Realty Investment Trust | | | 1,378 | | | | 148,879 | |
| DDR Corp. | | | 7,160 | | | | 124,727 | |
| Taubman Centers, Inc. | | | 1,590 | | | | 123,479 | |
| Regency Centers Corp. | | | 2,280 | | | | 120,635 | |
| National Retail Properties, Inc. | | | 3,185 | | | | 115,201 | |
| CBL & Associates Properties, Inc. | | | 4,400 | | | | 103,840 | |
| Total Retail REITs | | | | | | | 1,846,308 | |
| Life & Health Insurance - 4.9% | | | | | | | | |
| MetLife, Inc. | | | 8,751 | | | | 332,713 | |
| Prudential Financial, Inc. | | | 4,610 | | | | 271,944 | |
| Aflac, Inc. | | | 5,118 | | | | 266,238 | |
| Principal Financial Group, Inc. | | | 4,905 | | | | 166,917 | |
| Lincoln National Corp. | | | 4,725 | | | | 154,082 | |
| Unum Group | | | 5,223 | | | | 147,550 | |
| Total Life & Health Insurance | | | | | | | 1,339,444 | |
| Investment Banking & Brokerage - 4.5% | | | | | | | | |
| Goldman Sachs Group, Inc. | | | 3,066 | | | | 451,161 | |
| Morgan Stanley | | | 15,600 | | | | 342,888 | |
| Charles Schwab Corp. | | | 14,240 | | | | 251,906 | |
| TD Ameritrade Holding Corp. | | | 8,629 | | | | 177,930 | |
| Total Investment Banking & Brokerage | | | | | | | 1,223,885 | |
| Consumer Finance - 4.4% | | | | | | | | |
| American Express Co. | | | 6,930 | | | | 467,498 | |
| Capital One Financial Corp. | | | 5,514 | | | | 302,994 | |
| Discover Financial Services | | | 5,749 | | | | 257,785 | |
| SLM Corp. | | | 8,022 | | | | 164,291 | |
| Total Consumer Finance | | | | | | | 1,192,568 | |
| 68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| FINANCIAL SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| RESIDENTIAL REITS - 4.3% | | | | | | | | |
| Equity Residential | | | 4,169 | | | $ | 229,545 | |
| AvalonBay Communities, Inc. | | | 1,734 | | | | 219,646 | |
| Camden Property Trust | | | 1,908 | | | | 131,041 | |
| Essex Property Trust, Inc. | | | 869 | | | | 130,854 | |
| UDR, Inc. | | | 5,378 | | | | 130,094 | |
| American Campus Communities, Inc. | | | 2,670 | | | | 121,058 | |
| Apartment Investment & | | | | | | | | |
| Management Co. — Class A | | | 3,750 | | | | 114,975 | |
| BRE Properties, Inc. | | | 2,170 | | | | 105,636 | |
| Silver Bay Realty Trust Corp. | | | 384 | | | | 7,952 | |
| Total Residential REITs | | | | | | | 1,190,801 | |
| OFFICE REITS - 4.1% | | | | | | | | |
| Boston Properties, Inc. | | | 2,089 | | | | 211,115 | |
| Digital Realty Trust, Inc. | | | 2,393 | | | | 160,116 | |
| SL Green Realty Corp. | | | 1,804 | | | | 155,342 | |
| Alexandria Real Estate Equities, Inc. | | | 1,660 | | | | 117,827 | |
| Kilroy Realty Corp. | | | 2,050 | | | | 107,420 | |
| Highwoods Properties, Inc. | | | 2,520 | | | | 99,716 | |
| BioMed Realty Trust, Inc. | | | 4,590 | | | | 99,144 | |
| CommonWealth REIT | | | 4,060 | | | | 91,106 | |
| Mack-Cali Realty Corp. | | | 3,050 | | | | 87,261 | |
| Total Office REITs | | | | | | | 1,129,047 | |
| SPECIALIZED FINANCE - 4.1% | | | | | | | | |
| CME Group, Inc. — Class A | | | 4,000 | | | | 245,560 | |
| McGraw-Hill Companies, Inc. | | | 4,010 | | | | 208,841 | |
| Moody’s Corp. | | | 3,649 | | | | 194,565 | |
| IntercontinentalExchange, Inc.* | | | 1,153 | | | | 188,020 | |
| NYSE Euronext | | | 4,171 | | | | 161,167 | |
| NASDAQ OMX Group, Inc. | | | 3,910 | | | | 126,293 | |
| Total Specialized Finance | | | | | | | 1,124,446 | |
| MORTGAGE REITS - 2.5% | | | | | | | | |
| Annaly Capital Management, Inc. | | | 13,120 | | | | 208,477 | |
| American Capital Agency Corp. | | | 5,814 | | | | 190,583 | |
| MFA Financial, Inc. | | | 10,770 | | | | 100,376 | |
| Two Harbors Investment Corp. | | | 7,840 | | | | 98,862 | |
| ARMOUR Residential REIT, Inc. | | | 13,290 | | | | 86,784 | |
| Total Mortgage REITs | | | | | | | 685,082 | |
| MULTI-LINE INSURANCE - 2.2% | | | | | | | | |
| Loews Corp. | | | 4,900 | | | | 215,943 | |
| Hartford Financial Services Group, Inc. | | | 6,741 | | | | 173,918 | |
| Genworth Financial, Inc. — Class A* | | | 11,530 | | | | 115,300 | |
| Assurant, Inc. | | | 2,320 | | | | 104,423 | |
| Total Multi-Line Insurance | | | | | | | 609,584 | |
| INSURANCE BROKERS - 1.8% | | | | | | | | |
| Aon plc | | | 4,113 | | | | 252,949 | |
| Marsh & McLennan Companies, Inc. | | | 6,477 | | | | 245,932 | |
| Total Insurance Brokers | | | | | | | 498,881 | |
| DIVERSIFIED REITS - 1.7% | | | | | | | | |
| Vornado Realty Trust | | | 2,612 | | | | 218,467 | |
| Duke Realty Corp. | | | 7,301 | | | | 123,971 | |
| Liberty Property Trust | | | 3,010 | | | | 119,648 | |
| Total Diversified REITs | | | | | | | 462,086 | |
| THRIFTS & MORTGAGE FINANCE - 1.6% | | | | | | | | |
| New York Community Bancorp, Inc. | | | 9,310 | | | | 133,598 | |
| Ocwen Financial Corp.* | | | 3,190 | | | | 120,965 | |
| People’s United Financial, Inc. | | | 8,425 | | | | 113,232 | |
| Radian Group, Inc. | | | 6,810 | | | | 72,935 | |
| Total Thrifts & Mortgage Finance | | | | | | | 440,730 | |
| MULTI-LINE INSURANCE - 1.5% | | | | | | | | |
| American International Group, Inc.* | | | 10,340 | | | | 401,399 | |
| INDUSTRIAL REITS - 0.9% | | | | | | | | |
| Prologis, Inc. | | | 5,826 | | | | 232,923 | |
| REINSURANCE - 0.7% | | | | | | | | |
| Everest Re Group Ltd. | | | 1,578 | | | | 204,919 | |
| Diversified Capital Markets - 0.6% | | | | | | | | |
| Deutsche Bank AG | | | 4,406 | | | | 172,363 | |
| MULTI-SECTOR HOLDINGS - 0.6% | | | | | | | | |
| Leucadia National Corp. | | | 6,111 | | | | 167,625 | |
| REAL ESTATE SERVICES - 0.6% | | | | | | | | |
| CBRE Group, Inc. — Class A* | | | 6,125 | | | | 154,656 | |
| Total Common Stocks | | | | | | | | |
| (Cost $20,963,773) | | | | | | | 27,245,400 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,1 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 127,122 | | | | 127,122 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $127,122) | | | | | | | 127,122 | |
| Total Investments - 100.0% | | | | | | | | |
| (Cost $21,090,895) | | | | | | $ | 27,372,522 | |
| Other Assets & Liabilities, net - 0.0% | | | | | | | 3,935 | |
| Total Net Assets - 100.0% | | | | | | $ | 27,376,457 | |
| * | 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 ANNUAL REPORT | 69 |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $20,963,773) | | $ | 27,245,400 | |
| Repurchase agreements, at value | | | | |
| (cost $127,122) | | | 127,122 | |
| Total investments | | | | |
| (cost $21,090,895) | | | 27,372,522 | |
| Cash | | | 10,116 | |
| Receivables: | | | | |
| Fund shares sold | | | 75,976 | |
| Dividends | | | 54,308 | |
| Total assets | | | 27,512,922 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 93,602 | |
| Management fees | | | 19,035 | |
| Transfer agent and administrative fees | | | 5,598 | |
| Distribution and service fees | | | 4,186 | |
| Portfolio accounting fees | | | 2,240 | |
| Miscellaneous | | | 11,804 | |
| Total liabilities | | | 136,465 | |
| Net assets | | $ | 27,376,457 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 27,757,165 | |
| Undistributed net investment income | | | 138,121 | |
| Accumulated net realized loss on investments | | | (6,800,456 | ) |
| Net unrealized appreciation on investments | | | 6,281,627 | |
| Net assets | | $ | 27,376,457 | |
| Investor Class: | | | | |
| Net assets | | $ | 17,006,767 | |
| Capital shares outstanding | | | 187,573 | |
| Net asset value per share | | $ | 90.67 | |
| Advisor Class: | | | | |
| Net assets | | $ | 7,102,923 | |
| Capital shares outstanding | | | 84,052 | |
| Net asset value per share | | $ | 84.51 | |
| A-Class: | | | | |
| Net assets | | $ | 1,826,278 | |
| Capital shares outstanding | | | 21,117 | |
| Net asset value per share | | $ | 86.48 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 90.79 | |
| C-Class: | | | | |
| Net assets | | $ | 1,440,489 | |
| Capital shares outstanding | | | 17,938 | |
| Net asset value per share | | $ | 80.30 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,943) | | $ | 413,869 | |
| Interest | | | 79 | |
| Income from securities lending, net | | | 46 | |
| Total investment income | | | 413,994 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 154,505 | |
| Transfer agent and administrative fees | | | 45,443 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 17,121 | |
| A-Class | | | 2,833 | |
| C-Class | | | 9,217 | |
| Portfolio accounting fees | | | 18,177 | |
| Custodian fees | | | 2,720 | |
| Trustees’ fees* | | | 1,696 | |
| Miscellaneous | | | 24,161 | |
| Total expenses | | | 275,873 | |
| Net investment income | | | 138,121 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,636,460 | |
| Net realized gain | | | 1,636,460 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 432,216 | |
| Net change in unrealized appreciation (depreciation) | | | 432,216 | |
| Net realized and unrealized gain | | | 2,068,676 | |
| Net increase in net assets resulting from operations | | $ | 2,206,797 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 138,121 | | | $ | 103,430 | |
| Net realized gain (loss) on investments | | | 1,636,460 | | | | (1,220,034 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 432,216 | | | | 1,814,186 | |
| Net increase in net assets resulting from operations | | | 2,206,797 | | | | 697,582 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (74,299 | ) | | | (4,792 | ) |
| Advisor Class | | | (14,247 | ) | | | (283 | ) |
| A-Class | | | (8,366 | ) | | | (282 | ) |
| C-Class | | | (6,964 | ) | | | (276 | ) |
| Total distributions to shareholders | | | (103,876 | ) | | | (5,633 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 112,921,803 | | | | 147,870,058 | |
| Advisor Class | | | 17,902,624 | | | | 20,606,160 | |
| A-Class | | | 3,785,000 | | | | 5,182,199 | |
| C-Class | | | 12,008,532 | | | | 13,036,171 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 73,463 | | | | 4,758 | |
| Advisor Class | | | 14,202 | | | | 279 | |
| A-Class | | | 3,063 | | | | 199 | |
| C-Class | | | 6,753 | | | | 258 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (117,502,931 | ) | | | (133,582,777 | ) |
| Advisor Class | | | (15,219,045 | ) | | | (20,032,579 | ) |
| A-Class | | | (2,833,487 | ) | | | (6,307,011 | ) |
| C-Class | | | (11,551,082 | ) | | | (13,219,440 | ) |
| Net increase (decrease) from capital share transactions | | | (391,105 | ) | | | 13,558,275 | |
| Net increase in net assets | | | 1,711,816 | | | | 14,250,224 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 25,664,641 | | | | 11,414,417 | |
| End of year | | $ | 27,376,457 | | | $ | 25,664,641 | |
| Undistributed net investment income at end of year | | $ | 138,121 | | | $ | 103,876 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,435,476 | | | | 2,115,046 | |
| Advisor Class | | | 244,596 | | | | 329,675 | |
| A-Class | | | 47,740 | | | | 72,286 | |
| C-Class | | | 168,822 | | | | 197,182 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 940 | | | | 76 | |
| Advisor Class | | | 195 | | | | 5 | |
| A-Class | | | 41 | | | | 3 | |
| C-Class | | | 97 | | | | 5 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,503,386 | ) | | | (1,920,753 | ) |
| Advisor Class | | | (218,443 | ) | | | (319,490 | ) |
| A-Class | | | (35,080 | ) | | | (86,753 | ) |
| C-Class | | | (162,605 | ) | | | (200,740 | ) |
| Net increase (decrease) in shares | | | (21,607 | ) | | | 186,542 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 78.47 | | | $ | 81.18 | | | $ | 75.23 | | | $ | 44.37 | | | $ | 101.80 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .76 | | | | .61 | | | | .15 | | | | .41 | | | | 1.60 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 11.99 | | | | (3.29 | ) | | | 6.75 | | | | 31.07 | | | | (57.13 | ) |
| Total from investment operations | | | 12.75 | | | | (2.68 | ) | | | 6.90 | | | | 31.48 | | | | (55.53 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Total distributions | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Net asset value, end of period | | $ | 90.67 | | | $ | 78.47 | | | $ | 81.18 | | | $ | 75.23 | | | $ | 44.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.37 | % | | | (3.31 | %) | | | 9.33 | % | | | 71.12 | % | | | (54.76 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 17,007 | | | $ | 19,973 | | | $ | 4,885 | | | $ | 26,364 | | | $ | 13,257 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.95 | % | | | 0.86 | % | | | 0.19 | % | | | 0.64 | % | | | 2.16 | % |
| Total expenses | | | 1.36 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 590 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 73.53 | | | $ | 76.47 | | | $ | 71.29 | | | $ | 42.28 | | | $ | 97.80 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .22 | | | | .26 | | | | (.14 | ) | | | .12 | | | | 1.30 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 11.31 | | | | (3.17 | ) | | | 6.27 | | | | 29.51 | | | | (54.92 | ) |
| Total from investment operations | | | 11.53 | | | | (2.91 | ) | | | 6.13 | | | | 29.63 | | | | (53.62 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Total distributions | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Net asset value, end of period | | $ | 84.51 | | | $ | 73.53 | | | $ | 76.47 | | | $ | 71.29 | | | $ | 42.28 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 15.80 | % | | | (3.80 | %) | | | 8.76 | % | | | 70.26 | % | | | (55.06 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,103 | | | $ | 4,243 | | | $ | 3,634 | | | $ | 3,285 | | | $ | 2,710 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.29 | % | | | 0.37 | % | | | (0.20 | %) | | | 0.21 | % | | | 1.83 | % |
| Total expenses | | | 1.85 | % | | | 1.85 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 590 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % |
| 72 | THE RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 75.07 | | | $ | 77.87 | | | $ | 72.38 | | | $ | 42.80 | | | $ | 98.60 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .51 | | | | .45 | | | | (.01 | ) | | | .30 | | | | 1.30 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 11.45 | | | | (3.22 | ) | | | 6.45 | | | | 29.90 | | | | (55.20 | ) |
| Total from investment operations | | | 11.96 | | | | (2.77 | ) | | | 6.44 | | | | 30.20 | | | | (53.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Total distributions | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Net asset value, end of period | | $ | 86.48 | | | $ | 75.07 | | | $ | 77.87 | | | $ | 72.38 | | | $ | 42.80 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.06 | % | | | (3.57 | %) | | | 9.06 | % | | | 70.74 | % | | | (54.92 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,826 | | | $ | 632 | | | $ | 1,782 | | | $ | 1,408 | | | $ | 2,683 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.66 | % | | | 0.64 | % | | | (0.01 | %) | | | 0.50 | % | | | 1.97 | % |
| Total expenses | | | 1.61 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 590 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010c | | | 2009c | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.26 | | | $ | 73.42 | | | $ | 68.79 | | | $ | 41.01 | | | $ | 95.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | 0.03 | | | | (.12 | ) | | | (.49 | ) | | | (.24 | ) | | | .80 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 10.56 | | | | (3.01 | ) | | | 6.07 | | | | 28.64 | | | | (52.99 | ) |
| Total from investment operations | | | 10.59 | | | | (3.13 | ) | | | 5.58 | | | | 28.40 | | | | (52.19 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Total distributions | | | (.55 | ) | | | (.03 | ) | | | (.95 | ) | | | (.62 | ) | | | (1.90 | ) |
| Net asset value, end of period | | $ | 80.30 | | | $ | 70.26 | | | $ | 73.42 | | | $ | 68.79 | | | $ | 41.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 15.21 | % | | | (4.27 | %) | | | 8.28 | % | | | 69.44 | % | | | (55.16 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,440 | | | $ | 817 | | | $ | 1,114 | | | $ | 1,942 | | | $ | 1,407 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.04 | % | | | (0.18 | %) | | | (0.72 | %) | | | (0.40 | %) | | | 1.13 | % |
| Total expenses | | | 2.36 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 590 | % | | | 970 | % | | | 601 | % | | | 447 | % | | | 755 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| c | Per share amounts for the period March 31, 2008 – 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 ANNUAL REPORT | 73 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
For the one-year period ended March 28, 2013, Health Care Fund Investor Class returned 18.98%, compared with a return of 25.19% for the S&P 500 Health Care Index. The broader S&P 500 Index returned 13.96%.
All segments contributed to return. The biggest contributor to Fund performance was pharmaceuticals, followed by biotechnology. The lightly weighted health care technology segment was the smallest contributor to return.
The Fund’s top-performing holdings were Gilead Sciences, Inc., Pfizer, Inc. and Amgen, Inc. The worst-performing holdings in the Fund included VIVUS, Inc., Humana, Inc. and Health Net, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
| 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 | | | 4.4 | % |
| Pfizer, Inc. | | | 4.2 | % |
| Merck & Company, Inc. | | | 3.4 | % |
| Amgen, Inc. | | | 2.7 | % |
| Gilead Sciences, Inc. | | | 2.6 | % |
| Bristol-Myers Squibb Co. | | | 2.5 | % |
| AbbVie, Inc. | | | 2.4 | % |
| Eli Lilly & Co. | | | 2.4 | % |
| UnitedHealth Group, Inc. | | | 2.3 | % |
| Abbott Laboratories | | | 2.2 | % |
| Top Ten Total | | | 29.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 74 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 18.98 | % | | | 9.44 | % | | | 9.30 | % |
| Advisor Class Shares | | | 18.43 | % | | | 8.92 | % | | | 8.77 | % |
| C-Class Shares | | | 17.81 | % | | | 8.40 | % | | | 8.21 | % |
| C-Class Shares with CDSC† | | | 16.81 | % | | | 8.40 | % | | | 8.21 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Health Care Index | | | 25.19 | % | | | 10.59 | % | | | 7.57 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 18.65 | % | | | 9.18 | % | | | 7.24 | % |
| A-Class Shares with sales charge‡ | | | 13.03 | % | | | 8.12 | % | | | 6.63 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Health Care Index | | | 25.19 | % | | | 10.59 | % | | | 7.44 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 75 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| HEALTH CARE FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.7% | | | | | | | | |
| | | | | | | | | |
| Pharmaceuticals - 33.1% | | | | | | | | |
| Johnson & Johnson | | | 63,306 | | | $ | 5,161,337 | |
| Pfizer, Inc. | | | 170,604 | | | | 4,923,631 | |
| Merck & Company, Inc. | | | 88,620 | | | | 3,919,663 | |
| Bristol-Myers Squibb Co. | | | 69,756 | | | | 2,873,250 | |
| AbbVie, Inc. | | | 68,745 | | | | 2,803,421 | |
| Eli Lilly & Co. | | | 48,462 | | | | 2,752,157 | |
| Allergan, Inc. | | | 17,668 | | | | 1,972,279 | |
| Zoetis, Inc.* | | | 40,200 | | | | 1,342,680 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 30,467 | | | | 1,208,931 | |
| Actavis, Inc.* | | | 12,700 | | | | 1,169,797 | |
| Perrigo Co. | | | 9,540 | | | | 1,132,684 | |
| Valeant Pharmaceuticals | | | | | | | | |
| International, Inc.* | | | 14,966 | | | | 1,122,749 | |
| Mylan, Inc.* | | | 38,176 | | | | 1,104,813 | |
| Forest Laboratories, Inc.* | | | 28,217 | | | | 1,073,375 | |
| GlaxoSmithKline plc ADR | | | 22,104 | | | | 1,036,899 | |
| AstraZeneca plc ADR | | | 20,288 | | | | 1,013,994 | |
| Warner Chilcott plc — Class A | | | 71,950 | | | | 974,923 | |
| Novartis AG ADR | | | 13,679 | | | | 974,492 | |
| Hospira, Inc.* | | | 23,973 | | | | 787,034 | |
| Endo Health Solutions, Inc.* | | | 20,010 | | | | 615,508 | |
| Questcor Pharmaceuticals, Inc.1 | | | 14,280 | | | | 464,671 | |
| Total Pharmaceuticals | | | | | | | 38,428,288 | |
| Health Care Equipment - 19.2% | | | | | | | | |
| Abbott Laboratories | | | 71,245 | | | | 2,516,372 | |
| Medtronic, Inc. | | | 50,112 | | | | 2,353,259 | |
| Baxter International, Inc. | | | 29,697 | | | | 2,157,190 | |
| Stryker Corp. | | | 25,453 | | | | 1,660,554 | |
| Intuitive Surgical, Inc.* | | | 3,161 | | | | 1,552,652 | |
| Becton Dickinson and Co. | | | 15,396 | | | | 1,472,012 | |
| Covidien plc | | | 21,220 | | | | 1,439,565 | |
| Zimmer Holdings, Inc. | | | 16,208 | | | | 1,219,166 | |
| Boston Scientific Corp.* | | | 143,615 | | | | 1,121,633 | |
| St. Jude Medical, Inc. | | | 27,463 | | | | 1,110,604 | |
| Edwards Lifesciences Corp.* | | | 12,520 | | | | 1,028,643 | |
| CR Bard, Inc. | | | 9,579 | | | | 965,372 | |
| CareFusion Corp.* | | | 27,134 | | | | 949,419 | |
| Varian Medical Systems, Inc.* | | | 13,025 | | | | 937,800 | |
| ResMed, Inc. | | | 19,289 | | | | 894,238 | |
| Hologic, Inc.* | | | 36,740 | | | | 830,324 | |
| Total Health Care Equipment | | | | | | | 22,208,803 | |
| Biotechnology - 17.4% | | | | | | | | |
| Amgen, Inc. | | | 30,308 | | | | 3,106,873 | |
| Gilead Sciences, Inc.* | | | 61,530 | | | | 3,010,663 | |
| Biogen Idec, Inc.* | | | 12,306 | | | | 2,373,950 | |
| Celgene Corp.* | | | 20,345 | | | | 2,358,189 | |
| Alexion Pharmaceuticals, Inc.* | | | 15,519 | | | | 1,429,921 | |
| Regeneron Pharmaceuticals, Inc.* | | | 8,021 | | | | 1,414,904 | |
| Vertex Pharmaceuticals, Inc.* | | | 21,701 | | | | 1,193,121 | |
| BioMarin Pharmaceutical, Inc.* | | | 15,100 | | | | 940,126 | |
| Onyx Pharmaceuticals, Inc.* | | | 9,600 | | | | 853,056 | |
| Pharmacyclics, Inc.* | | | 9,500 | | | | 763,895 | |
| Medivation, Inc.* | | | 13,600 | | | | 636,072 | |
| United Therapeutics Corp.* | | | 9,600 | | | | 584,352 | |
| Cubist Pharmaceuticals, Inc.* | | | 12,400 | | | | 580,568 | |
| Ariad Pharmaceuticals, Inc.* | | | 30,639 | | | | 554,260 | |
| Arena Pharmaceuticals, Inc.*,1 | | | 55,400 | | | | 454,834 | |
| Total Biotechnology | | | | | | | 20,254,784 | |
| Managed Health Care - 8.1% | | | | | | | | |
| UnitedHealth Group, Inc. | | | 46,174 | | | | 2,641,616 | |
| WellPoint, Inc. | | | 23,006 | | | | 1,523,687 | |
| Cigna Corp. | | | 22,843 | | | | 1,424,718 | |
| Aetna, Inc. | | | 27,062 | | | | 1,383,409 | |
| Humana, Inc. | | | 16,142 | | | | 1,115,574 | |
| Coventry Health Care, Inc. | | | 18,116 | | | | 851,995 | |
| WellCare Health Plans, Inc.* | | | 9,320 | | | | 540,187 | |
| Total Managed Health Care | | | | | | | 9,481,186 | |
| Health Care Services - 6.3% | | | | | | | | |
| Express Scripts Holding Co.* | | | 40,296 | | | | 2,323,064 | |
| DaVita HealthCare Partners, Inc.* | | | 10,029 | | | | 1,189,339 | |
| Catamaran Corp.* | | | 21,190 | | | | 1,123,706 | |
| Quest Diagnostics, Inc. | | | 17,844 | | | | 1,007,294 | |
| Laboratory Corporation of America Holdings* | | | 10,836 | | | | 977,407 | |
| Omnicare, Inc. | | | 17,579 | | | | 715,817 | |
| Total Health Care Services | | | | | | | 7,336,627 | |
| Life Sciences Tools & Services - 5.1% | | | | | | | | |
| Thermo Fisher Scientific, Inc. | | | 22,992 | | | | 1,758,657 | |
| Agilent Technologies, Inc. | | | 30,114 | | | | 1,263,885 | |
| Life Technologies Corp.* | | | 17,352 | | | | 1,121,460 | |
| Waters Corp.* | | | 10,178 | | | | 955,816 | |
| Illumina, Inc.*,1 | | | 16,314 | | | | 880,956 | |
| Total Life Sciences Tools & Services | | | | | | | 5,980,774 | |
| Health Care Distributors - 4.3% | | | | | | | | |
| McKesson Corp. | | | 15,374 | | | | 1,659,777 | |
| Cardinal Health, Inc. | | | 28,652 | | | | 1,192,496 | |
| AmerisourceBergen Corp. — Class A | | | 22,960 | | | | 1,181,292 | |
| Henry Schein, Inc.* | | | 10,507 | | | | 972,423 | |
| Total Health Care Distributors | | | | | | | 5,005,988 | |
| Health Care Facilities - 3.8% | | | | | | | | |
| HCA Holdings, Inc. | | | 36,227 | | | | 1,471,903 | |
| Universal Health Services, Inc. — Class B | | | 13,362 | | | | 853,431 | |
| Tenet Healthcare Corp.* | | | 16,100 | | | | 766,038 | |
| Community Health Systems, Inc. | | | 15,200 | | | | 720,328 | |
| Health Management Associates, Inc. — Class A* | | | 48,400 | | | | 622,908 | |
| Total Health Care Facilities | | | | | | | 4,434,608 | |
| Health Care Technology - 1.7% | | | | | | | | |
| Cerner Corp.* | | | 14,548 | | | | 1,378,423 | |
| athenahealth, Inc.*,1 | | | 6,600 | | | | 640,464 | |
| Total Health Care Technology | | | | | | | 2,018,887 | |
| Health Care Supplies - 0.7% | | | | | | | | |
| DENTSPLY International, Inc. | | | 19,563 | | | | 829,862 | |
| Total Common Stocks | | | | | | | | |
| (Cost $85,694,316) | | | | | | | 115,979,807 | |
| 76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| HEALTH CARE FUND | |
| | | Face | | | | |
| | | Amount | | | Value | |
| REPURCHASE AGREEMENT††,2 - 0.4% | | | | | | |
| Credit Suisse Group | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | |
| due 04/01/13 | | $ | 485,719 | | | $ | 485,719 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $485,719) | | | | | | | 485,719 | |
| SECURITIES LENDING COLLATERAL††,3 - 0.9% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 600,408 | | | | 600,408 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 472,316 | | | | 472,316 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,072,724) | | | | | | | 1,072,724 | |
| Total Investments - 101.0% | | | | | | | | |
| (Cost $87,252,759) | | | | | | $ | 117,538,250 | |
| Other Assets & Liabilities, net - (1.0)% | | | | | | | (1,158,977 | ) |
| Total net assets - 100.0% | | | | | | $ | 116,379,273 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $1,042,174 of securities loaned | | | | |
| (cost $85,694,316) | | $ | 115,979,807 | |
| Repurchase agreements, at value | | | | |
| (cost $1,558,443) | | | 1,558,443 | |
| Total investments | | | | |
| (cost $87,252,759) | | | 117,538,250 | |
| Cash | | | 7,770 | |
| Receivables: | | | | |
| Fund shares sold | | | 2,890,667 | |
| Dividends | | | 140,312 | |
| Interest | | | 2,079 | |
| Total assets | | | 120,579,078 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 2,529,202 | |
| Upon return of securities loaned | | | 1,072,724 | |
| Fund shares redeemed | | | 399,543 | |
| Management fees | | | 77,735 | |
| Transfer agent and administrative fees | | | 22,863 | |
| Portfolio accounting fees | | | 9,145 | |
| Distribution and service fees | | | 5,787 | |
| Miscellaneous | | | 82,806 | |
| Total liabilities | | | 4,199,805 | |
| Net assets | | $ | 116,379,273 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 100,311,284 | |
| Undistributed net investment income | | | 113,186 | |
| Accumulated net realized loss on investments | | | (14,330,688 | ) |
| Net unrealized appreciation on investments | | | 30,285,491 | |
| Net assets | | $ | 116,379,273 | |
| Investor Class: | | | | |
| Net assets | | $ | 104,525,438 | |
| Capital shares outstanding | | | 4,676,559 | |
| Net asset value per share | | $ | 22.35 | |
| Advisor Class: | | | | |
| Net assets | | $ | 3,604,845 | |
| Capital shares outstanding | | | 173,887 | |
| Net asset value per share | | $ | 20.73 | |
| A-Class: | | | | |
| Net assets | | $ | 3,659,593 | |
| Capital shares outstanding | | | 173,007 | |
| Net asset value per share | | $ | 21.15 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 22.20 | |
| C-Class: | | | | |
| Net assets | | $ | 4,589,397 | |
| Capital shares outstanding | | | 231,712 | |
| Net asset value per share | | $ | 19.81 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 1,767,041 | |
| Income from securities lending, net | | | 13,420 | |
| Interest | | | 437 | |
| Total investment income | | | 1,780,898 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 842,090 | |
| Transfer agent and administrative fees | | | 247,674 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 28,575 | |
| A-Class | | | 6,790 | |
| C-Class | | | 36,012 | |
| Portfolio accounting fees | | | 99,068 | |
| Custodian fees | | | 15,960 | |
| Trustees’ fees* | | | 6,975 | |
| Tax expense | | | 2,368 | |
| Miscellaneous | | | 130,403 | |
| Total expenses | | | 1,415,915 | |
| Net investment income | | | 364,983 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (3,758,797 | ) |
| Net realized loss | | | (3,758,797 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 17,930,169 | |
| Net change in unrealized appreciation (depreciation) | | | 17,930,169 | |
| Net realized and unrealized gain | | | 14,171,372 | |
| Net increase in net assets resulting from operations | | $ | 14,536,355 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 364,983 | | | $ | (33,481 | ) |
| Net realized loss on investments | | | (3,758,797 | ) | | | (2,733,212 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 17,930,169 | | | | 4,434,547 | |
| Net increase in net assets resulting from operations | | | 14,536,355 | | | | 1,667,854 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (217,663 | ) | | | — | |
| Advisor Class | | | (18,320 | ) | | | — | |
| A-Class | | | (5,822 | ) | | | — | |
| C-Class | | | (9,992 | ) | | | — | |
| Total distributions to shareholders | | | (251,797 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 318,344,556 | | | | 326,325,036 | |
| Advisor Class | | | 49,746,384 | | | | 30,857,462 | |
| A-Class | | | 4,381,953 | | | | 7,626,282 | |
| C-Class | | | 34,482,974 | | | | 55,798,360 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 216,489 | | | | — | |
| Advisor Class | | | 18,217 | | | | — | |
| A-Class | | | 4,942 | | | | — | |
| C-Class | | | 9,651 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (266,582,144 | ) | | | (308,122,674 | ) |
| Advisor Class | | | (50,173,739 | ) | | | (29,208,278 | ) |
| A-Class | | | (4,134,009 | ) | | | (5,704,682 | ) |
| C-Class | | | (33,962,592 | ) | | | (56,286,961 | ) |
| Net increase from capital share transactions | | | 52,352,682 | | | | 21,284,545 | |
| Net increase in net assets | | | 66,637,240 | | | | 22,952,399 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 49,742,033 | | | | 26,789,634 | |
| End of year | | $ | 116,379,273 | | | $ | 49,742,033 | |
| Undistributed net investment income at end of year | | $ | 113,186 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 16,459,910 | | | | 18,620,010 | |
| Advisor Class | | | 2,731,471 | | | | 1,915,231 | |
| A-Class | | | 224,541 | | | | 466,763 | |
| C-Class | | | 1,981,649 | | | | 3,613,148 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 11,105 | | | | — | |
| Advisor Class | | | 999 | | | | — | |
| A-Class | | | 268 | | | | — | |
| C-Class | | | 557 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (13,867,240 | ) | | | (17,686,638 | ) |
| Advisor Class | | | (2,802,207 | ) | | | (1,810,557 | ) |
| A-Class | | | (217,683 | ) | | | (371,821 | ) |
| C-Class | | | (1,956,184 | ) | | | (3,657,187 | ) |
| Net increase in shares | | | 2,567,186 | | | | 1,088,949 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 18.83 | | | $ | 17.14 | | | $ | 15.80 | | | $ | 11.20 | | | $ | 14.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .09 | | | | .01 | | | | (.02 | ) | | | (.01 | ) | | | .07 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.48 | | | | 1.68 | | | | 1.36 | | | | 4.62 | | | | (3.15 | ) |
| Total from investment operations | | | 3.57 | | | | 1.69 | | | | 1.34 | | | | 4.61 | | | | (3.08 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Net asset value, end of period | | $ | 22.35 | | | $ | 18.83 | | | $ | 17.14 | | | $ | 15.80 | | | $ | 11.20 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.98 | % | | | 9.86 | % | | | 8.48 | % | | | 41.17 | % | | | (21.57 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 104,525 | | | $ | 39,036 | | | $ | 19,534 | | | $ | 195,616 | | | $ | 13,920 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.45 | % | | | 0.08 | % | | | (0.10 | %) | | | (0.04 | %) | | | 0.48 | % |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.38 | % | | | 1.37 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 266 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.55 | | | $ | 16.04 | | | $ | 14.85 | | | $ | 10.58 | | | $ | 13.57 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.06 | ) | | | (.07 | ) | | | (.05 | ) | | | (.04 | ) | | | .01 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.29 | | | | 1.58 | | | | 1.24 | | | | 4.32 | | | | (3.00 | ) |
| Total from investment operations | | | 3.23 | | | | 1.51 | | | | 1.19 | | | | 4.28 | | | | (2.99 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Net asset value, end of period | | $ | 20.73 | | | $ | 17.55 | | | $ | 16.04 | | | $ | 14.85 | | | $ | 10.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.43 | % | | | 9.41 | % | | | 8.01 | % | | | 40.46 | % | | | (22.03 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,605 | | | $ | 4,275 | | | $ | 2,229 | | | $ | 3,432 | | | $ | 6,353 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.31 | %) | | | (0.44 | %) | | | (0.36 | %) | | | (0.33 | %) | | | 0.04 | % |
| Total expenses | | | 1.86 | % | | | 1.85 | % | | | 1.88 | % | | | 1.88 | % | | | 1.93 | % |
| Portfolio turnover rate | | | 266 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % |
| 80 | THE RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.87 | | | $ | 16.30 | | | $ | 15.05 | | | $ | 10.69 | | | $ | 13.68 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .04 | | | | (.02 | ) | | | (.02 | ) | | | (.03 | ) | | | .02 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.29 | | | | 1.59 | | | | 1.27 | | | | 4.40 | | | | (3.01 | ) |
| Total from investment operations | | | 3.33 | | | | 1.57 | | | | 1.25 | | | | 4.37 | | | | (2.99 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Net asset value, end of period | | $ | 21.15 | | | $ | 17.87 | | | $ | 16.30 | | | $ | 15.05 | | | $ | 10.69 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 18.65 | % | | | 9.63 | % | | | 8.31 | % | | | 40.88 | % | | | (21.86 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,660 | | | $ | 2,964 | | | $ | 1,156 | | | $ | 6,204 | | | $ | 997 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.20 | % | | | (0.13 | %) | | | (0.14 | %) | | | (0.25 | %) | | | 0.15 | % |
| Total expenses | | | 1.60 | % | | | 1.60 | % | | | 1.63 | % | | | 1.62 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 266 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.86 | | | $ | 15.50 | | | $ | 14.39 | | | $ | 10.30 | | | $ | 13.28 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.09 | ) | | | (.14 | ) | | | (.11 | ) | | | (.11 | ) | | | (.08 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 3.09 | | | | 1.50 | | | | 1.22 | | | | 4.21 | | | | (2.90 | ) |
| Total from investment operations | | | 3.00 | | | | 1.36 | | | | 1.11 | | | | 4.10 | | | | (2.98 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | (.01 | ) | | | — | |
| Net asset value, end of period | | $ | 19.81 | | | $ | 16.86 | | | $ | 15.50 | | | $ | 14.39 | | | $ | 10.30 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 17.81 | % | | | 8.77 | % | | | 7.71 | % | | | 39.81 | % | | | (22.44 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,589 | | | $ | 3,468 | | | $ | 3,870 | | | $ | 8,393 | | | $ | 5,101 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.53 | %) | | | (0.91 | %) | | | (0.76 | %) | | | (0.91 | %) | | | (0.65 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.38 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 266 | % | | | 582 | % | | | 619 | % | | | 241 | % | | | 745 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
For the one-year period ended March 28, 2013, Internet Fund Investor Class returned 9.65%, compared with -1.12% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.96%.
The internet software & services segment was the largest contributor to return, followed by the internet & catalog services segment. The largest detractor from return was the communications equipment segment, followed by the semiconductors & semiconductor equipment segment.
Google, Inc., eBay, Inc. and TimeWarner, Inc. added the most to Fund performance for the period, while Groupon, Inc., Baidu, Inc. and F5 Networks, Inc. detracted most from Fund performance for the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| Investor Class | | | April 6, 2000 |
| Advisor Class | | | April 6, 2000 |
| A-Class | | | September 1, 2004 |
| C-Class | | | April 19, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Google, Inc. — Class A | | | 8.7 | % |
| Amazon.com, Inc. | | | 6.1 | % |
| QUALCOMM, Inc. | | | 5.8 | % |
| Cisco Systems, Inc. | | | 5.6 | % |
| eBay, Inc. | | | 4.6 | % |
| Facebook, Inc. — Class A | | | 4.1 | % |
| Time Warner, Inc. | | | 4.0 | % |
| Priceline.com, Inc. | | | 3.1 | % |
| Yahoo!, Inc. | | | 2.8 | % |
| Research In Motion Ltd. | | | 2.5 | % |
| Top Ten Total | | | 47.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 82 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 9.65 | % | | | 8.54 | % | | | 11.05 | % |
| Advisor Class Shares | | | 9.13 | % | | | 8.00 | % | | | 10.51 | % |
| C-Class Shares | | | 8.55 | % | | | 7.46 | % | | | 9.96 | % |
| C-Class Shares with CDSC† | | | 7.55 | % | | | 7.46 | % | | | 9.96 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 9.18 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 9.41 | % | | | 8.26 | % | | | 7.20 | % |
| A-Class Shares with sales charge‡ | | | 4.22 | % | | | 7.21 | % | | | 6.59 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 7.40 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 83 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| INTERNET FUND | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 99.8% | | | | | | | | |
| | | | | | | | | |
| Internet Software & Services - 46.9% | | | | | | | | |
| Google, Inc. — Class A* | | | 982 | | | $ | 779,736 | |
| eBay, Inc.* | | | 7,601 | | | | 412,126 | |
| Facebook, Inc. — Class A* | | | 14,382 | | | | 367,892 | |
| Yahoo!, Inc.* | | | 10,704 | | | | 251,865 | |
| LinkedIn Corp. — Class A* | | | 1,184 | | | | 208,455 | |
| Baidu, Inc. ADR* | | | 2,019 | | | | 177,066 | |
| Equinix, Inc.* | | | 739 | | | | 159,853 | |
| VeriSign, Inc.* | | | 2,809 | | | | 132,810 | |
| Rackspace Hosting, Inc.* | | | 2,518 | | | | 127,109 | |
| Akamai Technologies, Inc.* | | | 3,466 | | | | 122,315 | |
| SINA Corp.* | | | 2,067 | | | | 100,436 | |
| IAC/InterActiveCorp | | | 2,130 | | | | 95,168 | |
| CoStar Group, Inc.* | | | 822 | | | | 89,976 | |
| AOL, Inc. | | | 2,237 | | | | 86,102 | |
| MercadoLibre, Inc.1 | | | 818 | | | | 78,986 | |
| Qihoo 360 Technology Company Ltd. ADR* | | | 2,609 | | | | 77,305 | |
| Yandex N.V. — Class A* | | | 3,287 | | | | 75,995 | |
| ValueClick, Inc.* | | | 2,465 | | | | 72,841 | |
| Sohu.com, Inc.* | | | 1,453 | | | | 72,083 | |
| NetEase, Inc. ADR | | | 1,289 | | | | 70,599 | |
| Youku Tudou, Inc. ADR* | | | 4,183 | | | | 70,149 | |
| j2 Global, Inc.1 | | | 1,694 | | | | 66,422 | |
| Cornerstone OnDemand, Inc.* | | | 1,860 | | | | 63,426 | |
| VistaPrint N.V.*,1 | | | 1,537 | | | | 59,420 | |
| OpenTable, Inc.* | | | 942 | | | | 59,327 | |
| Yelp, Inc. — Class A* | | | 2,439 | | | | 57,829 | |
| Dealertrack Technologies, Inc.* | | | 1,820 | | | | 53,472 | |
| WebMD Health Corp. — Class A* | | | 2,160 | | | | 52,531 | |
| Angie’s List, Inc.* | | | 2,600 | | | | 51,376 | |
| Liquidity Services, Inc.*,1 | | | 1,583 | | | | 47,189 | |
| Monster Worldwide, Inc.* | | | 7,159 | | | | 36,296 | |
| Millennial Media, Inc.* | | | 4,770 | | | | 30,290 | |
| Total Internet Software & Services | | | | | | | 4,206,445 | |
| Internet Retail - 18.4% | | | | | | | | |
| Amazon.com, Inc.* | | | 2,041 | | | | 543,905 | |
| Priceline.com, Inc.* | | | 401 | | | | 275,859 | |
| Netflix, Inc.* | | | 846 | | | | 160,241 | |
| TripAdvisor, Inc.* | | | 2,519 | | | | 132,298 | |
| Expedia, Inc. | | | 2,177 | | | | 130,642 | |
| Groupon, Inc. — Class A* | | | 17,766 | | | | 108,728 | |
| HomeAway, Inc.* | | | 2,540 | | | | 82,550 | |
| Liberty Ventures* | | | 1,060 | | | | 80,115 | |
| Ctrip.com International Ltd. ADR*,1 | | | 3,470 | | | | 74,189 | |
| Shutterfly, Inc.* | | | 1,392 | | | | 61,485 | |
| Total Internet Retail | | | | | | | 1,650,012 | |
| Communications Equipment - 17.6% | | | | | | |
| QUALCOMM, Inc. | | | 7,793 | | | | 521,742 | |
| Cisco Systems, Inc. | | | 24,048 | | | | 502,844 | |
| Research In Motion Ltd.*,1 | | | 15,353 | | | | 221,851 | |
| Juniper Networks, Inc.* | | | 7,632 | | | | 141,497 | |
| F5 Networks, Inc.* | | | 1,430 | | | | 127,384 | |
| Ciena Corp.* | | | 3,707 | | | | 59,349 | |
| Total Communications Equipment | | | | | | | 1,574,667 | |
| Systems Software - 6.3% | | | | | | | | |
| Symantec Corp.* | | | 8,047 | | | | 198,600 | |
| Red Hat, Inc.* | | | 2,996 | | | | 151,478 | |
| BMC Software, Inc.* | | | 2,731 | | | | 126,527 | |
| Check Point Software Technologies Ltd.* | | | 1,889 | | | | 88,764 | |
| Total Systems Software | | | | | | | 565,369 | |
| Movies & Entertainment - 4.0% | | | | | | | | |
| Time Warner, Inc. | | | 6,185 | | | | 356,380 | |
| Application Software - 3.3% | | | | | | | | |
| Intuit, Inc. | | | 3,237 | | | | 212,509 | |
| TIBCO Software, Inc.* | | | 3,978 | | | | 80,435 | |
| Total Application Software | | | | | | | 292,944 | |
| Semiconductors - 2.4% | | | | | | | | |
| Broadcom Corp. — Class A | | | 6,142 | | | | 212,943 | |
| Investment Banking & Brokerage - 0.9% | | | | | | | | |
| E*TRADE Financial Corp.* | | | 7,870 | | | | 84,288 | |
| Total Common Stocks | | | | | | | | |
| (Cost $5,699,148) | | | | | | | 8,943,048 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.2% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 20,321 | | | | 20,321 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $20,321) | | | | | | | 20,321 | |
| SECURITIES LENDING COLLATERAL††,3 - 2.4% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 121,421 | | | | 121,421 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 95,517 | | | | 95,517 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $216,938) | | | | | | | 216,938 | |
| Total Investments - 102.4% | | | | | | | | |
| (Cost $5,936,407) | | | | | | $ | 9,180,307 | |
| Other Assets & Liabilities, net - (2.4)% | | | | | | | (216,242 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 8,964,065 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| 84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $210,268 of securities loaned | | | | |
| (cost $5,699,148) | | $ | 8,943,048 | |
| Repurchase agreements, at value | | | | |
| (cost $237,259) | | | 237,259 | |
| Total investments | | | | |
| (cost $5,936,407) | | | 9,180,307 | |
| Receivables: | | | | |
| Securities sold | | | 73,654 | |
| Fund shares sold | | | 16,947 | |
| Interest | | | 296 | |
| Dividends | | | 114 | |
| Total assets | | | 9,271,318 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 216,938 | |
| Fund shares redeemed | | | 73,347 | |
| Management fees | | | 7,308 | |
| Transfer agent and administrative fees | | | 2,149 | |
| Distribution and service fees | | | 1,512 | |
| Portfolio accounting fees | | | 860 | |
| Miscellaneous | | | 5,139 | |
| Total liabilities | | | 307,253 | |
| Net assets | | $ | 8,964,065 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 6,759,657 | |
| Accumulated net investment loss | | | (35,811 | ) |
| Accumulated net realized loss on investments | | | (1,003,681 | ) |
| Net unrealized appreciation on investments | | | 3,243,900 | |
| Net assets | | $ | 8,964,065 | |
| Investor Class: | | | | |
| Net assets | | $ | 6,109,192 | |
| Capital shares outstanding | | | 110,148 | |
| Net asset value per share | | $ | 55.46 | |
| Advisor Class: | | | | |
| Net assets | | $ | 551,602 | |
| Capital shares outstanding | | | 10,669 | |
| Net asset value per share | | $ | 51.70 | |
| A-Class: | | | | |
| Net assets | | $ | 1,191,862 | |
| Capital shares outstanding | | | 22,551 | |
| Net asset value per share | | $ | 52.85 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 55.49 | |
| C-Class: | | | | |
| Net assets | | $ | 1,111,409 | |
| Capital shares outstanding | | | 22,667 | |
| Net asset value per share | | $ | 49.03 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $126) | | $ | 33,049 | |
| Income from securities lending, net | | | 953 | |
| Interest | | | 47 | |
| Total investment income | | | 34,049 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 60,262 | |
| Transfer agent and administrative fees | | | 17,724 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 3,125 | |
| A-Class | | | 1,246 | |
| C-Class | | | 10,039 | |
| Portfolio accounting fees | | | 7,089 | |
| Custodian fees | | | 1,253 | |
| Trustees’ fees* | | | 969 | |
| Miscellaneous | | | 8,724 | |
| Total expenses | | | 110,431 | |
| Net investment loss | | | (76,382 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 884,433 | |
| Net realized gain | | | 884,433 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (551,262 | ) |
| Net change in unrealized appreciation (depreciation) | | | (551,262 | ) |
| Net realized and unrealized gain | | | 333,171 | |
| Net increase in net assets resulting from operations | | $ | 256,789 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (76,382 | ) | | $ | (168,561 | ) |
| Net realized gain on investments | | | 884,433 | | | | 3,682,105 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (551,262 | ) | | | (7,435,883 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 256,789 | | | | (3,922,339 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| Investor Class | | | (63,522 | ) | | | — | |
| Advisor Class | | | (15,594 | ) | | | — | |
| A-Class | | | (16,401 | ) | | | — | |
| C-Class | | | (17,867 | ) | | | — | |
| Total distributions to shareholders | | | (113,384 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 31,124,261 | | | | 46,931,498 | |
| Advisor Class | | | 453,813 | | | | 3,247,918 | |
| A-Class | | | 2,380,935 | | | | 3,283,366 | |
| C-Class | | | 9,906,871 | | | | 25,638,180 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 62,343 | | | | — | |
| Advisor Class | | | 14,930 | | | | — | |
| A-Class | | | 16,078 | | | | — | |
| C-Class | | | 16,446 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (31,339,015 | ) | | | (58,111,981 | ) |
| Advisor Class | | | (678,019 | ) | | | (4,394,039 | ) |
| A-Class | | | (2,032,055 | ) | | | (3,259,688 | ) |
| C-Class | | | (9,501,396 | ) | | | (26,601,531 | ) |
| Net increase (decrease) from capital share transactions | | | 425,192 | | | | (13,266,277 | ) |
| Net increase (decrease) in net assets | | | 568,597 | | | | (17,188,616 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 8,395,468 | | | | 25,584,084 | |
| End of year | | $ | 8,964,065 | | | $ | 8,395,468 | |
| Accumulated net investment loss at end of year | | $ | (35,811 | ) | | $ | (52,998 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 609,789 | | | | 952,258 | |
| Advisor Class | | | 9,956 | | | | 71,309 | |
| A-Class | | | 46,920 | | | | 69,108 | |
| C-Class | | | 221,607 | | | | 593,808 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 1,290 | | | | — | |
| Advisor Class | | | 331 | | | | — | |
| A-Class | | | 349 | | | | — | |
| C-Class | | | 384 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (620,499 | ) | | | (1,226,540 | ) |
| Advisor Class | | | (14,374 | ) | | | (99,635 | ) |
| A-Class | | | (41,403 | ) | | | (74,379 | ) |
| C-Class | | | (213,154 | ) | | | (617,390 | ) |
| Net increase (decrease) in shares | | | 1,196 | | | | (331,461 | ) |
| 86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.90 | | | $ | 52.28 | | | $ | 41.74 | | | $ | 26.58 | | | $ | 38.55 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.44 | ) | | | (.51 | ) | | | (.34 | ) | | | (.38 | ) | | | (.29 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.26 | | | | .13 | | | | 10.88 | | | | 15.54 | | | | (11.23 | ) |
| Total from investment operations | | | 4.82 | | | | (.38 | ) | | | 10.54 | | | | 15.16 | | | | (11.52 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net realized gains | | | (1.26 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.26 | ) | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net asset value, end of period | | $ | 55.46 | | | $ | 51.90 | | | $ | 52.28 | | | $ | 41.74 | | | $ | 26.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 9.65 | % | | | (0.73 | %) | | | 25.25 | % | | | 57.04 | % | | | (29.63 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,109 | | | $ | 6,206 | | | $ | 20,589 | | | $ | 21,924 | | | $ | 61,745 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.87 | %) | | | (1.05 | %) | | | (0.69 | %) | | | (1.12 | %) | | | (1.01 | %) |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.37 | % | | | 1.35 | % |
| Portfolio turnover rate | | | 442 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.71 | | | $ | 49.31 | | | $ | 39.57 | | | $ | 25.32 | | | $ | 36.95 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.64 | ) | | | (.71 | ) | | | (.59 | ) | | | (.58 | ) | | | (.41 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.89 | | | | .11 | | | | 10.33 | | | | 14.83 | | | | (10.77 | ) |
| Total from investment operations | | | 4.25 | | | | (.60 | ) | | | 9.74 | | | | 14.25 | | | | (11.18 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net realized gains | | | (1.26 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.26 | ) | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net asset value, end of period | | $ | 51.70 | | | $ | 48.71 | | | $ | 49.31 | | | $ | 39.57 | | | $ | 25.32 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 9.13 | % | | | (1.24 | %) | | | 24.61 | % | | | 56.28 | % | | | (29.99 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 552 | | | $ | 719 | | | $ | 2,124 | | | $ | 3,908 | | | $ | 3,604 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.36 | %) | | | (1.58 | %) | | | (1.32 | %) | | | (1.74 | %) | | | (1.43 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 442 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
FINANCIAL HIGHLIGHTS (concluded)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.63 | | | $ | 50.13 | | | $ | 40.12 | | | $ | 25.62 | | | $ | 37.29 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.52 | ) | | | (.64 | ) | | | (.46 | ) | | | (.50 | ) | | | (.33 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.00 | | | | .14 | | | | 10.47 | | | | 15.00 | | | | (10.89 | ) |
| Total from investment operations | | | 4.48 | | | | (.50 | ) | | | 10.01 | | | | 14.50 | | | | (11.22 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net realized gains | | | (1.26 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.26 | ) | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net asset value, end of period | | $ | 52.85 | | | $ | 49.63 | | | $ | 50.13 | | | $ | 40.12 | | | $ | 25.62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 9.41 | % | | | (1.00 | %) | | | 24.95 | % | | | 56.60 | % | | | (29.82 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,192 | | | $ | 828 | | | $ | 1,101 | | | $ | 2,989 | | | $ | 91 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.08 | %) | | | (1.39 | %) | | | (1.01 | %) | | | (1.44 | %) | | | (1.07 | %) |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.63 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 442 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.50 | | | $ | 47.30 | | | $ | 38.17 | | | $ | 24.56 | | | $ | 36.01 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.85 | ) | | | (.94 | ) | | | (.83 | ) | | | (.66 | ) | | | (.59 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.64 | | | | .14 | | | | 9.96 | | | | 14.27 | | | | (10.41 | ) |
| Total from investment operations | | | 3.79 | | | | (.80 | ) | | | 9.13 | | | | 13.61 | | | | (11.00 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net realized gains | | | (1.26 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.26 | ) | | | — | | | | — | | | | — | | | | (.45 | ) |
| Net asset value, end of period | | $ | 49.03 | | | $ | 46.50 | | | $ | 47.30 | | | $ | 38.17 | | | $ | 24.56 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 8.55 | % | | | (1.69 | %) | | | 23.92 | % | | | 55.42 | % | | | (30.28 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,111 | | | $ | 643 | | | $ | 1,770 | | | $ | 1,057 | | | $ | 602 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.91 | %) | | | (2.17 | %) | | | (1.92 | %) | | | (2.00 | %) | | | (1.95 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 442 | % | | | 380 | % | | | 291 | % | | | 443 | % | | | 550 | % |
| a | Net investment loss per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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| the RYDEX FUNDS ANNUAL REPORT | 89 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
leisure FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies in leisure and entertainment businesses (“Leisure Companies”).
For the one-year period ended March 28, 2013, Leisure Fund Investor Class returned 21.74%, compared with 19.85% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 13.96%.
Within the sector, the media segment was the largest contributor to return, followed by the hotels, restaurants & leisure segment. The lightly weighted software segment was the only detractor from return.
Among the holdings that contributed the most to the Fund’s performance for the period were Comcast Corp., News Corp. and TimeWarner, Inc. The Fund’s weakest holdings for the period were Zynga, Inc., Chipotle Mexican Grill, Inc. and Electronic Arts, Inc.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| 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. | | | 4.3 | % |
| Comcast Corp. — Class A | | | 3.8 | % |
| Walt Disney Co. | | | 3.5 | % |
| McDonald’s Corp. | | | 3.5 | % |
| Altria Group, Inc. | | | 3.0 | % |
| News Corp. — Class A | | | 3.0 | % |
| Time Warner, Inc. | | | 2.6 | % |
| Las Vegas Sands Corp. | | | 2.5 | % |
| Starbucks Corp. | | | 2.3 | % |
| DIRECTV | | | 2.1 | % |
| Top Ten Total | | | 30.6 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 90 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
| Cumulative Fund Performance* |
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 21.74 | % | | | 7.23 | % | | | 9.66 | % |
| Advisor Class Shares | | | 21.12 | % | | | 6.70 | % | | | 9.12 | % |
| C-Class Shares | | | 20.54 | % | | | 6.14 | % | | | 8.54 | % |
| C-Class Shares with CDSC† | | | 19.54 | % | | | 6.14 | % | | | 8.54 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Consumer Discretionary Index | | | 19.85 | % | | | 13.46 | % | | | 10.41 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 21.42 | % | | | 6.95 | % | | | 6.55 | % |
| A-Class Shares with sales charge‡ | | | 15.66 | % | | | 5.91 | % | | | 5.95 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Consumer Discretionary Index | | | 19.85 | % | | | 13.46 | % | | | 8.35 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| the RYDEX FUNDS ANNUAL REPORT | 91 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| leisure fund | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 98.9% | | | | | | | | |
| | | | | | | | | |
| Cable & Satellite - 15.6% | | | | | | | | |
| Comcast Corp. — Class A | | | 22,893 | | | $ | 961,736 | |
| DIRECTV* | | | 9,312 | | | | 527,152 | |
| Time Warner Cable, Inc. | | | 5,222 | | | | 501,625 | |
| Liberty Global, Inc. — Class A* | | | 5,487 | | | | 402,746 | |
| DISH Network Corp. — Class A | | | 10,386 | | | | 393,629 | |
| Virgin Media, Inc. | | | 6,809 | | | | 333,437 | |
| Charter Communications, Inc. — Class A* | | | 2,940 | | | | 306,289 | |
| AMC Networks, Inc. — Class A* | | | 3,050 | | | | 192,699 | |
| Cablevision Systems Corp. — Class A | | | 12,448 | | | | 186,222 | |
| Starz - Liberty Capital* | | | 6,797 | | | | 150,554 | |
| Total Cable & Satellite | | | | | | | 3,956,089 | |
| Restaurants - 14.6% | | | | | | | | |
| McDonald’s Corp. | | | 9,019 | | | | 899,105 | |
| Starbucks Corp. | | | 10,298 | | | | 586,574 | |
| Yum! Brands, Inc. | | | 7,181 | | | | 516,601 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 959 | | | | 312,509 | |
| Darden Restaurants, Inc. | | | 4,743 | | | | 245,118 | |
| Panera Bread Co. — Class A* | | | 1,178 | | | | 194,653 | |
| Dunkin’ Brands Group, Inc. | | | 4,940 | | | | 182,187 | |
| Brinker International, Inc. | | | 4,110 | | | | 154,742 | |
| Domino’s Pizza, Inc. | | | 2,950 | | | | 151,748 | |
| Wendy’s Co. | | | 24,430 | | | | 138,518 | |
| Cheesecake Factory, Inc. | | | 3,344 | | | | 129,112 | |
| Buffalo Wild Wings, Inc.* | | | 1,297 | | | | 113,526 | |
| Texas Roadhouse, Inc. — Class A | | | 5,460 | | | | 110,237 | |
| Total Restaurants | | | | | | | 3,734,630 | |
| Movies & Entertainment - 14.1% | | | | | | | | |
| Walt Disney Co. | | | 15,984 | | | | 907,891 | |
| News Corp. — Class A | | | 25,174 | | | | 768,310 | |
| Time Warner, Inc. | | | 11,382 | | | | 655,831 | |
| Viacom, Inc. — Class B | | | 7,818 | | | | 481,354 | |
| Madison Square Garden Co. — Class A* | | | 3,220 | | | | 185,472 | |
| Cinemark Holdings, Inc. | | | 5,856 | | | | 172,401 | |
| Lions Gate Entertainment Corp.*,1 | | | 6,827 | | | | 162,278 | |
| Regal Entertainment Group — Class A | | | 8,840 | | | | 147,363 | |
| DreamWorks Animation SKG, Inc. — Class A* | | | 6,230 | | | | 118,121 | |
| Total Movies & Entertainment | | | | | | | 3,599,021 | |
| Tobacco - 10.5% | | | | | | | | |
| Philip Morris International, Inc. | | | 11,996 | | | | 1,112,149 | |
| Altria Group, Inc. | | | 22,359 | | | | 768,926 | |
| Reynolds American, Inc. | | | 10,135 | | | | 450,906 | |
| Lorillard, Inc. | | | 8,672 | | | | 349,915 | |
| Total Tobacco | | | | | | | 2,681,896 | |
| Casinos & Gaming - 7.5% | | | | | | | | |
| Las Vegas Sands Corp. | | | 11,137 | | | | 627,569 | |
| Wynn Resorts Ltd. | | | 2,541 | | | | 318,032 | |
| Melco Crown Entertainment Ltd. ADR* | | | 10,723 | | | | 250,275 | |
| MGM Resorts International* | | | 17,010 | | | | 223,682 | |
| International Game Technology | | | 11,018 | | | | 181,797 | |
| Penn National Gaming, Inc.* | | | 3,333 | | | | 181,415 | |
| Bally Technologies, Inc.* | | | 2,487 | | | | 129,249 | |
| Total Casinos & Gaming | | | | | | | 1,912,019 | |
| Broadcasting - 7.4% | | | | | | | | |
| Discovery Communications, Inc. — Class A* | | | 6,200 | | | | 488,189 | |
| CBS Corp. — Class B | | | 10,275 | | | | 479,740 | |
| Liberty Media Corp.* | | | 2,880 | | | | 321,494 | |
| Scripps Networks Interactive, Inc. — Class A | | | 4,410 | | | | 283,739 | |
| Grupo Televisa SAB ADR | | | 7,200 | | | | 191,592 | |
| Pandora Media, Inc.*,1 | | | 9,907 | | | | 140,283 | |
| Total Broadcasting | | | | | | | 1,905,037 | |
| Hotels, Resorts & Cruise Lines - 6.4% | | | | | | | | |
| Carnival Corp. | | | 13,544 | | | | 464,560 | |
| Marriott International, Inc. — Class A | | | 7,863 | | | | 332,054 | |
| Starwood Hotels & Resorts | | | | | | | | |
| Worldwide, Inc. | | | 5,066 | | | | 322,856 | |
| Wyndham Worldwide Corp. | | | 4,285 | | | | 276,297 | |
| Royal Caribbean Cruises Ltd. | | | 7,072 | | | | 234,932 | |
| Total Hotels, Resorts & Cruise Lines | | | | | | | 1,630,699 | |
| Leisure Products - 4.3% | | | | | | | | |
| Mattel, Inc. | | | 8,059 | | | | 352,904 | |
| Polaris Industries, Inc. | | | 2,435 | | | | 225,213 | |
| Hasbro, Inc.1 | | | 5,052 | | | | 221,985 | |
| Brunswick Corp. | | | 4,654 | | | | 159,260 | |
| Sturm Ruger & Company, Inc. | | | 1,680 | | | | 85,226 | |
| Smith & Wesson Holding Corp.* | | | 7,570 | | | | 68,130 | |
| Total Leisure Products | | | | | | | 1,112,718 | |
| Distillers & Vintners - 4.3% | | | | | | | | |
| Brown-Forman Corp. — Class B | | | 5,123 | | | | 365,782 | |
| Beam, Inc. | | | 4,594 | | | | 291,903 | |
| Constellation Brands, Inc. — Class A* | | | 5,819 | | | | 277,217 | |
| Diageo plc ADR | | | 1,340 | | | | 168,626 | |
| Total Distillers & Vintners | | | | | | | 1,103,528 | |
| Brewers - 3.1% | | | | | | | | |
| Molson Coors Brewing Co. — Class B | | | 5,644 | | | | 276,161 | |
| Anheuser-Busch InBev N.V. ADR | | | 2,773 | | | | 276,052 | |
| Cia de Bebidas das Americas ADR | | | 5,830 | | | | 246,784 | |
| Total Brewers | | | | | | | 798,997 | |
| Publishing - 3.1% | | | | | | | | |
| Thomson Reuters Corp. | | | 14,544 | | | | 472,389 | |
| Gannett Company, Inc. | | | 9,146 | | | | 200,023 | |
| Meredith Corp.1 | | | 3,050 | | | | 116,693 | |
| Total Publishing | | | | | | | 789,105 | |
| Home Entertainment Software - 2.6% | | | | | | | | |
| Activision Blizzard, Inc. | | | 24,871 | | | | 362,371 | |
| Electronic Arts, Inc.* | | | 11,060 | | | | 195,762 | |
| Take-Two Interactive Software, Inc.* | | | 6,729 | | | | 108,673 | |
| Total Home Entertainment Software | | | | | | | 666,806 | |
| 92 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| leisure fund | |
| | | Shares | | | Value | |
| Leisure Facilities - 1.6% | | | | | | | | |
| Six Flags Entertainment Corp. | | | 2,345 | | | $ | 169,966 | |
| Vail Resorts, Inc. | | | 2,120 | | | | 132,118 | |
| Life Time Fitness, Inc.* | | | 2,759 | | | | 118,030 | |
| Total Leisure Facilities | | | | | | | 420,114 | |
| Specialized Finance - 1.4% | | | | | | | | |
| McGraw-Hill Companies, Inc. | | | 6,798 | | | | 354,039 | |
| Motorcycle Manufacturers - 1.2% | | | | | | | | |
| Harley-Davidson, Inc. | | | 5,897 | | | | 314,310 | |
| Internet Retail - 0.7% | | | | | | | | |
| Ctrip.com International Ltd. ADR*,1 | | | 8,040 | | | | 171,895 | |
| Specialized REITs - 0.5% | | | | | | | | |
| Ryman Hospitality Properties | | | 2,986 | | | | 136,610 | |
| Total Common Stocks | | | | | | | | |
| (Cost $18,567,021) | | | | | | | 25,287,513 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 1.0% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 264,842 | | | | 264,842 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $264,842) | | | | | | | 264,842 | |
| SECURITIES LENDING COLLATERAL††,3 - 1.3% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 183,905 | | | | 183,905 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 144,671 | | | | 144,671 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $328,576) | | | | | | | 328,576 | |
| Total Investments - 101.2% | | | | | | | | |
| (Cost $19,160,439) | | | | | | $ | 25,880,931 | |
| Other Assets & Liabilities, net - (1.2)% | | | | | | | (298,764 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 25,582,167 | |
| * | | 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 March 28, 2013 — See Note 6. |
| 2 | | Repurchase Agreement — See Note 5. |
| 3 | | Securities lending collateral — See Note 6. |
| | | ADR — American Depositary Receipt |
| | | plc — Public Limited Company |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 93 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 28, 2013 |
| Assets: | | | | |
| Investments, at value - including $320,487 of securities loaned | | | | |
| (cost $18,567,021) | | $ | 25,287,513 | |
| Repurchase agreements, at value | | | | |
| (cost $593,418) | | | 593,418 | |
| Total investments | | | | |
| (cost $19,160,439) | | | 25,880,931 | |
| Cash | | | 7,600 | |
| Receivables: | | | | |
| Fund shares sold | | | 274,152 | |
| Dividends | | | 51,505 | |
| Interest | | | 747 | |
| Total assets | | | 26,214,935 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Upon return of securities loaned | | | 328,576 | |
| Securities purchased | | | 248,982 | |
| Management fees | | | 18,737 | |
| Fund shares redeemed | | | 7,685 | |
| Transfer agent and administrative fees | | | 5,511 | |
| Portfolio accounting fees | | | 2,204 | |
| Distribution and service fees | | | 1,480 | |
| Miscellaneous | | | 19,593 | |
| Total liabilities | | | 632,768 | |
| Net assets | | $ | 25,582,167 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 25,086,301 | |
| Undistributed net investment income | | | 200,095 | |
| Accumulated net realized loss on investments | | | (6,424,721 | ) |
| Net unrealized appreciation on investments | | | 6,720,492 | |
| Net assets | | $ | 25,582,167 | |
| Investor Class: | | | | |
| Net assets | | $ | 22,005,446 | |
| Capital shares outstanding | | | 489,817 | |
| Net asset value per share | | $ | 44.93 | |
| Advisor Class: | | | | |
| Net assets | | $ | 1,240,630 | |
| Capital shares outstanding | | | 29,866 | |
| Net asset value per share | | $ | 41.54 | |
| A-Class: | | | | |
| Net assets | | $ | 1,408,565 | |
| Capital shares outstanding | | | 33,260 | |
| Net asset value per share | | $ | 42.35 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 44.46 | |
| C-Class: | | | | |
| Net assets | | $ | 927,526 | |
| Capital shares outstanding | | | 23,233 | |
| Net asset value per share | | $ | 39.92 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $3,696) | | $ | 518,891 | |
| Income from securities lending, net | | | 3,483 | |
| Interest | | | 92 | |
| Total investment income | | | 522,466 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 192,275 | |
| Transfer agent and administrative fees | | | 56,552 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 5,895 | |
| A-Class | | | 1,699 | |
| C-Class | | | 8,079 | |
| Portfolio accounting fees | | | 22,620 | |
| Custodian fees | | | 3,460 | |
| Trustees’ fees* | | | 1,499 | |
| Miscellaneous | | | 30,292 | |
| Total expenses | | | 322,371 | |
| Net investment income | | | 200,095 | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (1,458,372 | ) |
| Net realized loss | | | (1,458,372 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 4,422,133 | |
| Net change in unrealized appreciation (depreciation) | | | 4,422,133 | |
| Net realized and unrealized gain | | | 2,963,761 | |
| Net increase in net assets resulting from operations | | $ | 3,163,856 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 94 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | year Ended | | | year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 200,095 | | | $ | 24,145 | |
| Net realized loss on investments | | | (1,458,372 | ) | | | (1,120,704 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,422,133 | | | | 490,827 | |
| Net increase (decrease) in net assets resulting from operations | | | 3,163,856 | | | | (605,732 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (21,538 | ) | | | — | |
| Advisor Class | | | (1,404 | ) | | | — | |
| A-Class | | | (533 | ) | | | — | |
| C-Class | | | (670 | ) | | | — | |
| Total distributions to shareholders | | | (24,145 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 121,992,772 | | | | 67,307,816 | |
| Advisor Class | | | 1,469,892 | | | | 7,640,459 | |
| A-Class | | | 1,396,599 | | | | 1,101,175 | |
| C-Class | | | 999,420 | | | | 5,204,525 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 21,523 | | | | — | |
| Advisor Class | | | 1,397 | | | | — | |
| A-Class | | | 520 | | | | — | |
| C-Class | | | 625 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (115,360,323 | ) | | | (56,013,411 | ) |
| Advisor Class | | | (1,820,349 | ) | | | (6,768,833 | ) |
| A-Class | | | (584,020 | ) | | | (1,923,474 | ) |
| C-Class | | | (1,535,038 | ) | | | (4,790,936 | ) |
| Net increase from capital share transactions | | | 6,583,018 | | | | 11,757,321 | |
| Net increase in net assets | | | 9,722,729 | | | | 11,151,589 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 15,859,438 | | | | 4,707,849 | |
| End of year | | $ | 25,582,167 | | | $ | 15,859,438 | |
| Undistributed net investment income at end of year | | $ | 200,095 | | | $ | 24,145 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,272,413 | | | | 1,961,935 | |
| Advisor Class | | | 41,315 | | | | 240,055 | |
| A-Class | | | 36,502 | | | | 37,255 | |
| C-Class | | | 28,954 | | | | 171,187 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 562 | | | | — | |
| Advisor Class | | | 39 | | | | — | |
| A-Class | | | 14 | | | | — | |
| C-Class | | | 18 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,126,614 | ) | | | (1,682,378 | ) |
| Advisor Class | | | (51,650 | ) | | | (218,494 | ) |
| A-Class | | | (16,098 | ) | | | (60,854 | ) |
| C-Class | | | (46,312 | ) | | | (157,894 | ) |
| Net increase in shares | | | 139,143 | | | | 290,812 | |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 95 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.94 | | | $ | 33.50 | | | $ | 27.48 | | | $ | 15.40 | | | $ | 31.72 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .36 | | | | .17 | | | | (.02 | ) | | | .03 | | | | .01 | |
| Net gain (loss) on investments (realized and unrealized) | | | 7.66 | | | | 3.27 | | | | 6.04 | | | | 12.05 | | | | (16.33 | ) |
| Total from investment operations | | | 8.02 | | | | 3.44 | | | | 6.02 | | | | 12.08 | | | | (16.32 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 44.93 | | | $ | 36.94 | | | $ | 33.50 | | | $ | 27.48 | | | $ | 15.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 21.74 | % | | | 10.27 | % | | | 21.91 | % | | | 78.44 | % | | | (51.45 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 22,005 | | | $ | 12,687 | | | $ | 2,141 | | | $ | 13,186 | | | $ | 4,132 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.92 | % | | | 0.49 | % | | | (0.07 | %) | | | 0.13 | % | | | 0.05 | % |
| Total expenses | | | 1.35 | % | | | 1.35 | % | | | 1.39 | % | | | 1.37 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 517 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.33 | | | $ | 31.29 | | | $ | 25.81 | | | $ | 14.53 | | | $ | 30.06 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .29 | | | | (.01 | ) | | | (.16 | ) | | | (.11 | ) | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.95 | | | | 3.05 | | | | 5.64 | | | | 11.39 | | | | (15.50 | ) |
| Total from investment operations | | | 7.24 | | | | 3.04 | | | | 5.48 | | | | 11.28 | | | | (15.53 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 41.54 | | | $ | 34.33 | | | $ | 31.29 | | | $ | 25.81 | | | $ | 14.53 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 21.12 | % | | | 9.72 | % | | | 21.23 | % | | | 77.63 | % | | | (51.66 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,241 | | | $ | 1,379 | | | $ | 582 | | | $ | 1,111 | | | $ | 373 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.80 | % | | | (0.03 | %) | | | (0.61 | %) | | | (0.56 | %) | | | (0.11 | %) |
| Total expenses | | | 1.85 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 517 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % |
| 96 | the RYDEX FUNDS 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.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.91 | | | $ | 31.75 | | | $ | 26.13 | | | $ | 14.67 | | | $ | 30.30 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .29 | | | | .07 | | | | (.05 | ) | | | .17 | | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.18 | | | | 3.09 | | | | 5.67 | | | | 11.29 | | | | (15.59 | ) |
| Total from investment operations | | | 7.47 | | | | 3.16 | | | | 5.62 | | | | 11.46 | | | | (15.63 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 42.35 | | | $ | 34.91 | | | $ | 31.75 | | | $ | 26.13 | | | $ | 14.67 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 21.42 | % | | | 9.95 | % | | | 21.51 | % | | | 78.12 | % | | | (51.58 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,409 | | | $ | 448 | | | $ | 1,157 | | | $ | 489 | | | $ | 25 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.80 | % | | | 0.23 | % | | | (0.18 | %) | | | 0.74 | % | | | (0.16 | %) |
| Total expenses | | | 1.60 | % | | | 1.60 | % | | | 1.63 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 517 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % |
| | | year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.16 | | | $ | 30.36 | | | $ | 25.19 | | | $ | 14.26 | | | $ | 29.66 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .01 | | | | (.15 | ) | | | (.30 | ) | | | (.22 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.78 | | | | 2.95 | | | | 5.47 | | | | 11.15 | | | | (15.22 | ) |
| Total from investment operations | | | 6.79 | | | | 2.80 | | | | 5.17 | | | | 10.93 | | | | (15.40 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.03 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 39.92 | | | $ | 33.16 | | | $ | 30.36 | | | $ | 25.19 | | | $ | 14.26 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 20.54 | % | | | 9.19 | % | | | 20.52 | % | | | 76.65 | % | | | (51.92 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 928 | | | $ | 1,345 | | | $ | 828 | | | $ | 929 | | | $ | 123 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.03 | % | | | (0.50 | %) | | | (1.13 | %) | | | (1.01 | %) | | | (0.78 | %) |
| Total expenses | | | 2.35 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 517 | % | | | 797 | % | | | 963 | % | | | 943 | % | | | 1,529 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 97 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
precious metals FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).
For the one-year period ended March 28, 2013, Precious Metals Fund Investor Class returned -18.60%, compared with 8.35% for the S&P 500 Materials Index. The broader S&P 500 Index returned 13.96%.
The metals & mining holdings accounted for all of the negative return for the period.
Agnico-Eagle Mines Ltd., Southern Copper Corp. and Royal Gold, Inc. were the leading contributors to return. Barrick Gold Corp., Freeport-McMoRan Copper & Gold, Inc. and Goldcorp, Inc. detracted most from return.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
| “Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments. |
| Inception Dates: | | | | |
| Investor Class | | | 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. | | | 9.7 | % |
| Newmont Mining Corp. | | | 7.2 | % |
| Barrick Gold Corp. | | | 7.0 | % |
| Goldcorp, Inc. | | | 5.9 | % |
| Silver Wheaton Corp. | | | 4.8 | % |
| Yamana Gold, Inc. | | | 4.2 | % |
| Kinross Gold Corp. | | | 3.6 | % |
| Agnico-Eagle Mines Ltd. | | | 3.5 | % |
| Royal Gold, Inc. | | | 3.4 | % |
| Southern Copper Corp. | | | 3.4 | % |
| Top Ten Total | | | 52.7 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 98 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
| Cumulative Fund Performance* |
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | -18.60 | % | | | -5.08 | % | | | 7.24 | % |
| C-Class Shares | | | -19.39 | % | | | -6.02 | % | | | 6.17 | % |
| C-Class Shares with CDSC† | | | -20.17 | % | | | -6.02 | % | | | 6.17 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Materials Index | | | 8.35 | % | | | 2.04 | % | | | 10.62 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (08/01/03) | |
| Advisor Class Shares | | | -18.99 | % | | | -5.54 | % | | | 5.14 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 7.16 | % |
| S&P 500 Materials Index | | | 8.35 | % | | | 2.04 | % | | | 8.80 | % |
| | | | | | | | | | | | (09/01/04) | |
| A-Class Shares | | | -18.80 | % | | | -5.31 | % | | | 4.08 | % |
| A-Class Shares with sales | | | | | | | | | | | | |
| charge‡ | | | -22.65 | % | | | -6.23 | % | | | 3.49 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Materials Index | | | 8.35 | % | | | 2.04 | % | | | 7.30 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| the RYDEX FUNDS ANNUAL REPORT | 99 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| precious metals fund | |
| | | Shares | | | Value | |
| COMMON STOCKS† - 100.6% | | | | | | | | |
| | | | | | | | | |
| Gold - 65.7% | | | | | | | | |
| Newmont Mining Corp. | | | 170,040 | | | $ | 7,122,976 | |
| Barrick Gold Corp. | | | 235,325 | | | | 6,918,555 | |
| Goldcorp, Inc. | | | 174,544 | | | | 5,869,915 | |
| Yamana Gold, Inc. | | | 274,168 | | | | 4,208,479 | |
| Kinross Gold Corp. | | | 449,629 | | | | 3,565,558 | |
| Agnico-Eagle Mines Ltd.1 | | | 85,449 | | | | 3,506,827 | |
| Royal Gold, Inc. | | | 47,950 | | | | 3,405,889 | |
| Randgold Resources Ltd. ADR | | | 36,571 | | | | 3,144,375 | |
| Eldorado Gold Corp. | | | 293,863 | | | | 2,800,514 | |
| IAMGOLD Corp. | | | 387,707 | | | | 2,791,490 | |
| AngloGold Ashanti Ltd. ADR | | | 118,499 | | | | 2,790,651 | |
| Gold Fields Ltd. ADR | | | 355,405 | | | | 2,754,389 | |
| Cia de Minas Buenaventura S.A. ADR | | | 94,877 | | | | 2,463,007 | |
| New Gold, Inc.* | | | 216,276 | | | | 1,968,112 | |
| Allied Nevada Gold Corp.* | | | 116,577 | | | | 1,918,857 | |
| AuRico Gold, Inc.* | | | 293,563 | | | | 1,846,511 | |
| Harmony Gold Mining Company Ltd. ADR | | | 272,676 | | | | 1,747,853 | |
| Franco-Nevada Corp. | | | 32,246 | | | | 1,470,095 | |
| Novagold Resources, Inc.* | | | 316,054 | | | | 1,147,276 | |
| Sibanye Gold Ltd. ADR* | | | 200,300 | | | | 1,131,696 | |
| Seabridge Gold, Inc.*,1,2 | | | 68,697 | | | | 948,019 | |
| Gold Resource Corp.2 | | | 71,712 | | | | 934,407 | |
| Aurizon Mines Ltd.* | | | 165,776 | | | | 731,072 | |
| Total Gold | | | | | | | 65,186,523 | |
| Precious Metals & Minerals - 21.8% | | | | | | | | |
| Silver Wheaton Corp. | | | 152,243 | | | | 4,772,819 | |
| Coeur d’Alene Mines Corp.* | | | 138,117 | | | | 2,604,887 | |
| Pan American Silver Corp. | | | 138,343 | | | | 2,266,058 | |
| Stillwater Mining Co.* | | | 172,465 | | | | 2,229,972 | |
| Hecla Mining Co. | | | 485,992 | | | | 1,919,668 | |
| First Majestic Silver Corp.* | | | 101,555 | | | | 1,642,144 | |
| Silver Standard Resources, Inc.* | | | 137,153 | | | | 1,446,964 | |
| McEwen Mining, Inc.*,2 | | | 441,866 | | | | 1,263,737 | |
| Endeavour Silver Corp.* | | | 199,636 | | | | 1,241,736 | |
| Silvercorp Metals, Inc.2 | | | 286,728 | | | | 1,126,841 | |
| Dominion Diamond Corp.* | | | 65,521 | | | | 1,069,958 | |
| Total Precious Metals & Minerals | | | | | | | 21,584,784 | |
| Diversified Metals & Mining - 13.1% | | | | | | | | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 290,530 | | | | 9,616,543 | |
| Southern Copper Corp. | | | 90,536 | | | | 3,401,438 | |
| Total Diversified Metals & Mining | | | | | | | 13,017,981 | |
| Total Common Stocks | | | | | | | | |
| (Cost $57,869,200) | | | | | | | 99,789,288 | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,3 - 0.7% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 644,949 | | | | 644,949 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $644,949) | | | | | | | 644,949 | |
| SECURITIES LENDING COLLATERAL††,4 - 1.8% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 971,879 | | | | 971,879 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 764,537 | | | | 764,537 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,736,416) | | | | | | | 1,736,416 | |
| Total Investments - 103.1% | | | | | | | | |
| (Cost $60,250,565) | | | | | | $ | 102,170,653 | |
| Other Assets & Liabilities, net - (3.1)% | | | | | | | (3,041,316 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 99,129,337 | |
| * | 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 | Security was acquired through a private placement. |
| 2 | All or portion of this security is on loan at March 28, 2013 — See Note 6. |
| 3 | Repurchase Agreement — See Note 5. |
| 4 | Securities lending collateral — See Note 6. |
ADR — American Depositary Receipt
| 100 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| precious metals fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $1,622,122 of securities loaned | | | | |
| (cost $57,869,200) | | $ | 99,789,288 | |
| Repurchase agreements, at value | | | | |
| (cost $2,381,365) | | | 2,381,365 | |
| Total investments | | | | |
| (cost $60,250,565) | | | 102,170,653 | |
| Cash | | | 31,491 | |
| Receivables: | | | | |
| Securities sold | | | 2,713,326 | |
| Fund shares sold | | | 331,334 | |
| Dividends | | | 45,738 | |
| Interest | | | 3,102 | |
| Total assets | | | 105,295,644 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 4,242,172 | |
| Upon return of securities loaned | | | 1,736,416 | |
| Management fees | | | 62,821 | |
| Transfer agent and administrative fees | | | 20,940 | |
| Distribution and service fees | | | 18,708 | |
| Portfolio accounting fees | | | 8,376 | |
| Miscellaneous | | | 76,874 | |
| Total liabilities | | | 6,166,307 | |
| Net assets | | $ | 99,129,337 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 83,904,409 | |
| Undistributed net investment income | | | 291,910 | |
| Accumulated net realized loss on investments | | | (26,987,070 | ) |
| Net unrealized appreciation on investments | | | 41,920,088 | |
| Net assets | | $ | 99,129,337 | |
| Investor Class: | | | | |
| Net assets | | $ | 71,385,516 | |
| Capital shares outstanding | | | 1,382,056 | |
| Net asset value per share | | $ | 51.65 | |
| Advisor Class: | | | | |
| Net assets | | $ | 3,148,433 | |
| Capital shares outstanding | | | 63,998 | |
| Net asset value per share | | $ | 49.20 | |
| A-Class: | | | | |
| Net assets | | $ | 5,987,851 | |
| Capital shares outstanding | | | 119,080 | |
| Net asset value per share | | $ | 50.28 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 52.79 | |
| C-Class: | | | | |
| Net assets | | $ | 18,607,537 | |
| Capital shares outstanding | | | 406,991 | |
| Net asset value per share | | $ | 45.72 | |
| STATEMENT OF OPERATIONS |
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $130,874) | | $ | 2,392,353 | |
| Income from securities lending, net | | | 22,621 | |
| Interest | | | 606 | |
| Other income | | | 153 | |
| Total investment income | | | 2,415,733 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 999,903 | |
| Transfer agent and administrative fees | | | 333,301 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 31,011 | |
| A-Class | | | 18,467 | |
| C-Class | | | 219,024 | |
| Portfolio accounting fees | | | 133,319 | |
| Custodian fees | | | 23,517 | |
| Trustees’ fees* | | | 14,132 | |
| Miscellaneous | | | 170,074 | |
| Total expenses | | | 1,942,748 | |
| Net investment income | | | 472,985 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (2,819,946 | ) |
| Foreign currency | | | 4 | |
| Net realized loss | | | (2,819,942 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (17,844,799 | ) |
| Net change in unrealized appreciation (depreciation) | | | (17,844,799 | ) |
| Net realized and unrealized loss | | | (20,664,741 | ) |
| Net decrease in net assets resulting from operations | | $ | (20,191,756 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 101 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | year Ended | | | year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
Increase (Decrease) In Net Assets From operations: | | | | | | | | |
| Net investment income (loss) | | $ | 472,985 | | | $ | (476,552 | ) |
| Net realized gain (loss) on investments | | | (2,819,942 | ) | | | 19,678,661 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (17,844,799 | ) | | | (67,488,597 | ) |
| Net decrease in net assets resulting from operations | | | (20,191,756 | ) | | | (48,286,488 | ) |
| | | | | | | | | |
Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (192,477 | ) | | | (342,783 | ) |
| Advisor Class | | | (8,168 | ) | | | (98,439 | ) |
| A-Class | | | (15,320 | ) | | | (29,266 | ) |
| C-Class | | | (41,649 | ) | | | (131,027 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (4,128,966 | ) | | | — | |
| Advisor Class | | | (175,216 | ) | | | — | |
| A-Class | | | (328,641 | ) | | | — | |
| C-Class | | | (893,443 | ) | | | — | |
| Total distributions to shareholders | | | (5,783,880 | ) | | | (601,515 | ) |
| | | | | | | | | |
Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 366,675,941 | | | | 423,424,295 | |
| Advisor Class | | | 66,385,396 | | | | 175,221,277 | |
| A-Class | | | 10,420,356 | | | | 16,352,801 | |
| C-Class | | | 55,350,011 | | | | 100,545,119 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 4,213,393 | | | | 327,275 | |
| Advisor Class | | | 181,989 | | | | 98,109 | |
| A-Class | | | 258,731 | | | | 26,774 | |
| C-Class | | | 916,449 | | | | 127,230 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (362,487,037 | ) | | | (456,983,256 | ) |
| Advisor Class | | | (71,618,028 | ) | | | (188,141,866 | ) |
| A-Class | | | (9,211,579 | ) | | | (21,646,696 | ) |
| C-Class | | | (58,172,115 | ) | | | (105,056,886 | ) |
| Net increase (decrease) from capital share transactions | | | 2,913,507 | | | | (55,705,824 | ) |
| Net decrease in net assets | | | (23,062,129 | ) | | | (104,593,827 | ) |
| | | | | | | | | |
Net assets: | | | | | | | | |
| Beginning of year | | | 122,191,466 | | | | 226,785,293 | |
| End of year | | $ | 99,129,337 | | | $ | 122,191,466 | |
| Undistributed/(Accumulated) net investment income/(loss) at end of year | | $ | 291,910 | | | $ | (928,587 | ) |
| | | | | | | | | |
Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 5,958,091 | | | | 5,482,005 | |
| Advisor Class | | | 1,151,300 | | | | 2,329,104 | |
| A-Class | | | 174,830 | | | | 219,463 | |
| C-Class | | | 1,016,646 | | | | 1,456,077 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 65,701 | | | | 4,566 | |
| Advisor Class | | | 2,974 | | | | 1,425 | |
| A-Class | | | 4,140 | | | | 382 | |
| C-Class | | | 16,087 | | | | 1,971 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (5,853,272 | ) | | | (5,909,703 | ) |
| Advisor Class | | | (1,242,772 | ) | | | (2,541,906 | ) |
| A-Class | | | (159,753 | ) | | | (295,558 | ) |
| C-Class | | | (1,075,323 | ) | | | (1,512,258 | ) |
| Net increase (decrease) in shares | | | 58,649 | | | | (764,432 | ) |
| 102 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| precious metals fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.73 | | | $ | 86.74 | | | $ | 61.73 | | | $ | 46.36 | | | $ | 69.89 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .34 | | | | (.02 | ) | | | (.28 | ) | | | (.44 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (12.12 | ) | | | (20.70 | ) | | | 25.32 | | | | 15.96 | | | | (23.30 | ) |
| Total from investment operations | | | (11.78 | ) | | | (20.72 | ) | | | 25.04 | | | | 15.52 | | | | (23.53 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | |
| Net realized gains | | | (2.20 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | |
| Total distributions | | | (2.30 | ) | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | |
| Net asset value, end of period | | $ | 51.65 | | | $ | 65.73 | | | $ | 86.74 | | | $ | 61.73 | | | $ | 46.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.60 | %) | | | (23.91 | %) | | | 40.57 | % | | | 33.44 | % | | | (33.67 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 71,386 | | | $ | 79,637 | | | $ | 141,798 | | | $ | 113,546 | | | $ | 160,759 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.55 | % | | | (0.03 | %) | | | (0.37 | %) | | | (0.76 | %) | | | (0.48 | %) |
| Total expenses | | | 1.25 | % | | | 1.26 | % | | | 1.28 | % | | | 1.28 | % | | | 1.28 | % |
| Portfolio turnover rate | | | 206 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % |
| | | year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 63.02 | | | $ | 83.59 | | | $ | 59.79 | | | $ | 45.12 | | | $ | 68.36 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.02 | ) | | | (.44 | ) | | | (.61 | ) | | | (.79 | ) | | | (.50 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (11.50 | ) | | | (19.84 | ) | | | 24.44 | | | | 15.61 | | | | (22.74 | ) |
| Total from investment operations | | | (11.52 | ) | | | (20.28 | ) | | | 23.83 | | | | 14.82 | | | | (23.24 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | |
| Net realized gains | | | (2.20 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | |
| Total distributions | | | (2.30 | ) | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | |
| Net asset value, end of period | | $ | 49.20 | | | $ | 63.02 | | | $ | 83.59 | | | $ | 59.79 | | | $ | 45.12 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.99 | %) | | | (24.29 | %) | | | 39.87 | % | | | 32.81 | % | | | (34.00 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 3,148 | | | $ | 9,610 | | | $ | 30,418 | | | $ | 18,677 | | | $ | 12,056 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.04 | %) | | | (0.59 | %) | | | (0.86 | %) | | | (1.35 | %) | | | (1.02 | %) |
| Total expenses | | | 1.75 | % | | | 1.76 | % | | | 1.78 | % | | | 1.77 | % | | | 1.77 | % |
| Portfolio turnover rate | | | 206 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % |
| See Notes to Financial Statements. | the RYDEX FUNDS ANNUAL REPORT | 103 |
| precious metals fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.21 | | | $ | 84.97 | | | $ | 60.63 | | | $ | 45.64 | | | $ | 68.96 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .21 | | | | (.22 | ) | | | (.45 | ) | | | (.59 | ) | | | (.36 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (11.84 | ) | | | (20.25 | ) | | | 24.82 | | | | 15.73 | | | | (22.96 | ) |
| Total from investment operations | | | (11.63 | ) | | | (20.47 | ) | | | 24.37 | | | | 15.14 | | | | (23.32 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | |
| Net realized gains | | | (2.20 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | |
| Total distributions | | | (2.30 | ) | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | |
| Net asset value, end of period | | $ | 50.28 | | | $ | 64.21 | | | $ | 84.97 | | | $ | 60.63 | | | $ | 45.64 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (18.80 | %) | | | (24.13 | %) | | | 40.21 | % | | | 33.14 | % | | | (33.82 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 5,988 | | | $ | 6,412 | | | $ | 14,919 | | | $ | 8,422 | | | $ | 8,484 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.35 | % | | | (0.30 | %) | | | (0.63 | %) | | | (1.04 | %) | | | (0.71 | %) |
| Total expenses | | | 1.50 | % | | | 1.51 | % | | | 1.53 | % | | | 1.52 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 206 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % |
| | | year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.02 | | | $ | 78.70 | | | $ | 56.58 | | | $ | 42.92 | | | $ | 65.38 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.23 | ) | | | (.72 | ) | | | (.94 | ) | | | (.97 | ) | | | (.68 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (10.77 | ) | | | (18.67 | ) | | | 23.09 | | | | 14.78 | | | | (21.78 | ) |
| Total from investment operations | | | (11.00 | ) | | | (19.39 | ) | | | 22.15 | | | | 13.81 | | | | (22.46 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.10 | ) | | | (.29 | ) | | | (.03 | ) | | | — | | | | — | |
| Net realized gains | | | (2.20 | ) | | | — | | | | — | | | | (.08 | ) | | | — | |
| Return of capital | | | — | | | | — | | | | — | | | | (.07 | ) | | | — | |
| Total distributions | | | (2.30 | ) | | | (.29 | ) | | | (.03 | ) | | | (.15 | ) | | | — | |
| Net asset value, end of period | | $ | 45.72 | | | $ | 59.02 | | | $ | 78.70 | | | $ | 56.58 | | | $ | 42.92 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (19.39 | %) | | | (24.68 | %) | | | 39.18 | % | | | 32.14 | % | | | (34.35 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 18,608 | | | $ | 26,533 | | | $ | 39,650 | | | $ | 23,483 | | | $ | 20,452 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.42 | %) | | | (1.04 | %) | | | (1.37 | %) | | | (1.81 | %) | | | (1.43 | %) |
| Total expenses | | | 2.25 | % | | | 2.26 | % | | | 2.28 | % | | | 2.28 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 206 | % | | | 235 | % | | | 322 | % | | | 383 | % | | | 245 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 104 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
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| the RYDEX FUNDS ANNUAL REPORT | 105 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
Retailing Fund
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail-order operations and other companies involved in selling products to consumers (“Retailing Companies”).
For the one-year period ended March 28, 2013, Retailing Fund Investor Class returned 12.44%, compared with 19.85% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 13.96%.
Within the sector, the heavily weighted specialty retail segment contributed most to Fund performance, followed by food & staples retailing. No industry detracted from return, but the multiline retail segment contributed least.
Fund performance for the period benefited most from Wal-Mart Stores, Inc., Home Depot, Inc. and Amazon.com, Inc. Groupon, Inc., J.C. Penney Company, Inc. and Zumiez, Inc. were the largest detractors from the Fund’s performance for the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | | |
| Investor Class | | | 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. | | | 6.4 | % |
| Amazon.com, Inc. | | | 4.5 | % |
| Home Depot, Inc. | | | 4.1 | % |
| CVS Caremark Corp. | | | 3.3 | % |
| Walgreen Co. | | | 2.8 | % |
| Costco Wholesale Corp. | | | 2.8 | % |
| Target Corp. | | | 2.7 | % |
| Lowe’s Companies, Inc. | | | 2.6 | % |
| TJX Companies, Inc. | | | 2.4 | % |
| Priceline.com, Inc. | | | 2.2 | % |
| Top Ten Total | | | 33.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 106 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 12.44 | % | | | 11.26 | % | | | 9.42 | % |
| Advisor Class Shares | | | 12.16 | % | | | 10.78 | % | | | 8.95 | % |
| C-Class Shares | | | 11.40 | % | | | 10.16 | % | | | 8.37 | % |
| C-Class Shares with CDSC† | | | 10.40 | % | | | 10.16 | % | | | 8.37 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Consumer Discretionary Index | | | 19.85 | % | | | 13.46 | % | | | 10.41 | % |
| | | | | | | | | Since | |
| | | | | | | | | inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 12.05 | % | | | 11.01 | % | | | 7.12 | % |
| A-Class Shares with sales charge‡ | | | 6.70 | % | | | 9.93 | % | | | 6.51 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Consumer Discretionary Index | | | 19.85 | % | | | 13.46 | % | | | 8.35 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| the RYDEX FUNDS ANNUAL REPORT | 107 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| retailing fund | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.0% | | | | | | | | |
| | | | | | | | | |
| Apparel Retail - 17.5% | | | | | | | | |
| TJX Companies, Inc. | | | 10,402 | | | $ | 486,293 | |
| The Gap, Inc. | | | 9,399 | | | | 332,724 | |
| Ross Stores, Inc. | | | 5,150 | | | | 312,193 | |
| L Brands, Inc. | | | 6,557 | | | | 292,836 | |
| Urban Outfitters, Inc.* | | | 4,909 | | | | 190,175 | |
| Foot Locker, Inc. | | | 5,543 | | | | 189,792 | |
| Abercrombie & Fitch Co. — Class A | | | 3,286 | | | | 151,813 | |
| American Eagle Outfitters, Inc. | | | 7,940 | | | | 148,478 | |
| Ascena Retail Group, Inc.* | | | 7,376 | | | | 136,825 | |
| Chico’s FAS, Inc. | | | 7,796 | | | | 130,973 | |
| DSW, Inc. — Class A | | | 1,995 | | | | 127,281 | |
| Buckle, Inc. | | | 2,533 | | | | 118,164 | |
| Guess?, Inc. | | | 4,560 | | | | 113,225 | |
| Express, Inc.* | | | 5,670 | | | | 100,983 | |
| Men’s Wearhouse, Inc. | | | 2,883 | | | | 96,350 | |
| ANN, Inc.* | | | 3,192 | | | | 92,632 | |
| Genesco, Inc.* | | | 1,531 | | | | 91,998 | |
| Francesca’s Holdings Corp.*,1 | | | 3,200 | | | | 91,712 | |
| Aeropostale, Inc.* | | | 6,005 | | | | 81,668 | |
| Finish Line, Inc. — Class A | | | 4,146 | | | | 81,220 | |
| Jos. A. Bank Clothiers, Inc.* | | | 1,973 | | | | 78,723 | |
| Children’s Place Retail Stores, Inc.* | | | 1,708 | | | | 76,553 | |
| Stage Stores, Inc. | | | 2,860 | | | | 74,017 | |
| Total Apparel Retail | | | | | | | 3,596,628 | |
| Internet Retail - 12.9% | | | | | | | | |
| Amazon.com, Inc.* | | | 3,457 | | | | 921,255 | |
| Priceline.com, Inc.* | | | 648 | | | | 445,779 | |
| Netflix, Inc.* | | | 1,361 | | | | 257,787 | |
| TripAdvisor, Inc.* | | | 4,265 | | | | 223,998 | |
| Expedia, Inc. | | | 3,685 | | | | 221,137 | |
| Groupon, Inc. — Class A* | | | 30,109 | | | | 184,267 | |
| HomeAway, Inc.* | | | 4,300 | | | | 139,750 | |
| Ctrip.com International Ltd. ADR*,1 | | | 6,270 | | | | 134,053 | |
| Shutterfly, Inc.* | | | 2,360 | | | | 104,241 | |
| Total Internet Retail | | | | | | | 2,632,267 | |
| Specialty Stores - 11.1% | | | | | | | | |
| Staples, Inc. | | | 18,325 | | | | 246,104 | |
| Tiffany & Co. | | | 3,503 | | | | 243,599 | |
| Tractor Supply Co. | | | 2,031 | | | | 211,488 | |
| PetSmart, Inc. | | | 3,402 | | | | 211,264 | |
| Dick’s Sporting Goods, Inc. | | | 4,127 | | | | 195,207 | |
| Sally Beauty Holdings, Inc.* | | | 6,366 | | | | 187,033 | |
| Ulta Salon Cosmetics & Fragrance, Inc.* | | | 2,085 | | | | 169,239 | |
| Cabela’s, Inc.* | | | 2,784 | | | | 169,212 | |
| GNC Holdings, Inc. — Class A | | | 4,080 | | | | 160,262 | |
| Signet Jewelers Ltd. | | | 2,068 | | | | 138,556 | |
| Hibbett Sports, Inc.* | | | 1,680 | | | | 94,534 | |
| Vitamin Shoppe, Inc.* | | | 1,861 | | | | 90,910 | |
| OfficeMax, Inc. | | | 7,050 | | | | 81,851 | |
| Barnes & Noble, Inc.* | | | 4,900 | | | | 80,605 | |
| Total Specialty Stores | | | | | | | 2,279,864 | |
| Hypermarkets & Super Centers - 10.3% | | | | | | | | |
| Wal-Mart Stores, Inc. | | | 17,590 | | | | 1,316,259 | |
| Costco Wholesale Corp. | | | 5,347 | | | | 567,370 | |
| PriceSmart, Inc. | | | 1,550 | | | | 120,637 | |
| Cia Brasileira de Distribuicao | | | | | | | | |
| Grupo Pao de Acucar ADR | | | 1,932 | | | | 102,937 | |
| Total Hypermarkets & Super Centers | | | | | | | 2,107,203 | |
| Automotive Retail - 7.6% | | | | | | | | |
| AutoZone, Inc.* | | | 750 | | | | 297,577 | |
| O’Reilly Automotive, Inc.* | | | 2,703 | | | | 277,192 | |
| CarMax, Inc.* | | | 6,077 | | | | 253,411 | |
| Advance Auto Parts, Inc. | | | 2,541 | | | | 210,014 | |
| AutoNation, Inc.* | | | 4,324 | | | | 189,175 | |
| Penske Automotive Group, Inc. | | | 4,320 | | | | 144,115 | |
| Group 1 Automotive, Inc. | | | 1,527 | | | | 91,727 | |
| Asbury Automotive Group, Inc.* | | | 2,250 | | | | 82,553 | |
| Total Automotive Retail | | | | | | | 1,545,764 | |
| General Merchandise Stores - 7.3% | | | | | | | | |
| Target Corp. | | | 8,034 | | | | 549,927 | |
| Dollar General Corp.* | | | 6,681 | | | | 337,925 | |
| Dollar Tree, Inc.* | | | 5,840 | | | | 282,831 | |
| Family Dollar Stores, Inc. | | | 3,610 | | | | 213,171 | |
| Big Lots, Inc.* | | | 3,298 | | | | 116,320 | |
| Total General Merchandise Stores | | | | | | | 1,500,174 | |
| Home Improvement Retail - 7.2% | | | | | | | | |
| Home Depot, Inc. | | | 12,013 | | | | 838,268 | |
| Lowe’s Companies, Inc. | | | 13,845 | | | | 525,002 | |
| Lumber Liquidators Holdings, Inc.* | | | 1,560 | | | | 109,543 | |
| Total Home Improvement Retail | | | | | | | 1,472,813 | |
| Department Stores - 7.1% | | | | | | | | |
| Macy’s, Inc. | | | 7,868 | | | | 329,197 | |
| Nordstrom, Inc. | | | 4,941 | | | | 272,891 | |
| Kohl’s Corp. | | | 5,599 | | | | 258,282 | |
| Sears Holdings Corp.*,1 | | | 3,640 | | | | 181,891 | |
| JC Penney Company, Inc.1 | | | 9,879 | | | | 149,272 | |
| Dillard’s, Inc. — Class A | | | 1,889 | | | | 148,381 | |
| Saks, Inc.* | | | 9,130 | | | | 104,721 | |
| Total Department Stores | | | | | | | 1,444,635 | |
| Drug Retail - 6.2% | | | | | | | | |
| CVS Caremark Corp. | | | 12,437 | | | | 683,911 | |
| Walgreen Co. | | | 12,216 | | | | 582,459 | |
| Total Drug Retail | | | | | | | 1,266,370 | |
| Homefurnishing Retail - 4.2% | | | | | | | | |
| Bed Bath & Beyond, Inc.* | | | 4,968 | | | | 320,039 | |
| Williams-Sonoma, Inc. | | | 3,828 | | | | 197,219 | |
| Pier 1 Imports, Inc. | | | 5,608 | | | | 128,984 | |
| Aaron’s, Inc. | | | 4,227 | | | | 121,230 | |
| Select Comfort Corp.* | | | 4,377 | | | | 86,533 | |
| Total Homefurnishing Retail | | | | | | | 854,005 | |
| 108 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENT (concluded) | March 28, 2013 |
| retailing fund |
| | | Shares | | | Value | |
| | | | | | | | | |
| Distributors - 3.0% | | | | | | | | |
| Genuine Parts Co. | | | 3,673 | | | $ | 286,494 | |
| LKQ Corp.* | | | 9,670 | | | | 210,419 | |
| Pool Corp. | | | 2,550 | | | | 122,400 | |
| Total Distributors | | | | | | | 619,313 | |
| Computer & Electronics Retail - 2.5% | | | | | | | | |
| Best Buy Company, Inc. | | | 10,155 | | | | 224,933 | |
| GameStop Corp. — Class A1 | | | 5,695 | | | | 159,289 | |
| Rent-A-Center, Inc. — Class A | | | 3,216 | | | | 118,799 | |
| Total Computer & Electronics Retail | | | | | | | 503,021 | |
| Catalog Retail - 2.1% | | | | | | | | |
| Liberty Interactive Corp. — Class A* | | | 12,983 | | | | 277,577 | |
| HSN, Inc. | | | 2,590 | | | | 142,087 | |
| Total Catalog Retail | | | | | | | 419,664 | |
| Total Common Stocks | | | | | | | | |
| (Cost $13,904,278) | | | | | | | 20,241,721 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENT††,2 - 1.0% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 212,368 | | | | 212,368 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $212,368) | | | | | | | 212,368 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.2% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 138,804 | | | | 138,804 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 109,192 | | | | 109,192 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $247,996) | | | | | | | 247,996 | |
| Total Investments - 101.2% | | | | | | | | |
| (Cost $14,364,642) | | | | | | $ | 20,702,085 | |
| Other Assets & Liabilities, net - (1.2)% | | | | | | | (246,218 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 20,455,867 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6.
ADR — American Depositary Receipt |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
| retailing fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
|
| March 28, 2013 |
| Assets: | | | | |
| Investments, at value - including $245,001 of securities loaned | | | | |
| (cost $13,904,278) | | $ | 20,241,721 | |
| Repurchase agreements, at value | | | | |
| (cost $460,364) | | | 460,364 | |
| Total investments | | | | |
| (cost $14,364,642) | | | 20,702,085 | |
| Cash | | | 2,706 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,261,553 | |
| Dividends | | | 16,991 | |
| Interest | | | 505 | |
| Total assets | | | 21,983,840 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 877,670 | |
| Fund shares redeemed | | | 366,665 | |
| Upon return of securities loaned | | | 247,996 | |
| Management fees | | | 13,917 | |
| Transfer agent and administrative fees | | | 4,093 | |
| Distribution and service fees | | | 2,581 | |
| Portfolio accounting fees | | | 1,637 | |
| Miscellaneous | | | 13,414 | |
| Total liabilities | | | 1,527,973 | |
| Net assets | | $ | 20,455,867 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 19,828,017 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (5,709,593 | ) |
| Net unrealized appreciation on investments | | | 6,337,443 | |
| Net assets | | $ | 20,455,867 | |
| Investor Class: | | | | |
| Net assets | | $ | 14,671,036 | |
| Capital shares outstanding | | | 747,860 | |
| Net asset value per share | | $ | 19.62 | |
| Advisor Class: | | | | |
| Net assets | | $ | 2,454,098 | |
| Capital shares outstanding | | | 133,016 | |
| Net asset value per share | | $ | 18.45 | |
| A-Class: | | | | |
| Net assets | | $ | 1,500,157 | |
| Capital shares outstanding | | | 79,836 | |
| Net asset value per share | | $ | 18.79 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 19.73 | |
| C-Class: | | | | |
| Net assets | | $ | 1,830,576 | |
| Capital shares outstanding | | | 105,233 | |
| Net asset value per share | | $ | 17.40 | |
| STATEMENT OF OPERATIONS |
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $141) | | $ | 500,199 | |
| Income from securities lending, net | | | 4,801 | |
| Interest | | | 123 | |
| Total investment income | | | 505,123 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 231,137 | |
| Transfer agent and administrative fees | | | 67,982 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 8,873 | |
| A-Class | | | 8,479 | |
| C-Class | | | 19,575 | |
| Portfolio accounting fees | | | 27,192 | |
| Custodian fees | | | 4,580 | |
| Trustees’ fees* | | | 2,523 | |
| Miscellaneous | | | 33,643 | |
| Total expenses | | | 403,984 | |
| Net investment income | | | 101,139 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,744,690 | |
| Foreign currency | | | 56 | |
| Net realized gain | | | 1,744,746 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (331,652 | ) |
| Net change in unrealized appreciation (depreciation) | | | (331,652 | ) |
| Net realized and unrealized gain | | | 1,413,094 | |
| Net increase in net assets resulting from operations | | $ | 1,514,233 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 110 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| retailing fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 101,139 | | | $ | (32,136 | ) |
| Net realized gain (loss) on investments | | | 1,744,746 | | | | (1,736,442 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (331,652 | ) | | | 4,064,079 | |
| Net increase in net assets resulting from operations | | | 1,514,233 | | | | 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 | | | 124,440,704 | | | | 154,522,734 | |
| Advisor Class | | | 34,065,876 | | | | 41,989,998 | |
| A-Class | | | 9,815,440 | | | | 6,468,017 | |
| C-Class | | | 28,702,196 | | | | 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 | | | (145,758,850 | ) | | | (124,920,412 | ) |
| Advisor Class | | | (35,612,946 | ) | | | (39,872,121 | ) |
| A-Class | | | (14,039,858 | ) | | | (1,518,199 | ) |
| C-Class | | | (29,752,249 | ) | | | (43,364,257 | ) |
| Net increase (decrease) from capital share transactions | | | (28,139,687 | ) | | | 36,220,285 | |
| Net increase (decrease) in net assets | | | (26,625,454 | ) | | | 38,499,744 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 47,081,321 | | | | 8,581,577 | |
| End of year | | $ | 20,455,867 | | | $ | 47,081,321 | |
| Accumulated net investment loss at end of year | | $ | — | | | $ | (18,867 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 6,997,301 | | | | 10,008,491 | |
| Advisor Class | | | 2,011,477 | | | | 2,942,412 | |
| A-Class | | | 575,762 | | | | 406,397 | |
| C-Class | | | 1,831,862 | | | | 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 | | | (8,243,663 | ) | | | (8,272,567 | ) |
| Advisor Class | | | (2,120,335 | ) | | | (2,814,468 | ) |
| A-Class | | | (835,701 | ) | | | (103,243 | ) |
| C-Class | | | (1,893,223 | ) | | | (3,201,016 | ) |
| Net increase (decrease) in shares | | | (1,676,520 | ) | | | 2,130,629 | |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
| retailing fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.45 | | | $ | 14.66 | | | $ | 12.75 | | | $ | 8.58 | | | $ | 11.54 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .09 | | | | .01 | | | | .05 | | | | .03 | | | | (.01 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | 2.08 | | | | 2.79 | | | | 1.89 | | | | 4.14 | | | | (2.95 | ) |
| Total from investment operations | | | 2.17 | | | | 2.80 | | | | 1.94 | | | | 4.17 | | | | (2.96 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 19.62 | | | $ | 17.45 | | | $ | 14.66 | | | $ | 12.75 | | | $ | 8.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.44 | % | | | 19.14 | % | | | 15.20 | % | | | 48.60 | % | | | (25.65 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 14,671 | | | $ | 34,802 | | | $ | 3,776 | | | $ | 12,060 | | | $ | 84,894 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.51 | % | | | 0.04 | % | | | 0.34 | % | | | 0.28 | % | | | (0.14 | %) |
| Total expenses | | | 1.35 | % | | | 1.34 | % | | | 1.39 | % | | | 1.38 | % | | | 1.32 | % |
| Portfolio turnover rate | | | 472 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.45 | | | $ | 13.91 | | | $ | 12.14 | | | $ | 8.20 | | | $ | 11.10 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.01 | ) | | | (.09 | ) | | | (.07 | ) | | | (.06 | ) | | | (.02 | ) |
Net gain (loss) on investments
(realized and unrealized) | | | 2.01 | | | | 2.64 | | | | 1.87 | | | | 4.00 | | | | (2.88 | ) |
| Total from investment operations | | | 2.00 | | | | 2.55 | | | | 1.80 | | | | 3.94 | | | | (2.90 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 18.45 | | | $ | 16.45 | | | $ | 13.91 | | | $ | 12.14 | | | $ | 8.20 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.16 | % | | | 18.38 | % | | | 14.81 | % | | | 48.05 | % | | | (26.13 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,454 | | | $ | 3,979 | | | $ | 1,583 | | | $ | 2,350 | | | $ | 901 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.05 | %) | | | (0.66 | %) | | | (0.58 | %) | | | (0.57 | %) | | | (0.26 | %) |
| Total expenses | | | 1.85 | % | | | 1.84 | % | | | 1.89 | % | | | 1.87 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 472 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % |
| 112 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| retailing fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.77 | | | $ | 14.14 | | | $ | 12.31 | | | $ | 8.30 | | | $ | 11.18 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .03 | | | | (.03 | ) | | | .18 | | | | (.01 | ) | | | (.02 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.99 | | | | 2.67 | | | | 1.68 | | | | 4.02 | | | | (2.86 | ) |
| Total from investment operations | | | 2.02 | | | | 2.64 | | | | 1.86 | | | | 4.01 | | | | (2.88 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 18.79 | | | $ | 16.77 | | | $ | 14.14 | | | $ | 12.31 | | | $ | 8.30 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 12.05 | % | | | 18.71 | % | | | 15.09 | % | | | 48.31 | % | | | (25.76 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,500 | | | $ | 5,697 | | | $ | 517 | | | $ | 395 | | | $ | 49 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.20 | % | | | (0.18 | %) | | | 1.42 | % | | | (0.12 | %) | | | (0.17 | %) |
| Total expenses | | | 1.59 | % | | | 1.58 | % | | | 1.64 | % | | | 1.62 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 472 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.62 | | | $ | 13.27 | | | $ | 11.65 | | | $ | 7.92 | | | $ | 10.76 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.06 | ) | | | (.13 | ) | | | (.11 | ) | | | (.10 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.84 | | | | 2.49 | | | | 1.76 | | | | 3.83 | | | | (2.77 | ) |
| Total from investment operations | | | 1.78 | | | | 2.36 | | | | 1.65 | | | | 3.73 | | | | (2.84 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | (.01 | ) | | | (.03 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 17.40 | | | $ | 15.62 | | | $ | 13.27 | | | $ | 11.65 | | | $ | 7.92 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 11.40 | % | | | 17.83 | % | | | 14.14 | % | | | 47.10 | % | | | (26.39 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,831 | | | $ | 2,603 | | | $ | 2,705 | | | $ | 1,709 | | | $ | 1,008 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.39 | %) | | | (0.96 | %) | | | (0.96 | %) | | | (1.08 | %) | | | (0.76 | %) |
| Total expenses | | | 2.35 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 472 | % | | | 822 | % | | | 1,062 | % | | | 1,049 | % | | | 461 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
technology FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
For the one-year period ended March 28, 2013, Technology Fund Investor Class returned 1.54%, compared with -1.12% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.96%.
Within the sector, internet software & services was the largest contributor to return, followed by the IT services segment. The largest detractor from return was computers & peripherals, followed by diversified financial services.
Top-contributing holdings were Visa, Inc., Google, Inc. and eBay, Inc. Apple, Inc., Baidu, Inc. and Nokia Corp. were the holdings detracting most from performance for the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | April 14, 1998 |
| Advisor Class | April 29, 1998 |
| A-Class | September 1, 2004 |
| C-Class | April 18, 2001 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Apple, Inc. | | | 4.3 | % |
| Google, Inc. — Class A | | | 3.3 | % |
| Microsoft Corp. | | | 3.3 | % |
| International Business Machines Corp. | | | 3.2 | % |
| Oracle Corp. | | | 2.4 | % |
| Visa, Inc. — Class A | | | 2.3 | % |
| QUALCOMM, Inc. | | | 2.3 | % |
| Intel Corp. | | | 2.2 | % |
| Cisco Systems, Inc. | | | 2.2 | % |
| eBay, Inc. | | | 1.8 | % |
| Top Ten Total | | | 27.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 114 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 1.54 | % | | | 4.30 | % | | | 7.44 | % |
| Advisor Class Shares | | | 1.04 | % | | | 3.75 | % | | | 6.90 | % |
| C-Class Shares | | | 0.54 | % | | | 3.24 | % | | | 6.37 | % |
| C-Class Shares with CDSC† | | | -0.46 | % | | | 3.24 | % | | | 6.37 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 9.18 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 1.32 | % | | | 4.00 | % | | | 4.69 | % |
| A-Class Shares with sales charge‡ | | | -3.50 | % | | | 3.00 | % | | | 4.10 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Information Technology Index | | | -1.12 | % | | | 8.00 | % | | | 7.40 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| the RYDEX FUNDS ANNUAL REPORT | 115 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| technology fund | |
| | | Shares | | | Value | |
| | | | | | | | | |
| COMMON STOCKS† - 99.2% | | | | | | | | |
| | | | | | | | | |
| Semiconductors - 16.5% | | | | | | | | |
| Intel Corp. | | | 13,464 | | | $ | 294,189 | |
| Texas Instruments, Inc. | | | 4,976 | | | | 176,549 | |
| Broadcom Corp. — Class A | | | 3,572 | | | | 123,841 | |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 6,778 | | | | 116,514 | |
| Avago Technologies Ltd. | | | 3,162 | | | | 113,579 | |
| Marvell Technology Group Ltd. | | | 10,612 | | | | 112,275 | |
| ARM Holdings plc ADR | | | 2,592 | | | | 109,823 | |
| Analog Devices, Inc. | | | 2,280 | | | | 105,997 | |
| NXP Semiconductor N.V.* | | | 3,480 | | | | 105,305 | |
| Mellanox Technologies Ltd.* | | | 1,832 | | | | 101,694 | |
| Altera Corp. | | | 2,646 | | | | 93,854 | |
| Micron Technology, Inc.* | | | 9,065 | | | | 90,469 | |
| Xilinx, Inc. | | | 2,298 | | | | 87,715 | |
| Maxim Integrated Products, Inc. | | | 2,622 | | | | 85,608 | |
| Linear Technology Corp. | | | 2,190 | | | | 84,030 | |
| NVIDIA Corp. | | | 6,194 | | | | 79,407 | |
| Microchip Technology, Inc. | | | 2,047 | | | | 75,248 | |
| Cree, Inc.* | | | 1,320 | | | | 72,217 | |
| Skyworks Solutions, Inc.* | | | 2,608 | | | | 57,454 | |
| LSI Corp.* | | | 7,830 | | | | 53,087 | |
| First Solar, Inc.* | | | 1,580 | | | | 42,597 | |
| Cirrus Logic, Inc.* | | | 1,469 | | | | 33,420 | |
| Total Semiconductors | | | | | | | 2,214,872 | |
| Internet Software & Services - 15.4% | | | | | | | | |
| Google, Inc. — Class A* | | | 561 | | | | 445,452 | |
| eBay, Inc.* | | | 4,425 | | | | 239,924 | |
| Facebook, Inc. — Class A* | | | 8,371 | | | | 214,130 | |
| Yahoo!, Inc.* | | | 6,232 | | | | 146,639 | |
| Baidu, Inc. ADR* | | | 1,556 | | | | 136,461 | |
| LinkedIn Corp. — Class A* | | | 685 | | | | 120,601 | |
| SINA Corp.* | | | 2,360 | | | | 114,672 | |
| MercadoLibre, Inc. | | | 1,137 | | | | 109,789 | |
| Yandex N.V. — Class A* | | | 4,560 | | | | 105,427 | |
| Equinix, Inc.* | | | 420 | | | | 90,850 | |
| VeriSign, Inc.* | | | 1,632 | | | | 77,161 | |
| Rackspace Hosting, Inc.* | | | 1,460 | | | | 73,701 | |
| Akamai Technologies, Inc.* | | | 2,015 | | | | 71,109 | |
| IAC/InterActiveCorp | | | 1,240 | | | | 55,403 | |
| AOL, Inc. | | | 1,296 | | | | 49,883 | |
| Total Internet Software & Services | | | | | | | 2,051,202 | |
| Systems Software - 12.0% | | | | | | | | |
| Microsoft Corp. | | | 15,307 | | | | 437,933 | |
| Oracle Corp. | | | 10,075 | | | | 325,826 | |
| VMware, Inc. — Class A* | | | 1,956 | | | | 154,289 | |
| Symantec Corp.* | | | 4,683 | | | | 115,576 | |
| Check Point Software Technologies Ltd.* | | | 2,250 | | | | 105,728 | |
| CA, Inc. | | | 3,752 | | | | 94,438 | |
| Red Hat, Inc.* | | | 1,747 | | | | 88,328 | |
| BMC Software, Inc.* | | | 1,592 | | | | 73,757 | |
| ServiceNow, Inc.* | | | 1,680 | | | | 60,816 | |
| Fortinet, Inc.* | | | 2,250 | | | | 53,280 | |
| MICROS Systems, Inc.* | | | 1,160 | | | | 52,792 | |
| Sourcefire, Inc.* | | | 640 | | | | 37,907 | |
| Total Systems Software | | | | | | | 1,600,670 | |
| Data Processing & Outsourced Services - 10.0% | | | | | | | | |
| Visa, Inc. — Class A | | | 1,796 | | | | 305,032 | |
| Mastercard, Inc. — Class A | | | 426 | | | | 230,521 | |
| Automatic Data Processing, Inc. | | | 2,415 | | | | 157,023 | |
| Paychex, Inc. | | | 2,893 | | | | 101,458 | |
| Fidelity National Information Services, Inc. | | | 2,464 | | | | 97,624 | |
| Fiserv, Inc.* | | | 1,108 | | | | 97,316 | |
| Western Union Co. | | | 5,564 | | | | 83,683 | |
| Alliance Data Systems Corp.* | | | 497 | | | | 80,459 | |
| Computer Sciences Corp. | | | 1,556 | | | | 76,602 | |
| Total System Services, Inc. | | | 2,460 | | | | 60,959 | |
| VeriFone Systems, Inc.* | | | 2,060 | | | | 42,601 | |
| Total Data Processing & Outsourced Services | | | | | | | 1,333,278 | |
| Communications Equipment - 9.4% | | | | | | | | |
| QUALCOMM, Inc. | | | 4,529 | | | | 303,217 | |
| Cisco Systems, Inc. | | | 13,997 | | | | 292,677 | |
| Research In Motion Ltd.*,1 | | | 9,896 | | | | 142,997 | |
| Motorola Solutions, Inc. | | | 1,870 | | | | 119,736 | |
| Juniper Networks, Inc.* | | | 4,444 | | | | 82,392 | |
| F5 Networks, Inc.* | | | 834 | | | | 74,293 | |
| Harris Corp. | | | 1,422 | | | | 65,895 | |
| JDS Uniphase Corp.* | | | 3,470 | | | | 46,394 | |
| Aruba Networks, Inc.* | | | 1,860 | | | | 46,016 | |
| Riverbed Technology, Inc.* | | | 2,940 | | | | 43,835 | |
| Ciena Corp.* | | | 2,155 | | | | 34,502 | |
| Total Communications Equipment | | | | | | | 1,251,954 | |
| Computer Hardware - 8.1% | | | | | | | | |
| Apple, Inc. | | | 1,306 | | | | 578,074 | |
| Hewlett-Packard Co. | | | 8,269 | | | | 197,133 | |
| Dell, Inc. | | | 9,872 | | | | 141,466 | |
| NCR Corp.* | | | 2,160 | | | | 59,530 | |
| 3D Systems Corp.* | | | 1,576 | | | | 50,810 | |
| Stratasys Ltd.* | | | 640 | | | | 47,501 | |
| Total Computer Hardware | | | | | | | 1,074,514 | |
| IT Consulting & Other Services - 7.2% | | | | | | | | |
| International Business Machines Corp. | | | 2,008 | | | | 428,306 | |
| Cognizant Technology Solutions Corp. — Class A* | | | 1,750 | | | | 134,068 | |
| Accenture plc — Class A | | | 1,707 | | | | 129,681 | |
| Infosys Ltd. ADR1 | | | 2,112 | | | | 113,858 | |
| Teradata Corp.* | | | 1,495 | | | | 87,472 | |
| SAIC, Inc. | | | 4,720 | | | | 63,956 | |
| Total IT Consulting & Other Services | | | | | | | 957,341 | |
| Application Software - 7.0% | | | | | | | | |
| Salesforce.com, Inc.* | | | 811 | | | | 145,031 | |
| Adobe Systems, Inc.* | | | 3,088 | | | | 134,359 | |
| Intuit, Inc. | | | 1,890 | | | | 124,079 | |
| SAP AG ADR1 | | | 1,288 | | | | 103,736 | |
| Citrix Systems, Inc.* | | | 1,401 | | | | 101,096 | |
| 116 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| SCHEDULE OF INVESTMENT (concluded) | March 28, 2013 |
| technology fund | |
| | | Shares | | | Value | |
| | | | | | | |
| Autodesk, Inc.* | | | 2,088 | | | $ | 86,109 | |
| Nuance Communications, Inc.* | | | 3,580 | | | | 72,244 | |
| Synopsys, Inc.* | | | 1,840 | | | | 66,019 | |
| Informatica Corp.* | | | 1,498 | | | | 51,636 | |
| TIBCO Software, Inc.* | | | 2,310 | | | | 46,708 | |
| Total Application Software | | | | | | | 931,017 | |
| Computer Storage & Peripherals - 4.9% | | | | | | | | |
| EMC Corp.* | | | 7,955 | | | | 190,045 | |
| Seagate Technology plc | | | 3,543 | | | | 129,532 | |
| SanDisk Corp.* | | | 1,853 | | | | 101,915 | |
| NetApp, Inc.* | | | 2,869 | | | | 98,005 | |
| Western Digital Corp. | | | 1,932 | | | | 97,141 | |
| Fusion-io, Inc.* | | | 2,090 | | | | 34,213 | |
| Total Computer Storage & Peripherals | | | | | | | 650,851 | |
| Semiconductor Equipment - 3.2% | | | | | | | | |
| Applied Materials, Inc. | | | 8,327 | | | | 112,247 | |
| ASML Holding N.V. — Class G | | | 1,568 | | | | 106,640 | |
| KLA-Tencor Corp. | | | 1,548 | | | | 81,642 | |
| Lam Research Corp.* | | | 1,734 | | | | 71,892 | |
| Teradyne, Inc.* | | | 2,970 | | | | 48,173 | |
| Total Semiconductor Equipment | | | | | | | 420,594 | |
| Electronic Manufacturing Services - 1.8% | | | | | | | | |
| TE Connectivity Ltd. | | | 2,667 | | | | 111,827 | |
| Trimble Navigation Ltd.* | | | 2,580 | | | | 77,297 | |
| Jabil Circuit, Inc. | | | 2,860 | | | | 52,853 | |
| Total Electronic Manufacturing Services | | | | | | | 241,977 | |
| Electronic Components - 1.7% | | | | | | | | |
| Corning, Inc. | | | 9,486 | | | | 126,449 | |
| Amphenol Corp. — Class A | | | 1,311 | | | | 97,866 | |
| Total Electronic Components | | | | | | | 224,315 | |
| Home Entertainment Software - 1.3% | | | | | | | | |
| Activision Blizzard, Inc. | | | 7,656 | | | | 111,547 | |
| Electronic Arts, Inc.* | | | 3,475 | | | | 61,508 | |
| Total Home Entertainment Software | | | | | | | 173,055 | |
| Office Electronics - 0.7% | | | | | | | | |
| Xerox Corp. | | | 10,514 | | | | 90,420 | |
| Total Common Stocks | | | | | | | | |
| (Cost $6,665,067) | | | | | | | 13,216,060 | |
| | | Face | | | | |
| | | Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.5% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 61,861 | | | | 61,861 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $61,861) | | | | | | | 61,861 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 1.0% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 76,735 | | | | 76,735 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 60,365 | | | | 60,365 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $137,100) | | | | | | | 137,100 | |
| Total Investments - 100.7% | | | | | | | | |
| (Cost $6,864,028) | | | | | | $ | 13,415,021 | |
| Other Assets & Liabilities, net - (0.7)% | | | | | | | (91,514 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 13,323,507 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
ADR — American Depositary Receipt
plc — Public Limited Company
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
| technology fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $136,208 of securities loaned | | | | |
| (cost $6,665,067) | | $ | 13,216,060 | |
| Repurchase agreements, at value | | | | |
| (cost $198,961) | | | 198,961 | |
| Total investments | | | | |
| (cost $6,864,028) | | | 13,415,021 | |
| Cash | | | 1,324 | |
| Receivables: | | | | |
| Fund shares sold | | | 243,504 | |
| Dividends | | | 8,617 | |
| Interest | | | 198 | |
| Total assets | | | 13,668,664 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 187,691 | |
| Upon return of securities loaned | | | 137,100 | |
| Management fees | | | 9,403 | |
| Transfer agent and administrative fees | | | 2,766 | |
| Distribution and service fees | | | 2,246 | |
| Portfolio accounting fees | | | 1,106 | |
| Miscellaneous | | | 4,845 | |
| Total liabilities | | | 345,157 | |
| Net assets | | $ | 13,323,507 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 17,668,149 | |
| Accumulated net investment loss | | | (27,296 | ) |
| Accumulated net realized loss on investments | | | (10,868,339 | ) |
| Net unrealized appreciation on investments | | | 6,550,993 | |
| Net assets | | $ | 13,323,507 | |
| Investor Class: | | | | |
| Net assets | | $ | 8,324,560 | |
| Capital shares outstanding | | | 573,015 | |
| Net asset value per share | | $ | 14.53 | |
| Advisor Class: | | | | |
| Net assets | | $ | 1,285,579 | |
| Capital shares outstanding | | | 94,881 | |
| Net asset value per share | | $ | 13.55 | |
| A-Class: | | | | |
| Net assets | | $ | 1,997,962 | |
| Capital shares outstanding | | | 145,142 | |
| Net asset value per share | | $ | 13.77 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 14.46 | |
| C-Class: | | | | |
| Net assets | | $ | 1,715,406 | |
| Capital shares outstanding | | | 132,495 | |
| Net asset value per share | | $ | 12.95 | |
| STATEMENT OF OPERATIONS |
|
|
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $1,362) | | $ | 216,478 | |
| Income from securities lending, net | | | 2,058 | |
| Interest | | | 65 | |
| Total investment income | | | 218,601 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 128,196 | |
| Transfer agent and administrative fees | | | 37,705 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 7,287 | |
| A-Class | | | 4,336 | |
| C-Class | | | 16,974 | |
| Portfolio accounting fees | | | 15,081 | |
| Custodian fees | | | 3,451 | |
| Trustees’ fees* | | | 2,053 | |
| Miscellaneous | | | 17,932 | |
| Total expenses | | | 233,015 | |
| Net investment loss | | | (14,414 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 2,773,692 | |
| Net realized gain | | | 2,773,692 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (3,288,892 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,288,892 | ) |
| Net realized and unrealized loss | | | (515,200 | ) |
| Net decrease in net assets resulting from operations | | $ | (529,614 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 118 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| technology fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (14,414 | ) | | $ | (104,258 | ) |
| Net realized gain on investments | | | 2,773,692 | | | | 1,250,892 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,288,892 | ) | | | (2,397,822 | ) |
| Net decrease in net assets resulting from operations | | | (529,614 | ) | | | (1,251,188 | ) |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 39,415,333 | | | | 108,582,687 | |
| Advisor Class | | | 407,615 | | | | 8,173,636 | |
| A-Class | | | 3,445,923 | | | | 7,857,718 | |
| C-Class | | | 23,663,292 | | | | 60,684,739 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (50,777,143 | ) | | | (122,517,037 | ) |
| Advisor Class | | | (1,416,694 | ) | | | (12,349,402 | ) |
| A-Class | | | (8,772,441 | ) | | | (2,487,350 | ) |
| C-Class | | | (24,568,978 | ) | | | (60,553,860 | ) |
| Net decrease from capital share transactions | | | (18,603,093 | ) | | | (12,608,869 | ) |
| Net decrease in net assets | | | (19,132,707 | ) | | | (13,860,057 | ) |
| Net assets: | | | | | | | | |
| Beginning of year | | | 32,456,214 | | | | 46,316,271 | |
| End of year | | $ | 13,323,507 | | | $ | 32,456,214 | |
| Accumulated net investment loss at end of year | | $ | (27,296 | ) | | $ | (82,903 | ) |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,927,741 | | | | 8,083,995 | |
| Advisor Class | | | 32,225 | | | | 672,443 | |
| A-Class | | | 266,617 | | | | 613,241 | |
| C-Class | | | 1,984,139 | | | | 5,174,420 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,751,652 | ) | | | (9,227,976 | ) |
| Advisor Class | | | (113,454 | ) | | | (996,290 | ) |
| A-Class | | | (663,608 | ) | | | (201,069 | ) |
| C-Class | | | (2,064,584 | ) | | | (5,167,807 | ) |
| Net decrease in shares | | | (1,382,576 | ) | | | (1,049,043 | ) |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 119 |
| technology fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.31 | | | $ | 13.94 | | | $ | 12.03 | | | $ | 7.70 | | | $ | 11.77 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .01 | | | | (.01 | ) | | | (.06 | ) | | | (.05 | ) | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .21 | | | | .38 | | | | 1.97 | | | | 4.38 | | | | (4.04 | ) |
| Total from investment operations | | | .22 | | | | .37 | | | | 1.91 | | | | 4.33 | | | | (4.07 | ) |
| Net asset value, end of period | | $ | 14.53 | | | $ | 14.31 | | | $ | 13.94 | | | $ | 12.03 | | | $ | 7.70 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 1.54 | % | | | 2.65 | % | | | 15.88 | % | | | 56.23 | % | | | (34.58 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 8,325 | | | $ | 19,985 | | | $ | 35,408 | | | $ | 37,391 | | | $ | 11,601 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.10 | % | | | (0.10 | %) | | | (0.48 | %) | | | (0.52 | %) | | | (0.29 | %) |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.38 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 324 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.41 | | | $ | 13.13 | | | $ | 11.39 | | | $ | 7.32 | | | $ | 11.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.04 | ) | | | (.11 | ) | | | (.11 | ) | | | (.11 | ) | | | (.05 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .18 | | | | .39 | | | | 1.85 | | | | 4.18 | | | | (3.90 | ) |
| Total from investment operations | | | .14 | | | | .28 | | | | 1.74 | | | | 4.07 | | | | (3.95 | ) |
| Net asset value, end of period | | $ | 13.55 | | | $ | 13.41 | | | $ | 13.13 | | | $ | 11.39 | | | $ | 7.32 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 1.04 | % | | | 2.13 | % | | | 15.28 | % | | | 55.60 | % | | | (35.05 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,286 | | | $ | 2,361 | | | $ | 6,565 | | | $ | 17,969 | | | $ | 1,914 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.33 | %) | | | (0.87 | %) | | | (0.94 | %) | | | (1.04 | %) | | | (0.53 | %) |
| Total expenses | | | 1.85 | % | | | 1.85 | % | | | 1.88 | % | | | 1.87 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 324 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % |
| 120 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| technology fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | �� |
| Net asset value, beginning of period | | $ | 13.59 | | | $ | 13.28 | | | $ | 11.49 | | | $ | 7.37 | | | $ | 11.32 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.03 | ) | | | (.10 | ) | | | (.09 | ) | | | (.08 | ) | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .21 | | | | .41 | | | | 1.88 | | | | 4.20 | | | | (3.91 | ) |
| Total from investment operations | | | .18 | | | | .31 | | | | 1.79 | | | | 4.12 | | | | (3.95 | ) |
| Net asset value, end of period | | $ | 13.77 | | | $ | 13.59 | | | $ | 13.28 | | | $ | 11.49 | | | $ | 7.37 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 1.32 | % | | | 2.33 | % | | | 15.58 | % | | | 55.90 | % | | | (34.89 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,998 | | | $ | 7,367 | | | $ | 1,725 | | | $ | 3,936 | | | $ | 1,669 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.27 | %) | | | (0.76 | %) | | | (0.73 | %) | | | (0.78 | %) | | | (0.41 | %) |
| Total expenses | | | 1.59 | % | | | 1.59 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 324 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.88 | | | $ | 12.69 | | | $ | 11.05 | | | $ | 7.14 | | | $ | 11.04 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.11 | ) | | | (.17 | ) | | | (.17 | ) | | | (.14 | ) | | | (.12 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .18 | | | | .36 | | | | 1.81 | | | | 4.05 | | | | (3.78 | ) |
| Total from investment operations | | | .07 | | | | .19 | | | | 1.64 | | | | 3.91 | | | | (3.90 | ) |
| Net asset value, end of period | | $ | 12.95 | | | $ | 12.88 | | | $ | 12.69 | | | $ | 11.05 | | | $ | 7.14 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 0.54 | % | | | 1.50 | % | | | 14.84 | % | | | 54.76 | % | | | (35.33 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,715 | | | $ | 2,743 | | | $ | 2,618 | | | $ | 3,719 | | | $ | 1,335 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (0.90 | %) | | | (1.45 | %) | | | (1.53 | %) | | | (1.49 | %) | | | (1.24 | %) |
| Total expenses | | | 2.35 | % | | | 2.36 | % | | | 2.39 | % | | | 2.38 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 324 | % | | | 487 | % | | | 393 | % | | | 335 | % | | | 564 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
| | |
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
For the one-year period ended March 28, 2013, Telecommunications Fund Investor Class returned 0.50%, compared with 26.86% for the S&P 500 Telecommunications Services Index. The broader S&P 500 Index returned 13.96%.
The industry in the sector that contributed most to the Fund’s return was diversified telecommunication services, followed by wireless telecommunications services. Communications equipment was the only detractor from return.
Verizon Communications, Inc., AT&T, Inc. and Crown Castle International Corp. were the strongest performers for the period. NII Holdings, Inc., Nokia Corp. and F5 Networks, Inc. detracted most from performance during the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | 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. | | | 9.8 | % |
| Verizon Communications, Inc. | | | 8.2 | % |
| QUALCOMM, Inc. | | | 7.5 | % |
| Cisco Systems, Inc. | | | 7.2 | % |
| Research In Motion Ltd. | | | 4.0 | % |
| Vodafone Group plc ADR | | | 3.6 | % |
| CenturyLink, Inc. | | | 3.3 | % |
| Crown Castle International Corp. | | | 3.1 | % |
| Sprint Nextel Corp. | | | 3.1 | % |
| America Movil SAB de CV ADR | | | 3.0 | % |
| Top Ten Total | | | 52.8 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 122 | the RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
| Periods Ended 03/28/13 | | | | | | | | | |
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 0.50 | % | | | -2.05 | % | | | 4.71 | % |
| Advisor Class Shares | | | -0.01 | % | | | -2.49 | % | | | 4.26 | % |
| C-Class Shares | | | -0.24 | % | | | -2.89 | % | | | 3.79 | % |
| C-Class Shares with CDSC† | | | -1.22 | % | | | -2.89 | % | | | 3.79 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Telecommunications Services Index | | | 26.86 | % | | | 7.52 | % | | | 10.39 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 0.30 | % | | | -2.25 | % | | | 1.25 | % |
| A-Class Shares with sales charge‡ | | | -4.44 | % | | | -3.19 | % | | | 0.67 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Telecommunications Services Index | | | 26.86 | % | | | 7.52 | % | | | 8.13 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunications Services Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| the RYDEX FUNDS ANNUAL REPORT | 123 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| telecommunications fund | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% | | | | | | | | |
| | | | | | | | | |
| Communications Equipment - 43.6% | | | | | | | | |
| QUALCOMM, Inc. | | | 4,946 | | | $ | 331,135 | |
| Cisco Systems, Inc. | | | 15,273 | | | | 319,358 | |
| Research In Motion Ltd.*,1 | | | 12,261 | | | | 177,171 | |
| Motorola Solutions, Inc. | | | 2,044 | | | | 130,877 | |
| Juniper Networks, Inc.* | | | 4,849 | | | | 89,900 | |
| F5 Networks, Inc.* | | | 909 | | | | 80,974 | |
| Harris Corp. | | | 1,548 | | | | 71,734 | |
| Palo Alto Networks, Inc.* | | | 1,073 | | | | 60,732 | |
| JDS Uniphase Corp.* | | | 3,792 | | | | 50,699 | |
| Aruba Networks, Inc.* | | | 2,025 | | | | 50,099 | |
| Brocade Communications Systems, Inc.* | | | 8,408 | | | | 48,514 | |
| Riverbed Technology, Inc.* | | | 3,209 | | | | 47,846 | |
| ViaSat, Inc.* | | | 944 | | | | 45,727 | |
| Acme Packet, Inc.* | | | 1,496 | | | | 43,713 | |
| InterDigital, Inc.1 | | | 907 | | | | 43,382 | |
| Telefonaktiebolaget LM Ericsson ADR | | | 3,430 | | | | 43,218 | |
| Polycom, Inc.* | | | 3,872 | | | | 42,902 | |
| Plantronics, Inc. | | | 960 | | | | 42,422 | |
| Arris Group, Inc.* | | | 2,464 | | | | 42,307 | |
| Ixia* | | | 1,768 | | | | 38,260 | |
| Ciena Corp.* | | | 2,352 | | | | 37,656 | |
| NETGEAR, Inc.* | | | 1,018 | | | | 34,113 | |
| ADTRAN, Inc. | | | 1,695 | | | | 33,307 | |
| Finisar Corp.* | | | 2,384 | | | | 31,445 | |
| Total Communications Equipment | | | | | | | 1,937,491 | |
| Integrated Telecommunication Services - 28.1% | | | | | | | | |
| AT&T, Inc. | | | 11,825 | | | | 433,860 | |
| Verizon Communications, Inc. | | | 7,423 | | | | 364,840 | |
| CenturyLink, Inc. | | | 4,124 | | | | 144,876 | |
| Windstream Corp.1 | | | 7,906 | | | | 62,853 | |
| Telefonica Brasil S.A. ADR | | | 1,759 | | | | 46,930 | |
| BCE, Inc. | | | 976 | | | | 45,569 | |
| Telefonica S.A. ADR | | | 2,759 | | | | 37,274 | |
| China Unicom Hong Kong Ltd. ADR | | | 2,762 | | | | 37,232 | |
| Nippon Telegraph & Telephone Corp. ADR | | | 1,712 | | | | 37,219 | |
| KT Corp. ADR* | | | 2,335 | | | | 36,683 | |
| Total Integrated Telecommunication Services | | | | | | | 1,247,336 | |
| Wireless Telecommunication Services - 24.3% | | | | | | | | |
| Vodafone Group plc ADR | | | 5,552 | | | | 157,733 | |
| Crown Castle International Corp.* | | | 1,972 | | | | 137,330 | |
| Sprint Nextel Corp.* | | | 22,074 | | | | 137,080 | |
| America Movil SAB de CV ADR | | | 6,451 | | | | 135,213 | |
| SBA Communications Corp. — Class A* | | | 1,295 | | | | 93,266 | |
| MetroPCS Communications, Inc.* | | | 5,759 | | | | 62,773 | |
| Mobile Telesystems OJSC ADR | | | 2,657 | | | | 55,106 | |
| China Mobile Ltd. ADR | | | 924 | | | | 49,092 | |
| Telephone & Data Systems, Inc. | | | 2,143 | | | | 45,153 | |
| SK Telecom Company Ltd. ADR | | | 2,298 | | | | 41,065 | |
| Rogers Communications, Inc. — Class B | | | 787 | | | | 40,184 | |
| Tim Participacoes S.A. ADR | | | 1,781 | | | | 38,968 | |
| VimpelCom Ltd. ADR | | | 3,130 | | | | 37,216 | |
| NII Holdings, Inc.*,1 | | | 5,907 | | | | 25,577 | |
| Leap Wireless International, Inc.* | | | 3,625 | | | | 21,351 | |
| Total Wireless Telecommunication Services | | | | | | | 1,077,107 | |
| Alternative Carriers - 3.6% | | | | | | | | |
| Level 3 Communications, Inc.* | | | 3,137 | | | | 63,649 | |
| tw telecom, Inc. — Class A* | | | 2,385 | | | | 60,078 | |
| Cogent Communications Group, Inc. | | | 1,314 | | | | 34,690 | |
| Total Alternative Carriers | | | | | | | 158,417 | |
| Total Common Stocks | | | | | | | | |
| (Cost $3,318,355) | | | | | | | 4,420,351 | |
| | | | | | | | | |
| | | | Face | | | | | |
| | | | Amount | | | | | |
| REPURCHASE AGREEMENT††,2 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 13,696 | | | | 13,696 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $13,696) | | | | | | | 13,696 | |
| SECURITIES LENDING COLLATERAL††,3 - 2.1% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 53,207 | | | | 53,207 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 41,856 | | | | 41,856 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $95,063) | | | | | | | 95,063 | |
| Total Investments - 102.0% | | | | | | | | |
| (Cost $3,427,114) | | | | | | $ | 4,529,110 | |
| Other Assets & Liabilities, net - (2.0)% | | | | | | | (88,207 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 4,440,903 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| 124 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| telecommunications fund |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
|
| Assets: | | | | |
| Investments, at value - including $91,792 of securities loaned | | | | |
| (cost $3,318,355) | | $ | 4,420,351 | |
| Repurchase agreements, at value | | | | |
| (cost $108,759) | | | 108,759 | |
| Total investments | | | | |
| (cost $3,427,114) | | | 4,529,110 | |
| Cash | | | 224 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,398,048 | |
| Dividends | | | 3,215 | |
| Interest | | | 97 | |
| Total assets | | | 5,930,694 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 1,368,316 | |
| Upon return of securities loaned | | | 95,063 | |
| Fund shares redeemed | | | 20,424 | |
| Management fees | | | 2,258 | |
| Distribution and service fees | | | 774 | |
| Transfer agent and administrative fees | | | 664 | |
| Portfolio accounting fees | | | 266 | |
| Miscellaneous | | | 2,026 | |
| Total liabilities | | | 1,489,791 | |
| Net assets | | $ | 4,440,903 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 8,348,072 | |
| Undistributed net investment income | | | 98,053 | |
| Accumulated net realized loss on investments | | | (5,107,218 | ) |
| Net unrealized appreciation on investments | | | 1,101,996 | |
| Net assets | | $ | 4,440,903 | |
| Investor Class: | | | | |
| Net assets | | $ | 2,970,185 | |
| Capital shares outstanding | | | 218,597 | |
| Net asset value per share | | $ | 13.59 | |
| Advisor Class: | | | | |
| Net assets | | $ | 133,308 | |
| Capital shares outstanding | | | 10,595 | |
| Net asset value per share | | $ | 12.58 | |
| A-Class: | | | | |
| Net assets | | $ | 553,280 | |
| Capital shares outstanding | | | 43,176 | |
| Net asset value per share | | $ | 12.81 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 13.45 | |
| C-Class: | | | | |
| Net assets | | $ | 784,130 | |
| Capital shares outstanding | | | 65,348 | |
| Net asset value per share | | $ | 12.00 | |
| Year Ended March 28, 2013 | |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $9,122) | | $ | 184,298 | |
| Income from securities lending, net | | | 686 | |
| Interest | | | 18 | |
| Total investment income | | | 185,002 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 45,003 | |
| Transfer agent and administrative fees | | | 13,236 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 754 | |
| A-Class | | | 1,705 | |
| C-Class | | | 7,561 | |
| Portfolio accounting fees | | | 5,295 | |
| Custodian fees | | | 1,200 | |
| Trustees’ fees* | | | 645 | |
| Tax expense | | | 285 | |
| Miscellaneous | | | 6,185 | |
| Total expenses | | | 81,869 | |
| Net investment income | | | 103,133 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (923,019 | ) |
| Net realized loss | | | (923,019 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (590,028 | ) |
| Net change in unrealized appreciation (depreciation) | | | (590,028 | ) |
| Net realized and unrealized loss | | | (1,513,047 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,409,914 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
| telecommunications fund |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 103,133 | | | $ | 175,835 | |
| Net realized gain (loss) on investments | | | (923,019 | ) | | | 446,580 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (590,028 | ) | | | (1,853,210 | ) |
| Net decrease in net assets resulting from operations | | | (1,409,914 | ) | | | (1,230,795 | ) |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (44,154 | ) | | | (75,956 | ) |
| Advisor Class | | | (3,198 | ) | | | (26,034 | ) |
| A-Class | | | (13,939 | ) | | | (45,257 | ) |
| C-Class | | | (31,745 | ) | | | (22,099 | ) |
| Total distributions to shareholders | | | (93,036 | ) | | | (169,346 | ) |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 47,071,590 | | | | 47,973,211 | |
| Advisor Class | | | 220,559 | | | | 2,527,832 | |
| A-Class | | | 939,223 | | | | 2,925,127 | |
| C-Class | | | 41,193,736 | | | | 64,107,314 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 43,205 | | | | 74,213 | |
| Advisor Class | | | 1,603 | | | | 23,065 | |
| A-Class | | | 13,939 | | | | 45,175 | |
| C-Class | | | 31,619 | | | | 21,048 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (49,823,116 | ) | | | (88,037,595 | ) |
| Advisor Class | | | (280,290 | ) | | | (2,967,150 | ) |
| A-Class | | | (1,937,536 | ) | | | (2,011,577 | ) |
| C-Class | | | (40,997,450 | ) | | | (66,192,569 | ) |
| Net decrease from capital share transactions | | | (3,522,918 | ) | | | (41,511,906 | ) |
| Net decrease in net assets | | | (5,025,868 | ) | | | (42,912,047 | ) |
| Net assets: | | | | | | | | |
| Beginning of year | | | 9,466,771 | | | | 52,378,818 | |
| End of year | | $ | 4,440,903 | | | $ | 9,466,771 | |
| Undistributed net investment income at end of year | | $ | 98,053 | | | $ | 87,671 | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,557,713 | | | | 3,399,757 | |
| Advisor Class | | | 17,839 | | | | 180,932 | |
| A-Class | | | 77,796 | | | | 231,535 | |
| C-Class | | | 3,550,899 | | | | 5,027,824 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 3,402 | | | | 5,970 | |
| Advisor Class | | | 136 | | | | 1,988 | |
| A-Class | | | 1,165 | | | | 3,841 | |
| C-Class | | | 2,823 | | | | 1,891 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,850,396 | ) | | | (5,959,087 | ) |
| Advisor Class | | | (22,917 | ) | | | (214,545 | ) |
| A-Class | | | (155,431 | ) | | | (162,618 | ) |
| C-Class | | | (3,542,786 | ) | | | (5,179,379 | ) |
| Net decrease in shares | | | (359,757 | ) | | | (2,661,891 | ) |
| 126 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| telecommunications fund |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.84 | | | $ | 15.71 | | | $ | 13.73 | | | $ | 10.29 | | | $ | 17.04 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .27 | | | | .41 | | | | .10 | | | | .26 | | | | .27 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.22 | ) | | | (1.84 | ) | | | 1.96 | | | | 3.52 | | | | (6.68 | ) |
| Total from investment operations | | | .05 | | | | (1.43 | ) | | | 2.06 | | | | 3.78 | | | | (6.41 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Total distributions | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Net asset value, end of period | | $ | 13.59 | | | $ | 13.84 | | | $ | 15.71 | | | $ | 13.73 | | | $ | 10.29 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 0.50 | % | | | (8.77 | %) | | | 15.06 | % | | | 36.88 | % | | | (37.55 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,970 | | | $ | 7,028 | | | $ | 48,089 | | | $ | 4,677 | | | $ | 4,440 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.06 | % | | | 2.86 | % | | | 0.73 | % | | | 2.03 | % | | | 1.92 | % |
| Total expenses | | | 1.35 | % | | | 1.36 | % | | | 1.39 | % | | | 1.39 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 1,550 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.90 | | | $ | 14.74 | | | $ | 12.94 | | | $ | 9.75 | | | $ | 16.26 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .19 | | | | .22 | | | | .03 | | | | .23 | | | | .17 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.21 | ) | | | (1.62 | ) | | | 1.85 | | | | 3.30 | | | | (6.34 | ) |
| Total from investment operations | | | (.02 | ) | | | (1.40 | ) | | | 1.88 | | | | 3.53 | | | | (6.17 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Total distributions | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Net asset value, end of period | | $ | 12.58 | | | $ | 12.90 | | | $ | 14.74 | | | $ | 12.94 | | | $ | 9.75 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (0.01 | %) | | | (9.15 | %) | | | 14.59 | % | | | 36.35 | % | | | (37.88 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 133 | | | $ | 200 | | | $ | 695 | | | $ | 279 | | | $ | 9,991 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.59 | % | | | 1.65 | % | | | 0.25 | % | | | 1.94 | % | | | 1.53 | % |
| Total expenses | | | 1.86 | % | | | 1.85 | % | | | 1.88 | % | | | 1.89 | % | | | 1.81 | % |
| Portfolio turnover rate | | | 1,550 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % |
| See Notes to Financial Statements. | THE RYDEX FUNDS ANNUAL REPORT | 127 |
| telecommunications fund |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.09 | | | $ | 14.91 | | | $ | 13.07 | | | $ | 9.83 | | | $ | 16.33 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .24 | | | | .18 | | | | .14 | | | | .17 | | | | .27 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.22 | ) | | | (1.56 | ) | | | 1.78 | | | | 3.41 | | | | (6.43 | ) |
| Total from investment operations | | | .02 | | | | (1.38 | ) | | | 1.92 | | | | 3.58 | | | | (6.16 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Total distributions | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Net asset value, end of period | | $ | 12.81 | | | $ | 13.09 | | | $ | 14.91 | | | $ | 13.07 | | | $ | 9.83 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 0.30 | % | | | (8.91 | %) | | | 14.75 | % | | | 36.57 | % | | | (37.66 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 553 | | | $ | 1,566 | | | $ | 699 | | | $ | 1,093 | | | $ | 1,317 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.98 | % | | | 1.41 | % | | | 1.01 | % | | | 1.45 | % | | | 2.15 | % |
| Total expenses | | | 1.61 | % | | | 1.60 | % | | | 1.64 | % | | | 1.63 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 1,550 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.35 | | | $ | 14.19 | | | $ | 12.50 | | | $ | 9.48 | | | $ | 15.91 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .16 | | | | .05 | | | | (.01 | ) | | | .10 | | | | .13 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.21 | ) | | | (1.45 | ) | | | 1.78 | | | | 3.26 | | | | (6.22 | ) |
| Total from investment operations | | | (.05 | ) | | | (1.40 | ) | | | 1.77 | | | | 3.36 | | | | (6.09 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Total distributions | | | (.30 | ) | | | (.44 | ) | | | (.08 | ) | | | (.34 | ) | | | (.34 | ) |
| Net asset value, end of period | | $ | 12.00 | | | $ | 12.35 | | | $ | 14.19 | | | $ | 12.50 | | | $ | 9.48 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | (0.24 | %) | | | (9.52 | %) | | | 14.22 | % | | | 35.59 | % | | | (38.21 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 784 | | | $ | 672 | | | $ | 2,896 | | | $ | 1,141 | | | $ | 1,281 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 1.41 | % | | | 0.39 | % | | | (0.07 | %) | | | 0.86 | % | | | 0.99 | % |
| Total expenses | | | 2.36 | % | | | 2.36 | % | | | 2.39 | % | | | 2.39 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 1,550 | % | | | 793 | % | | | 1,008 | % | | | 867 | % | | | 672 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 128 | the RYDEX FUNDS ANNUAL REPORT | See Notes to Financial Statements. |
| |
| This page intentionally left blank. |
| | THE RYDEX FUNDS ANNUAL REPORT | 129 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
For the one-year period ended March 28, 2013, Transportation Fund Investor Class returned 18.95%, compared with 14.69% for the S&P 500 Industrials Index. The broader S&P 500 Index returned 13.96%.
The road & rail segment was the largest contributor to return, followed by the airlines segment. The air freight & logistics segment was the only detractor from return.
Union Pacific Corp., Delta Air Lines, Inc. and Delphi Automotive PLC were the biggest contributors to performance for the period. Expeditors International of Washington, Inc., Gentex Corp. and Swift Transportation Co. detracted most from performance during the period.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | 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 | | | 6.4 | % |
| Union Pacific Corp. | | | 5.8 | % |
| Ford Motor Co. | | | 5.0 | % |
| General Motors Co. | | | 4.3 | % |
| FedEx Corp. | | | 3.7 | % |
| CSX Corp. | | | 3.6 | % |
| Norfolk Southern Corp. | | | 3.5 | % |
| Johnson Controls, Inc. | | | 3.4 | % |
| Delta Air Lines, Inc. | | | 2.7 | % |
| Delphi Automotive plc | | | 2.5 | % |
| Top Ten Total | | | 40.9 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 130 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 18.95 | % | | | 5.07 | % | | | 7.94 | % |
| Advisor Class Shares | | | 18.42 | % | | | 4.59 | % | | | 7.44 | % |
| C-Class Shares | | | 17.79 | % | | | 4.03 | % | | | 6.87 | % |
| C-Class Shares with CDSC† | | | 16.79 | % | | | 4.03 | % | | | 6.87 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Industrials Index | | | 14.69 | % | | | 4.00 | % | | | 9.56 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 18.70 | % | | | 4.85 | % | | | 5.71 | % |
| A-Class Shares with sales charge‡ | | | 13.06 | % | | | 3.83 | % | | | 5.12 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Industrials Index | | | 14.69 | % | | | 4.00 | % | | | 6.40 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 131 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| TRANSPORTATION FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.7% | | | | | | | | |
| | | | | | | | | |
| RAILROADS - 20.3% | | | | | | | | |
| Union Pacific Corp. | | | 36,586 | | | $ | 5,210,212 | |
| CSX Corp. | | | 131,154 | | | | 3,230,323 | |
| Norfolk Southern Corp. | | | 41,072 | | | | 3,165,830 | |
| Kansas City Southern | | | 20,127 | | | | 2,232,084 | |
| Canadian Pacific Railway Ltd. | | | 11,798 | | | | 1,539,285 | |
| Canadian National Railway Co. | | | 14,550 | | | | 1,459,365 | |
| Genesee & Wyoming, Inc. — Class A* | | | 15,114 | | | | 1,407,265 | |
| Total Railroads | | | | | | | 18,244,364 | |
| AUTO PARTS & EQUIPMENT - 19.1% | | | | | | | | |
| Johnson Controls, Inc. | | | 88,696 | | | | 3,110,568 | |
| Delphi Automotive plc | | | 51,630 | | | | 2,292,372 | |
| BorgWarner, Inc.* | | | 24,110 | | | | 1,864,667 | |
| TRW Automotive Holdings Corp.* | | | 28,560 | | | | 1,570,800 | |
| Lear Corp. | | | 26,287 | | | | 1,442,368 | |
| Magna International, Inc. | | | 18,720 | | | | 1,098,864 | |
| Visteon Corp.* | | | 18,775 | | | | 1,083,318 | |
| Gentex Corp. | | | 53,710 | | | | 1,074,737 | |
| Autoliv, Inc.1 | | | 15,480 | | | | 1,070,287 | |
| Dana Holding Corp. | | | 57,490 | | | | 1,025,047 | |
| Tenneco, Inc.* | | | 25,330 | | | | 995,722 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 48,120 | | | | 656,838 | |
| Total Auto Parts & Equipment | | | | | | | 17,285,588 | |
| AUTOMOBILE MANUFACTURERS - 15.4% | | | | | | | | |
| Ford Motor Co. | | | 341,085 | | | | 4,485,269 | |
| General Motors Co.* | | | 140,250 | | | | 3,901,755 | |
| Tesla Motors, Inc.*,1 | | | 36,605 | | | | 1,386,963 | |
| Tata Motors Ltd. ADR | | | 49,890 | | | | 1,217,815 | |
| Toyota Motor Corp. ADR | | | 11,830 | | | | 1,214,231 | |
| Honda Motor Company Ltd. ADR | | | 23,500 | | | | 899,110 | |
| Thor Industries, Inc. | | | 23,370 | | | | 859,782 | |
| Total Automobile Manufacturers | | | | | | | 13,964,925 | |
| AIR FREIGHT & LOGISTICS - 14.8% | | | | | | | | |
| United Parcel Service, Inc. — Class B | | | 67,113 | | | | 5,765,007 | |
| FedEx Corp. | | | 34,110 | | | | 3,349,602 | |
| CH Robinson Worldwide, Inc. | | | 33,213 | | | | 1,974,845 | |
| Expeditors International of Washington, Inc. | | | 46,751 | | | | 1,669,478 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 15,500 | | | | 631,780 | |
| Total Air Freight & Logistics | | | | | | | 13,390,712 | |
| AIRLINES - 12.2% | | | | | | | | |
| Delta Air Lines, Inc.* | | | 146,237 | | | | 2,414,373 | |
| United Continental Holdings, Inc.* | | | 65,490 | | | | 2,096,335 | |
| Southwest Airlines Co. | | | 152,967 | | | | 2,061,995 | |
| Alaska Air Group, Inc.* | | | 21,874 | | | | 1,399,061 | |
| Copa Holdings S.A. — Class A | | | 9,482 | | | | 1,134,142 | |
| US Airways Group, Inc.*,1 | | | 63,214 | | | | 1,072,742 | |
| JetBlue Airways Corp.* | | | 128,870 | | | | 889,203 | |
| Total Airlines | | | | | | | 11,067,851 | |
| TRUCKING - 11.9% | | | | | | | | |
| Hertz Global Holdings, Inc.* | | | 87,189 | | | | 1,940,826 | |
| J.B. Hunt Transport Services, Inc. | | | 25,332 | | | | 1,886,727 | |
| Old Dominion Freight Line, Inc.* | | | 30,240 | | | | 1,155,168 | |
| Avis Budget Group, Inc.* | | | 39,424 | | | | 1,097,170 | |
| Ryder System, Inc. | | | 18,301 | | | | 1,093,485 | |
| Landstar System, Inc. | | | 18,228 | | | | 1,040,637 | |
| Swift Transportation Co. — Class A* | | | 62,700 | | | | 889,086 | |
| Con-way, Inc. | | | 24,152 | | | | 850,392 | |
| Werner Enterprises, Inc. | | | 34,540 | | | | 833,796 | |
| Total Trucking | | | | | | | 10,787,287 | |
| MOTORCYCLE MANUFACTURERS - 2.4% | | | | | | | | |
| Harley-Davidson, Inc. | | | 40,871 | | | | 2,178,424 | |
| TIRES & RUBBER - 2.1% | | | | | | | | |
| Goodyear Tire & Rubber Co.* | | | 85,389 | | | | 1,076,755 | |
| Cooper Tire & Rubber Co. | | | 30,910 | | | | 793,151 | |
| Total Tires & Rubber | | | | | | | 1,869,906 | |
| MARINE - 1.5% | | | | | | | | |
| Kirby Corp.* | | | 17,278 | | | | 1,326,950 | |
| Total Common Stocks | | | | | | | | |
| (Cost $82,390,817) | | | | | | | 90,116,007 | |
| | | Face
Amount | | | | |
| REPURCHASE AGREEMENT††,2 - 0.3% | | | | | | |
| Credit Suisse Group | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | |
| due 04/01/13 | | $ | 310,469 | | | | 310,469 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $310,469) | | | | | | | 310,469 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL††,3 - 2.0% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 1,006,063 | | | | 1,006,063 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 791,427 | | | | 791,427 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,797,490) | | | | | | | 1,797,490 | |
| Total Investments - 102.0% | | | | | | | | |
| (Cost $84,498,776) | | | | | | $ | 92,223,966 | |
| Other Assets & Liabilities, net - (2.0)% | | | | | | | (1,811,960 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 90,412,006 | |
| * | 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 March 28, 2013 — See Note 6. |
| 2 | Repurchase Agreement — See Note 5. |
| 3 | Securities lending collateral — See Note 6. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| 132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| TRANSPORTATION FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $1,767,927 of securities loaned | | | | |
| (cost $82,390,817) | | $ | 90,116,007 | |
| Repurchase agreements, at value | | | | |
| (cost $2,107,959) | | | 2,107,959 | |
| Total investments | | | | |
| (cost $84,498,776) | | | 92,223,966 | |
| Cash | | | 8,859 | |
| Receivables: | | | | |
| Securities sold | | | 2,684,089 | |
| Fund shares sold | | | 268,462 | |
| Dividends | | | 29,218 | |
| Interest | | | 8,412 | |
| Total assets | | | 95,223,006 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 2,918,768 | |
| Upon return of securities loaned | | | 1,797,490 | |
| Management fees | | | 46,420 | |
| Transfer agent and administrative fees | | | 13,653 | |
| Portfolio accounting fees | | | 5,461 | |
| Distribution and service fees | | | 4,260 | |
| Miscellaneous | | | 24,948 | |
| Total liabilities | | | 4,811,000 | |
| Net assets | | $ | 90,412,006 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 106,781,711 | |
| Accumulated net investment loss | | | (62,130 | ) |
| Accumulated net realized loss on investments | | | (24,032,765 | ) |
| Net unrealized appreciation on investments | | | 7,725,190 | |
| Net assets | | $ | 90,412,006 | |
| Investor Class: | | | | |
| Net assets | | $ | 78,643,828 | |
| Capital shares outstanding | | | 2,452,587 | |
| Net asset value per share | | $ | 32.07 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,483,228 | |
| Capital shares outstanding | | | 152,920 | |
| Net asset value per share | | $ | 29.32 | |
| A-Class: | | | | |
| Net assets | | $ | 4,558,249 | |
| Capital shares outstanding | | | 152,149 | |
| Net asset value per share | | $ | 29.96 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 31.45 | |
| C-Class: | | | | |
| Net assets | | $ | 2,726,701 | |
| Capital shares outstanding | | | 95,109 | |
| Net asset value per share | | $ | 28.67 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $2,677) | | $ | 249,785 | |
| Income from securities lending, net | | | 18,105 | |
| Interest | | | 67 | |
| Total investment income | | | 267,957 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 190,881 | |
| Transfer agent and administrative fees | | | 56,141 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 4,638 | |
| A-Class | | | 6,880 | |
| C-Class | | | 13,345 | |
| Portfolio accounting fees | | | 22,457 | |
| Custodian fees | | | 3,331 | |
| Trustees’ fees* | | | 1,305 | |
| Miscellaneous | | | 32,888 | |
| Total expenses | | | 331,866 | |
| Net investment loss | | | (63,909 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 770,675 | |
| Net realized gain | | | 770,675 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 4,497,858 | |
| Net change in unrealized appreciation (depreciation) | | | 4,497,858 | |
| Net realized and unrealized gain | | | 5,268,533 | |
| Net increase in net assets resulting from operations | | $ | 5,204,624 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 133 |
| TRANSPORTATION FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (63,909 | ) | | $ | (52,244 | ) |
| Net realized gain on investments | | | 770,675 | | | | 701,658 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,497,858 | | | | (1,537,677 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 5,204,624 | | | | (888,263 | ) |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 248,140,687 | | | | 146,001,078 | |
| Advisor Class | | | 4,891,678 | | | | 11,497,718 | |
| A-Class | | | 7,566,962 | | | | 2,345,386 | |
| C-Class | | | 22,790,129 | | | | 53,815,378 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (181,778,255 | ) | | | (143,034,415 | ) |
| Advisor Class | | | (2,990,536 | ) | | | (11,458,698 | ) |
| A-Class | | | (5,068,884 | ) | | | (1,836,804 | ) |
| C-Class | | | (23,059,267 | ) | | | (53,256,215 | ) |
| Net increase from capital share transactions | | | 70,492,514 | | | | 4,073,428 | |
| Net increase in net assets | | | 75,697,138 | | | | 3,185,165 | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 14,714,868 | | | | 11,529,703 | |
| End of year | | $ | 90,412,006 | | | $ | 14,714,868 | |
| Accumulated net investment loss at end of year | | $ | (62,130 | ) | | $ | (9,953 | ) |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 8,684,455 | | | | 5,515,828 | |
| Advisor Class | | | 178,143 | | | | 478,798 | |
| A-Class | | | 294,246 | | | | 91,969 | |
| C-Class | | | 942,271 | | | | 2,280,986 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (6,529,753 | ) | | | (5,408,959 | ) |
| Advisor Class | | | (120,319 | ) | | | (496,602 | ) |
| A-Class | | | (205,475 | ) | | | (75,967 | ) |
| C-Class | | | (959,277 | ) | | | (2,250,403 | ) |
| Net increase in shares | | | 2,284,291 | | | | 135,650 | |
| 134 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| TRANSPORTATION FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.96 | | | $ | 27.85 | | | $ | 23.79 | | | $ | 14.38 | | | $ | 25.21 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.07 | ) | | | (.06 | ) | | | — | b | | | (.15 | ) | | | .07 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 5.18 | | | | (.83 | ) | | | 4.06 | | | | 9.70 | | | | (10.90 | ) |
| Total from investment operations | | | 5.11 | | | | (.89 | ) | | | 4.06 | | | | 9.55 | | | | (10.83 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Net asset value, end of period | | $ | 32.07 | | | $ | 26.96 | | | $ | 27.85 | | | $ | 23.79 | | | $ | 14.38 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 18.95 | % | | | (3.20 | %) | | | 17.07 | % | | | 66.51 | % | | | (42.96 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 78,644 | | | $ | 8,031 | | | $ | 5,320 | | | $ | 22,292 | | | $ | 20,990 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.25 | %) | | | (0.22 | %) | | | 0.02 | % | | | (0.68 | %) | | | 0.33 | % |
| Total expenses | | | 1.37 | % | | | 1.35 | % | | | 1.38 | % | | | 1.37 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 737 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.76 | | | $ | 25.70 | | | $ | 22.05 | | | $ | 13.40 | | | $ | 23.59 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.15 | ) | | | (.14 | ) | | | (.17 | ) | | | (.18 | ) | | | .10 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.71 | | | | (.80 | ) | | | 3.82 | | | | 8.97 | | | | (10.29 | ) |
| Total from investment operations | | | 4.56 | | | | (.94 | ) | | | 3.65 | | | | 8.79 | | | | (10.19 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Net asset value, end of period | | $ | 29.32 | | | $ | 24.76 | | | $ | 25.70 | | | $ | 22.05 | | | $ | 13.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 18.42 | % | | | (3.66 | %) | | | 16.55 | % | | | 65.70 | % | | | (43.20 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,483 | | | $ | 2,355 | | | $ | 2,902 | | | $ | 2,795 | | | $ | 1,139 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.57 | %) | | | (0.55 | %) | | | (0.74 | %) | | | (0.95 | %) | | | 0.51 | % |
| Total expenses | | | 1.86 | % | | | 1.86 | % | | | 1.89 | % | | | 1.88 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 737 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
| TRANSPORTATION FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.25 | | | $ | 26.15 | | | $ | 22.37 | | | $ | 13.55 | | | $ | 23.81 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.01 | ) | | | (.12 | ) | | | (.10 | ) | | | (.04 | ) | | | .08 | |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.72 | | | | (.78 | ) | | | 3.88 | | | | 9.00 | | | | (10.34 | ) |
| Total from investment operations | | | 4.71 | | | | (.90 | ) | | | 3.78 | | | | 8.96 | | | | (10.26 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Net asset value, end of period | | $ | 29.96 | | | $ | 25.25 | | | $ | 26.15 | | | $ | 22.37 | | | $ | 13.55 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 18.70 | % | | | (3.48 | %) | | | 16.90 | % | | | 66.22 | % | | | (43.09 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,558 | | | $ | 1,600 | | | $ | 1,239 | | | $ | 1,842 | | | $ | 561 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.05 | %) | | | (0.51 | %) | | | (0.42 | %) | | | (0.22 | %) | | | 0.43 | % |
| Total expenses | | | 1.60 | % | | | 1.61 | % | | | 1.64 | % | | | 1.62 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 737 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.34 | | | $ | 25.38 | | | $ | 21.87 | | | $ | 13.40 | | | $ | 23.70 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.26 | ) | | | (.29 | ) | | | (.24 | ) | | | (.24 | ) | | | (.16 | ) |
| Net gain (loss) on investments | | | | | | | | | | | | | | | | | | | | |
| (realized and unrealized) | | | 4.59 | | | | (.75 | ) | | | 3.75 | | | | 8.85 | | | | (10.14 | ) |
| Total from investment operations | | | 4.33 | | | | (1.04 | ) | | | 3.51 | | | | 8.61 | | | | (10.30 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Total distributions | | | — | | | | — | | | | — | | | | (.14 | ) | | | — | |
| Net asset value, end of period | | $ | 28.67 | | | $ | 24.34 | | | $ | 25.38 | | | $ | 21.87 | | | $ | 13.40 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 17.79 | % | | | (4.10 | %) | | | 16.05 | % | | | 64.35 | % | | | (43.46 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,727 | | | $ | 2,729 | | | $ | 2,069 | | | $ | 3,375 | | | $ | 2,186 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.06 | %) | | | (1.24 | %) | | | (1.04 | %) | | | (1.31 | %) | | | (0.79 | %) |
| Total expenses | | | 2.35 | % | | | 2.35 | % | | | 2.39 | % | | | 2.38 | % | | | 2.40 | % |
| Portfolio turnover rate | | | 737 | % | | | 1,082 | % | | | 1,217 | % | | | 1,073 | % | | | 875 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Net investment income is less than $0.01 per share. |
| c | Total return does not reflect the impact of any applicable sales charges. |
| 136 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| |
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| THE RYDEX FUNDS ANNUAL REPORT | 137 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
For the one-year period ended March 28, 2013, Utilities Fund Investor Class returned 16.75%, compared with 16.37% for the S&P 500 Utilities Index. The broader S&P 500 Index returned 13.96%.
Within the sector, the multi-utilities segment provided the largest contribution to return, followed by the electric utilities segment. No segment detracted from return, but the independent power producers segment contributed least to return for the period.
NextEra Energy, Inc., Sempra Energy and American Electric Power Company, Inc. were the best-performing holdings over the period, while Cia Energetica de Minas Gerais, Exelon Corp. and Cia de Paranaense de Energia and were the main detractors.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| Investor Class | 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. | | | 4.1 | % |
| Southern Co. | | | 3.6 | % |
| Dominion Resources, Inc. | | | 3.3 | % |
| NextEra Energy, Inc. | | | 3.3 | % |
| Exelon Corp. | | | 3.1 | % |
| American Electric Power Company, Inc. | | | 2.8 | % |
| PG&E Corp. | | | 2.5 | % |
| Sempra Energy | | | 2.5 | % |
| PPL Corp. | | | 2.5 | % |
| Consolidated Edison, Inc. | | | 2.4 | % |
| Top Ten Total | | | 30.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
| 138 | THE RYDEX FUNDS ANNUAL REPORT |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 28, 2013 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | 1 Year | | | 5 Year | | | 10 Year | |
| Investor Class Shares | | | 16.75 | % | | | 5.77 | % | | | 10.29 | % |
| Advisor Class Shares | | | 16.23 | % | | | 5.27 | % | | | 9.75 | % |
| C-Class Shares | | | 15.58 | % | | | 4.71 | % | | | 9.19 | % |
| C-Class Shares with CDSC† | | | 14.58 | % | | | 4.71 | % | | | 9.19 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 8.53 | % |
| S&P 500 Utilities Index | | | 16.37 | % | | | 5.02 | % | | | 12.14 | % |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (09/01/04) | |
| A-Class Shares | | | 16.46 | % | | | 5.52 | % | | | 7.89 | % |
| A-Class Shares with sales charge‡ | | | 10.93 | % | | | 4.50 | % | | | 7.28 | % |
| S&P 500 Index | | | 13.96 | % | | | 5.81 | % | | | 6.36 | % |
| S&P 500 Utilities Index | | | 16.37 | % | | | 5.02 | % | | | 9.59 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
| THE RYDEX FUNDS ANNUAL REPORT | 139 |
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| UTILITIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% | | | | | | | | |
| | | | | | | | | |
| ELECTRIC UTILITIES - 46.8% | | | | | | | | |
| Duke Energy Corp. | | | 34,771 | | | $ | 2,524,026 | |
| Southern Co. | | | 47,925 | | | | 2,248,640 | |
| NextEra Energy, Inc. | | | 26,235 | | | | 2,037,935 | |
| Exelon Corp. | | | 55,977 | | | | 1,930,087 | |
| American Electric Power Company, Inc. | | | 34,906 | | | | 1,697,479 | |
| PPL Corp. | | | 48,441 | | | | 1,516,688 | |
| FirstEnergy Corp. | | | 34,578 | | | | 1,459,192 | |
| Edison International | | | 27,640 | | | | 1,390,845 | |
| Xcel Energy, Inc. | | | 44,933 | | | | 1,334,510 | |
| Northeast Utilities | | | 29,723 | | | | 1,291,762 | |
| Entergy Corp. | | | 18,329 | | | | 1,159,126 | |
| OGE Energy Corp. | | | 13,848 | | | | 969,083 | |
| Pinnacle West Capital Corp. | | | 15,233 | | | | 881,838 | |
| Pepco Holdings, Inc. | | | 36,291 | | | | 776,627 | |
| ITC Holdings Corp. | | | 8,510 | | | | 759,603 | |
| N.V. Energy, Inc. | | | 37,407 | | | | 749,262 | |
| Westar Energy, Inc. | | | 21,772 | | | | 722,395 | |
| Great Plains Energy, Inc. | | | 28,248 | | | | 655,071 | |
| Cleco Corp. | | | 12,759 | | | | 600,056 | |
| Hawaiian Electric Industries, Inc. | | | 20,656 | | | | 572,378 | |
| Cia Energetica de Minas Gerais ADR | | | 46,568 | | | | 551,831 | |
| Enersis S.A. ADR | | | 28,650 | | | | 551,226 | |
| IDACORP, Inc. | | | 11,203 | | | | 540,769 | |
| Portland General Electric Co. | | | 17,348 | | | | 526,165 | |
| UNS Energy Corp. | | | 10,312 | | | | 504,669 | |
| UIL Holdings Corp. | | | 12,540 | | | | 496,459 | |
| PNM Resources, Inc. | | | 20,340 | | | | 473,719 | |
| Total Electric Utilities | | | | | | | 28,921,441 | |
| MULTI-UTILITIES-33.5% | | | | | | | | |
| Dominion Resources, Inc. | | | 35,041 | | | | 2,038,685 | |
| PG&E Corp. | | | 34,635 | | | | 1,542,297 | |
| Sempra Energy | | | 19,182 | | | | 1,533,409 | |
| Consolidated Edison, Inc. | | | 24,468 | | | | 1,493,282 | |
| Public Service Enterprise Group, Inc. | | | 42,911 | | | | 1,473,564 | |
| DTE Energy Co. | | | 17,765 | | | | 1,214,060 | |
| CenterPoint Energy, Inc. | | | 48,564 | | | | 1,163,593 | |
| Wisconsin Energy Corp. | | | 25,814 | | | | 1,107,162 | |
| NiSource, Inc. | | | 36,360 | | | | 1,066,802 | |
| Ameren Corp. | | | 29,086 | | | | 1,018,592 | |
| CMS Energy Corp. | | | 33,984 | | | | 949,513 | |
| SCANA Corp. | | | 17,926 | | | | 917,094 | |
| Alliant Energy Corp. | | | 16,506 | | | | 828,271 | |
| MDU Resources Group, Inc. | | | 30,291 | | | | 756,972 | |
| Integrys Energy Group, Inc. | | | 12,941 | | | | 752,649 | |
| TECO Energy, Inc. | | | 38,668 | | | | 689,064 | |
| Vectren Corp. | | | 16,838 | | | | 596,402 | |
| National Grid plc ADR | | | 10,170 | | | | 589,962 | |
| Black Hills Corp. | | | 11,010 | | | | 484,880 | |
| Avista Corp. | | | 16,397 | | | | 449,278 | |
| Total Multi-Utilities | | | | | | | 20,665,531 | |
| GAS UTILITIES - 10.4% | | | | | | | | |
| ONEOK, Inc. | | | 23,297 | | | | 1,110,568 | |
| National Fuel Gas Co. | | | 13,037 | | | | 799,820 | |
| AGL Resources, Inc. | | | 18,528 | | | | 777,250 | |
| UGI Corp. | | | 19,129 | | | | 734,362 | |
| Questar Corp. | | | 30,007 | | | | 730,070 | |
| Atmos Energy Corp. | | | 16,262 | | | | 694,225 | |
| Piedmont Natural Gas Company, Inc. | | | 16,400 | | | | 539,232 | |
| WGL Holdings, Inc. | | | 11,891 | | | | 524,393 | |
| New Jersey Resources Corp. | | | 10,623 | | | | 476,442 | |
| Total Gas Utilities | | | | | | | 6,386,362 | |
| INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 5.1% | | | | | | | | |
| Calpine Corp.* | | | 51,863 | | | | 1,068,378 | |
| AES Corp. | | | 84,697 | | | | 1,064,641 | |
| NRG Energy, Inc. | | | 38,412 | | | | 1,017,534 | |
| Total Independent Power Producers & Energy Traders | | | | | | | 3,150,553 | |
| WATER UTILITIES - 3.7% | | | | | | | | |
| American Water Works Company, Inc. | | | 23,156 | | | | 959,584 | |
| Aqua America, Inc. | | | 23,571 | | | | 741,072 | |
| Cia de Saneamento Basico do Estado de Sao Paulo ADR* | | | 11,620 | | | | 554,623 | |
| Total Water Utilities | | | | | | | 2,255,279 | |
| Total Common Stocks | | | | | | | | |
| (Cost $47,337,197) | | | | | | | 61,379,166 | |
| RIGHTS - 0.0% | | | | | | | | |
| Enersis S.A. | | | | | | | | |
| Expires 06/01/13*,†††,2 | | | 11,576 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $1,263) | | | | | | | — | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENT††,1 - 0.3% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 182,891 | | | | 182,891 | |
| Total Repurchase Agreement | | | | | | | | |
| (Cost $182,891) | | | | | | | 182,891 | |
| Total Investments - 99.8% | | | | | | | | |
| (Cost $47,521,351) | | | | | | $ | 61,562,057 | |
| Other Assets & Liabilities, net - 0.2% | | | | | | | 95,787 | |
| Total Net Assets - 100.0% | | | | | | $ | 61,657,844 | |
| * | Non-income producing security. |
| † | Value determined based on Level 1 inputs — See Note 4. |
| †† | Value determined based on Level 2 inputs — See Note 4. |
| ††† | Value determined based on Level 3 inputs — See Note 4. |
| 1 | Repurchase Agreement — See Note 5. |
| 2 | Illiquid security. |
| | ADR — American Depositary Receipt |
| | plc — Public Limited Company |
| 140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| UTILITIES FUND |
| |
| STATEMENT OF ASSETS AND LIABILITIES |
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $47,338,460) | | $ | 61,379,166 | |
| Repurchase agreements, at value | | | | |
| (cost $182,891) | | | 182,891 | |
| Total investments | | | | |
| (cost $47,521,351) | | | 61,562,057 | |
| Cash | | | 61,979 | |
| Receivables: | | | | |
| Fund shares sold | | | 3,985,017 | |
| Dividends | | | 165,437 | |
| Interest | | | 2 | |
| Total assets | | | 65,774,492 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Securities purchased | | | 3,756,109 | |
| Fund shares redeemed | | | 254,558 | |
| Management fees | | | 53,431 | |
| Transfer agent and administrative fees | | | 15,715 | |
| Distribution and service fees | | | 8,698 | |
| Portfolio accounting fees | | | 6,286 | |
| Miscellaneous | | | 21,851 | |
| Total liabilities | | | 4,116,648 | |
| Net assets | | $ | 61,657,844 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 56,305,375 | |
| Undistributed net investment income | | | 544,396 | |
| Accumulated net realized loss on investments | | | (9,232,633 | ) |
| Net unrealized appreciation on investments | | | 14,040,706 | |
| Net assets | | $ | 61,657,844 | |
| Investor Class: | | | | |
| Net assets | | $ | 42,906,940 | |
| Capital shares outstanding | | | 1,311,703 | |
| Net asset value per share | | $ | 32.71 | |
| Advisor Class: | | | | |
| Net assets | | $ | 4,811,592 | |
| Capital shares outstanding | | | 159,393 | |
| Net asset value per share | | $ | 30.19 | |
| A-Class: | | | | |
| Net assets | | $ | 6,938,388 | |
| Capital shares outstanding | | | 224,176 | |
| Net asset value per share | | $ | 30.95 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 32.49 | |
| C-Class: | | | | |
| Net assets | | $ | 7,000,924 | |
| Capital shares outstanding | | | 250,424 | |
| Net asset value per share | | $ | 27.96 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 28, 2013 |
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $6,564) | | $ | 2,171,927 | |
| Income from securities lending, net | | | 215 | |
| Interest | | | 173 | |
| Total investment income | | | 2,172,315 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 483,033 | |
| Transfer agent and administrative fees | | | 142,069 | |
| Distribution and service fees: | | | | |
| Advisor Class | | | 26,325 | |
| A-Class | | | 19,707 | |
| C-Class | | | 74,535 | |
| Portfolio accounting fees | | | 56,827 | |
| Custodian fees | | | 8,517 | |
| Tax expense | | | 8,018 | |
| Trustees’ fees* | | | 6,259 | |
| Miscellaneous | | | 67,664 | |
| Total expenses | | | 892,954 | |
| Net investment income | | | 1,279,361 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 3,942,459 | |
| Net realized gain | | | 3,942,459 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 4,376,227 | |
| Net change in unrealized appreciation (depreciation) | | | 4,376,227 | |
| Net realized and unrealized gain | | | 8,318,686 | |
| Net increase in net assets resulting from operations | | $ | 9,598,047 | |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 141 |
| UTILITIES FUND |
| |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment income | | $ | 1,279,361 | | | $ | 1,266,642 | |
| Net realized gain (loss) on investments | | | 3,942,459 | | | | (3,259,840 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,376,227 | | | | 3,867,455 | |
| Net increase in net assets resulting from operations | | | 9,598,047 | | | | 1,874,257 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (490,500 | ) | | | (570,365 | ) |
| Advisor Class | | | (163,320 | ) | | | (54,402 | ) |
| A-Class | | | (300,120 | ) | | | (183,282 | ) |
| C-Class | | | (331,318 | ) | | | (110,178 | ) |
| Total distributions to shareholders | | | (1,285,258 | ) | | | (918,227 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 272,473,598 | | | | 338,234,668 | |
| Advisor Class | | | 61,233,923 | | | | 87,974,041 | |
| A-Class | | | 19,625,033 | | | | 24,133,839 | |
| C-Class | | | 43,779,661 | | | | 76,501,438 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 475,143 | | | | 471,912 | |
| Advisor Class | | | 159,179 | | | | 45,467 | |
| A-Class | | | 193,096 | | | | 174,040 | |
| C-Class | | | 315,126 | | | | 103,815 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (274,125,536 | ) | | | (310,540,659 | ) |
| Advisor Class | | | (65,066,231 | ) | | | (81,379,607 | ) |
| A-Class | | | (21,375,093 | ) | | | (20,137,942 | ) |
| C-Class | | | (44,719,733 | ) | | | (74,769,209 | ) |
| Net increase (decrease) from capital share transactions | | | (7,031,834 | ) | | | 40,811,803 | |
| Net increase in net assets | | | 1,280,955 | | | | 41,767,833 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 60,376,889 | | | | 18,609,056 | |
| End of year | | $ | 61,657,844 | | | $ | 60,376,889 | |
| Undistributed net investment income at end of year | | $ | 544,396 | | | $ | 542,275 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 8,971,171 | | | | 12,034,044 | |
| Advisor Class | | | 2,173,723 | | | | 3,319,631 | |
| A-Class | | | 683,472 | | | | 900,431 | |
| C-Class | | | 1,682,949 | | | | 3,120,067 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 16,855 | | | | 17,123 | |
| Advisor Class | | | 6,108 | | | | 1,771 | |
| A-Class | | | 7,235 | | | | 6,638 | |
| C-Class | | | 13,033 | | | | 4,322 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (8,962,441 | ) | | | (11,110,513 | ) |
| Advisor Class | | | (2,317,009 | ) | | | (3,073,927 | ) |
| A-Class | | | (752,222 | ) | | | (749,118 | ) |
| C-Class | | | (1,720,566 | ) | | | (3,049,349 | ) |
| Net increase (decrease) in shares | | | (197,692 | ) | | | 1,421,120 | |
| 142 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| UTILITIES FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Investor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.13 | | | $ | 27.00 | | | $ | 24.80 | | | $ | 20.56 | | | $ | 29.29 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .74 | | | | .73 | | | | .86 | | | | .61 | | | | .72 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.96 | | | | 1.80 | | | | 2.96 | | | | 4.85 | | | | (9.32 | ) |
| Total from investment operations | | | 4.70 | | | | 2.53 | | | | 3.82 | | | | 5.46 | | | | (8.60 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Total distributions | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Net asset value, end of period | | $ | 32.71 | | | $ | 29.13 | | | $ | 27.00 | | | $ | 24.80 | | | $ | 20.56 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.75 | % | | | 9.44 | % | | | 15.94 | % | | | 26.58 | % | | | (29.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 42,907 | | | $ | 37,469 | | | $ | 9,328 | | | $ | 9,912 | | | $ | 10,348 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.45 | % | | | 2.59 | % | | | 3.35 | % | | | 2.49 | % | | | 2.90 | % |
| Total expenses | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % | | | 1.39 | % | | | 1.39 | % |
| Portfolio turnover rate | | | 534 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| Advisor Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.10 | | | $ | 25.26 | | | $ | 23.40 | | | $ | 19.56 | | | $ | 28.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .48 | | | | .56 | | | | .62 | | | | .47 | | | | .63 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.73 | | | | 1.68 | | | | 2.86 | | | | 4.59 | | | | (8.94 | ) |
| Total from investment operations | | | 4.21 | | | | 2.24 | | | | 3.48 | | | | 5.06 | | | | (8.31 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Total distributions | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Net asset value, end of period | | $ | 30.19 | | | $ | 27.10 | | | $ | 25.26 | | | $ | 23.40 | | | $ | 19.56 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.23 | % | | | 8.90 | % | | | 15.43 | % | | | 25.89 | % | | | (29.72 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 4,812 | | | $ | 8,036 | | | $ | 1,240 | | | $ | 1,184 | | | $ | 5,939 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.70 | % | | | 2.11 | % | | | 2.53 | % | | | 2.07 | % | | | 2.72 | % |
| Total expenses | | | 1.85 | % | | | 1.84 | % | | | 1.87 | % | | | 1.88 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 534 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 143 |
| UTILITIES FUND |
| |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.69 | | | $ | 25.75 | | | $ | 23.77 | | | $ | 19.80 | | | $ | 28.27 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .65 | | | | .67 | | | | .54 | | | | .65 | | | | .54 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.73 | | | | 1.67 | | | | 3.06 | | | | 4.54 | | | | (8.88 | ) |
| Total from investment operations | | | 4.38 | | | | 2.34 | | | | 3.60 | | | | 5.19 | | | | (8.34 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Total distributions | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Net asset value, end of period | | $ | 30.95 | | | $ | 27.69 | | | $ | 25.75 | | | $ | 23.77 | | | $ | 19.80 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 16.46 | % | | | 9.16 | % | | | 15.70 | % | | | 26.24 | % | | | (29.54 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,938 | | | $ | 7,912 | | | $ | 3,289 | | | $ | 1,721 | | | $ | 1,489 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.26 | % | | | 2.47 | % | | | 2.23 | % | | | 2.81 | % | | | 2.15 | % |
| Total expenses | | | 1.61 | % | | | 1.60 | % | | | 1.63 | % | | | 1.64 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 534 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.31 | | | $ | 23.76 | | | $ | 22.21 | | | $ | 18.71 | | | $ | 26.93 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment incomea | | | .42 | | | | .42 | | | | .39 | | | | .39 | | | | .32 | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.35 | | | | 1.53 | | | | 2.78 | | | | 4.33 | | | | (8.41 | ) |
| Total from investment operations | | | 3.77 | | | | 1.95 | | | | 3.17 | | | | 4.72 | | | | (8.09 | ) |
| Less distributions from: | | | | | | �� | | | | | | | | | | | | | | |
| Net investment income | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Total distributions | | | (1.12 | ) | | | (.40 | ) | | | (1.62 | ) | | | (1.22 | ) | | | (.13 | ) |
| Net asset value, end of period | | $ | 27.96 | | | $ | 25.31 | | | $ | 23.76 | | | $ | 22.21 | | | $ | 18.71 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 15.58 | % | | | 8.28 | % | | | 14.85 | % | | | 25.24 | % | | | (30.08 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 7,001 | | | $ | 6,961 | | | $ | 4,751 | | | $ | 7,306 | | | $ | 4,127 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 1.62 | % | | | 1.70 | % | | | 1.72 | % | | | 1.77 | % | | | 1.31 | % |
| Total expenses | | | 2.36 | % | | | 2.35 | % | | | 2.38 | % | | | 2.39 | % | | | 2.39 | % |
| Portfolio turnover rate | | | 534 | % | | | 549 | % | | | 800 | % | | | 758 | % | | | 684 | % |
| a | Net investment income per share was computed using average shares outstanding throughout the period. |
| b | Total return does not reflect the impact of any applicable sales charges. |
| 144 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| NOTES TO FINANCIAL STATEMENTS |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (“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 March 28, 2013, the Trust consisted of fifty-one 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. Guggenheim Distributors, LLC (“GDL”) acts as principal underwriter for the Trust. GI, RFS and GDL 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
Since March 28, 2013 represents the last day during the Funds’ annual period on which the New York Stock Exchange was open for trading, the Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ net asset value calculations used for shareholder transactions.
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) obtaining general information as to how these securities and assets trade; and (ii) obtaining 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
| THE RYDEX FUNDS ANNUAL REPORT | 145 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Funds do 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.
| | | 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 GDL 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 GDL at an annual rate not to exceed 0.25% of average daily net
| 146 | THE RYDEX FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
assets, pursuant to Rule 12b-1 of the 1940 Act. GDL, in turn, will pay the Service Provider out of its fees. GDL 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, GDL will receive shareholder servicing fees from the Funds at an annual rate not to exceed 0.25% of average daily net assets. GDL, 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 GDL for paying the shareholder’s financial advisor an ongoing sales commission. GDL advances the first year’s service and distribution fees to the financial advisor. GDL retains the service and distribution fees on accounts with no authorized dealer of record.
For the year ended March 28, 2013, GDL retained sales charges of $219,176 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and GDL.
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 2010–2013), 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. It simplified some of the tax provisions applicable to regulated investment companies, the tax reporting to their shareholders and improved the tax efficiency of certain fund structures. The changes were generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds are 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.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 28, 2013, the following capital loss carryforward amounts were expired or used:
| Fund | | Amount | |
| Biotechnology Fund | | $ | (52,808,590 | ) |
| Electronics Fund | | | (6,480,667 | ) |
| Energy Services Fund | | | (263,624 | ) |
| Financial Services Fund | | | (372,153 | ) |
| Health Care Fund | | | (1,159,321 | ) |
| Leisure Fund | | | (353,498 | ) |
| Retailing Fund | | | (2,088,847 | ) |
| Technology Fund | | | (6,354,546 | ) |
| Telecommunications Fund | | | (618,538 | ) |
| Transportation Fund | | | (1,231,925 | ) |
| Utilities Fund | | | (1,640,258 | ) |
| THE RYDEX FUNDS ANNUAL REPORT | 147 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 28, 2013 was as follows:
| | | Ordinary | | | Long-Term | | | Return of | | | Total | |
| Fund | | Income | | | Capital Gain | | | Capital | | | Distributions | |
| Banking Fund | | $ | 82,876 | | | $ | — | | | $ | — | | | $ | 82,876 | |
| Basic Materials Fund | | | 227,655 | | | | — | | | | — | | | | 227,655 | |
| Biotechnology Fund | | | — | | | | — | | | | — | | | | — | |
| Consumer Products Fund | | | 440,666 | | | | — | | | | — | | | | 440,666 | |
| Electronics Fund | | | — | �� | | | — | | | | — | | | | — | |
| Energy Fund | | | 170,975 | | | | — | | | | 983,306 | | | | 1,154,281 | |
| Energy Services Fund | | | — | | | | — | | | | — | | | | — | |
| Financial Services Fund | | | 103,876 | | | | — | | | | — | | | | 103,876 | |
| Health Care Fund | | | 251,797 | | | | — | | | | — | | | | 251,797 | |
| Internet Fund | | | — | | | | 113,384 | | | | — | | | | 113,384 | |
| Leisure Fund | | | 24,145 | | | | — | | | | — | | | | 24,145 | |
| Precious Metals Fund | | | 257,614 | | | | 5,526,266 | | | | — | | | | 5,783,880 | |
| Retailing Fund | | | — | | | | — | | | | — | | | | — | |
| Technology Fund | | | — | | | | — | | | | — | | | | — | |
| Telecommunications Fund | | | 93,036 | | | | — | | | | — | | | | 93,036 | |
| Transportation Fund | | | — | | | | — | | | | — | | | | — | |
| Utilities Fund | | | 1,285,258 | | | | — | | | | — | | | | 1,285,258 | |
The tax character of distributions paid during the year ended March 31, 2012 was as follows:
| | | Ordinary | | | Long-Term | | | Total | |
| Fund | | Income | | | Capital Gain | | | Distributions | |
| Banking Fund | | $ | 8,682 | | | $ | — | | | $ | 8,682 | |
| Basic Materials Fund | | | — | | | | — | | | | — | |
| Biotechnology Fund | | | — | | | | — | | | | — | |
| Consumer Products Fund | | | 3,934,423 | | | | — | | | | 3,934,423 | |
| Electronics Fund | | | — | | | | — | | | | — | |
| Energy Fund | | | — | | | | — | | | | — | |
| Energy Services Fund | | | — | | | | — | | | | — | |
| Financial Services Fund | | | 5,633 | | | | — | | | | 5,633 | |
| Health Care Fund | | | — | | | | — | | | | — | |
| Internet Fund | | | — | | | | — | | | | — | |
| Leisure Fund | | | — | | | | — | | | | — | |
| Precious Metals Fund | | | 601,515 | | | | — | | | | 601,515 | |
| Retailing Fund | | | 16,042 | | | | — | | | | 16,042 | |
| Technology Fund | | | — | | | | — | | | | — | |
| Telecommunications Fund | | | 169,346 | | | | — | | | | 169,346 | |
| Transportation Fund | | | — | | | | — | | | | — | |
| Utilities Fund | | | 918,227 | | | | — | | | | 918,227 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax character of distributable earnings/(accumulated losses) at March 28, 2013 was as follows:
| | | Undistributed | | | Undistributed | | | Net Unrealized | | | | |
| | | Ordinary | | | Long-Term | | | Appreciation/ | | | Capital Loss | |
| Fund | | Income | | | Capital Gain | | | Depreciation | | | Carryforward1 | |
| Banking Fund | | $ | 206,728 | | | $ | — | | | $ | 472,172 | | | $ | (21,894,392 | ) |
| Basic Materials Fund | | | 259,097 | | | | — | | | | 11,422,629 | | | | (20,951,326 | ) |
| Biotechnology Fund | | | — | | | | — | | | | 82,742,812 | | | | — | |
| Consumer Products Fund | | | 1,720,103 | | | | 1,441,824 | | | | 38,157,082 | | | | — | |
| Electronics Fund | | | 12,129 | | | | — | | | | 461,333 | | | | (20,123,812 | ) |
| Energy Fund | | | — | | | | — | | | | 20,400,736 | | | | (10,986,962 | ) |
| Energy Services Fund | | | — | | | | — | | | | 23,030,630 | | | | (32,289,801 | ) |
| Financial Services Fund | | | 146,073 | | | | — | | | | 3,042,401 | | | | (3,569,182 | ) |
| Health Care Fund | | | 113,186 | | | | — | | | | 20,572,760 | | | | (3,885,963 | ) |
| Internet Fund | | | — | | | | 185,111 | | | | 2,055,108 | | | | — | |
| Leisure Fund | | | 200,095 | | | | — | | | | 5,357,369 | | | | (5,061,598 | ) |
| Precious Metals Fund | | | 303,296 | | | | — | | | | 17,227,066 | | | | (152,897 | ) |
| Retailing Fund | | | — | | | | — | | | | 2,213,259 | | | | (1,564,877 | ) |
| Technology Fund | | | — | | | | — | | | | 4,341,961 | | | | (8,659,307 | ) |
| Telecommunications Fund | | | 98,053 | | | | — | | | | (35,733 | ) | | | (3,969,489 | ) |
| Transportation Fund | | | — | | | | — | | | | 5,269,815 | | | | (21,569,388 | ) |
| Utilities Fund | | | 544,396 | | | | — | | | | 9,553,732 | | | | (4,745,659 | ) |
Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.
| 148 | THE RYDEX FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
1A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | Total | |
| | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Expires in | | | Unlimited | | | Capital Loss | |
| Fund | | 2014 | | | 2015 | | | 2016 | | | 2017 | | | 2018 | | | 2019 | | | Short Term | | | Long Term | | | Carryforward | |
| Banking Fund | | $ | (214,478 | ) | | $ | — | | | $ | (311,892 | ) | | $ | (1,809,926 | ) | | $ | (16,385,824 | ) | | $ | (912,723 | ) | | $ | (927,388 | ) | | $ | (1,332,161 | ) | | $ | (21,894,392 | ) |
| Basic Materials Fund | | | — | | | | — | | | | — | | | | (6,151,760 | ) | | | (8,009,421 | ) | | | — | | | | (6,790,145 | ) | | | — | | | | (20,951,326 | ) |
| Electronics Fund | | | (2,395,860 | ) | | | (5,495,145 | ) | | | (1,900,883 | ) | | | (6,118,835 | ) | | | — | | | | (3,055,204 | ) | | | (1,157,885 | ) | | | — | | | | (20,123,812 | ) |
| Energy Fund | | | — | | | | — | | | | — | | | | — | | | | (7,008,326 | ) | | | — | | | | (3,978,636 | ) | | | — | | | | (10,986,962 | ) |
| Energy Services Fund | | | — | | | | — | | | | — | | | | (26,586,972 | ) | | | (5,702,829 | ) | | | — | | | | — | | | | — | | | | (32,289,801 | ) |
| Financial Services Fund | | | — | | | | — | | | | — | | | | (3,098,998 | ) | | | (417,729 | ) | | | — | | | | — | | | | (52,455 | ) | | | (3,569,182 | ) |
| Health Care Fund | | | — | | | | — | | | | — | | | | (604,862 | ) | | | (3,281,101 | ) | | | — | | | | — | | | | — | | | | (3,885,963 | ) |
| Leisure Fund | | | (1,914,441 | ) | | | — | | | | — | | | | (652,027 | ) | | | (586,133 | ) | | | — | | | | (1,908,997 | ) | | | — | | | | (5,061,598 | ) |
| Precious Metals Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (152,897 | ) | | | (152,897 | ) |
| Retailing Fund | | | — | | | | — | | | | — | | | | (1,564,877 | ) | | | — | | | | — | | | | — | | | | — | | | | (1,564,877 | ) |
| Technology Fund | | | (3,582,117 | ) | | | — | | | | — | | | | (5,077,190 | ) | | | — | | | | — | | | | — | | | | — | | | | (8,659,307 | ) |
| Telecommunications Fund | | | — | | | | — | | | | — | | | | (1,745,552 | ) | | | — | | | | — | | | | (1,758,991 | ) | | | (464,946 | ) | | | (3,969,489 | ) |
| Transportation Fund | | | — | | | | — | | | | — | | | | (795,900 | ) | | | (13,907,033 | ) | | | (6,866,455 | ) | | | — | | | | — | | | | (21,569,388 | ) |
| Utilities Fund | | | — | | | | — | | | | — | | | | — | | | | (2,904,125 | ) | | | (1,841,534 | ) | | | — | | | | — | | | | (4,745,659 | ) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are typically due to post-October losses, losses deferred due to wash sales, tax treatment of payments from credit default swaps, utilization of earnings and profits on shareholder redemptions, foreign currency gains and losses, and the “mark-to-market” of certain passive foreign investment companies (PFICs) for tax purposes. Additional differences may result from tax treatment of net investment losses and expired capital loss carryforwards. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
On the Statements of Assets and Liabilities the following adjustments were made for permanent book/tax differences:
| | | | | | Undistributed | | | Accumulated | |
| | | Paid In | | | Net Investment | | | Net Realized | |
| Fund | | Capital | | | Income | | | Gain (Loss) | |
| Banking Fund | | $ | — | | | $ | 9,986 | | | $ | (9,986 | ) |
| Basic Materials Fund | | | (23,330 | ) | | | 5,107 | | | | 18,223 | |
| Biotechnology Fund | | | (44,785,751 | ) | | | 1,365,638 | | | | 43,420,113 | |
| Consumer Products Fund | | | 3,328,730 | | | | — | | | | (3,328,730 | ) |
| Electronics Fund | | | (6,480,667 | ) | | | — | | | | 6,480,667 | |
| Energy Fund | | | — | | | | (14,144 | ) | | | 14,144 | |
| Energy Services Fund | | | (135,110 | ) | | | 135,110 | | | | — | |
| Financial Services Fund | | | (8,215 | ) | | | — | | | | 8,215 | |
| Health Care Fund | | | — | | | | — | | | | — | |
| Internet Fund | | | 261,886 | | | | 93,569 | | | | (355,455 | ) |
| Leisure Fund | | | (353,497 | ) | | | — | | | | 353,497 | |
| Precious Metals Fund | | | — | | | | 1,005,126 | | | | (1,005,126 | ) |
| Retailing Fund | | | 82,328 | | | | (82,272 | ) | | | (56 | ) |
| Technology Fund | | | (5,265,910 | ) | | | 70,021 | | | | 5,195,889 | |
| Telecommunications Fund | | | (618,823 | ) | | | 285 | | | | 618,538 | |
| Transportation Fund | | | (373,833 | ) | | | 11,732 | | | | 362,101 | |
| Utilities Fund | | | (8,018 | ) | | | 8,018 | | | | — | |
| THE RYDEX FUNDS ANNUAL REPORT | 149 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
At March 28, 2013, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
| | | | | | Tax | | | Tax | | | Net | |
| | | Tax | | | Unrealized | | | Unrealized | | | Unrealized | |
| Fund | | Cost | | | Gain | | | Loss | | | Gain/(Loss) | |
| Banking Fund | | $ | 19,286,292 | | | $ | 546,199 | | | $ | (74,027 | ) | | $ | 472,172 | |
| Basic Materials Fund | | | 47,004,730 | | | | 13,077,992 | | | | (1,655,363 | ) | | | 11,422,629 | |
| Biotechnology Fund | | | 169,559,415 | | | �� | 84,637,247 | | | | (1,894,435 | ) | | | 82,742,812 | |
| Consumer Products Fund | | | 189,983,383 | | | | 38,708,465 | | | | (551,383 | ) | | | 38,157,082 | |
| Electronics Fund | | | 4,741,671 | | | | 466,259 | | | | (4,926 | ) | | | 461,333 | |
| Energy Fund | | | 50,589,765 | | | | 20,612,210 | | | | (211,474 | ) | | | 20,400,736 | |
| Energy Services Fund | | | 27,304,278 | | | | 23,189,770 | | | | (159,140 | ) | | | 23,030,630 | |
| Financial Services Fund | | | 24,330,121 | | | | 3,128,230 | | | | (85,829 | ) | | | 3,042,401 | |
| Health Care Fund | | | 96,965,490 | | | | 20,833,947 | | | | (261,187 | ) | | | 20,572,760 | |
| Internet Fund | | | 7,125,199 | | | | 2,103,690 | | | | (48,582 | ) | | | 2,055,108 | |
| Leisure Fund | | | 20,523,562 | | | | 5,371,335 | | | | (13,966 | ) | | | 5,357,369 | |
| Precious Metals Fund | | | 84,943,587 | | | | 20,685,540 | | | | (3,458,474 | ) | | | 17,227,066 | |
| Retailing Fund | | | 18,488,826 | | | | 2,260,698 | | | | (47,439 | ) | | | 2,213,259 | |
| Technology Fund | | | 9,073,060 | | | | 4,409,848 | | | | (67,887 | ) | | | 4,341,961 | |
| Telecommunications Fund | | | 4,564,843 | | | | — | | | | (35,733 | ) | | | (35,733 | ) |
| Transportation Fund | | | 86,954,151 | | | | 6,543,428 | | | | (1,273,613 | ) | | | 5,269,815 | |
| Utilities Fund | | | 52,008,325 | | | | 9,561,400 | | | | (7,668 | ) | | | 9,553,732 | |
Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 28, 2013, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2013:
| Fund | | Ordinary | | | Capital | |
| Banking Fund | | $ | — | | | $ | (48,618 | ) |
| Biotechnology Fund | | | (1,246,141 | ) | | | (233,294 | ) |
| Electronics Fund | | | (9,150 | ) | | | — | |
| Energy Fund | | | — | | | | (809,614 | ) |
| Energy Services Fund | | | (83,951 | ) | | | — | |
| Health Care Fund | | | — | | | | (731,994 | ) |
| Internet Fund | | | (35,811 | ) | | | — | |
| Precious Metals Fund | | | — | | | | (2,152,537 | ) |
| Retailing Fund | | | — | | | | (20,532 | ) |
| Technology Fund | | | (27,296 | ) | | | — | |
| Transportation Fund | | | (62,130 | ) | | | (8,002 | ) |
Appropriate tax adjustments have been made to the tax cost of investments, accumulated earnings on a tax basis, capital loss carryforwards, post-October losses and utilized capital loss carryforwards in accordance with March 31, 2013 tax year end of the Funds.
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).
| 150 | THE RYDEX FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the inputs used to value the Funds’ net assets at March 28, 2013:
| | | Level 1 | | | Level 2 | | | Level 3 | | | | |
| | | Investments | | | Investments | | | Investments | | | | |
| | | In Securities | | | In Securities | | | In Securities | | | Total | |
| Assets | | | | | | | | | | | | | | | | |
| Banking Fund | | $ | 19,224,719 | | | $ | 533,745 | | | $ | — | | | $ | 19,758,464 | |
| Basic Materials Fund | | | 57,414,878 | | | | 1,012,481 | | | | — | | | | 58,427,359 | |
| Biotechnology Fund | | | 234,137,339 | | | | 18,164,888 | | | | — | | | | 252,302,227 | |
| Consumer Products Fund | | | 223,833,484 | | | | 4,306,981 | | | | — | | | | 228,140,465 | |
| Electronics Fund | | | 5,188,411 | | | | 14,593 | | | | — | | | | 5,203,004 | |
| Energy Fund | | | 69,415,053 | | | | 1,575,448 | | | | — | | | | 70,990,501 | |
| Energy Services Fund | | | 49,900,728 | | | | 434,180 | | | | — | | | | 50,334,908 | |
| Financial Services Fund | | | 27,245,400 | | | | 127,122 | | | | — | | | | 27,372,522 | |
| Health Care Fund | | | 115,979,807 | | | | 1,558,443 | | | | — | | | | 117,538,250 | |
| Internet Fund | | | 8,943,048 | | | | 237,259 | | | | — | | | | 9,180,307 | |
| Leisure Fund | | | 25,287,513 | | | | 593,418 | | | | — | | | | 25,880,931 | |
| Precious Metals Fund | | | 99,789,288 | | | | 2,381,365 | | | | — | | | | 102,170,653 | |
| Retailing Fund | | | 20,241,721 | | | | 460,364 | | | | — | | | | 20,702,085 | |
| Technology Fund | | | 13,216,060 | | | | 198,961 | | | | — | | | | 13,415,021 | |
| Telecommunications Fund | | | 4,420,351 | | | | 108,759 | | | | — | | | | 4,529,110 | |
| Transportation Fund | | | 90,116,007 | | | | 2,107,959 | | | | — | | | | 92,223,966 | |
| Utilities Fund | | | 61,379,166 | | | | 182,891 | | | | — | | | | 61,562,057 | |
For the year ended March 28, 2013, 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 March 28, 2013, the repurchase agreements in the joint account were as follows:
| Counterparty and | | | | | | | | | | | | | | | |
| Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | | Par Value | | | Fair Value | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | | |
| 0.10% | | | | | | | | | | 0.50% | | | | | | | | | |
| Due 04/01/13 | | $ | 20,081,681 | | | $ | 20,081,904 | | | 07/31/17 | | | $ | 20,476,500 | | | $ | 20,483,689 | |
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. 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 the U.S. Treasury or Government Agencies and cash. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over
| THE RYDEX FUNDS ANNUAL REPORT | 151 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 March 28, 2013, the Funds participated in securities lending as follows:
| | | Value of | | | Cash | |
| Fund | | Securities Loaned | | | Collateral | |
| Banking Fund | | $ | 481,300 | | | $ | 491,746 | |
| Basic Materials Fund | | | 681,303 | | | | 708,401 | |
| Biotechnology Fund | | | 15,841,926 | | | | 16,328,450 | |
| Consumer Products Fund | | | 2,816,833 | | | | 2,866,341 | |
| Energy Fund | | | 854,491 | | | | 877,255 | |
| Energy Services Fund | | | 135,642 | | | | 138,938 | |
| Health Care Fund | | | 1,042,174 | | | | 1,072,724 | |
| Internet Fund | | | 210,268 | | | | 216,938 | |
| Leisure Fund | | | 320,487 | | | | 328,576 | |
| Precious Metals Fund | | | 1,622,122 | | | | 1,736,416 | |
| Retailing Fund | | | 245,001 | | | | 247,996 | |
| Technology Fund | | | 136,208 | | | | 137,100 | |
| Telecommunications Fund | | | 91,792 | | | | 95,063 | |
| Transportation Fund | | | 1,767,927 | | | | 1,797,490 | |
The following represents a breakdown of the collateral for the joint repurchase agreements at March 28, 2013:
| Counterparty and | | | | | | | | | | | | | | |
| Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| HSBC Securities, Inc. | | | | | | | | | | Fannie Mae | | | | | | | | |
| 0.17% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 04/01/13 | | $ | 14,334,268 | | | $ | 14,334,539 | | | 11/15/17 | | $ | 2,790,164 | | | $ | 2,666,114 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.00% | | | | | | | | |
| | | | | | | | | | | 11/15/19 | | | 13,365,954 | | | | 11,957,850 | |
| RBS Securities, Inc. | | | | | | | | | | Federal Home Loan Bank | | | | | | | | |
| 0.18% | | | | | | | | | | 0.375% | | | | | | | | |
| Due 04/01/13 | | | 18,221,722 | | | | 18,222,086 | | | 10/18/13 | | | 1,832,012 | | | | 1,837,210 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.50% | | | | | | | | |
| | | | | | | | | | | 05/27/15 | | | 16,668,738 | | | | 16,751,927 | |
7. Securities Transactions
For the year ended March 28, 2013, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were as follows:
| Fund | | Purchases | | | Sales | |
| Banking Fund | | $ | 85,066,393 | | | $ | 102,466,022 | |
| Basic Materials Fund | | | 151,432,502 | | | | 152,765,515 | |
| Biotechnology Fund | | | 435,980,422 | | | | 366,813,085 | |
| Consumer Products Fund | | | 391,350,416 | | | | 392,684,012 | |
| Electronics Fund | | | 85,404,387 | | | | 87,478,224 | |
| Energy Fund | | | 156,867,315 | | | | 160,971,427 | |
| Energy Services Fund | | | 143,718,827 | | | | 155,028,992 | |
| Financial Services Fund | | | 105,060,745 | | | | 105,331,729 | |
| Health Care Fund | | | 312,451,277 | | | | 260,124,767 | |
| Internet Fund | | | 32,006,412 | | | | 31,682,652 | |
| Leisure Fund | | | 120,725,664 | | | | 114,433,482 | |
| Precious Metals Fund | | | 273,061,688 | | | | 274,104,826 | |
| Retailing Fund | | | 131,903,020 | | | | 160,148,490 | |
| Technology Fund | | | 49,964,018 | | | | 68,487,758 | |
| Telecommunications Fund | | | 73,592,477 | | | | 77,022,545 | |
| Transportation Fund | | | 237,687,041 | | | | 167,482,234 | |
| Utilities Fund | | | 281,393,768 | | | | 288,146,651 | |
| 152 | THE RYDEX FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
8. 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 year ended March 28, 2013. The Funds did not have any borrowings under this agreement at March 28, 2013.
The average daily balances borrowed for the year ended March 28, 2013, were as follows:
| Fund | | Average Daily Balance | |
| Banking Fund | | | $ 45,975 | |
| Basic Materials Fund | | | 18,521 | |
| Biotechnology Fund | | | 621,466 | |
| Consumer Products Fund | | | 34,618 | |
| Electronics Fund | | | 3,437 | |
| Energy Fund | | | 35,811 | |
| Energy Services Fund | | | 19,195 | |
| Financial Services Fund | | | 5,729 | |
| Health Care Fund | | | 77,142 | |
| Internet Fund | | | 10,477 | |
| Leisure Fund | | | 10,468 | |
| Precious Metals Fund | | | 239,995 | |
| Retailing Fund | | | 12,710 | |
| Technology Fund | | | 79,984 | |
| Telecommunications Fund | | | 20,036 | |
| Transportation Fund | | | 21,682 | |
| Utilities Fund | | | 13,463 | |
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.
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 “SLCFC actions”).
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”). On November 6, 2012, the defendants moved to dismiss the SLCFC actions. On December 21, 2012, the plaintiffs filed a memorandum in opposition to the motion to dismiss. On February 4, 2013, the defendants filed a reply in support of the motion to dismiss. The Court has not yet issued a decision on the motion.
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.
| THE RYDEX FUNDS ANNUAL REPORT | 153 |
| NOTES TO FINANCIAL STATEMENTS (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.
10. New Accounting Pronouncement
In January 2013, the Financial Accounting Standards Board issued an Accounting Standards Update No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending. The new disclosure is effective for Funds whose annual or interim periods begin on or after January 1, 2013. Management is evaluating the impact of this update on its current disclosures.
| 154 | THE RYDEX FUNDS ANNUAL REPORT |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Board of Trustees and Shareholders
of Rydex Series Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (seventeen of the series constituting the Rydex Series Funds) (the “Funds”) as of March 28, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 28, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 28, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
May 24, 2013
| THE RYDEX FUNDS ANNUAL REPORT | 155 |
| OTHER INFORMATION (Unaudited) |
Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
Of the taxable ordinary income distributions paid during the fiscal year ending March 28, 2013, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:
| Fund | | % Qualifying | |
| Banking Fund | | | 100.00% | |
| Basic Materials Fund | | | 100.00% | |
| Consumer Products Fund | | | 92.99% | |
| Energy Fund | | | 100.00% | |
| Financial Services Fund | | | 100.00% | |
| Health Care Fund | | | 100.00% | |
| Leisure Fund | | | 100.00% | |
| Precious Metals Fund | | | 100.00% | |
| Telecommunications Fund | | | 81.74% | |
| Utilities Fund | | | 100.00% | |
Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
| Fund | | % Qualifying | |
| Banking Fund | | | 100.00% | |
| Basic Materials Fund | | | 100.00% | |
| Consumer Products Fund | | | 100.00% | |
| Energy Fund | | | 100.00% | |
| Financial Services Fund | | | 100.00% | |
| Health Care Fund | | | 100.00% | |
| Leisure Fund | | | 100.00% | |
| Precious Metals Fund | | | 100.00% | |
| Telecommunications Fund | | | 80.78% | |
| Utilities Fund | | | 100.00% | |
With respect to the taxable year ended March 28, 2013, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| | | Consumer Products | | | Internet | | | Precious Metals | |
| | | Fund | | | Fund | | | Fund | |
| | | | | | | | | | |
| From long-term capital gains, subject to the 15% rate gains category: | | | $ — | | | | $ 113,384 | | | | $ 5,526,266 | |
| | | | | | | | | | | | | |
| From long-term capital gains, using proceeds from shareholder redemptions: | | | 917,836 | | | | 349,276 | | | | — | |
For the fiscal year ending March 28, 2013, Precious Metals Fund earned gross income derived from foreign sources totaling $1,028,150. The Precious Metals Fund paid foreign taxes totaling $122,489 for the fiscal year and may pass these taxes through to shareholders, who may be able to claim them as a foreign tax credit. A final determination will be made at the end of the calendar year. The Funds will notify shareholders of amounts for use in preparing 2013 income tax forms in January 2014.
| 156 | THE RYDEX FUNDS ANNUAL REPORT |
| OTHER INFORMATION (Unaudited) (concluded) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 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
Distributor Name Change
Effective January 1, 2013, Rydex Distributors, LLC changed its name to Guggenheim Distributors, LLC. The name change marks another step in the business integration process following the acquisition of Rydex by Guggenheim announced last year. The name change should not result in any material change to the day-to-day management or operations of the funds.
| THE RYDEX FUNDS ANNUAL REPORT | 157 |
| 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 | | | 136 | |
| (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 | | | 136 | |
| (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 | | | 136 | |
| (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 | | | 136 | |
| (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
| 158 | THE RYDEX FUNDS 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 | | | 136 | |
| (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 | | | 136 | |
| (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 | | | 136 | |
| (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 | | | 136 | |
| (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
Year of Birth | | | Principal Occupations
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: Guggenheim Distributors, LLC (f/k/a Rydex Distributors, LLC), 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 ANNUAL REPORT | 159 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded) |
EXECUTIVE OFFICERS – concluded
Name, Position and
Year of Birth | | | Principal Occupations
During Past Five Years | |
| | | |
Nikolaos Bonos*
Vice President and Treasurer (1963) | | Current: Senior Vice President, Security Investors, LLC; Chief Executive 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, LLCOfficer & Manager, Rydex |
| | | |
| | | 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 Guggenheim Distributors, LLC |
| | | |
| | | Previous: Senior Manager, Security Investors, LLC and Guggenheim Distributors, LLC (2004–2009) |
| | | |
Amy J. Lee*
Vice President and
Assistant Secretary (1961) | | Current: Managing Director, Guggenheim Investments; Senior Vice President & Secretary, Security Investors, LLC; Secretary & Vice President, Rydex ETF Trust, Rydex Dynamic Funds, Rydex Variable Trust, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Guggenheim Specialized Products, LLC, Guggenheim Distributors, LLC and Rydex Fund Services, LLC |
| | | |
| | | Previous: Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987–2012); Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/ka/ PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011) |
| | | |
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. |
| 160 | THE RYDEX FUNDS ANNUAL REPORT |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Distributors, LLC, 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 ANNUAL REPORT | 161 |
| 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.
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GUGGENHEIM ALTERNATIVES FUNDS
GUGGENHEIM U.S. LONG SHORT MOMENTUM FUND
GUGGENHEIM EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
RYDEX INTERNATIONAL EQUITY FUNDS
RYDEX EMERGING MARKETS 2x STRATEGY FUND
RYDEX INVERSE EMERGING MARKETS 2x STRATEGY FUND
RSTF-ANN-0313x0314
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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.
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TABLE OF CONTENTS
THE GUGGENHEIM FUNDS ANNUAL REPORT | 1
March 28, 2013
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for two Guggenheim Alternatives Funds and two Rydex International Equity Funds.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC, a global, diversified financial services firm.
Guggenheim Distributors, LLC is the distributor of the Funds. Guggenheim Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.
This report covers performance of the following Funds for the one-year period ended March 28, 2013:
– U.S. Long Short Momentum Fund
– Event Driven and Distressed Strategies Fund
– Emerging Markets 2x Strategy Fund
– Inverse Emerging Markets 2x Strategy Fund
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
April 30, 2013
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.
Alternative funds may not be suitable for all investors because of the sophisticated and aggressive investment techniques the funds employ, such as leverage, derivatives and short selling. • The more you invest in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. • The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. • The use of derivatives such as futures, options and swap agreements may expose an investment to additional risks that it would not be subject to if you invested directly in the securities underlying those derivatives. • Additionally, certain alternative strategies tied to hard assets such as commodities, currencies and real estate, may be subject to greater volatility as they may be affected by overall market movements, changes in interest rates or factors affecting a particular industry, commodity or currency, such as droughts, floods, weather, livestock disease, embargos, tariffs and international economic, political and regulatory developments. • No investment strategy can guarantee a return in a declining market. Additionally, an investor could lose all or a substantial amount of their investment.
Inverse and leveraged Funds are not suitable for all investors. • These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. • The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. • Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. • The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. • Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. • Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the 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. 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. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. • For more on these and other risks, please read the prospectus.
2 | THE GUGGENHEIM FUNDS ANNUAL REPORT
| ECONOMIC AND MARKET OVERVIEW | March 28, 2013 |
Recent economic results have been solid, powered by the monetary accommodation from central banks around the world. The U.S. Federal Reserve has signaled that it is likely to continue with its asset purchase program throughout 2013 in an effort to combat long-term structural unemployment. This, coupled with rebound in the housing market, has provided a tailwind for the economy. The run-up in U.S. equity prices, with some major indices testing or exceeding their all-time highs, has also contributed to heightened expectations about the economy and markets. In the fixed income domain, abundant liquidity and the continuation of open-ended quantitative easing have produced a benign credit environment with low default rates.
Following Congress’ New Year’s reprieve on the Fiscal Cliff, markets turned their attention to the impact of sequestration, as well as ongoing tax and spending debates. Despite some uncertainty created by recent political partisanship in Washington, the U.S. economy seems to be on firm footing. Construction spending has been rising, state and local employment has been contributing to GDP and employment growth has been fairly strong. Investors have benefited from the themes that have dominated the environment since the recovery began: tighter credit spreads, low interest rates, improving employment, modest inflation and sustained economic growth. Moreover, the U.S. economic expansion has withstood recent less-than-favorable Chinese economic data and Europe’s continued growth problems and banking crises in certain periphery countries.
For the one-year period ended March 31, 2013, the Standard & Poor’s 500® (the “S&P 500”) Index*, which is generally regarded as an indicator of the broad U.S. stock market, returned 13.96%. Foreign developed markets performed in a comparable manner: the Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East Index* (“EAFE”) , which is composed of approximately 1,100 companies in 20 developed countries in Europe and the Pacific Basin, returned 11.25%. Global growth concerns affected emerging markets. The return of the MSCI Emerging Markets Index* was 1.95%.
In the bond market, higher quality issues underperformed lower-rated bonds, as investors embraced risk. The return of the Barclays U.S. Aggregate Bond Index*, which is a proxy for the U.S. investment grade bond market, posted a 3.77% return for the period, while the Barclays U.S. Corporate High Yield Index* returned 13.13%. Reflecting the Fed’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 0.12% for the one-year period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
BNY Mellon Emerging Markets 50 ADR Index is capitalization-weighted and designed to track the performance of approximately 50 emerging market-based depositary receipts.
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. 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.
Credit Suisse Event Driven Liquid Index reflects the returns of a dynamic basket of liquid, investable market factors selected and weighted in accordance with an algorithm that aims to approximate the aggregate returns of the universe of event driven hedge fund managers, as represented by the Event Driven sector of the Dow Jones Credit Suisse Hedge Fund Index.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Russell 3000 Index measures the performance of the largest 3000 U.S. companies, representing approximately 98% of the investable U.S. equity market.
S&P 500 Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
THE GUGGENHEIM FUNDS ANNUAL REPORT | 3
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value 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 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 September 30, 2012 and ending March 28 , 2013.
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 ANNUAL REPORT | 5
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 28, 2013 | | | Period2 | |
| Table 1. Based on actual Fund return3 | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 2.29 | % | | | 5.46 | % | | | $1,000.00 | | | | $1,054.60 | | | | $11.54 | |
| C Class | | | 3.05 | % | | | 5.07 | % | | | 1,000.00 | | | | 1,050.70 | | | | 15.35 | |
| H Class | | | 2.30 | % | | | 5.52 | % | | | 1,000.00 | | | | 1,055.20 | | | | 11.59 | |
| Institutional Class | | | 1.98 | % | | | 5.55 | % | | | 1,000.00 | | | | 1,055.50 | | | | 9.98 | |
| Event Driven and Distressed Strategies Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.93 | % | | | 4.75 | % | | | 1,000.00 | | | | 1,047.50 | | | | 9.69 | |
| C Class | | | 2.68 | % | | | 4.38 | % | | | 1,000.00 | | | | 1,043.80 | | | | 13.43 | |
| H Class | | | 1.93 | % | | | 4.79 | % | | | 1,000.00 | | | | 1,047.90 | | | | 9.69 | |
| Institutional Class | | | 1.68 | % | | | 4.91 | % | | | 1,000.00 | | | | 1,049.10 | | | | 8.44 | |
| Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.80 | % | | | (3.03 | %) | | | 1,000.00 | | | | 969.70 | | | | 8.69 | |
| C Class | | | 2.49 | % | | | (3.38 | %) | | | 1,000.00 | | | | 966.20 | | | | 12.00 | |
| H Class | | | 1.71 | % | | | (2.95 | %) | | | 1,000.00 | | | | 970.50 | | | | 8.26 | |
| Inverse Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.74 | % | | | (3.71 | %) | | | 1,000.00 | | | | 962.90 | | | | 8.37 | |
| C Class | | | 2.70 | % | | | (4.06 | %) | | | 1,000.00 | | | | 959.40 | | | | 12.97 | |
| H Class | | | 1.69 | % | | | (3.76 | %) | | | 1,000.00 | | | | 962.40 | | | | 8.13 | |
6 | THE GUGGENHEIM FUNDS ANNUAL REPORT
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)
| | | | | | | | | Beginning | | | Ending | | | Expenses | |
| | | Expense | | | Fund | | | Account Value | | | Account Value | | | Paid During | |
| | | Ratio1 | | | Return | | | September 30, 2012 | | | March 31, 2013 | | | Period4 | |
| Table 2. Based on hypothetical 5% return (before expenses)5 | | | | | | | | | |
| U.S. Long Short Momentum Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 2.29 | % | | | 5.00 | % | | | $1,000.00 | | | | $1,013.51 | | | | $11.50 | |
| C Class | | | 3.05 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,009.72 | | | | 15.28 | |
| H Class | | | 2.30 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,013.46 | | | | 11.55 | |
| Institutional Class | | | 1.98 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.06 | | | | 9.95 | |
| Event Driven and Distressed Strategies Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.93 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.31 | | | | 9.70 | |
| C Class | | | 2.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,011.57 | | | | 13.44 | |
| H Class | | | 1.93 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.31 | | | | 9.70 | |
| Institutional Class | | | 1.68 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.55 | | | | 8.45 | |
| Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.80 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,015.96 | | | | 9.05 | |
| C Class | | | 2.49 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,012.52 | | | | 12.49 | |
| H Class | | | 1.71 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.40 | | | | 8.60 | |
| Inverse Emerging Markets 2x Strategy Fund | | | | | | | | | | | | | | | | | | | | |
| A Class | | | 1.74 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.26 | | | | 8.75 | |
| C Class | | | 2.70 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,011.47 | | | | 13.54 | |
| H Class | | | 1.69 | % | | | 5.00 | % | | | 1,000.00 | | | | 1,016.50 | | | | 8.50 | |
| 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 179/365 (to reflect the one-half year period). |
| 3 | Actual cumulative return at net asset value for the period September 30, 2012 to March 28, 2013. |
| 4 | Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | Hypothetical return for the period September 30, 2012 to March 31, 2013. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 7
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
U.S. LONG SHORT MOMENTUM FUND
OBJECTIVE: Seeks long-term capital appreciation.
For the one-year period ended March 28, 2013, the U.S. Long Short Momentum Fund H-Class returned 1.88%, as opposed to its benchmark, the Russell 3000® Index, which ended the year up 14.56%. The performance differential for the Fund can be attributed to three major sources of relative returns: core momentum strategy, defensive hedge and transaction costs/fees.
Momentum strategies performed in line with the broad equity market during the first fiscal quarter of 2012. The equity market pull-back during the spring and early summer months led to a resumption of more defensive portfolio positions in the Fund. These positions trailed in August, as the market rallied in response to Mario Draghi’s promise to do whatever is necessary to preserve the euro. At the conclusion of the first half, the Fund’s investment model was transitioned from a tactical hedging model to a dedicated hedging model that has been utilized successfully in our Multi-Hedge Strategies Fund during the past three years. During the third and fourth quarters of the fiscal year, the new model’s core momentum strategy benefited from long positions in Household Durables, Building Products and Airlines, as well as a short position in Computers & Peripherals. The long portfolio was up 16.5% during this period versus 11.4% for the Russell 3000 Index. The net effect of the core momentum model on full year performance was a drag of -2.4%.
The defensive hedging model served to dampen fund volatility again in fiscal year 2012, leading to Fund volatility of 9.9% versus 13.6% for the Russell 3000 Index. The reduction in Fund volatility was more dramatic for the second half of the period – 6.1% annualized – due to the aforementioned model change, which better aligns the Fund’s risk characteristics with other long/short equity managers. Hedging in the face of strong equity market performance detracts from performance relative to a long only benchmark. In fiscal year 2012, the total impact of market and individual security hedges was -8.0%.
For the year, transaction costs, which are estimated at 61 bps, were relatively low given the turnover level of the momentum strategy, which approximated 230% per side in fiscal year 2012. Combined with management fees, these operational costs reduced Fund performance by -2.5% versus the Russell 3000 Index.
Derivatives in the Fund are used for various purposes, including speculation. At times, particularly in th first six months of the period, derivatives were also used for hedging purposes, and their use in those instances detracted from performance overall, as noted in the cost of the security hedges mentioned above.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | | |
| A-Class | | | March 31, 2004 |
| C-Class | | | March 22, 2002 |
| H-Class | | | March 22, 2002 |
| Institutional Class | | | November 30, 2011 |
| Ten Largest Holdings (% of Total Net Assets) | | | |
| Engility Holdings, Inc. | | | 0.8 | % |
| Biogen Idec, Inc. | | | 0.7 | % |
| Copa Holdings S.A. — Class A | | | 0.7 | % |
| Washington Post Co. — Class B | | | 0.7 | % |
| Community Health Systems, Inc. | | | 0.7 | % |
| Tempur-Pedic International, Inc. | | | 0.7 | % |
| Southwest Airlines Co. | | | 0.7 | % |
| Regal Entertainment Group — Class A | | | 0.7 | % |
| LifePoint Hospitals, Inc. | | | 0.7 | % |
| Forest City Enterprises, Inc. — Class A | | | 0.7 | % |
| Top Ten Total | | | 7.1 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
8 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
| Average Annual Returns* | | | | | | | | | |
| Periods Ended 03/28/13 | | | | | | | | | |
| | | | | | | | | | |
| | | 1 Year | | | 5 Year | | | 10 Year | |
| C-Class Shares | | | 1.14 | % | | | -0.63 | % | | | 6.18 | % |
| C-Class Shares with CDSC† | | | 0.14 | % | | | -0.63 | % | | | 6.18 | % |
| H-Class Shares | | | 1.88 | % | | | 0.13 | % | | | 6.99 | % |
| Russell 3000 Index | | | 14.56 | % | | | 6.32 | % | | | 9.15 | % |
| | | | | | | | | | | | | |
| | | | | | | | | Since | |
| | | | | | | | | Inception | |
| | | 1 Year | | | 5 Year | | | (03/31/04) | |
| A-Class Shares | | | 1.89 | % | | | 0.12 | % | | | 3.98 | % |
| A-Class Shares with sales charge‡ | | | -2.94 | % | | | -0.85 | % | | | 3.42 | % |
| Russell 3000 Index | | | 14.56 | % | | | 6.32 | % | | | 6.33 | % |
| | | | | | Since | |
| | | | | | Inception | |
| | | 1 Year | | | (11/30/11) | |
| Institutional Class Shares | | | 2.15 | % | | | 7.33 | % |
| Russell 3000 Index | | | 14.56 | % | | | 21.99 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 3000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares and Institutional Class shares will vary due to differences in fee structures. |
| † | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| ‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 9
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
U.S. LONG SHORT MOMENTUM FUND
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 64.7% | | | | | | | | |
| | | | | | | | | |
| CONSUMER DISCRETIONARY - 18.7% | | | | | | | | |
| Washington Post Co. — Class B1 | | | 994 | | | $ | 444,318 | |
| Tempur-Pedic International, Inc.*,1 | | | 8,874 | | | | 440,416 | |
| Regal Entertainment Group — Class A1 | | | 25,928 | | | | 432,220 | |
| Cablevision Systems Corp. — Class A1 | | | 28,566 | | | | 427,348 | |
| HomeAway, Inc.*,1 | | | 13,121 | | | | 426,432 | |
| Cinemark Holdings, Inc.1 | | | 14,386 | | | | 423,524 | |
| Leggett & Platt, Inc.1 | | | 12,519 | | | | 422,892 | |
| Thomson Reuters Corp.1 | | | 12,997 | | | | 422,143 | |
| Newell Rubbermaid, Inc.1 | | | 16,010 | | | | 417,861 | |
| Tupperware Brands Corp.1 | | | 5,074 | | | | 414,749 | |
| Madison Square Garden Co. — Class A*,1 | | | 7,156 | | | | 412,186 | |
| Jarden Corp.*,1 | | | 9,598 | | | | 411,274 | |
| TripAdvisor, Inc.*,1 | | | 7,825 | | | | 410,969 | |
| Mohawk Industries, Inc.*,1 | | | 3,590 | | | | 406,101 | |
| Harman International Industries, Inc.1 | | | 9,095 | | | | 405,910 | |
| NVR, Inc.*,1 | | | 375 | | | | 405,041 | |
| Liberty Media Corp.* | | | 3,622 | | | | 404,324 | |
| Morningstar, Inc.1 | | | 5,781 | | | | 404,208 | |
| DR Horton, Inc.1 | | | 16,615 | | | | 403,745 | |
| John Wiley & Sons, Inc. — Class A1 | | | 10,351 | | | | 403,275 | |
| Lennar Corp. — Class A1 | | | 9,613 | | | | 398,747 | |
| Whirlpool Corp.1 | | | 3,355 | | | | 397,433 | |
| Liberty Interactive Corp. — Class A*,1 | | | 18,477 | | | | 395,038 | |
| Liberty Ventures*,1 | | | 5,207 | | | | 393,545 | |
| Toll Brothers, Inc.*,1 | | | 11,365 | | | | 389,138 | |
| Clear Channel Outdoor Holdings, Inc. — Class A*,1 | | | 51,452 | | | | 385,375 | |
| DreamWorks Animation SKG, Inc. — Class A*,1 | | | 19,426 | | | | 368,317 | |
| Time Warner Cable, Inc.1 | | | 3,673 | | | | 352,828 | |
| DIRECTV*,1 | | | 3,107 | | | | 175,887 | |
| Expedia, Inc.1 | | | 1,763 | | | | 105,798 | |
| DISH Network Corp. — Class A1 | | | 1,804 | | | | 68,372 | |
| Total Consumer Discretionary | | | | | | | 11,769,414 | |
| INDUSTRIALS - 12.0% | | | | | | | | |
| Engility Holdings, Inc.*,1 | | | 20,834 | | | | 499,599 | |
| Copa Holdings S.A. — Class A1 | | | 3,724 | | | | 445,428 | |
| Southwest Airlines Co.1 | | | 32,586 | | | | 439,259 | |
| URS Corp.1 | | | 8,889 | | | | 421,427 | |
| Armstrong World Industries, Inc.1 | | | 7,474 | | | | 417,723 | |
| Fortune Brands Home & Security, Inc.*,1 | | | 11,074 | | | | 414,500 | |
| Lennox International, Inc.1 | | | 6,433 | | | | 408,431 | |
| United Continental Holdings, Inc.*,1 | | | 12,747 | | | | 408,031 | |
| Masco Corp.1 | | | 20,066 | | | | 406,337 | |
| Delta Air Lines, Inc.*,1 | | | 24,556 | | | | 405,420 | |
| Landstar System, Inc.1 | | | 7,052 | | | | 402,598 | |
| Harsco Corp.1 | | | 16,223 | | | | 401,844 | |
| Owens Corning*,1 | | | 9,945 | | | | 392,131 | |
| Matson, Inc.1 | | | 15,819 | | | | 389,147 | |
| Toro Co.1 | | | 8,400 | | | | 386,736 | |
| Con-way, Inc.1 | | | 10,898 | | | | 383,719 | |
| CNH Global N.V.1 | | | 9,168 | | | | 378,822 | |
| Towers Watson & Co. — Class A1 | | | 5,370 | | | | 372,248 | |
| Navistar International Corp.*,1 | | | 5,485 | | | | 189,616 | |
| Total Industrials | | | | | | | 7,563,016 | |
| HEALTH CARE - 11.5% | | | | | | | | |
| Biogen Idec, Inc.*,1 | | | 2,338 | | | | 451,025 | |
| Community Health Systems, Inc.1 | | | 9,296 | | | | 440,537 | |
| LifePoint Hospitals, Inc.*,1 | | | 8,880 | | | | 430,325 | |
| Health Net, Inc.*,1 | | | 14,547 | | | | 416,335 | |
| Vertex Pharmaceuticals, Inc.*,1 | | | 7,545 | | | | 414,824 | |
| VCA Antech, Inc.*,1 | | | 17,566 | | | | 412,625 | |
| Patterson Companies, Inc.1 | | | 10,836 | | | | 412,201 | |
| Myriad Genetics, Inc.*,1 | | | 15,898 | | | | 403,809 | |
| BioMarin Pharmaceutical, Inc.*,1 | | | 6,450 | | | | 401,577 | |
| Incyte Corporation Ltd.*,1,2 | | | 16,991 | | | | 397,759 | |
| United Therapeutics Corp.*,1 | | | 6,425 | | | | 391,090 | |
| Agilent Technologies, Inc.1 | | | 9,274 | | | | 389,229 | |
| Medivation, Inc.*,1 | | | 8,142 | | | | 380,801 | |
| Brookdale Senior Living, Inc. — Class A*,1 | | | 13,245 | | | | 369,271 | |
| Onyx Pharmaceuticals, Inc.*,1 | | | 4,008 | | | | 356,151 | |
| Ariad Pharmaceuticals, Inc.*,1 | | | 18,843 | | | | 340,870 | |
| Alexion Pharmaceuticals, Inc.*,1 | | | 3,225 | | | | 297,152 | |
| Amgen, Inc.1 | | | 2,104 | | | | 215,681 | |
| Health Management Associates, Inc. — Class A*,1 | | | 10,009 | | | | 128,816 | |
| Covance, Inc.*,1 | | | 1,530 | | | | 113,710 | |
| Omnicare, Inc.1 | | | 1,660 | | | | 67,595 | |
| AmerisourceBergen Corp. — Class A1 | | | 489 | | | | 25,159 | |
| Total Health Care | | | | | | | 7,256,542 | |
| FINANCIALS - 10.2% | | | | | | | | |
| Forest City Enterprises, Inc. — Class A*,1 | | | 24,075 | | | | 427,813 | |
| American National Insurance Co.1 | | | 4,874 | | | | 423,404 | |
| Kemper Corp.1 | | | 12,821 | | | | 418,093 | |
| SEI Investments Co.1 | | | 13,807 | | | | 398,331 | |
| St. Joe Co.*,1 | | | 18,740 | | | | 398,225 | |
| LPL Financial Holdings, Inc.1 | | | 12,340 | | | | 397,841 | |
| Northern Trust Corp.1 | | | 7,250 | | | | 395,560 | |
| Ares Capital Corp.1 | | | 21,800 | | | | 394,580 | |
| Raymond James Financial, Inc.1 | | | 8,546 | | | | 393,970 | |
| Janus Capital Group, Inc.1 | | | 41,899 | | | | 393,851 | |
| Lazard Ltd. — Class A1 | | | 10,830 | | | | 369,628 | |
| StanCorp Financial Group, Inc.1 | | | 8,377 | | | | 358,201 | |
| Mercury General Corp.1 | | | 8,423 | | | | 319,484 | |
| E*TRADE Financial Corp.*,1 | | | 29,339 | | | | 314,221 | |
| Hanover Insurance Group, Inc.1 | | | 5,698 | | | | 283,077 | |
| Interactive Brokers Group, Inc. — Class A1 | | | 17,538 | | | | 261,492 | |
| Alexander & Baldwin, Inc.*,1 | | | 5,324 | | | | 190,333 | |
| Bank of New York Mellon Corp.1 | | | 5,502 | | | | 154,001 | |
| Howard Hughes Corp.*,1 | | | 1,521 | | | | 127,475 | |
| Total Financials | | | | | | | 6,419,580 | |
| 10 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 28, 2013 |
| U.S. LONG SHORT MOMENTUM FUND |
| | | Shares | | | Value | |
| | | | | | | |
| INFORMATION TECHNOLOGY - 4.7% | | | | | | | | |
| Yahoo!, Inc.*,1 | | | 17,447 | | | $ | 410,527 | |
| IAC/InterActiveCorp1 | | | 9,164 | | | | 409,447 | |
| eBay, Inc.*,1 | | | 7,513 | | | | 407,355 | |
| VeriSign, Inc.*,1 | | | 8,582 | | | | 405,757 | |
| Equinix, Inc.*,1 | | | 1,839 | | | | 397,794 | |
| Akamai Technologies, Inc.*,1 | | | 10,725 | | | | 378,485 | |
| Rackspace Hosting, Inc.*,1 | | | 6,229 | | | | 314,440 | |
| AOL, Inc.1 | | | 3,397 | | | | 130,751 | |
| Avnet, Inc.*,1 | | | 2,992 | | | | 108,310 | |
| Zebra Technologies Corp. — Class A*,1 | | | 1,204 | | | | 56,745 | |
| Total Information Technology | | | | | | | 3,019,611 | |
| UTILITIES - 3.3% | | | | | | | | |
| Aqua America, Inc.1 | | | 13,358 | | | | 419,975 | |
| Atmos Energy Corp.1 | | | 9,774 | | | | 417,253 | |
| UGI Corp.1 | | | 10,853 | | | | 416,647 | |
| American Water Works Company, Inc.1 | | | 9,954 | | | | 412,494 | |
| AGL Resources, Inc.1 | | | 9,793 | | | | 410,816 | |
| Total Utilities | | | | | | | 2,077,185 | |
| MATERIALS - 3.3% | | | | | | | | |
| Sonoco Products Co.1 | | | 12,001 | | | | 419,915 | |
| Greif, Inc. — Class A1 | | | 7,569 | | | | 405,850 | |
| RPM International, Inc.1 | | | 11,841 | | | | 373,939 | |
| Scotts Miracle-Gro Co. — Class A1 | | | 8,551 | | | | 369,746 | |
| Intrepid Potash, Inc.1 | | | 14,054 | | | | 263,653 | |
| Ashland, Inc.1 | | | 2,831 | | | | 210,343 | |
| Cabot Corp.1 | | | 267 | | | | 9,131 | |
| Total Materials | | | | | | | 2,052,577 | |
| CONSUMER STAPLES - 1.0% | | | | | | | | |
| Smithfield Foods, Inc.*,1 | | | 15,479 | | | | 409,884 | |
| Bunge Ltd.1 | | | 1,970 | | | | 145,445 | |
| Flowers Foods, Inc.1 | | | 2,384 | | | | 78,529 | |
| Total Consumer Staples | | | | | | | 633,858 | |
| Total Common Stocks | | | | | | | | |
| (Cost $36,319,141) | | | | | | | 40,791,783 | |
| | | | | | | | | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,3 - 37.7% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 12,448,324 | | | | 12,448,324 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 10,212,694 | | | | 10,212,694 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 1,035,226 | | | | 1,035,226 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $23,696,244) | | | | | | | 23,696,244 | |
| SECURITIES LENDING COLLATERAL††,4 - 0.0% | | | | | | | | |
| Repurchase Agreements | | | | | | | | |
| RBS Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.18% | | | | | | | | |
| due 04/01/13 | | | 13,013 | | | | 13,013 | |
| HSBC Securities, Inc. | | | | | | | | |
| issued 03/28/13 at 0.17% | | | | | | | | |
| due 04/01/13 | | | 10,237 | | | | 10,237 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $23,250) | | | | | | | 23,250 | |
| Total Long Investments - 102.4% | | | | | | | | |
| (Cost $60,038,635) | | | | | | $ | 64,511,277 | |
| | | | | | | | | |
| | | Shares | | | | |
| COMMON STOCKS SOLD SHORT† - (24.7)% | | | | | | | | |
| INDUSTRIALS - (0.2)% | | | | | | | | |
| FedEx Corp. | | | 1,381 | | | $ | (135,614 | ) |
| FINANCIALS - (0.3)% | | | | | | | | |
| AvalonBay Communities, Inc. | | | 1,490 | | | | (188,738 | ) |
| TELECOMMUNICATION SERVICES - (0.5)% | | | | | | | | |
| Crown Castle International Corp.* | | | 1,841 | | | | (128,207 | ) |
| MetroPCS Communications, Inc.* | | | 17,072 | | | | (186,085 | ) |
| Total Telecommunication Services | | | | | | | (314,292 | ) |
| UTILITIES - (0.6)% | | | | | | | | |
| Duke Energy Corp. | | | 2,652 | | | | (192,509 | ) |
| Exelon Corp. | | | 5,748 | | | | (198,191 | ) |
| Total Utilities | | | | | | | (390,700 | ) |
| CONSUMER STAPLES - (1.2)% | | | | | | | | |
| Herbalife Ltd. | | | 4,441 | | | | (166,315 | ) |
| Estee Lauder Companies, Inc. — Class A | | | 2,810 | | | | (179,924 | ) |
| Avon Products, Inc. | | | 9,341 | | | | (193,639 | ) |
| Nu Skin Enterprises, Inc. — Class A | | | 4,413 | | | | (195,055 | ) |
| Total Consumer Staples | | | | | | | (734,933 | ) |
| MATERIALS - (3.1)% | | | | | | | | |
| Tahoe Resources, Inc.* | | | 4,741 | | | | (83,394 | ) |
| Walter Energy, Inc. | | | 5,827 | | | | (166,070 | ) |
| Allied Nevada Gold Corp.* | | | 10,173 | | | | (167,448 | ) |
| Allegheny Technologies, Inc. | | | 5,617 | | | | (178,115 | ) |
| Nucor Corp. | | | 3,870 | | | | (178,601 | ) |
| Alcoa, Inc. | | | 21,430 | | | | (182,584 | ) |
| Southern Copper Corp. | | | 4,860 | | | | (182,590 | ) |
| Compass Minerals International, Inc. | | | 2,391 | | | | (188,650 | ) |
| Carpenter Technology Corp. | | | 3,840 | | | | (189,273 | ) |
| Newmont Mining Corp. | | | 4,701 | | | | (196,925 | ) |
| Royal Gold, Inc. | | | 2,780 | | | | (197,463 | ) |
| Total Materials | | | | | | | (1,911,113 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 11 |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| U.S. LONG SHORT MOMENTUM FUND |
| | | Shares | | | Value | |
| | | | | | | |
| HEALTH CARE - (3.0)% | | | | | | | | |
| Warner Chilcott plc — Class A | | | 4,997 | | | $ | (67,709 | ) |
| Abbott Laboratories | | | 3,858 | | | | (136,265 | ) |
| Mylan, Inc.* | | | 6,010 | | | | (173,929 | ) |
| Pfizer, Inc. | | | 6,547 | | | | (188,946 | ) |
| Cerner Corp.* | | | 1,996 | | | | (189,121 | ) |
| Eli Lilly & Co. | | | 3,347 | | | | (190,076 | ) |
| Merck & Company, Inc. | | | 4,299 | | | | (190,145 | ) |
| Johnson & Johnson | | | 2,358 | | | | (192,248 | ) |
| Actavis, Inc.* | | | 2,104 | | | | (193,799 | ) |
| Allscripts Healthcare Solutions, Inc.* | | | 14,545 | | | | (197,667 | ) |
| Bristol-Myers Squibb Co. | | | 4,938 | | | | (203,397 | ) |
| Total Health Care | | | | | | | (1,923,302 | ) |
| CONSUMER DISCRETIONARY - (3.6)% | | | | | | | | |
| Michael Kors Holdings Ltd.* | | | 3,171 | | | | (180,081 | ) |
| Big Lots, Inc.* | | | 5,147 | | | | (181,535 | ) |
| Kohl’s Corp. | | | 3,950 | | | | (182,214 | ) |
| Family Dollar Stores, Inc. | | | 3,135 | | | | (185,122 | ) |
| Macy’s, Inc. | | | 4,431 | | | | (185,393 | ) |
| Apollo Group, Inc. — Class A* | | | 10,878 | | | | (189,168 | ) |
| Target Corp. | | | 2,781 | | | | (190,359 | ) |
| Service Corporation International | | | 11,616 | | | | (194,336 | ) |
| DeVry, Inc. | | | 6,122 | | | | (194,374 | ) |
| Dollar General Corp.* | | | 3,862 | | | | (195,340 | ) |
| Dollar Tree, Inc.* | | | 4,097 | | | | (198,418 | ) |
| H&R Block, Inc. | | | 6,768 | | | | (199,114 | ) |
| Total Consumer Discretionary | | | | | | | (2,275,454 | ) |
| ENERGY - (4.0)% | | | | | | | | |
| Helmerich & Payne, Inc. | | | 1,050 | | | | (63,735 | ) |
| Peabody Energy Corp. | | | 5,519 | | | | (116,727 | ) |
| Baker Hughes, Inc. | | | 3,530 | | | | (163,827 | ) |
| Oil States International, Inc.* | | | 2,120 | | | | (172,928 | ) |
| Occidental Petroleum Corp. | | | 2,240 | | | | (175,549 | ) |
| Halliburton Co. | | | 4,380 | | | | (176,996 | ) |
| Schlumberger Ltd. | | | 2,370 | | | | (177,489 | ) |
| Patterson-UTI Energy, Inc. | | | 7,650 | | | | (182,376 | ) |
| Cameron International Corp.* | | | 2,820 | | | | (183,864 | ) |
| Chevron Corp. | | | 1,559 | | | | (185,240 | ) |
| Marathon Oil Corp. | | | 5,510 | | | | (185,797 | ) |
| Exxon Mobil Corp. | | | 2,073 | | | | (186,798 | ) |
| Diamond Offshore Drilling, Inc. | | | 2,720 | | | | (189,203 | ) |
| National Oilwell Varco, Inc. | | | 2,701 | | | | (191,096 | ) |
| FMC Technologies, Inc.* | | | 3,577 | | | | (194,554 | ) |
| Total Energy | | | | | | | (2,546,179 | ) |
| INFORMATION TECHNOLOGY - (8.2)% | | | | | | | | |
| VMware, Inc. — Class A* | | | 310 | | | | (24,453 | ) |
| Advanced Micro Devices, Inc.* | | | 42,939 | | | | (109,494 | ) |
| Teradyne, Inc.* | | | 7,424 | | | | (120,417 | ) |
| Oracle Corp. | | | 5,164 | | | | (167,004 | ) |
| Texas Instruments, Inc. | | | 4,723 | | | | (167,572 | ) |
| Freescale Semiconductor Ltd.* | | | 11,536 | | | | (171,771 | ) |
| Informatica Corp.* | | | 5,030 | | | | (173,384 | ) |
| Zynga, Inc. — Class A* | | | 51,689 | | | | (173,675 | ) |
| F5 Networks, Inc.* | | | 1,960 | | | | (174,597 | ) |
| Riverbed Technology, Inc.* | | | 11,716 | | | | (174,686 | ) |
| Red Hat, Inc.* | | | 3,480 | | | | (175,949 | ) |
| Cisco Systems, Inc. | | | 8,455 | | | | (176,794 | ) |
| Salesforce.com, Inc.* | | | 997 | | | | (178,294 | ) |
| Lam Research Corp.* | | | 4,302 | | | | (178,361 | ) |
| Citrix Systems, Inc.* | | | 2,480 | | | | (178,956 | ) |
| EMC Corp.* | | | 7,594 | | | | (181,421 | ) |
| Marvell Technology Group Ltd. | | | 17,264 | | | | (182,653 | ) |
| Symantec Corp.* | | | 7,510 | | | | (185,347 | ) |
| QUALCOMM, Inc. | | | 2,770 | | | | (185,451 | ) |
| Intel Corp. | | | 8,547 | | | | (186,752 | ) |
| Avago Technologies Ltd. | | | 5,232 | | | | (187,933 | ) |
| Microsoft Corp. | | | 6,588 | | | | (188,482 | ) |
| Skyworks Solutions, Inc.* | | | 8,622 | | | | (189,943 | ) |
| Apple, Inc. | | | 431 | | | | (190,774 | ) |
| Broadcom Corp. — Class A | | | 5,504 | | | | (190,824 | ) |
| Cree, Inc.* | | | 3,529 | | | | (193,072 | ) |
| Western Digital Corp. | | | 3,870 | | | | (194,583 | ) |
| Atmel Corp.* | | | 28,567 | | | | (198,826 | ) |
| Micron Technology, Inc.* | | | 20,063 | | | | (200,229 | ) |
| Hewlett-Packard Co. | | | 8,786 | | | | (209,458 | ) |
| Total Information Technology | | | | | | | (5,211,155 | ) |
| Total Common Stock Sold Short | | | | | | | | |
| (Proceeds $14,624,609) | | | | | | | (15,631,480 | ) |
| Total Securities Sold Short- (24.7)% | | | | | | | | |
| (Proceeds $14,624,609) | | | | | | $ | (15,631,480 | ) |
| Other Assets & Liabilities, net - 22.3% | | | | | | | 14,047,572 | |
| Total Net Assets - 100.0% | | | | | | $ | 62,927,369 | |
| | | | | | | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 S&P 500 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $546,438) | | | 7 | | | $ | 7,093 | |
| * | 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 March 28, 2013. |
| 2 | All or portion of this security is on loan at March 28, 2013 — See Note 10. |
| 3 | Repurchase Agreements — See Note 5. |
| 4 | Securities lending collateral — See Note 10. |
| | plc — Public Limited Company |
| 12 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. LONG SHORT MOMENTUM FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value - including $23,410 of securities loaned | | | | |
| (cost $36,319,141) | | $ | 40,791,783 | |
| Repurchase agreements, at value | | | | |
| (cost $23,719,494) | | | 23,719,494 | |
| Total investments | | | | |
| (cost $60,038,635) | | | 64,511,277 | |
| Segregated cash with broker | | | 14,247,086 | |
| Cash | | | 11,383 | |
| Receivables: | | | | |
| Fund shares sold | | | 30,770 | |
| Dividends | | | 29,038 | |
| Variation margin | | | 1,558 | |
| Interest | | | 280 | |
| Total assets | | | 78,831,392 | |
| Liabilities: | | | | |
| Securities sold short, at value | | | | |
| (proceeds $14,624,609) | | | 15,631,480 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 98,405 | |
| Management fees | | | 47,941 | |
| Distribution and service fees | | | 28,287 | |
| Upon return of securities loaned | | | 23,250 | |
| Transfer agent and administrative fees | | | 13,317 | |
| Portfolio accounting fees | | | 5,327 | |
| Miscellaneous | | | 56,016 | |
| Total liabilities | | | 15,904,023 | |
| Net assets | | $ | 62,927,369 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 137,012,431 | |
| Accumulated net investment loss | | | (392,623 | ) |
| Accumulated net realized loss on investments | | | (77,165,303 | ) |
| Net unrealized appreciation on investments | | | 3,472,864 | |
| Net assets | | $ | 62,927,369 | |
| A-Class: | | | | |
| Net assets | | $ | 13,105,598 | |
| Capital shares outstanding | | | 972,107 | |
| Net asset value per share | | $ | 13.48 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 14.15 | |
| C-Class: | | | | |
| Net assets | | $ | 23,553,748 | |
| Capital shares outstanding | | | 1,899,193 | |
| Net asset value per share | | $ | 12.40 | |
| H-Class: | | | | |
| Net assets | | $ | 26,257,030 | |
| Capital shares outstanding | | | 1,940,719 | |
| Net asset value per share | | $ | 13.53 | |
| Institutional Class: | | | | |
| Net assets | | $ | 10,993 | |
| Capital shares outstanding | | | 808 | |
| Net asset value per share | | $ | 13.60 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $62) | | $ | 1,199,288 | |
| Interest | | | 16,525 | |
| Income from securities lending, net | | | 4,908 | |
| Total investment income | | | 1,220,721 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 701,053 | |
| Transfer agent and administrative fees | | | 194,737 | |
| Distribution and service fees: | | | | |
| A-Class | | | 33,662 | |
| C-Class | | | 269,208 | |
| H-Class | | | 93,747 | |
| Portfolio accounting fees | | | 77,894 | |
| Short sales dividend expense | | | 147,264 | |
| Prime broker interest expense | | | 54,685 | |
| Custodian fees | | | 12,881 | |
| Trustees’ fees* | | | 10,412 | |
| Miscellaneous | | | 97,971 | |
| Total expenses | | | 1,693,514 | |
| Net investment loss | | | (472,793 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 11,863,992 | |
| Futures contracts | | | (2,027,768 | ) |
| Securities sold short | | | (1,717,806 | ) |
| Net realized gain | | | 8,118,418 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (6,957,690 | ) |
| Securities sold short | | | (1,006,870 | ) |
| Futures contracts | | | 219,136 | |
| Net change in unrealized appreciation (depreciation) | | | (7,745,424 | ) |
| Net realized and unrealized gain | | | 372,994 | |
| Net decrease in net assets resulting from operations | | $ | (99,799 | ) |
* 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 FUND ANNUAL REPORT | 13 |
U.S. LONG SHORT MOMENTUM FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (472,793 | ) | | $ | (31,700 | ) |
| Net realized gain (loss) on investments | | | 8,118,418 | | | | (1,222,219 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (7,745,424 | ) | | | (11,338,590 | ) |
| Net decrease in net assets resulting from operations | | | (99,799 | ) | | | (12,592,509 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (41,370 | ) | | | — | |
| C-Class | | | (101,016 | ) | | | — | |
| H-Class | | | (106,079 | ) | | | — | |
| Institutional Class | | | (13 | ) | | | — | * |
| Total distributions to shareholders | | | (248,478 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 10,682,916 | | | | 7,600,825 | |
| C-Class | | | 573,881 | | | | 1,083,648 | |
| H-Class | | | 4,071,001 | | | | 27,684,775 | |
| Institutional Class | | | — | | | | 10,000 | * |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 40,128 | | | | — | |
| C-Class | | | 98,169 | | | | — | |
| H-Class | | | 101,654 | | | | — | |
| Institutional Class | | | 13 | | | | — | * |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (14,166,103 | ) | | | (14,808,494 | ) |
| C-Class | | | (9,494,408 | ) | | | (14,982,720 | ) |
| H-Class | | | (32,243,335 | ) | | | (53,424,983 | ) |
| Institutional Class | | | — | | | | — | * |
| Net decrease from capital share transactions | | | (40,336,084 | ) | | | (46,836,949 | ) |
| Net decrease in net assets | | | (40,684,361 | ) | | | (59,429,458 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 103,611,730 | | | | 163,041,188 | |
| End of year | | $ | 62,927,369 | | | $ | 103,611,730 | |
| Accumulated net investment loss at end of year | | $ | (392,623 | ) | | $ | (32,832 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 809,308 | | | | 581,398 | |
| C-Class | | | 47,416 | | | | 85,372 | |
| H-Class | | | 313,089 | | | | 2,126,165 | |
| Institutional Class | | | — | | | | 807 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 3,136 | | | | — | |
| C-Class | | | 8,320 | | | | — | |
| H-Class | | | 7,915 | | | | — | |
| Institutional Class | | | 1 | | | | — | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,083,452 | ) | | | (1,120,843 | ) |
| C-Class | | | (796,553 | ) | | | (1,224,264 | ) |
| H-Class | | | (2,476,764 | ) | | | (4,118,953 | ) |
| Institutional Class | | | — | | | | — | * |
| Net decrease in shares | | | (3,167,585 | ) | | | (3,670,318 | ) |
*Since commencement of operations: November 30, 2011–Institutional Class.
| 14 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. LONG SHORT MOMENTUM FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.28 | | | $ | 14.28 | | | $ | 12.59 | | | $ | 8.62 | | | $ | 13.45 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.05 | ) | | | .03 | | | | (.04 | ) | | | (.07 | ) | | | .01 | |
| Net gain (loss) on investments (realized and unrealized) | | | .30 | | | | (1.03 | ) | | | 1.73 | | | | 4.04 | | | | (4.84 | ) |
| Total from investment operations | | | .25 | | | | (1.00 | ) | | | 1.69 | | | | 3.97 | | | | (4.83 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Redemption fees collected | | | — | | | | — | | | | — | b | | | — | b | | | — | b |
| Net asset value, end of period | | $ | 13.48 | | | $ | 13.28 | | | $ | 14.28 | | | $ | 12.59 | | | $ | 8.62 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.89 | % | | | (7.00 | %) | | | 13.42 | % | | | 46.06 | % | | | (35.91 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 13,106 | | | $ | 16,510 | | | $ | 25,447 | | | $ | 36,231 | | | $ | 31,925 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.35 | %) | | | 0.21 | % | | | (0.33 | %) | | | (0.62 | %) | | | 0.13 | % |
| Total expenses e | | | 1.92 | % | | | 1.66 | % | | | 1.71 | % | | | 1.68 | % | | | 1.69 | % |
| Portfolio turnover rate | | | 183 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % |
| | | | | | | | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 12.31 | | | $ | 13.33 | | | $ | 11.85 | | | $ | 8.17 | | | $ | 12.85 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment lossa | | | (.14 | ) | | | (.07 | ) | | | (.13 | ) | | | (.14 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .28 | | | | (.95 | ) | | | 1.61 | | | | 3.82 | | | | (4.61 | ) |
| Total from investment operations | | | .14 | | | | (1.02 | ) | | | 1.48 | | | | 3.68 | | | | (4.68 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Redemption fees collected | | | — | | | | — | | | | — | b | | | — | b | | | — | b |
| Net asset value, end of period | | $ | 12.40 | | | $ | 12.31 | | | $ | 13.33 | | | $ | 11.85 | | | $ | 8.17 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.14 | % | | | (7.65 | %) | | | 12.49 | % | | | 45.04 | % | | | (36.42 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 23,554 | | | $ | 32,503 | | | $ | 50,381 | | | $ | 64,918 | | | $ | 57,792 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | (1.12 | %) | | | (0.54 | %) | | | (1.08 | %) | | | (1.37 | %) | | | (0.66 | %) |
| Total expenses e | | | 2.69 | % | | | 2.41 | % | | | 2.46 | % | | | 2.43 | % | | | 2.44 | % |
| Portfolio turnover rate | | | 183 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 15 |
U.S. LONG SHORT MOMENTUM FUND
FINANCIAL HIGHLIGHTS (continued)
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011 | | | 2010 | | | 2009 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.33 | | | $ | 14.32 | | | $ | 12.63 | | | $ | 8.65 | | | $ | 13.49 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | (.04 | ) | | | .03 | | | | (.04 | ) | | | (.07 | ) | | | — | d |
| Net gain (loss) on investments (realized and unrealized) | | | .29 | | | | (1.02 | ) | | | 1.73 | | | | 4.05 | | | | (4.84 | ) |
| Total from investment operations | | | .25 | | | | (.99 | ) | | | 1.69 | | | | 3.98 | | | | (4.84 | ) |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.05 | ) | | | — | | | | — | | | | — | | | | — | |
| Redemption fees collected | | | — | | | | — | | | | — | b | | | — | b | | | — | b |
| Net asset value, end of period | | $ | 13.53 | | | $ | 13.33 | | | $ | 14.32 | | | $ | 12.63 | | | $ | 8.65 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnc | | | 1.88 | % | | | (6.91 | %) | | | 13.38 | % | | | 46.01 | % | | | (35.88 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26,257 | | | $ | 54,589 | | | $ | 87,212 | | | $ | 99,418 | | | $ | 76,080 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | (0.29 | %) | | | 0.20 | % | | | (0.31 | %) | | | (0.63 | %) | | | (0.01 | %) |
| Total expensese | | | 1.88 | % | | | 1.66 | % | | | 1.70 | % | | | 1.68 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 183 | % | | | 190 | % | | | 231 | % | | | 375 | % | | | 528 | % |
| 16 | THE GUGGENHEIM FUNDS 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.
| | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | |
| Institutional Class | | 2013 | | | 2012f | |
| Per Share Data | | | | | | | | |
| Net asset value, beginning of period | | $ | 13.33 | | | $ | 12.39 | |
| Income (loss) from investment operations: | | | | | | | | |
| Net investment income (loss)a | | | (.02 | ) | | | .06 | |
| Net gain on investments (realized and unrealized) | | | .31 | | | | .88 | |
| Total from investment operations | | | .29 | | | | .94 | |
| Less distributions from: | | | | | | | | |
| Net investment income | | | (.02 | ) | | | — | |
| Total distributions | | | (.02 | ) | | | — | |
| Net asset value, end of period | | $ | 13.60 | | | $ | 13.33 | |
| | | | | | | | | |
| Total Returnc | | | 2.15 | % | | | 7.59 | % |
| Ratios/Supplemental Data | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 11 | | | $ | 11 | |
| Ratios to average net assets: | | | | | | | | |
| Net investment income | | | (.17 | )% | | | 1.29 | % |
| Total expensese | | | 1.72 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 183 | % | | | 190 | % |
| a | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | Redemption fees collected are less than $0.01 per share. |
| c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| d | Net investment income is less than $0.01 per share. |
| e | Excluding interest and dividend expense related to short sales, the operating ratios for the years or periods presented would be: |
| | | 3/28/13 | | | 3/31/12 | | | 3/31/11 | | | 3/31/10 | | | 3/31/09 | |
| A-Class | | | 1.65 | % | | | 1.66 | % | | | 1.69 | % | | | 1.68 | % | | | 1.69 | % |
| C-Class | | | 2.40 | % | | | 2.41 | % | | | 2.44 | % | | | 2.43 | % | | | 2.44 | % |
| H-Class | | | 1.65 | % | | | 1.66 | % | | | 1.69 | % | | | 1.68 | % | | | 1.68 | % |
| Institutional Class | | | 1.41 | % | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| 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 ANNUAL REPORT | 17 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
OBJECTIVE: Seeks to achieve capital growth.
The Event Driven and Distressed Strategies Fund H-Class returned 8.67% for the one-year period ended March 28, 2013. By comparison, the S&P 500 Index returned 13.96% and the Credit Suisse Event Driven Liquid Index returned 11.52% over the same period.
The Fund gains exposure to event driven and distressed situations through various exposures, such as merger arbitrage, high yield, equities and volatility. During the period, the Fund used derivatives, such as swaps, as the primary instrument to gain exposure to these factors. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
The main positive driver of performance was from high yield exposure, mainly through high yield bonds. Equity exposure, through small cap equity exposure and equities of high yield companies, also contributed to performance for the period. The Fund also had contributions from distressed equity and merger arbitrage exposures.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | |
| A-Class | June 30, 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 swap agreements and futures contracts.
18 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | Since | |
| | | | | | Inception | |
| | | 1 Year | | | (06/30/10) | |
| A-Class Shares | | | 8.63 | % | | | 7.81 | % |
| A-Class Shares with sales charge† | | | 3.45 | % | | | 5.92 | % |
| C-Class Shares | | | 7.89 | % | | | 6.97 | % |
| C-Class Shares with CDSC‡ | | | 6.89 | % | | | 6.97 | % |
| H-Class Shares | | | 8.67 | % | | | 7.83 | % |
| Institutional Class Shares | | | 8.91 | % | | | 8.09 | % |
| Credit Suisse Event Driven Liquid Index | | | 11.52 | % | | | 9.75 | % |
| S&P 500 Index | | | 13.96 | % | | | 17.12 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Credit Suisse Event Driven Liquid Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares and Institutional Class shares will vary due to differences in fee structures. Effective July 11, 2011, the Fund’s; investment objective changed from seeking to track the performance of a benchmark to seeking to achieve capital growth. The Fund’s principal investment strategy was also revised to reflect the new objective. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 19
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
| | | Shares | | | Value | |
| | | | | | | |
| EXCHANGE TRADED FUNDS† - 9.7% | | | | | | | | |
| iShares iBoxx $ High Yield | | | | | | | | |
| Corporate Bond Fund | | | 10,500 | | | $ | 990,675 | |
| Total Exchange Traded Funds | | | | | | | | |
| (Cost $963,423) | | | | | | | 990,675 | |
| | | | | | | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,1 - 86.8% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 4,202,905 | | | | 4,202,905 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 3,448,093 | | | | 3,448,093 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 800,020 | | | | 800,020 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 349,521 | | | | 349,521 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $8,800,539) | | | | | | | 8,800,539 | |
| Total Investments - 96.5% | | | | | | | | |
| (Cost $9,763,962) | | | | | | $ | 9,791,214 | |
| Other Assets & Liabilities, net - 3.5% | | | | | | | 352,274 | |
| Total Net Assets - 100.0% | | | | | | $ | 10,143,488 | |
| | | | | | | |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 Russell 2000 Index | | | | | | | | |
| Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $1,704,240) | | | 18 | | | $ | 28,309 | |
| | | | | | | | | |
| INTEREST RATE FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 U.S. Treasury 5 Year | | | | | | | | |
| Note Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $4,589,734) | | | 37 | | | $ | 7,308 | |
| | | | | | | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Credit Suisse Capital LLC | | | | | | | | |
| April 2013 Credit Suisse Leveraged | | | | | | | | |
| Equity Index Swap | | | | | | | | |
| Terminating 04/30/13 | | | | | | | | |
| (Notional Value $526,842)4 | | | 268 | | | $ | 615 | |
| Credit Suisse Capital LLC April 2013 Credit Suisse | | | | | | | | |
| Merger Arbitrage Liquid Index Swap | | | | | | | | |
| Terminating 04/30/13 | | | | | | | | |
| (Notional Value $830,043)5 | | | 729 | | | | 5 | |
| (Total Notional Value $1,356,885) | | | | | | $ | 620 | |
| CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD††,3 | |
| | | | | Protection | | | | | | | | | | | Upfront | | | | |
| | | | | Premium | | | Maturity | | Notional | | | Notional | | | Payments | | | Unrealized | |
| Index | | Counterparty | | Rate | | | Date | | Principal | | | Value | | | Paid | | | Appreciation | |
| CDX.HY-20 Index | | Credit Suisse International | | | 5.00 | % | | 06/20/18 | | $ | 5,900,000 | | | $ | 6,088,063 | | | $ | 176,629 | | | $ | 11,433 | |
| † | 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 March 28, 2013. |
| 3 | Credit Default Swap — See Note 6. |
| 4 | Total Return based on Credit Suisse Leverage Equity Index +/- financing at a variable rate |
| 5 | Total Return based on Credit Suisse Merger Arbitrage Liquid Index +/- financing at a variable rate. |
| 20 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $963,423) | | $ | 990,675 | |
| Repurchase agreements, at value | | | | |
| (cost $8,800,539) | | | 8,800,539 | |
| Total investments | | | | |
| (cost $9,763,962) | | | 9,791,214 | |
| Segregated cash with broker | | | 99,391 | |
| Cash | | | 18,288 | |
| Upfront payments paid on credit default swaps | | | 176,629 | |
| Unrealized appreciation on swap agreements | | | 12,053 | |
| Receivables: | | | | |
| Credit default swaps settlement | | | 242,556 | |
| Interest | | | 116 | |
| Fund shares sold | | | 12,884 | |
| Protection fees on credit default swaps | | | 9,935 | |
| Investment advisor | | | 1,117 | |
| Total assets | | | 10,364,183 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Credit default swap settlement | | | 183,556 | |
| Licensing fees | | | 9,301 | |
| Management fees | | | 8,277 | |
| Variation margin | | | 4,947 | |
| Distribution and service fees | | | 2,787 | |
| Transfer agent and administrative fees | | | 2,299 | |
| Portfolio accounting fees | | | 920 | |
| Fund shares redeemed | | | 26 | |
| Miscellaneous | | | 8,582 | |
| Total liabilities | | | 220,695 | |
| Net assets | | $ | 10,143,488 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 10,001,673 | |
| Accumulated net investment loss | | | (24,198 | ) |
| Accumulated net realized gain on investments | | | 91,091 | |
| Net unrealized appreciation on investments | | | 74,922 | |
| Net assets | | $ | 10,143,488 | |
| A-Class: | | | | |
| Net assets | | $ | 2,080,229 | |
| Capital shares outstanding | | | 75,467 | |
| Net asset value per share | | $ | 27.56 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 28.93 | |
| C-Class: | | | | |
| Net assets | | $ | 1,038,180 | |
| Capital shares outstanding | | | 38,524 | |
| Net asset value per share | | $ | 26.95 | |
| H-Class: | | | | |
| Net assets | | $ | 6,134,499 | |
| Capital shares outstanding | | | 222,537 | |
| Net asset value per share | | $ | 27.57 | |
| Institutional Class: | | | | |
| Net assets | | $ | 890,580 | |
| Capital shares outstanding | | | 32,079 | |
| Net asset value per share | | $ | 27.76 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends | | $ | 89,466 | |
| Interest | | | 9,929 | |
| Income from securities lending, net | | | 734 | |
| Total investment income | | | 100,129 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 86,172 | |
| Transfer agent and administrative fees | | | 23,937 | |
| Distribution and service fees: | | | | |
| A-Class | | | 4,880 | |
| C-Class | | | 10,852 | |
| H-Class | | | 14,767 | |
| Portfolio accounting fees | | | 9,575 | |
| Licensing fees | | | 36,586 | |
| Custodian fees | | | 1,470 | |
| Trustees’ fees* | | | 1,181 | |
| Miscellaneous | | | 12,112 | |
| Total expenses | | | 201,532 | |
| Less: | | | | |
| Expenses waived by Advisor | | | (11,368 | ) |
| Net expenses | | | 190,164 | |
| Net investment loss | | | (90,035 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 77,250 | |
| Swap agreements | | | 581,740 | |
| Futures contracts | | | 183,342 | |
| Net realized gain | | | 842,332 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | (43,909 | ) |
| Swap agreements | | | 24,421 | |
| Futures contracts | | | 35,617 | |
| Net change in unrealized appreciation (depreciation) | | | 16,129 | |
| Net realized and unrealized gain | | | 858,461 | |
| Net increase in net assets resulting from operations | | $ | 768,426 | |
* 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 FUND ANNUAL REPORT | 21 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (90,035 | ) | | $ | (227,787 | ) |
| Net realized gain (loss) on investments | | | 842,332 | | | | (648,862 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 16,129 | | | | (114,048 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 768,426 | | | | (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 | | | 2,996,925 | | | | 9,458,376 | |
| C-Class | | | 488,372 | | | | 503,350 | |
| H-Class | | | 2,355,423 | | | | 12,381,886 | |
| Institutional Class | | | 720,286 | | | | 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 | | | (3,657,692 | ) | | | (17,938,484 | ) |
| C-Class | | | (552,423 | ) | | | (770,952 | ) |
| H-Class | | | (2,899,724 | ) | | | (14,678,435 | ) |
| Institutional Class | | | (206,045 | ) | | | (33,231 | ) |
| Net decrease from capital share transactions | | | (754,878 | ) | | | (10,417,666 | ) |
| Net increase (decrease) in net assets | | | 13,548 | | | | (11,768,886 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 10,129,940 | | | | 21,898,826 | |
| End of year | | $ | 10,143,488 | | | $ | 10,129,940 | |
| Accumulated net investment loss at end of year | | $ | (24,198 | ) | | $ | (46,114 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 112,031 | | | | 358,306 | |
| C-Class | | | 18,959 | | | | 19,545 | |
| H-Class | | | 90,146 | | | | 468,085 | |
| Institutional Class | | | 26,823 | | | | 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 | | | (138,867 | ) | | | (692,503 | ) |
| C-Class | | | (21,348 | ) | | | (31,104 | ) |
| H-Class | | | (111,346 | ) | | | (563,225 | ) |
| Institutional Class | | | (7,667 | ) | | | (1,250 | ) |
| Net decrease in shares | | | (31,269 | ) | | | (415,852 | ) |
| 22 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
FINANCIAL HIGHLIGHTS
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.37 | | | $ | 26.86 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.21 | ) | | | (.37 | ) | | | (.33 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.40 | | | | (.36 | ) | | | 4.27 | |
| Total from investment operations | | | 2.19 | | | | (.73 | ) | | | 3.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 27.56 | | | $ | 25.37 | | | $ | 26.86 | |
| | | | | | | | | | | | | |
| Total Returnc | | | 8.63 | % | | | (2.60 | %) | | | 16.24 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,080 | | | $ | 2,595 | | | $ | 11,591 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.80 | %) | | | (1.43 | %) | | | (1.65 | %) |
| Total expensesd | | | 2.03 | % | | | 1.93 | % | | | 2.03 | % |
| Net expensese | | | 1.91 | % | | | 1.85 | % | | | 1.89 | % |
| Portfolio turnover rate | | | 228 | % | | | 513 | % | | | — | |
| | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.99 | | | $ | 26.67 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.43 | ) | | | (.52 | ) | | | (.48 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.39 | | | | (.40 | ) | | | 4.23 | |
| Total from investment operations | | | 1.96 | | | | (.92 | ) | | | 3.75 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 26.95 | | | $ | 24.99 | | | $ | 26.67 | |
| | | | | | | | | | | | | |
| Total Returnc | | | 7.89 | % | | | (3.38 | %) | | | 15.46 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,038 | | | $ | 1,022 | | | $ | 1,363 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.67 | %) | | | (2.04 | %) | | | (2.42 | %) |
| Total expensesd | | | 2.79 | % | | | 2.66 | % | | | 2.79 | % |
| Net expensese | | | 2.66 | % | | | 2.60 | % | | | 2.65 | % |
| Portfolio turnover rate | | | 228 | % | | | 513 | % | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 23 |
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.
| | | Year Ended | | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.37 | | | $ | 26.86 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.23 | ) | | | (.34 | ) | | | (.33 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.43 | | | | (.39 | ) | | | 4.27 | |
| Total from investment operations | | | 2.20 | | | | (.73 | ) | | | 3.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 27.57 | | | $ | 25.37 | | | $ | 26.86 | |
| | | | | | | | | | | | | |
| Total Returnc | | | 8.67 | % | | | (2.60 | %) | | | 16.24 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 6,134 | | | $ | 6,183 | | | $ | 8,886 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.88 | %) | | | (1.33 | %) | | | (1.67 | %) |
| Total expensesd | | | 2.03 | % | | | 1.91 | % | | | 2.04 | % |
| Net expensese | | | 1.91 | % | | | 1.85 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 228 | % | | | 513 | % | | | — | |
| | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| Institutional Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.49 | | | $ | 26.91 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.19 | ) | | | (.23 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.46 | | | | (.43 | ) | | | 4.26 | |
| Total from investment operations | | | 2.27 | | | | (.66 | ) | | | 3.99 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Total distributions | | | — | | | | (.76 | ) | | | (2.08 | ) |
| Net asset value, end of period | | $ | 27.76 | | | $ | 25.49 | | | $ | 26.91 | |
| | | | | | | | | | | | | |
| Total Returnc | | | 8.91 | % | | | (2.34 | %) | | | 16.45 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 891 | | | $ | 329 | | | $ | 59 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.70 | %) | | | (0.90 | %) | | | (1.42 | %) |
| Total expensesd | | | 1.80 | % | | | 1.61 | % | | | 1.79 | % |
| Net expensese | | | 1.67 | % | | | 1.58 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 228 | % | | | 513 | % | | | — | |
| a | Since commencement of operations: June 30, 2010. 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. |
| d | Does not include expenses of the underlying funds in which the Fund invests. |
| e | Net expense information reflects the expense ratios after expense waivers. |
| 24 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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THE GUGGENHEIM FUNDS ANNUAL REPORT | 25
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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.
For the one-year period ended March 28, 2013, Emerging Markets 2x Strategy Fund H-Class returned -15.78%, while the BNY Mellon Emerging Markets 50 ADR Index returned -5.90% over the same period.
For the period, Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index.
For the period, the sectors contributing most to the performance of the underlying index were Consumer Staples and Financials. Most other sectors detracted from performance of the underlying index, with Energy and Materials detracting most.
The holdings contributing most to the performance of the underlying index for the period were Taiwan Semiconductor Manufacturing Company Ltd., Fomento Economico Mexicano SAB and Cemex SAB de CV.
The holdings detracting most from the performance of the underlying index for the period were Petrobras Petroleo Brasileiro and preferred shares of the same holding, followed by Baidu, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: | | |
| A-Class | | | 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 | | | 5.5 | % |
| China Mobile Ltd. ADR | | | 4.8 | % |
| Itau Unibanco Holding S.A. ADR | | | 3.5 | % |
| Petroleo Brasileiro S.A. ADR | | | 3.3 | % |
| America Movil SAB de CV ADR | | | 3.2 | % |
| Banco Bradesco S.A. ADR | | | 3.1 | % |
| Vale S.A. Preffered ADR | | | 3.0 | % |
| Cia de Bebidas das Americas ADR | | | 2.8 | % |
| CNOOC Ltd. ADR | | | 2.7 | % |
| PetroChina Company Ltd. ADR | | | 2.4 | % |
| Top Ten Total | | | 34.3 | % |
“Ten Largest Holdings” exclude any temporary cash or derivative investments.
26 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | Since | |
| | | | | | Inception | |
| | | 1 Year | | | (10/29/10) | |
| A-Class Shares | | | -15.79 | % | | | -17.09 | % |
| A-Class Shares with sales charge† | | | -19.78 | % | | | -18.74 | % |
| C-Class Shares | | | -16.49 | % | | | -17.41 | % |
| C-Class Shares with CDSC‡ | | | -17.33 | % | | | -17.41 | % |
| H-Class Shares | | | -15.78 | % | | | -16.95 | % |
| BNY Mellon Emerging Markets 50 ADR Index | | | -5.90 | % | | | -4.40 | % |
| S&P 500 Index | | | 13.96 | % | | | 12.97 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 27
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
| EMERGING MARKETS 2x STRATEGY FUND |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 76.9% | | | | | | | | |
| | | | | | | | | |
| ENERGY - 16.8% | | | | | | | | |
| Petroleo Brasileiro S.A. ADR | | | 4,233 | | | $ | 76,830 | |
| CNOOC Ltd. ADR | | | 320 | | | | 61,280 | |
| PetroChina Company Ltd. ADR | | | 420 | | | | 55,364 | |
| Petroleo Brasileiro S.A. ADR | | | 3,278 | | | | 54,316 | |
| China Petroleum & Chemical Corp. ADR | | | 390 | | | | 45,599 | |
| Sasol Ltd. ADR | | | 1,008 | | | | 44,695 | |
| Ecopetrol S.A. ADR | | | 491 | | | | 26,769 | |
| Ultrapar Participacoes S.A. ADR | | | 823 | | | | 20,888 | |
| Total Energy | | | | | | | 385,741 | |
| FINANCIALS - 14.5% | | | | | | | | |
| Itau Unibanco Holding S.A. ADR | | | 4,537 | | | | 80,758 | |
| Banco Bradesco S.A. ADR | | | 4,183 | | | | 71,200 | |
| China Life Insurance Company Ltd. ADR | | | 987 | | | | 38,908 | |
| Shinhan Financial Group Company Ltd. ADR* | | | 943 | | | | 33,854 | |
| HDFC Bank Ltd. ADR | | | 766 | | | | 28,664 | |
| KB Financial Group, Inc. ADR* | | | 768 | | | | 25,375 | |
| ICICI Bank Ltd. ADR | | | 560 | | | | 24,024 | |
| Grupo Financiero Santander Mexico SAB de CV ADR* | | | 1,321 | | | | 20,383 | |
| Bancolombia S.A. ADR | | | 170 | | | | 10,753 | |
| Total Financials | | | | | | | 333,919 | |
| TELECOMMUNICATION SERVICES - 13.7% | | | | | | | | |
| China Mobile Ltd. ADR | | | 2,078 | | | | 110,405 | |
| America Movil SAB de CV ADR | | | 3,474 | | | | 72,815 | |
| Chunghwa Telecom Company Ltd. ADR | | | 756 | | | | 23,512 | |
| Telekomunikasi Indonesia Persero Tbk PT ADR | | | 491 | | | | 22,134 | |
| Mobile Telesystems OJSC ADR | | | 1,007 | | | | 20,885 | |
| Telefonica Brasil S.A. ADR | | | 577 | | | | 15,394 | |
| China Telecom Corporation Ltd. ADR | | | 276 | | | | 14,032 | |
| SK Telecom Company Ltd. ADR | | | 708 | | | | 12,652 | |
| Philippine Long Distance Telephone Co. ADR | | | 166 | | | | 11,776 | |
| China Unicom Hong Kong Ltd. ADR | | | 844 | | | | 11,377 | |
| Total Telecommunication Services | | | | | | | 314,982 | |
| INFORMATION TECHNOLOGY - 10.3% | | | | | | | | |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 7,320 | | | | 125,830 | |
| Infosys Ltd. ADR | | | 959 | | | | 51,700 | |
| Baidu, Inc. ADR* | | | 538 | | | | 47,183 | |
| LG Display Company Ltd. ADR* | | | 882 | | | | 12,868 | |
| Total Information Technology | | | | | | | 237,581 | |
| MATERIALS - 10.1% | | | | | | | | |
| Vale S.A. Preffered ADR | | | 4,193 | | | | 69,313 | |
| POSCO ADR | | | 659 | | | | 48,575 | |
| Vale S.A. ADR | | | 2,655 | | | | 45,905 | |
| Cemex SAB de CV ADR* | | | 2,158 | | | | 26,349 | |
| AngloGold Ashanti Ltd. ADR | | | 759 | | | | 17,875 | |
| Gerdau S.A. ADR | | | 1,778 | | | | 13,708 | |
| Gold Fields Ltd. ADR | | | 1,451 | | | | 11,245 | |
| Total Materials | | | | | | | 232,970 | |
| CONSUMER STAPLES - 7.7% | | | | | | | | |
| Cia de Bebidas das Americas ADR | | | 1,503 | | | | 63,622 | |
| Fomento Economico Mexicano SAB de CV ADR | | | 374 | | | | 42,449 | |
| BRF - Brasil Foods S.A. ADR | | | 1,327 | | | | 29,340 | |
| Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | | | 283 | | | | 15,078 | |
| Cencosud S.A. ADR | | | 707 | | | | 13,214 | |
| Cia de Bebidas das Americas ADR | | | 315 | | | | 13,047 | |
| Total Consumer Staples | | | | | | | 176,750 | |
| UTILITIES - 2.3% | | | | | | | | |
| Korea Electric Power Corp. ADR* | | | 1,123 | | | | 15,261 | |
| Enersis S.A. ADR | | | 770 | | | | 14,815 | |
| Empresa Nacional de Electricidad S.A. ADR | | | 217 | | | | 11,518 | |
| Cia Energetica de Minas Gerais ADR | | | 955 | | | | 11,317 | |
| Total Utilities | | | | | | | 52,911 | |
| CONSUMER DISCRETIONARY - 0.9% | | | | | | | | |
| Grupo Televisa SAB ADR | | | 799 | | | | 21,261 | |
| INDUSTRIALS - 0.6% | | | | | | | | |
| Latam Airlines Group S.A. ADR | | | 615 | | | | 13,370 | |
| Total Common Stocks | | | | | | | | |
| (Cost $1,655,691) | | | | | | | 1,769,485 | |
| | | | | | | | | |
| | | Face | | | | |
| | | Amount | | | | |
| REPURCHASE AGREEMENTS††,1 - 55.1% | | | | | | | | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | $ | 501,602 | | | | 501,602 | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 402,819 | | | | 402,819 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 330,475 | | | | 330,475 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 33,499 | | | | 33,499 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,268,395) | | | | | | | 1,268,395 | |
| Total Investments - 132.0% | | | | | | | | |
| (Cost $2,924,086) | | | | | | $ | 3,037,880 | |
| Other Assets & Liabilities, net - (32.0)% | | | | | | | (736,366 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 2,301,514 | |
| 28 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 28, 2013 |
| EMERGING MARKETS 2x STRATEGY FUND |
| | | | | | Unrealized | |
| | | Contracts | | | Gain | |
| | | | | | | |
| EQUITY FUTURES CONTRACTS PURCHASED† | | | | | | | | |
| June 2013 MSCI Emerging | | | | | | | | |
| Markets Index Mini Futures Contracts | | | | | | | | |
| (Aggregate Value of | | | | | | | | |
| Contracts $51,375) | | | 1 | | | $ | 981 | |
| | | | | | | |
| | | Units | | | | |
| EQUITY INDEX SWAP AGREEMENTS†† | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| April 2013 Bank of New York Mellon | | | | | | | | |
| Emerging Markets 50 ADR Index | | | | | | | | |
| Swap, Terminating 04/29/133 | | | | | | | | |
| (Notional Value $2,781,318) | | | 1,142 | | | $ | 16,563 | |
Country Diversification
| * | 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 March 28, 2013. |
| 3 | Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. |
| | ADR — American Depositary Receipt |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 29 |
EMERGING MARKETS 2x STRATEGY FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Investments, at value | | | | |
| (cost $1,655,691) | | $ | 1,769,485 | |
| Repurchase agreements, at value | | | | |
| (cost $1,268,395) | | | 1,268,395 | |
| Total investments | | | | |
| (cost $2,924,086) | | | 3,037,880 | |
| Segregated cash with broker | | | 21,600 | |
| Unrealized appreciation on swap agreements | | | 16,563 | |
| Receivable for swap settlement | | | 2,300 | |
| Cash | | | 633 | |
| Receivables: | | | | |
| Fund shares sold | | | 139,259 | |
| Dividends | | | 1,031 | |
| Interest | | | 14 | |
| Total assets | | | 3,219,280 | |
| Liabilities: | | | | |
| Payable for: | | | | |
| Fund shares redeemed | | | 910,891 | |
| Management fees | | | 2,019 | |
| Distribution and service fees | | | 660 | |
| Variation margin | | | 598 | |
| Transfer agent and administrative fees | | | 561 | |
| Portfolio accounting fees | | | 224 | |
| Miscellaneous | | | 2,813 | |
| Total liabilities | | | 917,766 | |
| Net assets | | $ | 2,301,514 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 3,655,260 | |
| Accumulated net investment loss | | | (12,029 | ) |
| Accumulated net realized loss on investments | | | (1,473,055 | ) |
| Net unrealized appreciation on investments | | | 131,338 | |
| Net assets | | $ | 2,301,514 | |
| A-Class: | | | | |
| Net assets | | $ | 105,858 | |
| Capital shares outstanding | | | 7,189 | |
| Net asset value per share | | $ | 14.72 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 15.45 | |
| C-Class: | | | | |
| Net assets | | $ | 108,166 | |
| Capital shares outstanding | | | 7,417 | |
| Net asset value per share | | $ | 14.58 | |
| H-Class: | | | | |
| Net assets | | $ | 2,087,490 | |
| Capital shares outstanding | | | 141,288 | |
| Net asset value per share | | $ | 14.77 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Dividends (net of foreign withholding tax of $710) | | $ | 41,274 | |
| Interest | | | 2,121 | |
| Income from securities lending, net | | | 12 | |
| Total investment income | | | 43,407 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 32,934 | |
| Transfer agent and administrative fees | | | 9,149 | |
| Distribution and service fees: | | | | |
| A-Class | | | 617 | |
| C-Class | | | 1,902 | |
| H-Class | | | 8,058 | |
| Portfolio accounting fees | | | 3,660 | |
| Licensing Fees | | | 6,433 | |
| Custodian fees | | | 751 | |
| Trustees’ fees* | | | 454 | |
| Miscellaneous | | | 4,629 | |
| Total expenses | | | 68,587 | |
| Less: | | | | |
| Expenses waived by Advisor | | | (4,968 | ) |
| Net expenses | | | 63,619 | |
| Net investment loss | | | (20,212 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | (226,998 | ) |
| Swap agreements | | | (830,334 | ) |
| Futures contracts | | | (40,831 | ) |
| Net realized loss | | | (1,098,163 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 69,917 | |
| Swap agreements | | | 211,797 | |
| Futures contracts | | | 981 | |
| Net change in unrealized appreciation (depreciation) | | | 282,695 | |
| Net realized and unrealized loss | | | (815,468 | ) |
| Net decrease in net assets resulting from operations | | $ | (835,680 | ) |
* Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.
| 30 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 2x STRATEGY FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (20,212 | ) | | $ | (18,506 | ) |
| Net realized loss on investments | | | (1,098,163 | ) | | | (274,258 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 282,695 | | | | (513,638 | ) |
| Net decrease in net assets resulting from operations | | | (835,680 | ) | | | (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 | | | 1,558,765 | | | | 2,133,102 | |
| C-Class | | | 13,271,478 | | | | 67,533,983 | |
| H-Class | | | 99,924,060 | | | | 112,547,354 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 1,547 | |
| C-Class | | | — | | | | 1,676 | |
| H-Class | | | — | | | | 189,012 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,755,452 | ) | | | (2,733,563 | ) |
| C-Class | | | (13,120,339 | ) | | | (68,198,547 | ) |
| H-Class | | | (101,879,772 | ) | | | (110,758,822 | ) |
| Net increase (decrease) from capital share transactions | | | (2,001,260 | ) | | | 715,742 | |
| Net decrease in net assets | | | (2,836,940 | ) | | | (285,006 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 5,138,454 | | | | 5,423,460 | |
| End of year | | $ | 2,301,514 | | | $ | 5,138,454 | |
| Accumulated net investment loss at end of year | | $ | (12,029 | ) | | $ | (18,506 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 99,771 | | | | 93,188 | |
| C-Class | | | 911,981 | | | | 3,321,992 | |
| H-Class | | | 6,760,022 | | | | 5,747,087 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | — | | | | 110 | |
| C-Class | | | — | | | | 119 | |
| H-Class | | | — | | | | 13,358 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (113,377 | ) | | | (109,307 | ) |
| C-Class | | | (908,111 | ) | | | (3,345,630 | ) |
| H-Class | | | (6,887,319 | ) | | | (5,629,413 | ) |
| Net increase (decrease) in shares | | | (137,033 | ) | | | 91,504 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUND ANNUAL REPORT | 31 |
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.
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.48 | | | $ | 26.95 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.07 | ) | | | (—) | c | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.69 | ) | | | (8.35 | ) | | | 2.08 | |
| Total from investment operations | | | (2.76 | ) | | | (8.35 | ) | | | 1.95 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 14.72 | | | $ | 17.48 | | | $ | 26.95 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (15.79 | %) | | | (30.00 | %) | | | 7.80 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 106 | | | $ | 363 | | | $ | 992 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.51 | %) | | | (0.01 | %) | | | (1.42 | %) |
| Total expenses | | | 1.88 | % | | | 1.77 | % | | | 1.85 | % |
| Net expensese | | | 1.75 | % | | | 1.69 | % | | | 1.73 | % |
| Portfolio turnover rate | | | 730 | % | | | 883 | % | | | 58 | % |
| | | | | | | | | | |
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.46 | | | $ | 26.83 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.25 | ) | | | (.18 | ) | | | (.31 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.63 | ) | | | (8.07 | ) | | | 2.14 | |
| Total from investment operations | | | (2.88 | ) | | | (8.25 | ) | | | 1.83 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 14.58 | | | $ | 17.46 | | | $ | 26.83 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (16.49 | %) | | | (29.75 | %) | | | 7.32 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 108 | | | $ | 62 | | | $ | 726 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.61 | %) | | | (0.87 | %) | | | (1.98 | %) |
| Total expenses | | | 2.59 | % | | | 2.54 | % | | | 2.60 | % |
| Net expensese | | | 2.46 | % | | | 2.46 | % | | | 2.49 | % |
| Portfolio turnover rate | | | 730 | % | | | 883 | % | | | 58 | % |
| 32 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 17.55 | | | $ | 26.94 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.07 | ) | | | (.07 | ) | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.71 | ) | | | (8.20 | ) | | | 2.05 | |
| Total from investment operations | | | (2.78 | ) | | | (8.27 | ) | | | 1.94 | |
| Less distributions from: | | | | | | | | | | | | |
| Net realized gains | | | — | | | | (1.12 | ) | | | — | |
| Total distributions | | | — | | | | (1.12 | ) | | | — | |
| Net asset value, end of period | | $ | 14.77 | | | $ | 17.55 | | | $ | 26.94 | |
| | | | | | | | | | | | | |
| Total Returnd | | | (15.78 | %) | | | (29.70 | %) | | | 7.76 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 2,087 | | | $ | 4,713 | | | $ | 3,705 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (0.49 | %) | | | (0.37 | %) | | | (1.05 | %) |
| Total expenses | | | 1.83 | % | | | 1.77 | % | | | 1.85 | % |
| Net expensese | | | 1.69 | % | | | 1.69 | % | | | 1.74 | % |
| Portfolio turnover rate | | | 730 | % | | | 883 | % | | | 58 | % |
| a | Since commencement of operations: October 29, 2010. 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 | 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 | Net expense information reflects the expense ratios after expense waivers. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS ANNUAL REPORT | 33 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 28, 2013 |
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.
For the one-year period ended March 28, 2013, Inverse Emerging Markets 2x Strategy Fund H-Class returned –0.36%, while the BNY Mellon Emerging Markets 50 ADR Index* returned –5.90% over the same period.
For the period, Inverse Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index.
For the period, the sectors contributing most to the performance of the underlying index were Consumer Staples and Financials. Most other sectors detracted from performance of the underlying index, with Energy and Materials detracting most.
The holdings contributing most to the performance of the underlying index for the period were Taiwan Semiconductor Manufacturing Company Ltd., Fomento Economico Mexicano SAB and Cemex SAB de CV.
The holdings detracting most from the performance of the underlying index for the period were Petrobras Petroleo Brasileiro and preferred shares of the same holding, followed by Baidu, Inc.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Financials
| 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.
34 | THE GUGGENHEIM FUNDS ANNUAL REPORT
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended 03/28/13
| | | | | | Since | |
| | | | | | Inception | |
| | | 1 Year | | | (10/29/10) | |
| A-Class Shares | | | -0.26 | % | | | -10.28 | % |
| A-Class Shares with sales charge† | | | -4.99 | % | | | -12.07 | % |
| C-Class Shares | | | -0.84 | % | | | -8.66 | % |
| C-Class Shares with CDSC‡ | | | -1.83 | % | | | -8.66 | % |
| H-Class Shares | | | -0.36 | % | | | -10.30 | % |
| BNY Mellon Emerging Markets 50 ADR Index | | | -5.90 | % | | | -4.40 | % |
| S&P 500 Index | | | 13.96 | % | | | 12.97 | % |
| * | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE GUGGENHEIM FUNDS ANNUAL REPORT | 35
| SCHEDULE OF INVESTMENTS | March 28, 2013 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
| | | Face | | | | |
| | | Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS†,1 - 93.3% | | | | | | | | |
| HSBC Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | $ | 761,337 | | | $ | 761,337 | |
| Credit Suisse Group | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/132 | | | 710,962 | | | | 710,962 | |
| Mizuho Financial Group, Inc. | | | | | | | | |
| issued 03/28/13 at 0.11% | | | | | | | | |
| due 04/01/13 | | | 624,607 | | | | 624,607 | |
| Deutsche Bank | | | | | | | | |
| issued 03/28/13 at 0.10% | | | | | | | | |
| due 04/01/13 | | | 63,314 | | | | 63,314 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,160,220) | | | | | | | 2,160,220 | |
| Total Investments - 93.3% | | | | | | | | |
| (Cost $2,160,220) | | | | | | $ | 2,160,220 | |
| Other Assets & Liabilities, net - 6.7% | | | | | | | 155,492 | |
| Total Net Assets - 100.0% | | | | | | $ | 2,315,712 | |
| | | | | | Unrealized | |
| | | Units | | | Loss | |
| | | | | | | |
| EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†,3 | | | | | | | | |
| Goldman Sachs International | | | | | | | | |
| April 2013 Bank of New York Mellon | | | | | | | | |
| Emerging Markets 50 ADR Index | | | | | | | | |
| Swap, Terminating 04/29/13 | | | | | | | | |
| (Notional Value $4,505,249) | | | 1,850 | | | $ | (24,760 | ) |
| † | 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 March 28, 2013. |
| 3 | Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. |
| 36 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
STATEMENT OF ASSETS AND LIABILITIES
March 28, 2013
| Assets: | | | | |
| Repurchase agreements, at value | | | | |
| (cost $2,160,220) | | $ | 2,160,220 | |
| Segregated cash with broker | | | 3,600 | |
| Receivables: | | | | |
| Fund shares sold | | | 907,979 | |
| Interest | | | 25 | |
| Total assets | | | 3,071,824 | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 24,760 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 720,298 | |
| Swap settlement | | | 5,869 | |
| Management fees | | | 1,759 | |
| Distribution and service fees | | | 733 | |
| Transfer agent and administrative fees | | | 489 | |
| Portfolio accounting fees | | | 195 | |
| Variation margin | | | 106 | |
| Miscellaneous | | | 1,903 | |
| Total liabilities | | | 756,112 | |
| Net assets | | $ | 2,315,712 | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 3,473,401 | |
| Accumulated net investment loss | | | (6,847 | ) |
| Accumulated net realized loss on investments | | | (1,126,082 | ) |
| Net unrealized depreciation on investments | | | (24,760 | ) |
| Net assets | | $ | 2,315,712 | |
| A-Class: | | | | |
| Net assets | | $ | 258,354 | |
| Capital shares outstanding | | | 13,438 | |
| Net asset value per share | | $ | 19.23 | |
| Maximum offering price per share | | | | |
| (Net asset value divided by 95.25%) | | $ | 20.19 | |
| C-Class: | | | | |
| Net assets | | $ | 115,366 | |
| Capital shares outstanding | | | 5,747 | |
| Net asset value per share | | $ | 20.07 | |
| H-Class: | | | | |
| Net assets | | $ | 1,941,992 | |
| Capital shares outstanding | | | 101,050 | |
| Net asset value per share | | $ | 19.22 | |
STATEMENT OF OPERATIONS
Year Ended March 28, 2013
| Investment Income: | | | | |
| Interest | | $ | 2,267 | |
| Total investment income | | | 2,267 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 17,912 | |
| Transfer agent and administrative fees | | | 4,977 | |
| Distribution and service fees: | | | | |
| A-Class | | | 565 | |
| C-Class | | | 1,650 | |
| H-Class | | | 4,001 | |
| Portfolio accounting fees | | | 1,991 | |
| Licensing fees | | | 3,576 | |
| Trustees’ fees* | | | 326 | |
| Custodian fees | | | 272 | |
| Miscellaneous | | | 2,389 | |
| Total expenses | | | 37,659 | |
| Less: | | | | |
| Expenses waived by Advisor | | | (2,779 | ) |
| Net expenses | | | 34,880 | |
| Net investment loss | | | (32,613 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Swap agreements | | | 157,067 | |
| Futures contracts | | | (14,654 | ) |
| Net realized gain | | | 142,413 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Swap agreements | | | (78,364 | ) |
| Futures contracts | | | 2,219 | |
| Net change in unrealized appreciation (depreciation) | | | (76,145 | ) |
| Net realized and unrealized gain | | | 66,268 | |
| Net increase in net assets resulting from operations | | $ | 33,655 | |
* 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 FUND ANNUAL REPORT | 37 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | Year Ended | | | Year Ended | |
| | | March 28, | | | March 31, | |
| | | 2013 | | | 2012 | |
| | | | | | | |
| Increase (Decrease) In Net Assets From Operations: | | | | | | | | |
| Net investment loss | | $ | (32,613 | ) | | $ | (57,122 | ) |
| Net realized gain (loss) on investments | | | 142,413 | | | | (953,332 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (76,145 | ) | | | 247,396 | |
| Net increase (decrease) in net assets resulting from operations | | | 33,655 | | | | (763,058 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 1,703,657 | | | | 648,870 | |
| C-Class | | | 25,100,465 | | | | 87,793,549 | |
| H-Class | | | 87,435,015 | | | | 73,854,823 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,344,868 | ) | | | (567,237 | ) |
| C-Class | | | (26,330,612 | ) | | | (86,340,121 | ) |
| H-Class | | | (87,766,103 | ) | | | (74,083,821 | ) |
| Net increase (decrease) from capital share transactions | | | (1,202,446 | ) | | | 1,306,063 | |
| Net increase (decrease) in net assets | | | (1,168,791 | ) | | | 543,005 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 3,484,503 | | | | 2,941,498 | |
| End of year | | $ | 2,315,712 | | | $ | 3,484,503 | |
| Accumulated net investment loss at end of year | | $ | (6,847 | ) | | $ | (12,214 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 87,501 | | | | 24,792 | |
| C-Class | | | 1,111,860 | | | | 3,786,907 | |
| H-Class | | | 4,131,683 | | | | 3,190,564 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (74,495 | ) | | | (25,988 | ) |
| C-Class | | | (1,168,390 | ) | | | (3,725,324 | ) |
| H-Class | | | (4,145,468 | ) | | | (3,212,511 | ) |
| Net increase (decrease) in shares | | | (57,309 | ) | | | 38,440 | |
| 38 | THE GUGGENHEIM FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND |
| |
| FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| A-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 19.29 | | | $ | 21.15 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income (loss)b | | | (.33 | ) | | | (.39 | ) | | | (.16 | ) |
| Net loss on investments (realized and unrealized) | | | .27 | | | | (1.47 | ) | | | (3.69 | ) |
| Total from investment operations | | | (.06 | ) | | | (1.86 | ) | | | (3.85 | ) |
| Net asset value, end of period | | $ | 19.23 | | | $ | 19.29 | | | $ | 21.15 | |
| | | | | | | | | | | | | |
| Total Returnc | | | (0.26 | %) | | | (8.84 | %) | | | (15.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 258 | | | $ | 8 | | | $ | 34 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1.60 | %) | | | (1.66 | %) | | | (1.61 | %) |
| Total expenses | | | 1.85 | % | | | 1.78 | % | | | 1.85 | % |
| Net expensesd | | | 1.71 | % | | | 1.69 | % | | | 1.73 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| C-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 20.25 | | | $ | 21.33 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.49 | ) | | | (.55 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .31 | | | | (.53 | ) | | | (3.42 | ) |
| Total from investment operations | | | (.18 | ) | | | (1.08 | ) | | | (3.67 | ) |
| Net asset value, end of period | | $ | 20.07 | | | $ | 20.25 | | | $ | 21.33 | |
| | | | | | | | | | | | | |
| Total Returnc | | | (0.84 | %) | | | (5.06 | %)e | | | (14.68 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 115 | | | $ | 1,261 | | | $ | 15 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (2.41 | %) | | | (2.41 | %) | | | (2.37 | %) |
| Total expenses | | | 2.65 | % | | | 2.53 | % | | | 2.57 | % |
| Net expensesd | | | 2.51 | % | | | 2.44 | % | | | 2.46 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE GUGGENHEIM FUNDS 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.
| | | Year Ended | | | Year Ended | | | Period Ended | |
| | | March 28, | | | March 31, | | | March 31, | |
| H-Class | | 2013 | | | 2012 | | | 2011a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 19.29 | | | $ | 21.15 | | | $ | 25.00 | |
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment lossb | | | (.33 | ) | | | (.38 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .26 | | | | (1.48 | ) | | | (3.69 | ) |
| Total from investment operations | | | (.07 | ) | | | (1.86 | ) | | | (3.85 | ) |
| Net asset value, end of period | | $ | 19.22 | | | $ | 19.29 | | | $ | 21.15 | |
| | | | | | | | | | | | | |
| Total Returnc | | | (0.36 | %) | | | (8.79 | %) | | | (15.40 | %) |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 1,942 | | | $ | 2,215 | | | $ | 2,892 | |
| Ratios to average net assets: | | | | | | | | | | | | |
| Net investment loss | | | (1,56 | %) | | | (1.67 | %) | | | (1.63 | %) |
| Total expenses | | | 1.82 | % | | | 1.79 | % | | | 1.85 | % |
| Net expensesd | | | 1.68 | % | | | 1.70 | % | | | 1.74 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | |
| a | Since commencement of operations: October 29, 2010. 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 expense information reflects the expense ratios after expense waivers. |
| e | Generally, the performance of the Fund’s C-Class shares will underperform 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 ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| NOTES TO FINANCIAL STATEMENTS |
1. Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”) as a non-diversified, open-ended investment company. Each series, in effect, represents a separate Fund. The Trust is authorized to issue an unlimited number of shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of 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. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares have a minimum initial investment of $2 million and a minimum account balance of $1 million. Institutional Class shares are offered without a front-end sales charge or CDSC.
At March 28, 2013, the Trust consisted of fifty-one 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 by the Funds.
Guggenheim Investments (“GI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Distributors, LLC (“GDL”) acts as principal underwriter for the Trust. GI, RFS and GDL 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
Since March 28, 2013 represents the last day during the Fund’s annual period on which the New York Stock Exchange (“NYSE”) was open for trading, the Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
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 NYSE, usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the March 28, 2013, 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 is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of equity index and credit default swap agreements entered into by a Fund is accounted for using the unrealized
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 41 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
gain or loss on the agreements that is determined using the last quoted value of the index that the swap pertains to at the close of the NYSE, adjusted to include dividends accrued and 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 (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.
Investments for which market quotations are not readily available are fair valued as determined in good faith by 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) obtaining general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) obtaining 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.
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-marked 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.
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
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
| 42 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 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 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 credit default swap enables a Fund to buy or sell protection against a defined credit event of an issuer or a basket of securities. Generally, the seller of credit protection against an issuer or basket of securities receives a periodic payment from the buyer to compensate against potential default events. If a default event occurs, the seller must pay the buyer the full notional value of the reference obligation in exchange for the reference obligation. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the Fund selling the credit protection. 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 various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 43 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 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% |
| 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,
| 44 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 year ended March 28, 2013, 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 GDL 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 GDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GDL, in turn, will pay the Service Provider out of its fees. GDL may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GDL for paying the shareholder’s financial advisor an ongoing sales commission. GDL advances the first year’s service and distribution fees to the financial advisor. GDL retains the service and distribution fees on accounts with no authorized dealer of record.
For the year ended March 28, 2013, GDL retained sales charges of $219,176 relating to sales of A-Class shares of the Trust.
Certain officers and trustees of the Trust are also officers of GI, RFS and GDL.
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 GUGGENHEIM FUNDS ANNUAL REPORT | 45 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table summarizes the inputs used to value the Funds’ net assets at March 28, 2013:
| | | 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 | | $ | 40,791,783 | | | $ | 7,093 | | | $ | 23,719,494 | | | $ | — | | | $ | — | | | $ | 64,518,370 | |
| Event Driven and Distressed Strategies Fund | | | 990,675 | | | | 35,617 | | | | 8,800,539 | | | | 12,053 | | | | — | | | | 9,838,884 | |
| Emerging Markets 2x Strategy Fund | | | 1,769,485 | | | | 981 | | | | 1,268,395 | | | | 16,563 | | | | — | | | | 3,055,424 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | 2,160,220 | | | | ��� | | | | — | | | | 2,160,220 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | | | | | | | | | |
| U.S. Long Short Momentum Fund | | $ | 15,631,480 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 15,631,480 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | 24,760 | | | | — | | | | 24,760 | |
* Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.
For the year ended March 28, 2013, 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 March 28, 2013, the repurchase agreements in the joint account were as follows:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| HSBC Group | | | | | | | | | | Fannie Mae | | | | | | | | |
| 0.10% | | | | | | | | | | 0.50% - 1.63% | | | | | | | | |
| Due 04/01/13 | | $ | 741,750,000 | | | $ | 741,758,242 | | | 10/22/15 - 01/10/20 | | $ | 550,000,000 | | | $ | 557,685,694 | |
| | | | | | | | | | | Freddie Mac | | | | | | | | |
| | | | | | | | | | | 0.50% | | | | | | | | |
| | | | | | | | | | | 10/09/15 | | | 150,000,000 | | | | 151,635,000 | |
| | | | | | | | | | | U.S. Treasury Bond | | | | | | | | |
| | | | | | | | | | | 4.25% | | | | | | | | |
| | | | | | | | | | | 11/15/40 | | | 37,262,600 | | | | 47,292,608 | |
| Mizuho Financial Group, Inc. | | | | | | | | | | U.S. Treasury Bills | | | | | | | | |
| 0.11% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 04/01/13 | | | 608,536,964 | | | | 608,544,401 | | | 06/27/13 - 09/19/13 | | | 467,120,000 | | | | 466,966,256 | |
| | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| | | | | | | | | | | 1.75% | | | | | | | | |
| | | | | | | | | | | 05/31/16 | | | 145,841,100 | | | | 153,748,492 | |
| Deutsche Bank | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.10% | | | | | | | | | | 2.13% | | | | | | | | |
| Due 04/01/13 | | | 61,685,310 | | | | 61,685,995 | | | 02/29/16 | | | 59,756,300 | | | | 62,922,554 | |
| Credit Suisse Group | | | | | | | | | | U.S. Treasury Note | | | | | | | | |
| 0.10% | | | | | | | | | | 0.50% | | | | | | | | |
| Due 04/01/13 | | | 67,530,124 | | | | 67,530,499 | | | 07/31/17 | | | 68,857,600 | | | | 68,881,776 | |
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.
| 46 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
6. Disclosures about Credit Derivatives
In accordance with its principal investment strategy, the Event Driven and Distressed Strategies 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 payment as an adjustment to the stated periodic premium.
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 20 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of March 28, 2013.
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.
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 |
| 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.
| | | Approximate percentage of Fund’s | |
| | | net assets on a daily basis | |
| Fund | | Long | | | Short | |
| U.S. Long Short Momentum Fund | | | 1 | % | | | — | |
| Event Driven and Distressed Strategies Fund | | | 135 | % | | | — | |
| Emerging Markets 2x Strategy Fund | | | 123 | % | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 195 | % |
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 28, 2013:
| Derivative Investment Type | | Asset Derivatives | | Liability Derivatives |
| Equity/Interest Rate contracts | | Variation margin | | Variation margin |
| Equity/Credit contracts | | Unrealized appreciation on swap agreements | | Unrealized depreciation on swap agreements |
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 47 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 28, 2013:
| Asset Derivative Investments Value |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Interest Rate | | | Credit Default | | | March 28, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2013 | |
| U.S. Long Short Momentum Fund | | $ | 7,093 | | | $ | — | | | $ | — | | | $ | — | | | $ | 7,093 | |
| Event Driven and Distressed Strategies Fund | | | 28,309 | | | | 620 | | | | 7,308 | | | | 11,433 | | | | 47,670 | |
| Emerging Markets 2x Strategy Fund | | | 981 | | | | 16,563 | | | | — | | | | — | | | | 17,544 | |
| Liability Derivative Investments Value |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | Total Value at | |
| | | Equity | | | Equity | | | Interest Rate | | | Credit Default | | | March 28, | |
| Fund | | Contracts* | | | Contracts | | | Contracts* | | | Contracts | | | 2013 | |
| Inverse Emerging Markets 2x Strategy Fund | | $ | — | | | $ | 24,760 | | | $ | — | | | $ | — | | | $ | 24,760 | |
* 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 year ended March 28, 2013:
| Derivative Investment Type | | Location of Gain (Loss) on Derivatives |
| Equity/Interest Rate contracts | | Net realized gain (loss) on futures contracts |
| | | Net change in unrealized appreciation (depreciation) on futures contracts |
| Equity/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 year ended March 28, 2013:
| Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Interest Rate | | | Credit Default | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| U.S. Long Short Momentum Fund | | $ | (2,027,768 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (2,027,768 | ) |
| Event Driven and Distressed Strategies Fund | | | 181,867 | | | | 592,714 | | | | 1,475 | | | | (10,974 | ) | | | 765,082 | |
| Emerging Markets 2x Strategy Fund | | | (40,831 | ) | | | (830,334 | ) | | | — | | | | — | | | | (871,165 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | (14,654 | ) | | | 157,067 | | | | — | | | | — | | | | 142,413 | |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
| | | Futures | | | Swaps | | | Futures | | | Swaps | | | | |
| | | Equity | | | Equity | | | Interest Rate | | | Credit Default | | | | |
| Fund | | Contracts | | | Contracts | | | Contracts | | | Contracts | | | Total | |
| U.S. Long Short Momentum Fund | | $ | 219,136 | | | $ | — | | | $ | — | | | $ | — | | | $ | 219,136 | |
| Event Driven and Distressed Strategies Fund | | | 28,309 | | | | 12,988 | | | | 7,308 | | | | 11,433 | | | | 60,038 | |
| Emerging Markets 2x Strategy Fund | | | 981 | | | | 211,797 | | | | — | | | | — | | | | 212,778 | |
| Inverse Emerging Markets 2x Strategy Fund | | | 2,219 | | | | (78,364 | ) | | | — | | | | — | | | | (76,145 | ) |
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 2010 – 2013), and has concluded that no provision for income tax is required in the Funds’ financial statements.
| 48 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The RIC Modernization Act of 2010 was signed into law on December 22, 2010. It simplified some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and improved the tax efficiency of certain fund structures. The changes were generally effective for taxable years beginning after the date of enactment.
One of the more prominent changes addresses capital loss carryforwards. Funds are 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.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.
For the year ended March 28, 2013, the following capital loss carryforward amounts were expired or used:
| Fund | | Amount | |
| U.S. Long Short Momentum Fund | | $ | (8,164,099 | ) |
| Event Driven and Distressed Strategies Fund | | | (606,090 | ) |
The tax character of distributions paid during the year ended March 28, 2013 was as follows:
| | | Ordinary | | | Long-Term | | | Total | |
| Fund | | Income | | | Capital Gain | | | Distributions | |
| U.S. Long Short Momentum Fund | | $ | 248,478 | | | $ | — | | | $ | 248,478 | |
| Event Driven and Distressed Strategies Fund | | | — | | | | — | | | | — | |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | |
The tax character of distributions paid during the year ended March 31, 2012 was as follows:
| | | Ordinary | | | Long-Term | | | Total | |
| Fund | | Income | | | Capital Gain | | | Distributions | |
| U.S. Long Short Momentum Fund | | $ | — | | | $ | — | | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | 360,523 | | | | — | | | | 360,523 | |
| Emerging Markets 2x Strategy Fund | | | 194,346 | | | | — | | | | 194,346 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax character of distributable earnings/(accumulated losses) at March 28, 2013 was as follows:
| | | Undistributed | | | Undistributed | | | Net Unrealized | | | | |
| | | Ordinary | | | Long-Term | | | Appreciation/ | | | Capital Loss | |
| Fund | | Income | | | Capital Gain | | | Depreciation | | | Carryforward1 | |
| U.S. Long Short Momentum Fund | | $ | — | | | $ | — | | | $ | 3,461,303 | | | $ | (77,154,904 | ) |
| Event Driven and Distressed Strategies Fund | | | — | | | | 126,708 | | | | 39,305 | | | | — | |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | (72,849 | ) | | | (1,036,160 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | (24,760 | ) | | | (1,109,813 | ) |
Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.
1A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:
| | | | | | | | | | | | | | | | | | Total | |
| | | Expires in | | | Expires in | | | Expires in | | | Unlimited | | | Capital Loss | |
| Fund | | 2017 | | | 2018 | | | 2019 | | | Short Term | | | Long Term | | | Carryforward | |
| U.S. Long Short Momentum Fund | | $ | (57,776,977 | ) | | $ | (19,377,927 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | (77,154,904 | ) |
| Event Driven and Distressed Strategies Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | (818,551 | ) | | | (217,609 | ) | | | (1,036,160 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | (967,032 | ) | | | (142,781 | ) | | | (1,109,813 | ) |
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 49 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are typically due to post-October losses, losses deferred due to wash sales, tax treatment of payments from credit default swaps, utilization of earnings and profits on shareholder redemptions, foreign currency gains and losses, and the “mark-to-market” of certain passive foreign investment companies (PFICs) for tax purposes. Additional differences may result from tax treatment of net investment losses and expired capital loss carryforwards. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
On the Statements of Assets and Liabilities the following adjustments were made for permanent book/tax differences:
| | | | | | Undistributed | | | Accumulated | |
| | | Paid In | | | Net Investment | | | Net Realized | |
| Fund | | Capital | | | Income | | | Gain (Loss) | |
| U.S. Long Short Momentum Fund | | $ | (321,421 | ) | | $ | 361,480 | | | $ | (40,059 | ) |
| Event Driven and Distressed Strategies Fund | | | (9,443 | ) | | | 111,951 | | | | (102,508 | ) |
| Emerging Markets 2x Strategy Fund | | | (26,734 | ) | | | 26,689 | | | | 45 | |
| Inverse Emerging Markets 2x Strategy Fund | | | (37,981 | ) | | | 37,980 | | | | 1 | |
At March 28, 2013, 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 | | | Loss | |
| U.S. Long Short Momentum Fund | | $ | 60,043,104 | | | $ | 5,012,730 | | | $ | (544,557 | ) | | $ | 4,468,173 | |
| Event Driven and Distressed Strategies Fund | | | 9,763,962 | | | | 27,252 | | | | — | | | | 27,252 | |
| Emerging Markets 2x Strategy Fund | | | 3,127,292 | | | | — | | | | (89,412 | ) | | | (89,412 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | 2,160,220 | | | | — | | | | — | | | | — | |
Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 28, 2013, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2013:
| Fund | | Ordinary | | | Capital | |
| U.S. Long Short Momentum Fund | | $ | (391,461 | ) | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | (24,198 | ) | | | — | |
| Emerging Markets 2x Strategy Fund | | | (12,029 | ) | | | (232,708 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | (6,847 | ) | | | (16,269 | ) |
Appropriate tax adjustments have been made to the tax cost of investments, accumulated earnings on a tax basis, capital loss carryforwards, post-October losses and utilized capital loss carryforwards in accordance with March 31, 2013 tax year end of the Funds.
9. Securities Transactions
For the year ended March 28, 2013, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were as follows:
| Fund | | Purchases | | | Sales | |
| U.S. Long Short Momentum Fund | | $ | 97,880,227 | | | $ | 176,281,796 | |
| Emerging Markets 2x Strategy Fund | | | 14,483,018 | | | | 12,812,746 | |
| Event Driven and Distressed Strategies Fund | | | 2,935,121 | | | | 3,894,530 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | |
| 50 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 the 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 March 28, 2013, the Funds participated in securities lending as follows:
| Fund | | Value of Securities Loaned | | | Cash Collateral Received | |
| U.S. Long Short Momentum Fund | | $ | 23,410 | | | $ | 23,250 | * |
* Subsequent to March 28, 2013, additional collateral was received.
The following represents a breakdown of the collateral for the joint repurchase agreements at March 28, 2013:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| HSBC Securities (USA), Inc. | | | | | | | | | | Fannie Mae | | | | | | | | |
| 0.17% | | | | | | | | | | 0.00% | | | | | | | | |
| Due 04/01/13 | | $ | 14,334,268 | | | $ | 14,334,539 | | | 11/15/17 | | $ | 2,790,164 | | | $ | 2,666,114 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.00% | | | | | | | | |
| | | | | | | | | | | 11/15/19 | | | 13,365,954 | | | | 11,957,850 | |
| RBS Securities, Inc. | | | | | | | | | | Federal Home Loan Bank | | | | | | | | |
| 0.18% | | | | | | | | | | 0.375% | | | | | | | | |
| Due 04/01/13 | | | 18,221,722 | | | | 18,222,086 | | | 10/18/13 | | | 1,832,012 | | | | 1,837,210 | |
| | | | | | | | | | | Fannie Mae | | | | | | | | |
| | | | | | | | | | | 0.50% | | | | | | | | |
| | | | | | | | | | | 05/27/15 | | | 16,668,738 | | | | 16,751,927 | |
11. 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 year ended March 28, 2013. The Funds did not have any borrowings under this agreement at March 28, 2013.
The average daily balances borrowed for the year ended March 28, 2013 were as follows:
| Fund | | Daily Average Balance | |
| U.S. Long Short Momentum | | $ | 43,928.77 | |
| Emerging Markets 2x Strategy Fund | | | 11,745.21 | |
12. 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
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 51 |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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.
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 “SLCFC actions”).
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multi-district litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”). On November 6, 2012, the defendants moved to dismiss the SLCFC actions. On December 21, 2012, the plaintiffs filed a memorandum in opposition to the motion to dismiss. On February 4, 2013, the defendants filed a reply in support of the motion to dismiss. The Court has not yet issued a decision on the motion.
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.
13. New Accounting Pronouncement
In January 2013, the Financial Accounting Standards Board issued an Accounting Standards Update No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities, which limits the scope of the new balance sheet offsetting disclosures to derivatives, repurchase agreements and securities lending. The new disclosure is effective for Funds whose annual or interim periods begin on or after January 1, 2013. Management is evaluating the impact of this update on its current disclosures.
| 52 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Board of Trustees and Shareholders
of Rydex Series Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of U.S. Long Short Momentum Fund, Event Driven and Distressed Strategies Fund, Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund (four of the series constituting the Rydex Series Funds) (the “Funds”) as of March 28, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 28, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 28, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
May 24, 2013
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 53 |
| OTHER INFORMATION (Unaudited) |
Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
Of the taxable ordinary income distributions paid during the fiscal year ending March 28, 2013, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:
| Fund | | % Qualifying | |
| U.S. Long Short Momentum Fund | | | 100.00 | % |
Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.
| Fund | | % Qualifying | |
| U.S. Long Short Momentum Fund | | | 100.00 | % |
With respect to the taxable year ended March 28, 2013, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| | | Event Driven and | |
| | | Distressed Fund | |
| From long-term capital gains, subject to the 15% rate gains category: | | $ | — | |
| From long-term capital gains, using proceeds from shareholder redemptions: | | | 4,702 | |
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)
| 54 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| OTHER INFORMATION (Unaudited) (concluded) |
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
Distributor Name Change
Effective January 1, 2013, Rydex Distributors, LLC changed its name to Guggenheim Distributors, LLC. The name change marks another step in the business integration process following the acquisition of Rydex by Guggenheim announced last year. The name change should not result in any material change to the day-to-day management or operations of the funds.
| THE GUGGENHEIM FUNDS ANNUAL REPORT | 55 |
| 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 | | 136 |
| (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 | | 136 |
| (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 | | 136 |
| (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 | | 136 |
| (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
| 56 | THE GUGGENHEIM FUNDS 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 |
| Werner E. Keller | | Rydex Series Funds – 2005 | | 136 |
| (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 | | 136 |
| (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 | | 136 |
| (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 | | 136 |
| (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 ANNUAL REPORT | 57 |
| 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: Guggenheim Distributors, LLC (f/k/a Rydex Distributors, LLC.), 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 Guggenheim Distributors, LLC |
| | |
| | Previous: Senior Manager, Security Investors, LLC and Guggenheim Distributors, LLC (2004–2009) |
| | |
Amy J. Lee*
Vice President and Secretary (1961) | Current: Managing Director, Guggenheim Investments; Senior Vice President & Secretary, Security Investors, LLC; Secretary & Vice President, Rydex ETF Trust, Rydex Dynamic Funds, Rydex variable Trust, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Guggenheim Specialized Products, LLC, Guggenheim Distributors, LLC and Rydex Fund Services, LLC |
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| | Previous: Vice President, Associate General Counsel & Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (1987–2012); Security Global Investors, LLC, Senior Vice President & Secretary (2007–2011); Rydex Advisors, LLC (f/ka/ PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010–2011) |
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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 |
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| | 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. |
| 58 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
| GUGGENHEIM INVESTMENTS PRIVACY POLICIES |
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Distributors, LLC, 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 ANNUAL REPORT | 59 |
| 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.
| 60 | THE GUGGENHEIM FUNDS ANNUAL REPORT |
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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Werner Keller, an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
(a) The aggregate Audit Fees billed by the Trust’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended March 28, 2013 and March 31, 2012 were $722,089 and $991,403, respectively.
(b) The aggregate Audit Related Fees by the Trust’s principal accountant billed for the fiscal years ended March 28, 2013 and March 31, 2012 were $0 and $0, respectively.
The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the Registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended March 28, 2013 and March 31, 2012 were $35,000 and $30,000, respectively.
(c) The aggregate Tax Fees billed by the Trust’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended March 28, 2013 and March 31, 2012 was $0 and $9,216, respectively.
(d) The aggregate All Other Fees billed by the Trust’s principal accountant for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended March 28, 2013 and March 31, 2012 were $0 and $0, respectively.
(e) The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $35,000 and $39,216, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.
(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. As such, the audit committee has considered these services in maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) 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)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Rydex Series Funds
By (Signature and Title)* /s/ Donald C. Cacciapaglia
Donald C. Cacciapaglia, President
Date June 5, 2013
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 June 5, 2013
By (Signature and Title)* /s/ Nikolaos Bonos
Nikolaos Bonos, Vice President and Treasurer
Date June 5, 2013
* Print the name and title of each signing officer under his or her signature.
