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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 07584

Rydex Series Funds

(Exact name of registrant as specified in charter)

805 King Farm Boulevard, Suite 600

Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

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 31, 2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Report to Stockholders.

DOMESTIC EQUITY FUNDS	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
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

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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
NOVA FUND	10
S&P 500 FUND	22
INVERSE S&P 500 STRATEGY FUND	34
NASDAQ-100® FUND	42
INVERSE NASDAQ-100® STRATEGY FUND	50
MID-CAP 1.5x STRATEGY FUND	58
INVERSE MID-CAP STRATEGY FUND	70
RUSSELL 2000® 1.5x STRATEGY FUND	78
RUSSELL 2000® FUND	104
INVERSE RUSSELL 2000® STRATEGY FUND	130
S&P 500 PURE GROWTH FUND	138
S&P 500 PURE VALUE FUND	146
S&P MIDCAP 400 PURE GROWTH FUND	154
S&P MIDCAP 400 PURE VALUE FUND	162
S&P SMALLCAP 600 PURE GROWTH FUND	170
S&P SMALLCAP 600 PURE VALUE FUND	178
EUROPE 1.25x STRATEGY FUND	186
JAPAN 2x STRATEGY FUND	194
STRENGTHENING DOLLAR 2x STRATEGY FUND	202
WEAKENING DOLLAR 2x STRATEGY FUND	210
REAL ESTATE FUND	218
GOVERNMENT LONG BOND 1.2x STRATEGY FUND	226
INVERSE GOVERNMENT LONG BOND STRATEGY FUND	234
HIGH YIELD STRATEGY FUND	242
INVERSE HIGH YIELD STRATEGY FUND	250
U.S. GOVERNMENT MONEY MARKET FUND	258
NOTES TO FINANCIAL STATEMENTS	268
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	285
OTHER INFORMATION	286
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	289
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	292

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  1

LETTER TO OUR SHAREHOLDERS

TO OUR SHAREHOLDERS:

A restructuring of Greece’s massive debt, continued accommodation by the world’s major central banks and better news on the U.S. economy helped support financial markets over the fiscal year ended March 31, 2012, with the S&P 500^® Index* rising about 9%. Market optimism peaked in early 2012, when several major equity indices pushed to the highest levels in four years or more. But the mood grew more cautious late in the period after the Federal Reserve (“the Fed”) expressed views that continued weakness in housing and employment may pose a risk to the strength of the recovery.

U.S. equities experienced big intra-year swings. Markets swooned by nearly 20% last summer amid the loss of the U.S. AAA credit rating, the end of the Fed’s second round of quantitative easing and rising oil prices. But after touching the year’s low in early October, improving U.S. economic data and European Central Bank’s injections of three-year loans into the continent’s banking system helped markets make up lost ground, which carried over into a strong first quarter of 2012.

Among the upbeat U.S. economic reports in recent months: more than 600,000 jobs have been added since the beginning of 2012; house prices have fallen enough to start to spur demand, lifting sales and new construction; and the U.S. GDP expanded at an annual rate of 3% in the fourth quarter of 2011, its strongest rate in a year and a half. Consumer confidence climbed in March to its highest level in a year.

While acknowledging the good news, the Fed warned that policymakers cannot be sure the recent pace of improvement will be sustained unless growth picks up. To foster growth, the Fed has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers. Consumer spending remains sluggish, and lackluster forecasts for first-quarter corporate profits were a reminder that the economic recovery remains fragile.

The world’s leading central bankers have continued to take steps to recharge the global economy. Greece’s debt restructuring enabled a new international bailout, while an injection of liquidity from the European Central Bank lessened financial stresses across the continent and contributed to improvement in global financial markets. However, March manufacturing gauges indicated that the eurozone has entered a period of economic contraction, meaning that policy makers may need to do more to revive economic growth across the region. The Bank of England and the Bank of Japan have also increased asset-buying programs. In China, recent strong factory data eased fears that a hard landing could wreak havoc on the global economy. The country cut its annual growth target to 7.5%, as its policymakers are trying to shift the country away from investment and exports and to greater domestic consumption.

Improvement in the U.S. economy is luring investors from ultra-safe, but often low-yielding assets. Falling U.S. Treasury bond prices, for example, boosted yields from a 70-year low last fall to a recent range of around 2% for the 10-year note. After outperforming equities for much of the past decade, and drawing heavy asset flows, many analysts are cautious about certain fixed-income sectors, particularly government debt, as the economy improves and the potential grows for a rise in interest rates. Investment-grade and higher-yielding corporates, however, are expected to continue to outperform.

Likewise, commodities, which had been slumping since mid-2011 due to slowing economic activity and the European debt crisis, rebounded in early 2012 on stronger macroeconomic data, with the price of a barrel of oil surging from last October’s $77 to a peak of $113 in late February. Investors also have been shifting out of gold to assets with greater return potential; after peaking at nearly $2,000 last summer, the price per ounce has fallen back to around $1,600.

The U.S. economy seems to be decoupling from slowing growth in the rest of the world and from ongoing uncertainty in the European debt crisis, as well as the domestic debate over tax and spending policy. In this resiliency, we see potential in U.S. investments, including equities, high yield bonds, bank loans and other risk assets. It appears that the U.S. may have entered a period of self-sustaining, if modest, economic expansion, driven primarily by the aggressive monetary policy of the Fed and reinforced by the ECB, and is increasingly becoming the economic locomotive of the global economy.

2  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Donald C. Cacciapaglia

President

*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).

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

The referenced funds are distributed by Rydex Distributors, LLC. Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC, which includes Security Investors, LLC, the investment advisor to the referenced funds. Rydex Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  3

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.

Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.

An Example of Compounding

For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%— in line with its benchmark.

On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.

	Index Level		Index Performance			Fund Expectation			Fund NAV		Fund Performance			Assessment
Start		100							$	10.00
Day 1		106		6.0	%		9.0	%	$	10.90		9.0	%		In line
Day 2		99		-6.6	%		-9.9	%	$	9.82		-9.9	%		In line
Cumulative				-1.0	%		-1.5	%				-1.8	%		-0.3	%

As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.

Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.

In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.

As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.

4  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; 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, 2011 and ending March 31, 2012.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 1. Based on actual Fund return3
Nova Fund
Investor Class		1.24	%		39.40	%	$	1,000.00	$	1,394.00	$	7.42
Advisor Class		1.75	%		39.08	%		1,000.00		1,390.80		10.46
A-Class		1.49	%		39.24	%		1,000.00		1,392.40		8.91
C-Class		2.24	%		38.76	%		1,000.00		1,387.60		13.37
S&P 500 Fund
A-Class		1.49	%		24.89	%		1,000.00		1,248.90		8.38
C-Class		2.24	%		24.41	%		1,000.00		1,244.10		12.57
H-Class		1.48	%		24.94	%		1,000.00		1,249.40		8.32
Inverse S&P 500 Strategy Fund
Investor Class		1.41	%		(22.59	%)		1,000.00		774.10		6.25
Advisor Class		1.90	%		(22.78	%)		1,000.00		772.20		8.42
A-Class		1.65	%		(22.69	%)		1,000.00		773.10		7.31
C-Class		2.40	%		(22.97	%)		1,000.00		770.30		10.62
NASDAQ-100® Fund
Investor Class		1.25	%		28.74	%		1,000.00		1,287.40		7.15
Advisor Class		1.75	%		28.36	%		1,000.00		1,283.60		9.99
A-Class		1.50	%		28.53	%		1,000.00		1,285.30		8.57
C-Class		2.25	%		28.07	%		1,000.00		1,280.70		12.83
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.43	%		(24.82	%)		1,000.00		751.80		6.26
Advisor Class		1.95	%		(24.75	%)		1,000.00		752.50		8.54
A-Class		1.67	%		(25.00	%)		1,000.00		750.00		7.31
C-Class		2.42	%		(25.27	%)		1,000.00		747.30		10.57
Mid-Cap 1.5x Strategy Fund
A-Class		1.63	%		41.74	%		1,000.00		1,417.40		9.88
C-Class		2.39	%		41.25	%		1,000.00		1,412.50		14.41
H-Class		1.64	%		41.96	%		1,000.00		1,419.60		9.92
Inverse Mid-Cap Strategy Fund
A-Class		1.64	%		(24.88	%)		1,000.00		751.20		7.18
C-Class		2.40	%		(25.14	%)		1,000.00		748.60		10.49
H-Class		1.65	%		(24.87	%)		1,000.00		751.30		7.22
Russell 2000® 1.5x Strategy Fund
A-Class		1.74	%		43.88	%		1,000.00		1,438.80		10.61
C-Class		2.50	%		43.30	%		1,000.00		1,433.00		15.21
H-Class		1.74	%		43.89	%		1,000.00		1,438.90		10.61
Russell 2000® Fund
A-Class		1.58	%		29.54	%		1,000.00		1,295.40		9.07
C-Class		2.35	%		29.02	%		1,000.00		1,290.20		13.45
H-Class		1.58	%		29.47	%		1,000.00		1,294.70		9.06
Inverse Russell 2000® Strategy Fund
A-Class		1.75	%		(27.28	%)		1,000.00		727.20		7.56
C-Class		2.52	%		(27.52	%)		1,000.00		724.80		10.87
H-Class		1.76	%		(27.27	%)		1,000.00		727.30		7.60
S&P 500 Pure Growth Fund
A-Class		1.50	%		23.78	%		1,000.00		1,237.80		8.39
C-Class		2.24	%		23.30	%		1,000.00		1,233.00		12.50
H-Class		1.50	%		23.75	%		1,000.00		1,237.50		8.39
S&P 500 Pure Value Fund
A-Class		1.49	%		28.19	%		1,000.00		1,281.90		8.50
C-Class		2.25	%		27.71	%		1,000.00		1,277.10		12.81
H-Class		1.49	%		28.19	%		1,000.00		1,281.90		8.50
S&P MidCap 400 Pure Growth Fund
A-Class		1.48	%		22.29	%		1,000.00		1,222.90		8.22
C-Class		2.23	%		21.79	%		1,000.00		1,217.90		12.36
H-Class		1.48	%		22.24	%		1,000.00		1,222.40		8.22

6  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
S&P MidCap 400 Pure Value Fund
A-Class		1.47	%		30.35	%	$	1,000.00	$	1,303.50	$	8.47
C-Class		2.24	%		29.82	%		1,000.00		1,298.20		12.87
H-Class		1.48	%		30.32	%		1,000.00		1,303.20		8.52
S&P SmallCap 600 Pure Growth Fund
A-Class		1.50	%		26.82	%		1,000.00		1,268.20		8.51
C-Class		2.23	%		26.38	%		1,000.00		1,263.80		12.62
H-Class		1.49	%		26.86	%		1,000.00		1,268.60		8.45
S&P SmallCap 600 Pure Value Fund
A-Class		1.49	%		32.43	%		1,000.00		1,324.30		8.66
C-Class		2.24	%		31.85	%		1,000.00		1,318.50		12.98
H-Class		1.48	%		32.30	%		1,000.00		1,323.00		8.60
Europe 1.25x Strategy Fund
A-Class		1.63	%		20.52	%		1,000.00		1,205.20		8.99
C-Class		2.41	%		20.48	%		1,000.00		1,204.80		13.30
H-Class		1.64	%		20.71	%		1,000.00		1,207.10		9.07
Japan 2x Strategy Fund
A-Class		1.48	%		19.86	%		1,000.00		1,198.60		8.13
C-Class		2.23	%		19.54	%		1,000.00		1,195.40		12.24
H-Class		1.48	%		19.89	%		1,000.00		1,198.90		8.14
Strengthening Dollar 2x Strategy Fund
A-Class		1.67	%		(4.34	%)		1,000.00		956.60		8.17
C-Class		2.42	%		(4.65	%)		1,000.00		953.50		11.82
H-Class		1.68	%		(4.29	%)		1,000.00		957.10		8.22
Weakening Dollar 2x Strategy Fund
A-Class		1.68	%		0.85	%		1,000.00		1,008.50		8.44
C-Class		2.42	%		0.57	%		1,000.00		1,005.70		12.13
H-Class		1.67	%		0.85	%		1,000.00		1,008.50		8.39
Real Estate Fund
A-Class		1.59	%		25.45	%		1,000.00		1,254.50		8.96
C-Class		2.33	%		24.95	%		1,000.00		1,249.50		13.10
H-Class		1.58	%		25.48	%		1,000.00		1,254.80		8.91
Government Long Bond 1.2x Strategy Fund
Investor Class		0.93	%		(7.61	%)		1,000.00		923.90		4.47
Advisor Class		1.44	%		(7.95	%)		1,000.00		920.50		6.91
A-Class		1.18	%		(7.77	%)		1,000.00		922.30		5.67
C-Class		1.93	%		(8.13	%)		1,000.00		918.70		9.26
Inverse Government Long Bond Strategy Fund
Investor Class		3.68	%		4.09	%		1,000.00		1,040.90		18.78
Advisor Class		4.11	%		3.36	%		1,000.00		1,033.60		20.90
A-Class		3.95	%		3.96	%		1,000.00		1,039.60		20.14
C-Class		4.69	%		3.59	%		1,000.00		1,035.90		23.87
High Yield Strategy Fund
A-Class		1.47	%		13.12	%		1,000.00		1,131.20		7.83
C-Class		2.23	%		12.75	%		1,000.00		1,127.50		11.86
H-Class		1.47	%		13.14	%		1,000.00		1,131.40		7.83
Inverse High Yield Strategy Fund
A-Class		1.50	%		(13.99	%)		1,000.00		860.10		6.98
C-Class		2.23	%		(14.22	%)		1,000.00		857.80		10.36
H-Class		1.50	%		(13.91	%)		1,000.00		860.90		6.98
U.S. Government Money Market Fund
Investor Class		0.11	%		0.00	%		1,000.00		1,000.00		0.55
Investor2 Class		0.11	%		0.00	%		1,000.00		1,000.00		0.55
Advisor Class		0.11	%		0.00	%		1,000.00		1,000.00		0.55
A-Class		0.11	%		0.00	%		1,000.00		1,000.00		0.55
C-Class		0.11	%		0.00	%		1,000.00		1,000.00		0.55

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Nova Fund
Investor Class		1.24	%		5.00	%	$	1,000.00	$	1,018.80	$	6.26
Advisor Class		1.75	%		5.00	%		1,000.00		1,016.25		8.82
A-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
S&P 500 Fund
A-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
H-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
Inverse S&P 500 Strategy Fund
Investor Class		1.41	%		5.00	%		1,000.00		1,017.95		7.11
Advisor Class		1.90	%		5.00	%		1,000.00		1,015.50		9.57
A-Class		1.65	%		5.00	%		1,000.00		1,016.75		8.32
C-Class		2.40	%		5.00	%		1,000.00		1,013.00		12.08
NASDAQ-100® Fund
Investor Class		1.25	%		5.00	%		1,000.00		1,018.75		6.31
Advisor Class		1.75	%		5.00	%		1,000.00		1,016.25		8.82
A-Class		1.50	%		5.00	%		1,000.00		1,017.50		7.57
C-Class		2.25	%		5.00	%		1,000.00		1,013.75		11.33
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.43	%		5.00	%		1,000.00		1,017.85		7.21
Advisor Class		1.95	%		5.00	%		1,000.00		1,015.25		9.82
A-Class		1.67	%		5.00	%		1,000.00		1,016.65		8.42
C-Class		2.42	%		5.00	%		1,000.00		1,012.90		12.18
Mid-Cap 1.5x Strategy Fund
A-Class		1.63	%		5.00	%		1,000.00		1,016.83		8.24
C-Class		2.39	%		5.00	%		1,000.00		1,013.06		12.02
H-Class		1.64	%		5.00	%		1,000.00		1,016.80		8.27
Inverse Mid-Cap Strategy Fund
A-Class		1.64	%		5.00	%		1,000.00		1,016.80		8.27
C-Class		2.40	%		5.00	%		1,000.00		1,013.00		12.08
H-Class		1.65	%		5.00	%		1,000.00		1,016.75		8.32
Russell 2000® 1.5x Strategy Fund
A-Class		1.74	%		5.00	%		1,000.00		1,016.30		8.77
C-Class		2.50	%		5.00	%		1,000.00		1,012.50		12.58
H-Class		1.74	%		5.00	%		1,000.00		1,016.30		8.77
Russell 2000® Fund
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.35	%		5.00	%		1,000.00		1,013.25		11.83
H-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
Inverse Russell 2000® Strategy Fund
A-Class		1.75	%		5.00	%		1,000.00		1,016.25		8.82
C-Class		2.52	%		5.00	%		1,000.00		1,012.40		12.68
H-Class		1.76	%		5.00	%		1,000.00		1,016.20		8.87
S&P 500 Pure Growth Fund
A-Class		1.50	%		5.00	%		1,000.00		1,017.50		7.57
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
H-Class		1.50	%		5.00	%		1,000.00		1,017.50		7.57
S&P 500 Pure Value Fund
A-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
C-Class		2.25	%		5.00	%		1,000.00		1,013.75		11.33
H-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
S&P MidCap 400 Pure Growth Fund
A-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
C-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
H-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
S&P MidCap 400 Pure Value Fund
A-Class		1.47	%		5.00	%		1,000.00		1,017.65		7.41
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
H-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47

8  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
S&P SmallCap 600 Pure Growth Fund
A-Class		1.50	%		5.00	%	$	1,000.00	$	1,017.50	$	7.57
C-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
H-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
S&P SmallCap 600 Pure Value Fund
A-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
H-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
Europe 1.25x Strategy Fund
A-Class		1.63	%		5.00	%		1,000.00		1,016.85		8.22
C-Class		2.41	%		5.00	%		1,000.00		1,012.94		12.14
H-Class		1.64	%		5.00	%		1,000.00		1,016.78		8.29
Japan 2x Strategy Fund
A-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
C-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
H-Class		1.48	%		5.00	%		1,000.00		1,017.60		7.47
Strengthening Dollar 2x Strategy Fund
A-Class		1.67	%		5.00	%		1,000.00		1,016.65		8.42
C-Class		2.42	%		5.00	%		1,000.00		1,012.90		12.18
H-Class		1.68	%		5.00	%		1,000.00		1,016.60		8.47
Weakening Dollar 2x Strategy Fund
A-Class		1.68	%		5.00	%		1,000.00		1,016.60		8.47
C-Class		2.42	%		5.00	%		1,000.00		1,012.90		12.18
H-Class		1.67	%		5.00	%		1,000.00		1,016.65		8.42
Real Estate Fund
A-Class		1.59	%		5.00	%		1,000.00		1,017.05		8.02
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
H-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
Government Long Bond 1.2x Strategy Fund
Investor Class		0.93	%		5.00	%		1,000.00		1,020.35		4.70
Advisor Class		1.44	%		5.00	%		1,000.00		1,017.80		7.26
A-Class		1.18	%		5.00	%		1,000.00		1,019.10		5.96
C-Class		1.93	%		5.00	%		1,000.00		1,015.35		9.72
Inverse Government Long Bond Strategy Fund
Investor Class		3.68	%		5.00	%		1,000.00		1,006.60		18.46
Advisor Class		4.11	%		5.00	%		1,000.00		1,004.45		20.60
A-Class		3.95	%		5.00	%		1,000.00		1,005.25		19.80
C-Class		4.69	%		5.00	%		1,000.00		1,001.55		23.47
High Yield Strategy Fund
A-Class		1.47	%		5.00	%		1,000.00		1,017.65		7.41
C-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
H-Class		1.47	%		5.00	%		1,000.00		1,017.65		7.41
Inverse High Yield Strategy Fund
A-Class		1.50	%		5.00	%		1,000.00		1,017.50		7.57
C-Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
H-Class		1.50	%		5.00	%		1,000.00		1,017.50		7.57
U.S. Government Money Market Fund
Investor Class		0.11	%		5.00	%		1,000.00		1,024.45		0.56
Investor2 Class		0.11	%		5.00	%		1,000.00		1,024.45		0.56
Advisor Class		0.11	%		5.00	%		1,000.00		1,024.45		0.56
A-Class		0.11	%		5.00	%		1,000.00		1,024.45		0.56
C-Class		0.11	%		5.00	%		1,000.00		1,024.45		0.56

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 2.31.%, 2.25%, 2.32%, and 2.31% lower for the Investor Class, Advisor Class, A-Class and C-Class, respectively.

²  Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

³  Actual cumulative return at net asset value for the period September 30, 2011 to March 31, 2012.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

NOVA FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 9.07%, while the S&P 500 Index returned 8.54% over the same period.

Sectors contributing most to performance of the index were Information Technology, Health Care, Consumer Discretionary and Consumer Staples. Energy, Financials and Materials detracted from performance of the index for the year.

Apple, Inc., International Business Machines Corp. and Microsoft Corp. were among the stocks which provided the most performance to the index during the year. Schlumberger Ltd., Hewlett-Packard Co. and Bank of America Corp. detracted from performance of the 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 4 of this report.

*Standard & Poor’s 500 Index (S&P 500^®)—a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

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.	2.4	%
Exxon Mobil Corp.	1.8	%
International Business Machines Corp.	1.1	%
Microsoft Corp.	1.1	%
General Electric Co.	0.9	%
Chevron Corp.	0.9	%
AT&T, Inc.	0.8	%
Procter & Gamble Co.	0.8	%
Johnson & Johnson	0.8	%
Wells Fargo & Co.	0.8	%
Top Ten Total	11.4	%

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

10  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		9.07	%		-2.08	%		1.80	%
Advisor Class Shares		8.57	%		-2.57	%		1.27	%
C-Class Shares		8.00	%		-3.05	%		0.78	%
C-Class Shares with CDSC†		7.00	%		-3.05	%		0.78	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
							Since Inception (03/31/04)
A-Class Shares		8.79	%		-2.32	%		2.73	%
A-Class Shares with sales charge‡		3.64	%		-3.27	%		2.11	%
S&P 500 Index		8.54	%		2.01	%		4.96	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  11

SCHEDULE OF INVESTMENTS	March 31, 2012
NOVA FUND

	SHARES		VALUE
COMMON STOCKS† —55.6%
INFORMATION TECHNOLOGY—11.4%
Apple, Inc.*		3,089	$	1,851,763
International Business Machines Corp.		3,841		801,425
Microsoft Corp.		24,751		798,221
Google, Inc. — Class A*		842		539,924
Intel Corp.		16,556		465,388
QUALCOMM, Inc.		5,603		381,117
Oracle Corp.		12,988		378,730
Cisco Systems, Inc.		17,839		377,295
EMC Corp.*		6,805		203,334
Visa, Inc. — Class A		1,650		194,700
Hewlett-Packard Co.		6,552		156,134
Mastercard, Inc. — Class A		351		147,610
eBay, Inc.*		3,798		140,108
Accenture plc — Class A		2,145		138,353
Texas Instruments, Inc.		3,805		127,886
Automatic Data Processing, Inc.		1,635		90,236
Dell, Inc.*		5,073		84,212
Cognizant Technology Solutions Corp. — Class A*		1,001		77,027
Corning, Inc.		5,047		71,062
Salesforce.com, Inc.*		454		70,149
Broadcom Corp. — Class A*		1,625		63,863
Yahoo!, Inc.*		4,022		61,215
Intuit, Inc.		980		58,927
Adobe Systems, Inc.*		1,636		56,131
NetApp, Inc.*		1,206		53,993
Applied Materials, Inc.		4,277		53,206
TE Connectivity Ltd.		1,412		51,891
Motorola Solutions, Inc.		977		49,661
Citrix Systems, Inc.*		617		48,687
Symantec Corp.*		2,416		45,179
Altera Corp.		1,073		42,727
Juniper Networks, Inc.*		1,745		39,926
Analog Devices, Inc.		987		39,875
SanDisk Corp.*		804		39,870
Red Hat, Inc.*		643		38,509
Teradata Corp.*		552		37,619
Western Union Co.		2,057		36,203
Xerox Corp.		4,413		35,657
F5 Networks, Inc.*		263		35,494
Motorola Mobility Holdings, Inc.*		877		34,413
CA, Inc.		1,211		33,375
Paychex, Inc.		1,073		33,252
Amphenol Corp. — Class A		542		32,395
Western Digital Corp.*		775		32,077
Autodesk, Inc.*		747		31,613
Xilinx, Inc.		867		31,585
Fiserv, Inc.*		455		31,572
NVIDIA Corp.*		2,025		31,165
KLA-Tencor Corp.		559		30,421
Micron Technology, Inc.*		3,269		26,479
Fidelity National Information Services, Inc.		778		25,767
Linear Technology Corp.		760		25,612

	SHARES		VALUE
Microchip Technology, Inc.		641	$	23,845
BMC Software, Inc.*		546		21,927
Akamai Technologies, Inc.*		590		21,653
VeriSign, Inc.		532		20,397
Electronic Arts, Inc.*		1,101		18,144
Harris Corp.		378		17,040
LSI Corp.*		1,877		16,292
Computer Sciences Corp.		524		15,689
Advanced Micro Devices, Inc.*		1,939		15,551
Jabil Circuit, Inc.		616		15,474
Molex, Inc.		459		12,907
FLIR Systems, Inc.		508		12,857
SAIC, Inc.*		926		12,223
Total System Services, Inc.		529		12,204
Novellus Systems, Inc.*		233		11,629
JDS Uniphase Corp.*		758		10,983
Teradyne, Inc.*		614		10,370
Lexmark International, Inc. — Class A		234		7,778
Total Information Technology				8,659,996
FINANCIALS—8.3%
Wells Fargo & Co.		17,473		596,528
JPMorgan Chase & Co.		12,659		582,062
Berkshire Hathaway, Inc. — Class B*		5,824		472,618
Citigroup, Inc.		9,704		354,681
Bank of America Corp.		35,570		340,405
Goldman Sachs Group, Inc.		1,636		203,469
U.S. Bancorp		6,332		200,598
American Express Co.		3,362		194,526
Simon Property Group, Inc.		1,017		148,157
MetLife, Inc.		3,514		131,248
PNC Financial Services Group, Inc.		1,749		112,793
Capital One Financial Corp.		1,842		102,673
Morgan Stanley		5,055		99,280
Prudential Financial, Inc.		1,561		98,952
Bank of New York Mellon Corp.		3,992		96,327
American Tower Corp. — Class A		1,305		82,241
ACE Ltd.		1,121		82,057
Travelers Companies, Inc.		1,304		77,197
State Street Corp.		1,615		73,483
BB&T Corp.		2,316		72,699
Aflac, Inc.		1,557		71,606
BlackRock, Inc. — Class A		333		68,232
CME Group, Inc. — Class A		226		65,388
Public Storage		468		64,664
Equity Residential		995		62,307
Chubb Corp.		901		62,268
Marsh & McLennan Companies, Inc.		1,802		59,087
Franklin Resources, Inc.		473		58,666
Discover Financial Services		1,754		58,478
American International Group, Inc.*		1,784		55,000
ProLogis, Inc.		1,523		54,858
T. Rowe Price Group, Inc.		838		54,721
Ventas, Inc.		954		54,473
Allstate Corp.		1,654		54,450
HCP, Inc.		1,354		53,429
Aon plc		1,075		52,740

12  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
NOVA FUND

	SHARES		VALUE
Vornado Realty Trust		618	$	52,036
Boston Properties, Inc.		493		51,760
Charles Schwab Corp.		3,584		51,502
Progressive Corp.		2,029		47,032
AvalonBay Communities, Inc.		320		45,232
Fifth Third Bancorp		3,055		42,923
SunTrust Banks, Inc.		1,765		42,660
Ameriprise Financial, Inc.		738		42,162
Weyerhaeuser Co.		1,894		41,516
Loews Corp.		1,023		40,787
Invesco Ltd.		1,478		39,418
Host Hotels & Resorts, Inc.		2,353		38,636
Health Care REIT, Inc.		701		38,527
Northern Trust Corp.		801		38,007
M&T Bank Corp.		423		36,750
IntercontinentalExchange, Inc.*		242		33,256
Regions Financial Corp.		4,673		30,795
Hartford Financial Services Group, Inc.		1,460		30,777
Principal Financial Group, Inc.		994		29,333
Moody’s Corp.		657		27,660
KeyCorp		3,165		26,903
SLM Corp.		1,682		26,508
Kimco Realty Corp.		1,348		25,962
NYSE Euronext		860		25,809
Lincoln National Corp.		966		25,464
Unum Group		963		23,574
XL Group plc — Class A		1,041		22,579
Plum Creek Timber Company, Inc.		538		22,359
CBRE Group, Inc. — Class A*		1,085		21,657
Comerica, Inc.		660		21,358
Cincinnati Financial Corp.		536		18,497
Huntington Bancshares, Inc.		2,864		18,473
Leucadia National Corp.		663		17,304
Torchmark Corp.		335		16,700
People’s United Financial, Inc.		1,187		15,716
Genworth Financial, Inc. — Class A*		1,624		13,512
Zions Bancorporation		608		13,048
Hudson City Bancorp, Inc.		1,743		12,741
Assurant, Inc.		293		11,867
Legg Mason, Inc.		408		11,395
Apartment Investment & Management Co.—Class A		410		10,828
NASDAQ OMX Group, Inc.*		417		10,800
E*Trade Financial Corp.*		839		9,187
First Horizon National Corp.		851		8,833
Federated Investors, Inc. — Class B		311		6,970
Total Financials				6,311,174
HEALTH CARE—6.3%
Johnson & Johnson		9,099		600,170
Pfizer, Inc.		24,985		566,160
Merck & Company, Inc.		10,086		387,302
Abbott Laboratories		5,209		319,260
UnitedHealth Group, Inc.		3,464		204,168
Bristol-Myers Squibb Co.		5,593		188,764
Amgen, Inc.		2,619		178,065

	SHARES		VALUE
Eli Lilly & Co.		3,394	$	136,676
Medtronic, Inc.		3,446		135,048
Gilead Sciences, Inc.*		2,510		122,614
Celgene Corp.*		1,453		112,637
Baxter International, Inc.		1,857		111,011
Biogen Idec, Inc.*		788		99,264
Allergan, Inc.		1,005		95,907
Medco Health Solutions, Inc.*		1,288		90,546
Covidien plc		1,604		87,707
Express Scripts Holding Co.		1,610		87,230
WellPoint, Inc.		1,119		82,582
McKesson Corp.		816		71,620
Intuitive Surgical, Inc.*		126		68,261
Thermo Fisher Scientific, Inc.		1,209		68,164
Stryker Corp.		1,077		59,752
Aetna, Inc.		1,156		57,985
Becton Dickinson and Co.		700		54,355
Agilent Technologies, Inc.		1,155		51,409
Humana, Inc.		546		50,494
Cardinal Health, Inc.		1,143		49,275
Cigna Corp.		951		46,837
St. Jude Medical, Inc.		1,057		46,836
Zimmer Holdings, Inc.		592		38,054
Cerner Corp.*		484		36,861
AmerisourceBergen Corp.		854		33,887
Mylan, Inc.*		1,417		33,229
Perrigo Co.		312		32,233
Quest Diagnostics, Inc.		525		32,104
Forest Laboratories, Inc.*		875		30,354
Laboratory Corporation of America Holdings*		327		29,934
Boston Scientific Corp.*		4,814		28,788
Life Technologies Corp.*		588		28,706
Watson Pharmaceuticals, Inc.*		423		28,366
DaVita, Inc.*		313		28,223
Edwards Lifesciences Corp.*		386		28,074
Waters Corp.*		298		27,613
CR Bard, Inc.		277		27,345
Varian Medical Systems, Inc.*		383		26,412
Hospira, Inc.*		547		20,452
CareFusion Corp.*		741		19,214
DENTSPLY International, Inc.		467		18,741
Coventry Health Care, Inc.		467		16,611
PerkinElmer, Inc.		378		10,455
Patterson Companies, Inc.		293		9,786
Tenet Healthcare Corp.*		1,362		7,232
Total Health Care				4,822,773
ENERGY—6.2%
Exxon Mobil Corp.		15,626		1,355,242
Chevron Corp.		6,555		702,957
ConocoPhillips		4,243		322,510
Schlumberger Ltd.		4,426		309,511
Occidental Petroleum Corp.		2,692		256,359
Anadarko Petroleum Corp.		1,655		129,652
Apache Corp.		1,277		128,262

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  13

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
NOVA FUND

	SHARES		VALUE
National Oilwell Varco, Inc.		1,400	$	111,258
Halliburton Co.		3,058		101,495
EOG Resources, Inc.		890		98,879
Devon Energy Corp.		1,338		95,159
El Paso Corp.		2,567		75,854
Marathon Oil Corp.		2,335		74,020
Spectra Energy Corp.		2,152		67,896
Williams Companies, Inc.		1,970		60,696
Baker Hughes, Inc.		1,444		60,561
Hess Corp.		1,010		59,540
Noble Energy, Inc.		586		57,299
Chesapeake Energy Corp.		2,198		50,928
Marathon Petroleum Corp.		1,152		49,951
Valero Energy Corp.		1,847		47,597
Pioneer Natural Resources Co.		412		45,975
Cameron International Corp.*		820		43,321
FMC Technologies, Inc.*		794		40,033
Murphy Oil Corp.		644		36,238
Southwestern Energy Co.*		1,160		35,496
Noble Corp.*		839		31,438
Range Resources Corp.		527		30,640
Peabody Energy Corp.		898		26,006
Consol Energy, Inc.		752		25,643
Equities Corp.		495		23,864
Denbury Resources, Inc.*		1,301		23,717
Cabot Oil & Gas Corp.		700		21,819
Helmerich & Payne, Inc.		357		19,260
QEP Resources, Inc.		587		17,904
Nabors Industries Ltd.*		952		16,650
Diamond Offshore Drilling, Inc.		233		15,553
Newfield Exploration Co.*		435		15,086
Rowan Companies, Inc.*		414		13,633
Sunoco, Inc.		351		13,391
Tesoro Corp.*		457		12,266
WPX Energy, Inc.*		661		11,905
Alpha Natural Resources, Inc.*		739		11,240
Total Energy				4,746,704
CONSUMER DISCRETIONARY—6.1%
McDonald’s Corp.		3,379		331,479
Comcast Corp.—Class A		8,944		268,410
Walt Disney Co.		5,945		260,273
Home Depot, Inc.		5,111		257,134
Amazon.com, Inc.*		1,207		244,430
Ford Motor Co.		12,593		157,287
News Corp.—Class A		7,144		140,665
Starbucks Corp.		2,499		139,669
NIKE, Inc.—Class B		1,215		131,755
Target Corp.		2,231		130,001
Lowe’s Companies, Inc.		4,113		129,066
Time Warner, Inc.		3,211		121,215
Priceline.com, Inc.*		168		120,540
DIRECTV—Class A*		2,235		110,275
Yum! Brands, Inc.		1,533		109,119
TJX Companies, Inc.		2,509		99,632
Time Warner Cable, Inc.		1,044		85,086

	SHARES		VALUE
Viacom, Inc.—Class B		1,792	$	85,048
Coach, Inc.		957		73,957
Johnson Controls, Inc.		2,254		73,210
CBS Corp.—Class B		2,154		73,042
Macy’s, Inc.		1,374		54,590
Bed Bath & Beyond, Inc.*		789		51,893
Carnival Corp.		1,502		48,183
Omnicom Group, Inc.		899		45,534
McGraw-Hill Companies, Inc.		922		44,690
Ross Stores, Inc.		760		44,156
Discovery Communications, Inc.—Class A*		861		43,567
Chipotle Mexican Grill, Inc.—Class A*		104		43,472
VF Corp.		293		42,772
Kohl’s Corp.		845		42,275
Limited Brands, Inc.		812		38,976
O’Reilly Automotive, Inc.*		422		38,550
Mattel, Inc.		1,131		38,069
Harley-Davidson, Inc.		760		37,301
Staples, Inc.		2,299		37,198
Dollar Tree, Inc.*		392		37,040
Ralph Lauren Corp.—Class A		212		36,958
Starwood Hotels & Resorts Worldwide, Inc.		653		36,836
Wynn Resorts Ltd.		271		33,842
Marriott International, Inc.—Class A		889		33,649
AutoZone, Inc.*		89		33,090
Genuine Parts Co.		515		32,316
BorgWarner, Inc.*		366		30,868
Nordstrom, Inc.		525		29,253
Tiffany & Co.		416		28,758
The Gap, Inc.		1,099		28,728
CarMax, Inc.*		748		25,918
Family Dollar Stores, Inc.		389		24,616
Best Buy Company, Inc.		948		22,449
Wyndham Worldwide Corp.		480		22,325
Darden Restaurants, Inc.		427		21,845
Netflix, Inc.*		188		21,628
Whirlpool Corp.		252		19,369
Newell Rubbermaid, Inc.		960		17,098
JC Penney Company, Inc.		480		17,006
Interpublic Group of Companies, Inc.		1,478		16,864
International Game Technology		992		16,656
H&R Block, Inc.		971		15,992
Scripps Networks Interactive, Inc.—Class A		321		15,629
Lennar Corp.—Class A		536		14,568
Apollo Group, Inc.—Class A*		371		14,335
Abercrombie & Fitch Co.—Class A		285		14,139
Hasbro, Inc.		383		14,064
DR Horton, Inc.		927		14,063
Gannett Company, Inc.		789		12,095
TripAdvisor, Inc.*		317		11,307
Harman International Industries, Inc.		233		10,907
Urban Outfitters, Inc.*		372		10,829
Leggett & Platt, Inc.		469		10,792
Expedia, Inc.		317		10,600
Cablevision Systems Corp.—Class A		721		10,584

14  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
NOVA FUND

	SHARES		VALUE
GameStop Corp. — Class A		462	$	10,090
PulteGroup, Inc.*		1,119		9,903
Big Lots, Inc.*		221		9,507
Goodyear Tire & Rubber Co.*		807		9,055
Sears Holdings Corp.*		131		8,679
DeVry, Inc.		202		6,842
AutoNation, Inc.*		152		5,215
Washington Post Co. — Class B		13		4,856
Total Consumer Discretionary				4,623,682
CONSUMER STAPLES—6.0%
Procter & Gamble Co.		9,127		613,425
Coca-Cola Co.		7,500		555,074
Philip Morris International, Inc.		5,705		505,520
Wal-Mart Stores, Inc.		5,778		353,614
PepsiCo, Inc.		5,209		345,617
Kraft Foods, Inc. — Class A		5,857		222,624
Altria Group, Inc.		6,782		209,360
CVS Caremark Corp.		4,320		193,536
Colgate-Palmolive Co.		1,586		155,078
Costco Wholesale Corp.		1,445		131,206
Kimberly-Clark Corp.		1,312		96,944
Walgreen Co.		2,894		96,920
General Mills, Inc.		2,137		84,305
Archer-Daniels-Midland Co.		2,186		69,209
Sysco Corp.		1,939		57,899
Lorillard, Inc.		441		57,101
HJ Heinz Co.		1,061		56,817
Mead Johnson Nutrition Co. — Class A		678		55,921
Kroger Co.		1,906		46,182
Estee Lauder Companies, Inc. — Class A		743		46,022
Reynolds American, Inc.		1,109		45,957
Whole Foods Market, Inc.		541		45,011
Kellogg Co.		814		43,655
Sara Lee Corp.		1,956		42,113
ConAgra Foods, Inc.		1,369		35,950
Hershey Co.		510		31,278
Beam, Inc.		530		31,042
JM Smucker Co.		373		30,347
Clorox Co.		433		29,769
Coca-Cola Enterprises, Inc.		999		28,571
Dr Pepper Snapple Group, Inc.		709		28,509
Brown-Forman Corp. — Class B		336		28,019
Avon Products, Inc.		1,428		27,646
McCormick & Company, Inc.		443		24,112
Molson Coors Brewing Co. — Class B		518		23,440
Campbell Soup Co.		589		19,938
Tyson Foods, Inc. — Class A		967		18,518
Safeway, Inc.		893		18,048
Constellation Brands, Inc. — Class A*		578		13,635
Hormel Foods Corp.		457		13,491
Dean Foods Co.*		606		7,339
SUPERVALU, Inc.		708		4,043
Total Consumer Staples				4,542,805
INDUSTRIALS—5.9%
General Electric Co.		35,058		703,615
United Parcel Service, Inc. — Class B		3,177		256,447
United Technologies Corp.		3,019		250,396

	SHARES		VALUE
Caterpillar, Inc.		2,145	$	228,486
3M Co.		2,302		205,361
Boeing Co.		2,473		183,917
Union Pacific Corp.		1,588		170,678
Honeywell International, Inc.		2,579		157,448
Emerson Electric Co.		2,430		126,797
Deere & Co.		1,329		107,516
Danaher Corp.		1,891		105,896
FedEx Corp.		1,046		96,190
Illinois Tool Works, Inc.		1,604		91,620
General Dynamics Corp.		1,185		86,955
Tyco International Ltd.		1,529		85,899
Precision Castparts Corp.		489		84,548
Lockheed Martin Corp.		887		79,706
Cummins, Inc.		637		76,465
CSX Corp.		3,488		75,062
Norfolk Southern Corp.		1,090		71,755
Raytheon Co.		1,126		59,430
PACCAR, Inc.		1,186		55,540
Eaton Corp.		1,111		55,361
Waste Management, Inc.		1,529		53,453
Fastenal Co.		975		52,748
Goodrich Corp.		420		52,685
Northrop Grumman Corp.		841		51,368
WW Grainger, Inc.		209		44,895
Stanley Black & Decker, Inc.		557		42,867
Parker Hannifin Corp.		502		42,444
Ingersoll-Rand plc		985		40,730
Dover Corp.		608		38,268
Rockwell Automation, Inc.		475		37,858
CH Robinson Worldwide, Inc.		540		35,365
Cooper Industries plc		522		33,382
Fluor Corp.		555		33,321
Expeditors International of Washington, Inc.		701		32,604
Roper Industries, Inc.		325		32,227
Republic Services, Inc. — Class A		1,046		31,966
Rockwell Collins, Inc.		492		28,320
Joy Global, Inc.		353		25,946
Textron, Inc.		922		25,659
Stericycle, Inc.*		279		23,336
L-3 Communications Holdings, Inc.		324		22,929
Pall Corp.		378		22,540
Southwest Airlines Co.		2,569		21,169
Flowserve Corp.		177		20,445
Jacobs Engineering Group, Inc.*		423		18,769
Equifax, Inc.		396		17,527
Xylem, Inc.		610		16,928
Iron Mountain, Inc.		568		16,358
Masco Corp.		1,186		15,857
Quanta Services, Inc.*		705		14,735
Cintas Corp.		367		14,357
Robert Half International, Inc.		472		14,302
Dun & Bradstreet Corp.		159		13,472
Snap-on, Inc.		195		11,889
Pitney Bowes, Inc.		664		11,673
Avery Dennison Corp.		356		10,726

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  15

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
NOVA FUND

		SHARES		VALUE
Ryder System, Inc.			173	$	9,134
RR Donnelley & Sons Co.			593		7,347
First Solar, Inc.*			198		4,960
Total Industrials					4,459,647
MATERIALS—2.0%
EI du Pont de Nemours & Co.			3,213		169,968
Dow Chemical Co.			4,119		142,682
Monsanto Co.			1,779		141,893
Freeport-McMoRan Copper & Gold, Inc.			3,323		126,407
Praxair, Inc.			997		114,297
Newmont Mining Corp.			1,643		84,237
Air Products & Chemicals, Inc.			698		64,076
Mosaic Co.			1,093		60,432
Ecolab, Inc.	��		966		59,622
PPG Industries, Inc.			589		56,426
International Paper Co.			1,564		54,896
Nucor Corp.			1,054		45,270
Cliffs Natural Resources, Inc.			574		39,755
CF Industries Holdings, Inc.			215		39,270
Alcoa, Inc.			3,769		37,765
Sherwin-Williams Co.			290		31,514
Sigma-Aldrich Corp.			405		29,589
Airgas, Inc.			286		25,445
FMC Corp.			230		24,348
Eastman Chemical Co.			457		23,622
Ball Corp.			518		22,212
Vulcan Materials Co.			427		18,246
MeadWestvaco Corp.			567		17,912
United States Steel Corp.			563		16,535
International Flavors & Fragrances, Inc.			269		15,763
Allegheny Technologies, Inc.			353		14,533
Sealed Air Corp.			731		14,116
Owens-Illinois, Inc.*			548		12,790
Bemis Company, Inc.			346		11,172
Titanium Metals Corp.			337		4,570
Total Materials					1,519,363
UTILITIES—1.9%
Southern Co.			2,876		129,219
Exelon Corp.			2,816		110,415
Dominion Resources, Inc.			1,887		96,633
Duke Energy Corp.			4,427		93,011
NextEra Energy, Inc.			1,376		84,046
FirstEnergy Corp.			1,387		63,233
American Electric Power Company, Inc.			1,605		61,921
PG&E Corp.			1,368		59,385
Consolidated Edison, Inc.			973		56,843
PPL Corp.			1,914		54,090
Progress Energy, Inc.			979		51,995
Public Service Enterprise Group, Inc.			1,680		51,425
Sempra Energy			793		47,548
Edison International			1,085		46,123
Xcel Energy, Inc.			1,612		42,670
Entergy Corp.			581		39,043
DTE Energy Co.			557		30,652

	SHARES		VALUE
ONEOK, Inc.		342	$	27,928
CenterPoint Energy, Inc.		1,415		27,904
AES Corp.*		2,130		27,839
Wisconsin Energy Corp.		765		26,913
Ameren Corp.		804		26,194
NiSource, Inc.		931		22,670
Northeast Utilities		587		21,789
CMS Energy Corp.		853		18,766
SCANA Corp.		389		17,742
Pinnacle West Capital Corp.		370		17,723
AGL Resources, Inc.		392		15,374
Pepco Holdings, Inc.		758		14,319
Integrys Energy Group, Inc.		256		13,565
TECO Energy, Inc.		717		12,583
NRG Energy, Inc.*		756		11,847
Total Utilities				1,421,408
TELECOMMUNICATION SERVICES—1.5%
AT&T, Inc.		19,652		613,733
Verizon Communications, Inc.		9,405		359,553
CenturyLink, Inc.		2,056		79,464
Crown Castle International Corp.*		830		44,271
Sprint Nextel Corp.*		9,930		28,301
Windstream Corp.		1,940		22,717
Frontier Communications Corp.		3,298		13,753
MetroPCS Communications, Inc.*		982		8,858
Total Telecommunication Services				1,170,650
Total Common Stocks (Cost $23,152,434)				42,278,202
		FACE
	AMOUNT
REPURCHASE AGREEMENTS††,1—34.7%
HSBC Group issued 03/30/12 at 0.01%due 04/02/12	$	15,030,427		15,030,427
Credit Suisse Group issued 03/30/12 at 0.01%due 04/02/122		5,953,118		5,953,118
Mizuho Financial Group, Inc.issued 03/30/12 at 0.01%due 04/02/12		4,228,800		4,228,800
Deutsche Bank issued 03/30/12 at 0.01%due 04/02/12		1,123,968		1,123,968
Total Repurchase Agreements (Cost $26,336,313)				26,336,313
Total Investments—90.3% (Cost $49,488,747)			$	68,614,515
Other Assets & Liabilities, net—9.7%				7,396,700
Total Net Assets—100.0%			$	76,011,215

16  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
NOVA FUND

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $21,731,000)		310		$53,298
	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Barclays Bank plc
April 2012 S&P 500 Index Swap,
Terminating 04/30/123
(Notional Value $17,733,108)		12,590	$	64,953
Credit Suisse Capital, LLC
April 2012 S&P 500 Index Swap,
Terminating 04/30/123
(Notional Value $9,340,165)		6,631		34,550
Morgan Stanley Capital Services, Inc.
April 2012 S&P 500 Index Swap,
Terminating 04/30/123
(Notional Value $6,837,677)		4,855		(18,145	)
Goldman Sachs International
April 2012 S&P 500 Index Swap,
Terminating 04/27/123
(Notional Value $15,961,391)		11,332		(85,487	)
(Total Notional Value $49,872,341)			$	(4,129	)

* 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 31, 2012.

³  Total Return based on S&P 500 Index +/- financing at a variable rate.

plc — Public Limited Company

REIT — Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  17

NOVA FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $23,152,434)	$	42,278,202
Repurchase agreements, at value (cost $26,336,313)		26,336,313
Total investments (cost $49,488,747)		68,614,515
Segregated cash with broker		1,974,491
Unrealized appreciation on swap agreements		99,503
Cash		844
Receivable for swap settlement		602
Receivables:
Securities sold		17,831,655
Fund shares sold		1,276,030
Dividends		69,378
Variation margin		58,900
Interest		15
Total assets		89,925,933
LIABILITIES:
Unrealized depreciation on swap agreements		103,632
Payable for:
Fund shares redeemed		13,696,574
Management fees		44,997
Transfer agent and administrative fees		14,999
Distribution and service fees		12,743
Portfolio accounting fees		5,999
Miscellaneous		35,774
Total liabilities		13,914,718
NET ASSETS	$	76,011,215
NET ASSETS CONSIST OF:
Paid in capital	$	105,969,758
Undistributed net investment income		72,406
Accumulated net realized loss on investments		(49,205,886	)
Net unrealized appreciation on investments		19,174,937
Net assets	$	76,011,215
INVESTOR CLASS:
Net assets	$	54,597,924
Capital shares outstanding		2,035,570
Net asset value per share	$	26.82
ADVISOR CLASS:
Net assets	$	11,111,510
Capital shares outstanding		447,132
Net asset value per share	$	24.85
A-CLASS:
Net assets	$	1,472,415
Capital shares outstanding		58,025
Net asset value per share	$	25.38
Maximum offering price per share
(Net asset value divided by 95.25%)	$	26.65
C-CLASS:
Net assets	$	8,829,366
Capital shares outstanding		371,477
Net asset value per share	$	23.77

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $8)	$	1,005,808
Interest		4,162
Total investment income		1,009,970
EXPENSES:
Management fees		471,144
Transfer agent and administrative fees		157,048
Distribution and service fees:
Advisor Class		60,110
A-Class		4,225
C-Class		84,782
Portfolio accounting fees		62,819
Custodian fees		16,206
Trustees’ fees*		5,790
Miscellaneous		75,440
Total expenses		937,564
Net investment income		72,406
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		3,732,393
Swap agreements		1,972,026
Futures contracts		1,233,041
Net realized gain		6,937,460
Net change in unrealized appreciation (depreciation) on:
Investments		(914,534	)
Swap agreements		(601,139	)
Futures contracts		(60,934	)
Net change in unrealized appreciation (depreciation)		(1,576,607	)
Net realized and unrealized gain		5,360,853
Net increase in net assets resulting from operations	$	5,433,259

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

18  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOVA FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	72,406		$	(49,689	)
Net realized gain on investments		6,937,460			10,031,654
Net change in unrealized appreciation (depreciation) on investments		(1,576,607	)		898,596
Net increase in net assets resulting from operations		5,433,259			10,880,561
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Investor Class		—			(56,523	)
Advisor Class		—			(8,341	)
A-Class		—			(3,832	)
C-Class		—			(10,036	)
Total distributions to shareholders		—			(78,732	)
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SALE OF SHARES
Investor Class		237,071,389			259,708,644
Advisor Class		121,207,207			20,373,380
A-Class		3,329,240			10,442,997
C-Class		5,615,480			5,762,021
DISTRIBUTIONS REINVESTED
Investor Class		—			54,308
Advisor Class		—			8,057
A-Class		—			1,475
C-Class		—			9,479
COST OF SHARES REDEEMED
Investor Class		(250,073,204	)		(279,712,330	)
Advisor Class		(118,799,399	)		(26,778,781	)
A-Class		(7,696,519	)		(7,025,575	)
C-Class		(7,800,732	)		(7,471,647	)
Net decrease from capital share transactions		(17,146,538	)		(24,627,972	)
Net decrease in net assets		(11,713,279	)		(13,826,143	)
NET ASSETS:
Beginning of year		87,724,494			101,550,637
End of year	$	76,011,215		$	87,724,494
Undistributed net investment income at end of year	$	72,406		$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		10,119,764			12,737,976
Advisor Class		5,689,047			1,079,238
A-Class		144,349			544,055
C-Class		268,080			315,490
Shares issued from reinvestment of distributions
Investor Class		—			2,493
Advisor Class		—			397
A-Class		—			71
C-Class		—			485
Shares redeemed
Investor Class		(10,732,141	)		(13,903,126	)
Advisor Class		(5,518,034	)		(1,422,686	)
A-Class		(336,896	)		(390,827	)
C-Class		(371,985	)		(422,098	)
Net decrease in shares		(737,816	)		(1,458,532	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  19

NOVA FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	24.59		$	20.28		$	11.40		$	26.13		$	30.92
Income (loss) from investment operations:
Net investment incomea		.08			.02			.06			.19			.40
Net gain (loss) on investments (realized and unrealized)		2.15			4.31			8.97			(14.83	)		(4.51	)
Total from investment operations		2.23			4.33			9.03			(14.64	)		(4.11	)
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)
Net asset value, end of period	$	26.82		$	24.59		$	20.28		$	11.40		$	26.13
Total Returnb		9.07	%		21.38	%		79.36	%		(56.06	%)		(13.71	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54,598		$	65,102		$	77,268		$	32,603		$	74,674
Ratios to average net assets:
Net investment income		0.36	%		0.11	%		0.33	%		0.93	%		1.26	%
Total expenses		1.26	%		1.29	%		1.28	%		1.29	%		1.27	%
Portfolio turnover rate		116	%		53	%		68	%		143	%		115	%

Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	22.88		$	18.97		$	10.73		$	24.72		$	29.44
Income (loss) from investment operations:
Net investment income (loss)a		(.04	)		(.07	)		(.01	)		.08			.23
Net gain (loss) on investments (realized and unrealized)		2.01			4.00			8.40			(13.98	)		(4.27	)
Total from investment operations		1.97			3.93			8.39			(13.90	)		(4.04	)
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)
Net asset value, end of period	$	24.85		$	22.88		$	18.97		$	10.73		$	24.72
Total Returnb		8.57	%		20.75	%		78.35	%		(56.26	%)		(14.16	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,112		$	6,318		$	11,746		$	10,853		$	19,218
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		(0.37	%)		(0.03	%)		0.45	%		0.78	%
Total expenses		1.75	%		1.79	%		1.78	%		1.79	%		1.77	%
Portfolio turnover rate		116	%		53	%		68	%		143	%		115	%

20  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOVA FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	23.32		$	19.28		$	10.88		$	24.99		$	29.67
Income (loss) from investment operations:
Net investment income (loss)a		.01			(.02	)		.03			.13			.29
Net gain (loss) on investments (realized and unrealized)		2.05			4.08			8.52			(14.15	)		(4.29	)
Total from investment operations		2.06			4.06			8.55			(14.02	)		(4.00	)
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)
Net asset value, end of period	$	25.38		$	23.32		$	19.28		$	10.88		$	24.99
Total Returnb		8.79	%		21.09	%		78.74	%		(56.13	%)		(13.92	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,472		$	5,843		$	1,876		$	3,612		$	11,791
Ratios to average net assets:
Net investment income (loss)		0.06	%		(0.11	%)		0.18	%		0.70	%		0.97	%
Total expenses		1.51	%		1.54	%		1.54	%		1.54	%		1.52	%
Portfolio turnover rate		116	%		53	%		68	%		143	%		115	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	22.01		$	18.33		$	10.42		$	24.14		$	28.91
Income (loss) from investment operations:
Net investment income (loss)a		(.13	)		(.16	)		(.09	)		(.01	)		.07
Net gain (loss) on investments (realized and unrealized)		1.89			3.86			8.15			(13.62	)		(4.16	)
Total from investment operations		1.76			3.70			8.06			(13.63	)		(4.09	)
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)
Net asset value, end of period	$	23.77		$	22.01		$	18.33		$	10.42		$	24.14
Total Returnb		8.00	%		20.22	%		77.51	%		(56.49	%)		(14.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,829		$	10,461		$	10,661		$	9,314		$	29,715
Ratios to average net assets:
Net investment income (loss)		(0.62	%)		(0.85	%)		(0.61	%)		(0.05	%)		0.24	%
Total expenses		2.26	%		2.29	%		2.28	%		2.29	%		2.27	%
Portfolio turnover rate		116	%		53	%		68	%		143	%		115	%

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

^b Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P 500 FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500^® Index (the “underlying index”).

The broad-market S&P 500 Index returned 8.54% for the one-year period ended March 31, 2012, while the S&P 500 Fund H-Class returned 6.86% 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 index were Information Technology, Health Care, Consumer Discretionary and Consumer Staples. Energy, Financials and Materials detracted from performance of the index for the year.

Apple, Inc., International Business Machines Corp. and Microsoft Corp. were among the stocks which provided the most performance to the index during the year. Schlumberger Ltd., Hewlett-Packard Co. and Bank of America Corp. detracted from performance of the 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.

*Standard & Poor’s 500 Index (S&P 500^®)—a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

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.	3.7	%
Exxon Mobil Corp.	2.7	%
International Business Machines Corp.	1.6	%
Microsoft Corp.	1.6	%
General Electric Co.	1.4	%
Chevron Corp.	1.4	%
AT&T, Inc.	1.2	%
Procter & Gamble Co.	1.2	%
Johnson & Johnson	1.2	%
Wells Fargo & Co.	1.2	%
Top Ten Total	17.2	%

“Ten Largest Holdings” exclude any temporary

cash or derivative investments.

22  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (05/31/06)
A-Class Shares		6.78	%		0.88	%		2.62	%
A-Class Shares with sales charge‡		1.69	%		-0.10	%		1.77	%
C-Class Shares		5.90	%		0.07	%		1.81	%
C-Class Shares with CDSC†		4.90	%		0.07	%		1.81	%
H-Class Shares		6.86	%		0.89	%		2.62	%
S&P 500 Index		8.54	%		2.01	%		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 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 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 SERIES FUNDS ANNUAL REPORT  |  23

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P 500 FUND

	SHARES		VALUE
COMMON STOCKS† - 83.2%
INFORMATION TECHNOLOGY - 17.0%
Apple, Inc.*		16,116	$	9,661,058
International Business Machines Corp.		20,032		4,179,677
Microsoft Corp.		129,106		4,163,669
Google, Inc. — Class A*		4,383		2,810,555
Intel Corp.		86,374		2,427,974
QUALCOMM, Inc.		29,244		1,989,176
Oracle Corp.		67,773		1,976,261
Cisco Systems, Inc.		93,121		1,969,509
EMC Corp.*		35,495		1,060,591
Visa, Inc. — Class A		8,600		1,014,801
Hewlett-Packard Co.		34,168		814,223
Mastercard, Inc. — Class A		1,835		771,691
eBay, Inc.*		19,802		730,496
Accenture plc — Class A		11,187		721,561
Texas Instruments, Inc.		19,795		665,311
Automatic Data Processing, Inc.		8,479		467,956
Dell, Inc.*		26,396		438,174
Cognizant Technology Solutions Corp. — Class A*		5,243		403,449
Corning, Inc.		26,311		370,459
Salesforce.com, Inc.*		2,351		363,253
Broadcom Corp. — Class A*		8,480		333,264
Yahoo!, Inc.*		20,984		319,376
Intuit, Inc.		5,099		306,603
Adobe Systems, Inc.*		8,534		292,802
NetApp, Inc.*		6,277		281,021
Applied Materials, Inc.		22,322		277,685
TE Connectivity Ltd.		7,368		270,774
Motorola Solutions, Inc.		5,092		258,826
Citrix Systems, Inc.*		3,208		253,143
Symantec Corp.*		12,611		235,826
Altera Corp.		5,573		221,917
Juniper Networks, Inc.*		9,102		208,254
SanDisk Corp.*		4,195		208,030
Analog Devices, Inc.		5,146		207,898
Red Hat, Inc.*		3,335		199,733
Teradata Corp.*		2,896		197,362
Western Union Co.		10,721		188,690
Xerox Corp.		23,027		186,058
F5 Networks, Inc.*		1,369		184,760
Motorola Mobility Holdings, Inc.*		4,557		178,817
CA, Inc.		6,297		173,545
Paychex, Inc.		5,578		172,862
Amphenol Corp. — Class A		2,824		168,790
Western Digital Corp.*		4,042		167,298
Fiserv, Inc.*		2,396		166,258
Autodesk, Inc.*		3,906		165,302
Xilinx, Inc.		4,527		164,919
NVIDIA Corp.*		10,555		162,441
KLA-Tencor Corp.		2,887		157,111
Micron Technology, Inc.*		17,074		138,299
Fidelity National Information Services, Inc.		4,054		134,268
Linear Technology Corp.		3,962		133,519
Microchip Technology, Inc.		3,322		123,578

	SHARES		VALUE
BMC Software, Inc.*		2,839	$	114,014
Akamai Technologies, Inc.*		3,074		112,816
VeriSign, Inc.		2,762		105,895
Electronic Arts, Inc.*		5,730		94,430
Harris Corp.		1,969		88,763
LSI Corp.*		9,799		85,055
Advanced Micro Devices, Inc.*		10,141		81,331
Computer Sciences Corp.		2,681		80,269
Jabil Circuit, Inc.		3,187		80,057
FLIR Systems, Inc.		2,663		67,401
Molex, Inc.		2,371		66,673
Total System Services, Inc.		2,776		64,042
SAIC, Inc.*		4,779		63,083
Novellus Systems, Inc.*		1,220		60,890
JDS Uniphase Corp.*		3,971		57,540
Teradyne, Inc.*		3,222		54,420
Lexmark International, Inc. — Class A		1,225		40,719
Total Information Technology				45,156,271
FINANCIALS—12.4%
Wells Fargo & Co.		91,164		3,112,339
JPMorgan Chase & Co.		65,999		3,034,635
Berkshire Hathaway, Inc. — Class B*		30,398		2,466,797
Citigroup, Inc.		50,638		1,850,819
Bank of America Corp.		185,547		1,775,685
Goldman Sachs Group, Inc.		8,557		1,064,234
U.S. Bancorp		33,037		1,046,612
American Express Co.		17,549		1,015,385
Simon Property Group, Inc.		5,300		772,104
MetLife, Inc.		18,336		684,850
PNC Financial Services Group, Inc.		9,125		588,470
Capital One Financial Corp.		9,571		533,488
Morgan Stanley		26,336		517,239
Prudential Financial, Inc.		8,125		515,044
Bank of New York Mellon Corp.		20,829		502,603
American Tower Corp. — Class A		6,804		428,788
ACE Ltd.		5,825		426,390
Travelers Companies, Inc.		6,796		402,323
State Street Corp.		8,434		383,746
BB&T Corp.		12,059		378,532
Aflac, Inc.		8,075		371,369
BlackRock, Inc. — Class A		1,736		355,706
Public Storage		2,460		339,898
CME Group, Inc. — Class A		1,149		332,440
Equity Residential		5,190		324,998
Chubb Corp.		4,687		323,919
Marsh & McLennan Companies, Inc.		9,398		308,160
Franklin Resources, Inc.		2,464		305,610
Discover Financial Services		9,163		305,494
American International Group, Inc.*		9,298		286,656
T. Rowe Price Group, Inc.		4,385		286,341
ProLogis, Inc.		7,935		285,819
Ventas, Inc.		4,999		285,443
Allstate Corp.		8,615		283,606
HCP, Inc.		7,080		279,377
Aon plc		5,627		276,061
Vornado Realty Trust		3,201		269,524
Boston Properties, Inc.		2,564		269,194

24  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
S&P 500 FUND

	SHARES		VALUE
Charles Schwab Corp.		18,682	$	268,460
Progressive Corp.		10,572		245,059
AvalonBay Communities, Inc.		1,646		232,662
Fifth Third Bancorp		15,908		223,507
SunTrust Banks, Inc.		9,204		222,461
Ameriprise Financial, Inc.		3,836		219,151
Loews Corp.		5,280		210,514
Invesco Ltd.		7,713		205,706
Weyerhaeuser Co.		9,278		203,374
Host Hotels & Resorts, Inc.		12,238		200,948
Health Care REIT, Inc.		3,635		199,780
Northern Trust Corp.		4,166		197,677
M&T Bank Corp.		2,187		190,007
IntercontinentalExchange, Inc.*		1,255		172,462
Hartford Financial Services Group, Inc.		7,611		160,440
Principal Financial Group, Inc.		5,212		153,806
Regions Financial Corp.		21,786		143,570
Moody’s Corp.		3,395		142,930
KeyCorp		16,478		140,063
SLM Corp.		8,811		138,861
Kimco Realty Corp.		7,040		135,590
NYSE Euronext		4,466		134,025
Lincoln National Corp.		5,037		132,775
Unum Group		5,024		122,988
XL Group plc — Class A		5,457		118,362
Plum Creek Timber Company, Inc.		2,793		116,077
CBRE Group, Inc. — Class A*		5,670		113,173
Comerica, Inc.		3,417		110,574
Cincinnati Financial Corp.		2,809		96,939
Huntington Bancshares, Inc.		14,945		96,395
Leucadia National Corp.		3,423		89,340
Torchmark Corp.		1,732		86,340
People’s United Financial, Inc.		6,210		82,221
Genworth Financial, Inc. — Class A*		8,499		70,712
Zions Bancorporation		3,189		68,436
Hudson City Bancorp, Inc.		9,120		66,667
Assurant, Inc.		1,513		61,277
Legg Mason, Inc.		2,146		59,938
NASDAQ OMX Group, Inc.*		2,158		55,892
Apartment Investment & Management Co. —
Class A		2,098		55,408
E*Trade Financial Corp.*		4,389		48,060
First Horizon National Corp.		4,433		46,015
Federated Investors, Inc. — Class B		1,594		35,722
Total Financials				32,864,062
HEALTH CARE—9.5%
Johnson & Johnson		47,456		3,130,198
Pfizer, Inc.		130,331		2,953,300
Merck & Company, Inc.		52,628		2,020,915
Abbott Laboratories		27,184		1,666,107
UnitedHealth Group, Inc.		18,066		1,064,810
Bristol-Myers Squibb Co.		29,185		984,994
Amgen, Inc.		13,686		930,511
Eli Lilly & Co.		17,655		710,967
Medtronic, Inc.		17,990		705,028
Gilead Sciences, Inc.*		13,092		639,544
Celgene Corp.*		7,586		588,067

	SHARES		VALUE
Baxter International, Inc.		9,688	$	579,149
Biogen Idec, Inc.*		4,127		519,878
Allergan, Inc.		5,261		502,057
Medco Health Solutions, Inc.*		6,715		472,064
Covidien plc		8,354		456,797
Express Scripts Holding Co.		8,381		454,083
WellPoint, Inc.		5,787		427,081
McKesson Corp.		4,260		373,900
Intuitive Surgical, Inc.*		679		367,848
Thermo Fisher Scientific, Inc.		6,325		356,604
Stryker Corp.		5,599		310,633
Aetna, Inc.		6,058		303,869
Becton Dickinson and Co.		3,632		282,025
Agilent Technologies, Inc.		6,012		267,594
Humana, Inc.		2,835		262,181
Cardinal Health, Inc.		5,975		257,582
St. Jude Medical, Inc.		5,540		245,477
Cigna Corp.		4,950		243,788
Zimmer Holdings, Inc.		3,080		197,982
Cerner Corp.*		2,523		192,152
AmerisourceBergen Corp.		4,454		176,735
Mylan, Inc.*		7,378		173,014
Quest Diagnostics, Inc.		2,740		167,551
Perrigo Co.		1,613		166,639
Forest Laboratories, Inc.*		4,591		159,262
Laboratory Corporation of America Holdings*		1,680		153,787
Life Technologies Corp.*		3,082		150,463
Boston Scientific Corp.*		25,092		150,050
Watson Pharmaceuticals, Inc.*		2,197		147,331
DaVita, Inc.*		1,617		145,805
Edwards Lifesciences Corp.*		1,984		144,296
CR Bard, Inc.		1,453		143,440
Waters Corp.*		1,540		142,696
Varian Medical Systems, Inc.*		1,953		134,679
Hospira, Inc.*		2,848		106,487
CareFusion Corp.*		3,883		100,686
DENTSPLY International, Inc.		2,458		98,640
Coventry Health Care, Inc.		2,441		86,826
PerkinElmer, Inc.		1,962		54,269
Patterson Companies, Inc.		1,514		50,568
Tenet Healthcare Corp.*		7,088		37,637
Total Health Care				25,158,046
ENERGY—9.4%
Exxon Mobil Corp.		81,485		7,067,193
Chevron Corp.		34,179		3,665,356
ConocoPhillips		22,124		1,681,645
Schlumberger Ltd.		23,059		1,612,516
Occidental Petroleum Corp.		14,026		1,335,696
Anadarko Petroleum Corp.		8,620		675,291
Apache Corp.		6,645		667,424
National Oilwell Varco, Inc.		7,334		582,833
Halliburton Co.		15,956		529,580
EOG Resources, Inc.		4,650		516,615
Devon Energy Corp.		6,987		496,915
El Paso Corp.		13,358		394,729
Marathon Oil Corp.		12,175		385,948
Spectra Energy Corp.		11,255		355,095

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  25

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
S&P 500 FUND

	SHARES		VALUE
Baker Hughes, Inc.		7,566	$	317,318
Williams Companies, Inc.		10,238		315,433
Hess Corp.		5,228		308,191
Noble Energy, Inc.		3,060		299,207
Chesapeake Energy Corp.		11,458		265,482
Marathon Petroleum Corp.		6,010		260,594
Valero Energy Corp.		9,596		247,288
Pioneer Natural Resources Co.		2,133		238,021
Cameron International Corp.*		4,258		224,950
FMC Technologies, Inc.*		4,136		208,537
Murphy Oil Corp.		3,355		188,786
Southwestern Energy Co.*		6,037		184,732
Noble Corp.*		4,364		163,519
Range Resources Corp.		2,729		158,664
Peabody Energy Corp.		4,711		136,431
Consol Energy, Inc.		3,929		133,979
Equities Corp.		2,588		124,767
Denbury Resources, Inc.*		6,747		122,998
Cabot Oil & Gas Corp.		3,633		113,241
Helmerich & Payne, Inc.		1,856		100,131
QEP Resources, Inc.		3,065		93,483
Nabors Industries Ltd.*		4,993		87,328
Diamond Offshore Drilling, Inc.		1,202		80,234
Newfield Exploration Co.*		2,288		79,348
Sunoco, Inc.		1,847		70,463
Rowan Companies, Inc.*		2,137		70,371
Tesoro Corp.*		2,403		64,497
WPX Energy, Inc.*		3,432		61,810
Alpha Natural Resources, Inc.*		3,807		57,904
Total Energy				24,744,543
CONSUMER DISCRETIONARY—9.1%
McDonald’s Corp.		17,610		1,727,541
Comcast Corp. — Class A		46,619		1,399,037
Walt Disney Co.		30,991		1,356,785
Home Depot, Inc.		26,649		1,340,711
Amazon.com, Inc.*		6,293		1,274,395
Ford Motor Co.		65,713		820,755
News Corp. — Class A		37,213		732,724
Starbucks Corp.		13,025		727,967
NIKE, Inc. — Class B		6,347		688,269
Target Corp.		11,611		676,573
Lowe’s Companies, Inc.		21,455		673,258
Time Warner, Inc.		16,764		632,841
Priceline.com, Inc.*		861		617,768
DIRECTV — Class A*		11,692		576,883
Yum! Brands, Inc.		7,962		566,735
TJX Companies, Inc.		13,041		517,859
Viacom, Inc. — Class B		9,339		443,229
Time Warner Cable, Inc.		5,430		442,545
Coach, Inc.		4,975		384,467
Johnson Controls, Inc.		11,770		382,289
CBS Corp. — Class B		11,222		380,538
Macy’s, Inc.		7,161		284,507
Bed Bath & Beyond, Inc.*		4,093		269,197
Carnival Corp.		7,833		251,282
Omnicom Group, Inc.		4,716		238,866

	SHARES		VALUE
McGraw-Hill Companies, Inc.		4,806	$	232,947
Ross Stores, Inc.		3,953		229,669
Chipotle Mexican Grill, Inc. — Class A*		544		227,392
Discovery Communications, Inc. — Class A*		4,469		226,131
VF Corp.		1,516		221,306
Kohl’s Corp.		4,379		219,081
Limited Brands, Inc.		4,256		204,288
O’Reilly Automotive, Inc.*		2,201		201,061
Mattel, Inc.		5,858		197,181
Ralph Lauren Corp. — Class A		1,114		194,204
Dollar Tree, Inc.*		2,055		194,177
Staples, Inc.		12,000		194,160
Harley-Davidson, Inc.		3,951		193,915
Starwood Hotels & Resorts Worldwide, Inc.		3,392		191,343
AutoZone, Inc.*		471		175,118
Marriott International, Inc. — Class A		4,618		174,791
Wynn Resorts Ltd.		1,371		171,210
Genuine Parts Co.		2,697		169,237
BorgWarner, Inc.*		1,887		159,150
Nordstrom, Inc.		2,764		154,010
Tiffany & Co.		2,193		151,602
The Gap, Inc.		5,741		150,070
CarMax, Inc.*		3,921		135,863
Family Dollar Stores, Inc.		2,036		128,838
Wyndham Worldwide Corp.		2,523		117,345
Best Buy Company, Inc.		4,906		116,174
Darden Restaurants, Inc.		2,221		113,626
Netflix, Inc.*		955		109,863
Whirlpool Corp.		1,321		101,532
Newell Rubbermaid, Inc.		4,986		88,801
JC Penney Company, Inc.		2,498		88,504
Interpublic Group of Companies, Inc.		7,713		88,005
International Game Technology		5,140		86,301
H&R Block, Inc.		5,067		83,453
Scripps Networks Interactive, Inc. — Class A		1,651		80,387
Lennar Corp. — Class A		2,811		76,403
Apollo Group, Inc. — Class A*		1,945		75,155
Hasbro, Inc.		2,002		73,513
Abercrombie & Fitch Co. — Class A		1,481		73,472
DR Horton, Inc.		4,821		73,135
Gannett Company, Inc.		4,096		62,792
TripAdvisor, Inc.*		1,638		58,427
Harman International Industries, Inc.		1,210		56,640
Urban Outfitters, Inc.*		1,918		55,833
Leggett & Platt, Inc.		2,423		55,753
Cablevision Systems Corp. — Class A		3,746		54,991
Expedia, Inc.		1,640		54,842
GameStop Corp. — Class A		2,359		51,521
PulteGroup, Inc.*		5,817		51,480
Big Lots, Inc.*		1,134		48,785
Goodyear Tire & Rubber Co.*		4,230		47,461
Sears Holdings Corp.*		662		43,858
DeVry, Inc.		1,033		34,988
Washington Post Co. — Class B		83		31,006
AutoNation, Inc.*		775		26,590
Total Consumer Discretionary				24,084,401

26  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
S&P 500 FUND

	SHARES		VALUE
CONSUMER STAPLES — 9.0%
Procter & Gamble Co.		47,621	$	3,200,607
Coca-Cola Co.		39,130		2,896,010
Philip Morris International, Inc.		29,769		2,637,832
Wal-Mart Stores, Inc.		30,199		1,848,179
PepsiCo, Inc.		27,151		1,801,469
Kraft Foods, Inc. — Class A		30,574		1,162,118
Altria Group, Inc.		35,367		1,091,779
CVS Caremark Corp.		22,516		1,008,717
Colgate-Palmolive Co.		8,291		810,694
Costco Wholesale Corp.		7,524		683,179
Walgreen Co.		15,102		505,766
Kimberly-Clark Corp.		6,804		502,748
General Mills, Inc.		11,145		439,670
Archer-Daniels-Midland Co.		11,439		362,159
Sysco Corp.		10,106		301,765
HJ Heinz Co.		5,531		296,185
Lorillard, Inc.		2,282		295,473
Mead Johnson Nutrition Co. — Class A		3,518		290,165
Estee Lauder Companies, Inc. — Class A		3,890		240,947
Kroger Co.		9,937		240,774
Reynolds American, Inc.		5,777		239,399
Whole Foods Market, Inc.		2,805		233,376
Kellogg Co.		4,261		228,517
Sara Lee Corp.		10,225		220,144
ConAgra Foods, Inc.		7,133		187,313
Hershey Co.		2,650		162,525
JM Smucker Co.		1,960		159,466
Beam, Inc.		2,706		158,490
Clorox Co.		2,244		154,275
Coca-Cola Enterprises, Inc.		5,192		148,491
Dr Pepper Snapple Group, Inc.		3,666		147,410
Avon Products, Inc.		7,456		144,348
Brown-Forman Corp. — Class B		1,717		143,180
McCormick & Company, Inc.		2,300		125,189
Molson Coors Brewing Co. — Class B		2,715		122,854
Campbell Soup Co.		3,086		104,461
Tyson Foods, Inc. — Class A		5,043		96,573
Safeway, Inc.		4,630		93,572
Hormel Foods Corp.		2,374		70,080
Constellation Brands, Inc. — Class A*		2,969		70,039
Dean Foods Co.*		3,188		38,607
SUPERVALU, Inc.		3,670		20,956
Total Consumer Staples				23,685,501
INDUSTRIALS—8.8%
General Electric Co.		182,935		3,671,505
United Parcel Service, Inc. — Class B		16,575		1,337,933
United Technologies Corp.		15,741		1,305,559
Caterpillar, Inc.		11,197		1,192,705
3M Co.		12,008		1,071,234
Boeing Co.		12,895		959,001
Union Pacific Corp.		8,300		892,084
Honeywell International, Inc.		13,405		818,375
Emerson Electric Co.		12,697		662,529
Deere & Co.		6,947		562,012
Danaher Corp.		9,891		553,896

	SHARES		VALUE
FedEx Corp.		5,437	$	499,987
Illinois Tool Works, Inc.		8,366		477,866
General Dynamics Corp.		6,173		452,975
Tyco International Ltd.		7,974		447,979
Precision Castparts Corp.		2,515		434,844
Lockheed Martin Corp.		4,612		414,434
Cummins, Inc.		3,318		398,293
CSX Corp.		18,189		391,427
Norfolk Southern Corp.		5,708		375,758
Raytheon Co.		5,876		310,135
PACCAR, Inc.		6,170		288,941
Eaton Corp.		5,792		288,615
Waste Management, Inc.		7,975		278,806
Fastenal Co.		5,109		276,397
Goodrich Corp.		2,180		273,459
Northrop Grumman Corp.		4,368		266,797
WW Grainger, Inc.		1,054		226,410
Stanley Black & Decker, Inc.		2,933		225,724
Parker Hannifin Corp.		2,606		220,337
Ingersoll-Rand plc		5,141		212,580
Dover Corp.		3,175		199,835
Rockwell Automation, Inc.		2,466		196,540
CH Robinson Worldwide, Inc.		2,824		184,944
Fluor Corp.		2,922		175,437
Cooper Industries plc		2,738		175,095
Expeditors International of Washington, Inc.		3,663		170,366
Republic Services, Inc. — Class A		5,434		166,063
Roper Industries, Inc.		1,673		165,895
Rockwell Collins, Inc.		2,570		147,929
Textron, Inc.		4,837		134,614
Joy Global, Inc.		1,828		134,358
Stericycle, Inc.*		1,465		122,533
L-3 Communications Holdings, Inc.		1,711		121,087
Pall Corp.		1,995		118,962
Southwest Airlines Co.		13,363		110,111
Flowserve Corp.		942		108,810
Jacobs Engineering Group, Inc.*		2,221		98,546
Equifax, Inc.		2,072		91,707
Xylem, Inc.		3,192		88,578
Iron Mountain, Inc.		2,958		85,190
Masco Corp.		6,178		82,600
Quanta Services, Inc.*		3,651		76,306
Cintas Corp.		1,906		74,563
Robert Half International, Inc.		2,457		74,447
Dun & Bradstreet Corp.		825		69,902
Snap-on, Inc.		1,010		61,580
Pitney Bowes, Inc.		3,452		60,687
Avery Dennison Corp.		1,842		55,499
Ryder System, Inc.		883		46,622
RR Donnelley & Sons Co.		3,086		38,236
First Solar, Inc.*		1,017		25,476
Total Industrials				23,251,115
MATERIALS—2.9%
EI du Pont de Nemours & Co.		16,121		852,801
Monsanto Co.		9,260		738,577
Dow Chemical Co.		20,492		709,843

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  27

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
S&P 500 FUND

	SHARES		VALUE
Freeport-McMoRan Copper & Gold, Inc.		16,388	$	623,399
Praxair, Inc.		5,159		591,428
Newmont Mining Corp.		8,562		438,974
Air Products & Chemicals, Inc.		3,637		333,877
Ecolab, Inc.		5,036		310,822
Mosaic Co.		5,148		284,633
International Paper Co.		7,561		265,391
PPG Industries, Inc.		2,628		251,762
Nucor Corp.		5,475		235,151
CF Industries Holdings, Inc.		1,132		206,760
Alcoa, Inc.		18,433		184,699
Cliffs Natural Resources, Inc.		2,455		170,033
Sherwin-Williams Co.		1,495		162,462
Sigma-Aldrich Corp.		2,089		152,622
FMC Corp.		1,207		127,773
Eastman Chemical Co.		2,368		122,402
Ball Corp.		2,699		115,733
Airgas, Inc.		1,190		105,874
Vulcan Materials Co.		2,235		95,502
MeadWestvaco Corp.		2,956		93,380
International Flavors & Fragrances, Inc.		1,398		81,923
Allegheny Technologies, Inc.		1,845		75,959
United States Steel Corp.		2,495		73,278
Owens-Illinois, Inc.*		2,841		66,309
Sealed Air Corp.		3,321		64,129
Bemis Company, Inc.		1,781		57,508
Titanium Metals Corp.		1,423		19,296
Total Materials				7,612,300
UTILITIES—2.8%
Southern Co.		14,985		673,275
Dominion Resources, Inc.		9,858		504,829
Duke Energy Corp.		23,100		485,330
Exelon Corp.		11,474		449,896
NextEra Energy, Inc.		7,196		439,532
FirstEnergy Corp.		7,227		329,479
American Electric Power Company, Inc.		8,357		322,413
PG&E Corp.		7,128		309,427
Consolidated Edison, Inc.		5,067		296,015
PPL Corp.		10,016		283,052
Progress Energy, Inc.		5,105		271,127
Public Service Enterprise Group, Inc.		8,746		267,715
Sempra Energy		4,163		249,613
Edison International		5,635		239,544
Xcel Energy, Inc.		8,418		222,824
Entergy Corp.		3,052		205,094
DTE Energy Co.		2,929		161,183
ONEOK, Inc.		1,794		146,498
AES Corp.*		11,126		145,417
CenterPoint Energy, Inc.		7,368		145,297
Wisconsin Energy Corp.		3,989		140,333
Ameren Corp.		4,200		136,836
NiSource, Inc.		4,883		118,901
Northeast Utilities		3,065		113,773
CMS Energy Corp.		4,452		97,944

	SHARES		VALUE
SCANA Corp.		2,010	$	91,676
Pinnacle West Capital Corp.		1,889		90,483
AGL Resources, Inc.		2,022		79,303
Pepco Holdings, Inc.		3,940		74,427
Integrys Energy Group, Inc.		1,358		71,960
TECO Energy, Inc.		3,728		65,426
NRG Energy, Inc.*		3,936		61,677
Total Utilities				7,290,299
TELECOMMUNICATION SERVICES—2.3%
AT&T, Inc.		102,503		3,201,169
Verizon Communications, Inc.		49,024		1,874,188
CenturyLink, Inc.		10,713		414,057
Crown Castle International Corp.*		4,330		230,963
Sprint Nextel Corp.*		51,826		147,704
Windstream Corp.		10,140		118,739
Frontier Communications Corp.		17,204		71,741
MetroPCS Communications, Inc.*		5,073		45,758
Total Telecommunication Services				6,104,319
Total Common Stocks (Cost $172,134,175)				219,950,857

	FACE
	AMOUNT
REPURCHASE AGREEMENTS††,1—15.1%
HSBC Group issued 03/30/12 at 0.01%due 04/02/12	$	25,865,988		25,865,988
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		7,277,379		7,277,379
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		4,859,390		4,859,390
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		1,934,247		1,934,247
Total Repurchase Agreements (Cost $39,937,004)				39,937,004
Total Investments – 98.3% (Cost $212,071,179)			$	259,887,861
Other Assets & Liabilities, net – 1.7%				4,482,512
Total Net Assets – 100.0%			$	264,370,373

			UNREALIZED
	CONTRACTS		GAIN
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $16,123,000)		230	$	47,561

28  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P 500 FUND

			UNREALIZED
	UNITS		GAIN (LOSS)
EQUITY INDEX SWAP AGREEMENTS††
Barclays Bank plc
April 2012 S&P 500 Index Swap, Terminating 04/30/123 (Notional Value $13,253,933)		9,410	$	48,547
Credit Suisse Capital, LLC
April 2012 S&P 500 Index Swap, Terminating 04/30/123 (Notional Value $10,551,586)		7,492		31,648
Morgan Stanley Capital Services, Inc.
April 2012 S&P 500 Index Swap, Terminating 04/30/123 (Notional Value $1,379,869)		980		(3,662	)
Goldman Sachs International
April 2012 S&P 500 Index Swap, Terminating 04/27/123 (Notional Value $3,078,913)		2,186		(12,654	)
(Total Notional Value $28,264,301)			$	63,879

* 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 31, 2012.

³  Total Return based on S&P 500 Index +/- financing at a variable rate.

plc—Public Limited Company

REIT— Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  29

S&P 500 FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value
(cost $172,134,175)	$	219,950,857
Repurchase agreements, at value
(cost $39,937,004)		39,937,004
Total investments
(cost $212,071,179)		259,887,861
Segregated cash with broker		2,149,967
Unrealized appreciation on swap agreements		80,195
Cash		4,497
Receivables:
Fund shares sold		2,909,337
Dividends		310,127
Variation margin		43,700
Interest		22
Total assets		265,385,706
LIABILITIES:
Unrealized depreciation on swap agreements		16,316
Payable for:
Fund shares redeemed		591,436
Management fees		158,770
Distribution and service fees		59,408
Transfer agent and administrative fees		52,923
Portfolio accounting fees		21,122
Miscellaneous		115,358
Total liabilities		1,015,333
NET ASSETS	$	264,370,373
NET ASSETS CONSIST OF:
Paid in capital	$	261,163,788
Undistributed net investment income		—
Accumulated net realized loss on investments		(44,721,537	)
Net unrealized appreciation on investments		47,928,122
Net assets	$	264,370,373
A-CLASS:
Net assets	$	13,413,164
Capital shares outstanding		475,611
Net asset value per share	$	28.20
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.61
C-CLASS:
Net assets	$	10,110,080
Capital shares outstanding		375,661
Net asset value per share	$	26.91
H-CLASS:
Net assets	$	240,847,129
Capital shares outstanding		8,540,201
Net asset value per share	$	28.20

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $12)	$	2,961,941
Interest		18,355
Total investment income		2,980,296
EXPENSES:
Management fees		1,556,830
Transfer agent and administrative fees		518,943
Distribution and service fees:
A-Class		25,992
C-Class		98,006
H-Class		468,450
Portfolio accounting fees		205,002
Custodian fees		54,570
Trustees’ fees*		15,918
Miscellaneous		242,371
Total expenses		3,186,082
Net investment loss		(205,786	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(7,011,562	)
Swap agreements		4,408,817
Futures contracts		1,895,681
Net realized loss		(707,064	)
Net change in unrealized appreciation (depreciation) on:
Investments		16,195,157
Swap agreements		(467,242	)
Futures contracts		(363,115	)
Net change in unrealized appreciation (depreciation)		15,364,800
Net realized and unrealized gain		14,657,736
Net increase in net assets resulting from operations	$	14,451,950

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

30  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March  31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(205,786	)	$	(645,887	)
Net realized gain (loss) on investments		(707,064	)		9,714,709
Net change in unrealized appreciation (depreciation) on investments		15,364,800			(463,472	)
Net increase in net assets resulting from operations		14,451,950			8,605,350
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		—			(110	)
C-Class		—			(114	)
H-Class		—			(1,766	)
Total distributions to shareholders		—			(1,990	)
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SALE OF SHARES
A-Class		102,743,762			69,882,666
C-Class		157,204,528			206,181,020
H-Class		1,762,118,692			1,555,991,786
DISTRIBUTIONS REINVESTED
A-Class		—			85
C-Class		—			102
H-Class		—			1,759
COST OF SHARES REDEEMED
A-Class		(99,361,075	)		(104,986,027	)
C-Class		(157,538,958	)		(208,236,521	)
H-Class		(1,784,659,332	)		(1,509,988,670	)
Net increase (decrease) from capital share transactions		(19,492,383	)		8,846,200
Net increase (decrease) in net assets		(5,040,433	)		17,449,560
NET ASSETS:
Beginning of year		269,410,806			251,961,246
End of year	$	264,370,373		$	269,410,806
Undistributed net investment income at end of year	$	—		$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		4,096,321			2,964,621
C-Class		6,482,033			8,931,270
H-Class		70,536,838			65,387,409
Shares issued from reinvestment of distributions
A-Class		—			3
C-Class		—			4
H-Class		—			72
Shares redeemed
A-Class		(4,010,269	)		(4,572,700	)
C-Class		(6,501,183	)		(9,045,576	)
H-Class		(71,435,348	)		(64,329,954	)
Net decrease in shares		(831,608	)		(664,851	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  31

S&P 500 FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March  31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	26.41		$	23.18		$	15.79		$	25.92		$	27.32
Income (loss) from investment operations:
Net investment income (loss)a		.01			(.06	)		.07			.12			.52
Net gain (loss) on investments (realized and unrealized)		1.78			3.29			7.43			(10.21	)		(1.78	)
Total from investment operations		1.79			3.23			7.50			(10.09	)		(1.26	)
Less distributions from:
Net investment income		—			—	c		(.11	)		(.04	)		(.14	)
Total distributions		—			—			(.11	)		(.04	)		(.14	)
Net asset value, end of period	$	28.20		$	26.41		$	23.18		$	15.79		$	25.92
Total Returnb		6.78	%		13.94	%		47.55	%		(38.95	%)		(4.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,413		$	10,288		$	46,312		$	29,409		$	2,358
Ratios to average net assets:
Net investment income (loss)		0.05	%		(0.25	%)		0.34	%		0.68	%		1.86	%
Total expenses		1.51	%		1.54	%		1.53	%		1.52	%		1.51	%
Portfolio turnover rate		196	%		202	%		58	%		168	%		396	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.41		$	22.50		$	15.44		$	25.55		$	27.15
Income (loss) from investment operations:
Net investment income (loss)a		(.20	)		(.27	)		(.08	)		(.02	)		.18
Net gain (loss) on investments (realized and unrealized)		1.70			3.18			7.25			(10.05	)		(1.64	)
Total from investment operations		1.50			2.91			7.17			(10.07	)		(1.46	)
Less distributions from:
Net investment income		—			—	c		(.11	)		(.04	)		(.14	)
Total distributions		—			—			(.11	)		(.04	)		(.14	)
Net asset value, end of period	$	26.91		$	25.41		$	22.50		$	15.44		$	25.55
Total Returnb		5.90	%		12.93	%		46.49	%		(39.43	%)		(5.45	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,110		$	10,032		$	11,456		$	7,295		$	7,836
Ratios to average net assets:
Net investment income (loss)		(0.80	%)		(1.11	%)		(0.41	%)		(0.08	%)		0.67	%
Total expenses		2.26	%		2.29	%		2.28	%		2.28	%		2.25	%
Portfolio turnover rate		196	%		202	%		58	%		168	%		396	%

32  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	26.39		$	23.17		$	15.78		$	25.90		$	27.31
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.09	)		.06			.13			.39
Net gain (loss) on investments (realized and unrealized)		1.83			3.31			7.44			(10.21	)		(1.66	)
Total from investment operations		1.81			3.22			7.50			(10.08	)		(1.27	)
Less distributions from:
Net investment income		—			—	c		(.11	)		(.04	)		(.14	)
Total distributions		—			—			(.11	)		(.04	)		(.14	)
Net asset value, end of period	$	28.20		$	26.39		$	23.17		$	15.78		$	25.90
Total Returnb		6.86	%		13.90	%		47.58	%		(38.94	%)		(4.72	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	240,847		$	249,090		$	194,193		$	139,759		$	78,963
Ratios to average net assets:
Net investment income (loss)		(0.07	%)		(0.37	%)		0.29	%		0.64	%		1.40	%
Total expenses		1.50	%		1.54	%		1.53	%		1.53	%		1.48	%
Portfolio turnover rate		196	%		202	%		58	%		168	%		396	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Less than $0.01 per share.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  33

PERFORMANCE REPORT AND FUND PROFI LE (Unaudited ) March 31, 2012

INVERSE S&P 500 STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 -13.65%, while the S&P 500 Index returned 8.54% over the same period.

Sectors contributing most to performance of the index were Information Technology, Health Care, Consumer Discretionary and Consumer Staples. Energy, Financials and Materials detracted from performance of the index for the year.

Apple, Inc., International Business Machines Corp. and Microsoft Corp. were among the stocks which provided the most performance to the index during the year. Schlumberger Ltd., Hewlett-Packard Co. and Bank of America Corp. detracted from performance of the 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 4 of this report.

*Standard & Poor’s 500 Index (S&P 500^®)—a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

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

Holdings Diversification (Market Exposure as % of Net Assets)

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.

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

34  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-13.65	%		-7.16	%		-5.86	%
Advisor Class Shares		-14.11	%		-7.66	%		-6.34	%
C-Class Shares		-14.49	%		-8.10	%		-6.81	%
C-Class Shares with CDSC†		-15.35	%		-8.10	%		-6.81	%
S&P 500 Index		8.54	%		2.01	%		4.12	%

					Since Inception (03/31/04)
A-Class Shares	-13.87	%	-7.40	%		-6.57	%
A-Class Shares with sales charge‡	-17.97	%	-8.30	%		-7.13	%
S&P 500 Index	8.54	%	2.01	%		4.96	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  35

SCHEDULE OF INVESTMENTS	March 31, 2012
INVERSE S&P 500 STRATEGY FUND

	FACE AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES†† - 55.9%
Fannie Mae1
0.08% due 04/04/12	$	15,000,000	$	14,999,985
0.19% due 05/01/12		10,000,000		9,999,760
0.15% due 09/12/12		10,000,000		9,995,470
Total Fannie Mae				34,995,215
Freddie Mac1 0.08% due 04/02/12		15,000,000		15,000,000
Federal Farm Credit Bank2 0.14% due 05/15/12		15,000,000		14,999,460
Federal Home Loan Bank2 0.06% due 05/01/12		10,000,000		9,999,760
Total Federal Agency Discount Notes (Cost $74,988,383)				74,994,435
FEDERAL AGENCY NOTES††—14.9%
Federal Home Loan Bank2 0.13% due 05/15/12		20,000,000		19,999,520
Total Federal Agency Notes (Cost $19,998,705)				19,999,520
REPURCHASE AGREEMENTS††,3—28.2%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/124		16,937,310		16,937,310
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		15,355,308		15,355,308
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		4,320,206		4,320,206
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		1,148,263		1,148,263
Total Repurchase Agreements (Cost $37,761,087)				37,761,087
Total Investments – 99.0% (Cost $132,748,175)			$	132,755,042
Other Assets & Liabilities, net – 1.0%				1,341,219
Total Net Assets – 100.0%			$	134,096,261

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS SOLD SHORT†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $7,711,000)		110	$	(59,708	)

	UNITS
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International April 2012 S&P 500 Index Swap, Terminating 04/27/125 (Notional Value $27,192,378)		19,306	$	145,439
Morgan Stanley Capital Services, Inc. April 2012 S&P 500 Index Swap, Terminating 04/30/12 5 (Notional Value $3,523,099)		2,501		9,251
Barclays Bank plc April 2012 S&P 500 Index Swap, Terminating 04/30/12 5 (Notional Value $36,256,484)		25,742		(133,350	)
Credit Suisse Capital, LLC April 2012 S&P 500 Index Swap, Terminating 04/30/12 5 (Notional Value $59,347,665)		42,136		(219,510	)
(Total Notional Value $126,319,626)			$	(198,170	)

† 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 31, 2012.

⁵  Total Return based on S&P 500 Index +/- financing at a variable rate.

plc — Public Limited Company

36  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE S&P 500 STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $94,987,088)	$	94,993,955
Repurchase agreements, at value (cost $37,761,087)		37,761,087
Total investments (cost $132,748,175)		132,755,042
Segregated cash with broker		874,491
Unrealized appreciation on swap agreements		154,690
Receivables:
Fund shares sold		1,114,985
Interest		16,378
Total assets		134,915,586
LIABILITIES:
Unrealized depreciation on swap agreements		352,860
Payable for:
Fund shares redeemed		160,398
Management fees		109,723
Transfer agent and administrative fees		30,479
Variation margin		20,900
Distribution and service fees		13,524
Portfolio accounting fees		12,191
Swap settlement		369
Miscellaneous		118,881
Total liabilities		819,325
NET ASSETS	$	134,096,261
NET ASSETS CONSIST OF:
Paid in capital	$	541,867,119
Accumulated net investment loss		(592,068	)
Accumulated net realized loss on investments		(406,927,779	)
Net unrealized depreciation on investments		(251,011	)
Net assets	$	134,096,261
INVESTOR CLASS:
Net assets	$	112,333,886
Capital shares outstanding		4,564,817
Net asset value per share	$	24.61
ADVISOR CLASS:
Net assets	$	5,977,613
Capital shares outstanding		263,174
Net asset value per share	$	22.71
A-CLASS:
Net assets	$	7,914,858
Capital shares outstanding		342,647
Net asset value per share	$	23.10
Maximum offering price per share
(Net asset value divided by 95.25%)	$	24.25
C-CLASS:
Net assets	$	7,869,904
Capital shares outstanding		360,546
Net asset value per share	$	21.83

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	219,589
Total investment income		219,589
EXPENSES:
Management fees		1,964,517
Transfer agent and administrative fees		545,699
Distribution and service fees:
Advisor Class		51,201
A-Class		27,191
C-Class		105,804
Portfolio accounting fees		213,199
Custodian fees		70,618
Trustees’ fees*		17,259
Miscellaneous		268,325
Total expenses		3,263,813
Net investment loss		(3,044,224	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(36,690,513	)
Futures contracts		(12,216,510	)
Net realized loss		(48,907,023	)
Net change in unrealized appreciation (depreciation) on:
Investments		(11,397	)
Swap agreements		812,255
Futures contracts		309,223
Net change in unrealized appreciation
(depreciation)		1,110,081
Net realized and unrealized loss		(47,796,942	)
Net decrease in net assets resulting from operations	$	(50,841,166	)

* 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 SERIES FUNDS ANNUAL REPORT  |  37

INVERSE S&P 500 STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(3,044,224	)	$	(3,367,949	)
Net realized loss on investments		(48,907,023	)		(58,643,611	)
Net change in unrealized appreciation (depreciation) on investments		1,110,081			5,102,624
Net decrease in net assets resulting from operations		(50,841,166	)		(56,908,936	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
Investor Class		740,514,113			642,700,913
Advisor Class		91,994,118			80,481,458
A-Class		78,100,721			48,429,821
C-Class		22,769,486			27,104,532
COSTOFSHARESREDEEMED
Investor Class		(702,486,924	)		(649,407,835	)
Advisor Class		(90,159,118	)		(78,781,983	)
A-Class		(72,186,098	)		(69,617,663	)
C-Class		(25,298,728	)		(27,946,527	)
Net increase (decrease) from capital share transactions		43,247,570			(27,037,284	)
Net decrease in net assets		(7,593,596	)		(83,946,220	)
NETASSETS:
Beginning of year		141,689,857			225,636,077
End of year	$	134,096,261		$	141,689,857
Accumulated net investment loss at end of year	$	(592,068	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		24,859,345			18,633,323
Advisor Class		3,384,090			2,527,217
A-Class		2,790,019			1,480,123
C-Class		886,566			886,722
Shares redeemed
Investor Class		(24,449,326	)		(19,464,630	)
Advisor Class		(3,364,284	)		(2,583,534	)
A-Class		(2,634,880	)		(2,173,401	)
C-Class		(988,825	)		(939,419	)
Net increase (decrease) in shares		482,705			(1,633,599	)

38  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE S&P 500 STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

		000000000			000000000			000000000			000000000			000000000
Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	28.50		$	34.38		$	54.23		$	40.00		$	37.85
Income (loss) from investment operations:
Net investment income (loss)a		(.38	)		(.41	)		(.47	)		.12			.93
Net gain (loss) on investments (realized and unrealized)		(3.51	)		(5.47	)		(19.32	)		14.94			2.74
Total from investment operations		(3.89	)		(5.88	)		(19.79	)		15.06			3.67
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)
Net asset value, end of period	$	24.61		$	28.50		$	34.38		$	54.23		$	40.00
Total Returnb		(13.65	%)		(17.10	%)		(36.51	%)		37.66	%		10.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	112,334		$	118,410		$	171,423		$	217,740		$	223,044
Ratios to average net assets:
Net investment income (loss)		(1.31	%)		(1.22	%)		(1.16	%)		0.25	%		3.08	%
Total expenses		1.41	%		1.44	%		1.43	%		1.43	%		1.41	%
Portfolio turnover rate		—			—			—			—			—

		00000000			00000000			00000000			00000000			00000000
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	26.44		$	32.06		$	50.83		$	37.72		$	36.00
Income (loss) from investment operations:
Net investment income (loss)a		(.48	)		(.54	)		(.63	)		(.13	)		.73
Net gain (loss) on investments (realized and unrealized)		(3.25	)		(5.08	)		(18.08	)		14.07			2.51
Total from investment operations		(3.73	)		(5.62	)		(18.71	)		13.94			3.24
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)
Net asset value, end of period	$	22.71		$	26.44		$	32.06		$	50.83		$	37.72
Total Returnb		(14.11	%)		(17.53	%)		(36.82	%)		36.96	%		9.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,978		$	6,434		$	9,607		$	15,305		$	11,131
Ratios to average net assets:
Net investment income (loss)		(1.81	%)		(1.72	%)		(1.63	%)		(0.30	%)		2.64	%
Total expenses		1.91	%		1.93	%		1.93	%		1.93	%		1.92	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  39

INVERSE S&P 500 STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	26.82		$	32.43		$	51.30		$	37.97		$	36.10
Income (loss) from investment operations:
Net investment income (loss)a		(.42	)		(.48	)		(.53	)		—	c		.81
Net gain (loss) on investments (realized and unrealized)		(3.30	)		(5.13	)		(18.28	)		14.16			2.58
Total from investment operations		(3.72	)		(5.61	)		(18.81	)		14.16			3.39
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)
Net asset value, end of period	$	23.10		$	26.82		$	32.43		$	51.30		$	37.97
Total Returnb		(13.87	%)		(17.30	%)		(36.68	%)		37.30	%		9.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,915		$	5,029		$	28,565		$	18,381		$	9,344
Ratios to average net assets:
Net investment income (loss)		(1.56	%)		(1.47	%)		(1.42	%)		0.00	%		2.83	%
Total expenses		1.66	%		1.68	%		1.67	%		1.68	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	25.53		$	31.12		$	49.59		$	37.00		$	35.50
Income (loss) from investment operations:
Net investment income (loss)a		(.59	)		(.67	)		(.79	)		(.28	)		.58
Net gain (loss) on investments (realized and unrealized)		(3.11	)		(4.92	)		(17.62	)		13.70			2.44
Total from investment operations		(3.70	)		(5.59	)		(18.41	)		13.42			3.02
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)
Net asset value, end of period	$	21.83		$	25.53		$	31.12		$	49.59		$	37.00
Total Returnb		(14.49	%)		(17.96	%)		(37.14	%)		36.27	%		9.07	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,870		$	11,817		$	16,041		$	19,674		$	32,299
Ratios to average net assets:
Net investment income (loss)		(2.31	%)		(2.23	%)		(2.15	%)		(0.67	%)		2.14	%
Total expenses		2.42	%		2.44	%		2.43	%		2.43	%		2.41	%
Portfolio turnover rate		—			—			—			—			—

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Net investment income is less than $0.01 per share.

^d  Per share amounts for the period April 1, 2007 through April 23, 2007 have been restated to reflect a 1:5 reverse share split effective April 23, 2007.

40  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

NASDAQ-100^® FUND

OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index^® (the “underlying index”).

For the one-year period ended March 31, 2012, NASDAQ-100^® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100 Index*. The NASDAQ-100 Fund Investor Class returned 17.66%, while the NASDAQ-100 Index returned 18.99% over the same period.

Sectors contributing most to performance of the index were Information Technology and Consumer Discretionary, while Consumer Staples, Industrials and Materials contributed the least to performance of the index. Telecommunications Services was the only sector detracting from performance.

Apple, Inc., Microsoft Corp. and Intel Corp. were among the stocks which provided the most performance to the index, while First Solar, Inc., Research in Motion Ltd. and Oracle Corp. were among the stocks which provided the least performance to the index during the year.

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

*The 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.

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.	16.9	%
Microsoft Corp.	8.2	%
Google, Inc. — Class A	5.0	%
Oracle Corp.	4.4	%
Intel Corp.	4.3	%
QUALCOMM, Inc.	3.5	%
Cisco Systems, Inc.	3.5	%
Amazon.com, Inc.	2.8	%
Comcast Corp. — Class A	1.9	%
Amgen, Inc.	1.6	%
Top Ten Total	52.1	%

“Ten Largest Holdings” exclude any temporary

cash or derivative investments.

42  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12
	1 Year			5 Year			10 Year
Investor Class Shares		17.66	%		8.75	%		5.87	%
Advisor Class Shares		17.03	%		8.20	%		5.33	%
C-Class Shares		16.40	%		7.70	%		4.80	%
C-Class Shares with CDSC†		15.40	%		7.70	%		4.80	%
NASDAQ-100 Index		18.99	%		10.00	%		7.15	%

					Since Inception (03/31/04)
A-Class Shares	17.29	%	8.43	%		7.67	%
A-Class Shares with sales charge‡	11.75	%	7.38	%		7.02	%
NASDAQ-100 Index	18.99	%	10.00	%		9.11	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  43

SCHEDULE OF INVESTMENTS	March 31, 2012
NASDAQ-100® FUND

	SHARES		VALUE
COMMON STOCKS† - 91.1%
INFORMATION TECHNOLOGY - 62.5%
Apple, Inc.*		244,685	$	146,681,316
Microsoft Corp.		2,202,019		71,015,112
Google, Inc. — Class A*		67,699		43,411,308
Oracle Corp.		1,318,955		38,460,728
Intel Corp.		1,311,120		36,855,582
QUALCOMM, Inc.		443,886		30,193,126
Cisco Systems, Inc.		1,413,449		29,894,446
eBay, Inc.*		337,732		12,458,933
Baidu, Inc. ADR*		71,174		10,375,034
Dell, Inc.*		471,461		7,826,253
Automatic Data Processing, Inc.		128,739		7,105,106
Cognizant Technology Solutions Corp. — Class A*		79,618		6,126,605
Broadcom Corp. — Class A*		129,119		5,074,377
Yahoo!, Inc.*		318,529		4,848,011
Intuit, Inc.		77,394		4,653,701
Adobe Systems, Inc.*		129,593		4,446,336
Applied Materials, Inc.		338,834		4,215,095
NetApp, Inc.*		94,110		4,213,304
Citrix Systems, Inc.*		48,702		3,843,075
Activision Blizzard, Inc.		294,678		3,777,772
Symantec Corp.*		191,431		3,579,760
CA, Inc.		127,449		3,512,494
Check Point Software Technologies Ltd.*		54,483		3,478,195
Altera Corp.		84,603		3,368,891
Seagate Technology plc		117,761		3,173,659
SanDisk Corp.*		63,613		3,154,569
Paychex, Inc.		95,111		2,947,490
F5 Networks, Inc.*		20,782		2,804,739
Fiserv, Inc.*		36,370		2,523,714
Autodesk, Inc.*		59,280		2,508,730
Xilinx, Inc.		68,712		2,503,178
Avago Technologies Ltd.		63,979		2,493,262
NVIDIA Corp.*		160,258		2,466,371
Marvell Technology Group Ltd.*		153,130		2,408,735
KLA-Tencor Corp.		43,753		2,381,038
Maxim Integrated Products, Inc.		76,575		2,189,279
Micron Technology, Inc.*		259,239		2,099,836
Nuance Communications, Inc.*		80,880		2,068,910
Linear Technology Corp.		60,095		2,025,202
Research In Motion Ltd.*		136,644		2,010,033
Microchip Technology, Inc.		50,400		1,874,880
BMC Software, Inc.*		43,099		1,730,856
Akamai Technologies, Inc.*		46,661		1,712,459
VeriSign, Inc.		41,860		1,604,912
Electronic Arts, Inc.*		86,966		1,433,200
Lam Research Corp.*		31,459		1,403,701
Flextronics International Ltd.*		180,299		1,303,562
Infosys Ltd. ADR		21,251		1,211,945
Total Information Technology				541,448,820

	SHARES		VALUE
CONSUMER DISCRETIONARY - 13.8%
Amazon.com, Inc.*		119,422	$	24,184,150
Comcast Corp. — Class A		549,922		16,503,159
Starbucks Corp.		197,716		11,050,347
Priceline.com, Inc.*		13,065		9,374,138
DIRECTV — Class A*		177,475		8,756,617
News Corp. — Class A		439,719		8,658,067
Bed Bath & Beyond, Inc.*		63,311		4,163,964
Ross Stores, Inc.		60,003		3,486,174
Wynn Resorts Ltd.		26,380		3,294,334
O’Reilly Automotive, Inc.*		33,412		3,052,186
Mattel, Inc.		88,966		2,994,596
Dollar Tree, Inc.*		31,241		2,951,962
Staples, Inc.		182,156		2,947,284
Liberty Interactive Corp. — Class A*		143,261		2,734,852
Garmin Ltd.		51,074		2,397,924
Sirius XM Radio, Inc.*		985,504		2,276,514
Fossil, Inc.*		16,215		2,140,056
Sears Holdings Corp.*		27,901		1,848,441
Virgin Media, Inc.		73,223		1,829,111
Netflix, Inc.*		14,549		1,673,717
Apollo Group, Inc. — Class A*		33,043		1,276,782
Expedia, Inc.		31,719		1,060,683
Ctrip.com International Ltd. ADR*		38,745		838,442
Total Consumer Discretionary				119,493,500
HEALTH CARE—9.6%
Amgen, Inc.		207,699		14,121,455
Gilead Sciences, Inc.*		198,748		9,708,840
Celgene Corp.*		115,159		8,927,126
Teva Pharmaceutical Industries Ltd. ADR		183,451		8,266,302
Biogen Idec, Inc.*		62,650		7,892,021
Express Scripts Holding Co.		127,223		6,892,942
Intuitive Surgical, Inc.*		10,324		5,593,027
Alexion Pharmaceuticals, Inc.*		48,807		4,532,218
Cerner Corp.*		44,527		3,391,176
Mylan, Inc.*		112,045		2,627,455
Perrigo Co.		24,484		2,529,442
Life Technologies Corp.*		46,781		2,283,848
Vertex Pharmaceuticals, Inc.*		55,196		2,263,588
Henry Schein, Inc.*		23,560		1,783,021
DENTSPLY International, Inc.		37,279		1,496,006
Warner Chilcott plc — Class A*		65,434		1,099,946
Total Health Care				83,408,413
CONSUMER STAPLES—2.2%
Costco Wholesale Corp.		114,143		10,364,184
Whole Foods Market, Inc.		47,861		3,982,035
Monster Beverage Corp.*		45,750		2,840,618
Green Mountain Coffee Roasters, Inc.*		40,636		1,903,390
Total Consumer Staples				19,090,227

44  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
NASDAQ-100® FUND

	SHARES		VALUE
INDUSTRIALS - 1.9%
PACCAR, Inc.		93,661	$	4,386,145
Fastenal Co.		77,488		4,192,101
CH Robinson Worldwide, Inc.		42,869		2,807,490
Expeditors International of Washington, Inc.		55,655		2,588,514
Stericycle, Inc.*		22,248		1,860,823
First Solar, Inc.*		22,696		568,535
Total Industrials				16,403,608
TELECOMMUNICATION SERVICES—0.7%
Vodafone Group plc ADR		229,704		6,355,910
MATERIALS—0.4%
Sigma-Aldrich Corp.		31,684		2,314,833
Randgold Resources Ltd. ADR		14,628		1,286,971
Total Materials				3,601,804
Total Common Stocks
(Cost $401,998,136)				789,802,282
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1 - 8.8%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	50,122,173		50,122,173
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		14,101,840		14,101,840
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		7,930,251		7,930,251
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		3,748,113		3,748,113
Total Repurchase Agreements
(Cost $75,902,377)				75,902,377
Total Investments – 99.9%
(Cost $477,900,513)			$	865,704,659
Other Assets & Liabilities, net – 0.1%				621,622
Total Net Assets – 100.0%			$	866,326,281

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $46,817,765)		851	$	727,499
	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Credit Suisse Capital, LLC April 2012 NASDAQ-100 Index Swap, Terminating 04/30/123 (Notional Value $6,916,908)		2,510	$	(13,759	)
Morgan Stanley Capital Services, Inc. April 2012 NASDAQ-100 Index Swap, Terminating 04/30/123 (Notional Value $3,134,304)		1,138		(30,682	)
Barclays Bank plc April 2012 NASDAQ-100 Index Swap, Terminating 04/30/123 (Notional Value $14,981,476)		5,437		(37,167	)
Goldman Sachs International April 2012 NASDAQ-100 Index Swap, Terminating 04/27/123 (Notional Value $6,099,101)		2,214		(50,536	)
(Total Notional Value $31,131,789)			$	(132,144	)

^*  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 31, 2012.

³  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 SERIES FUNDS ANNUAL REPORT  |  45

NASDAQ-100^® FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value
(cost $401,998,136)	$	789,802,282
Repurchase agreements, at value
(cost $75,902,377)		75,902,377
Total investments
(cost $477,900,513)		865,704,659
Segregated cash with broker		2,166,803
Receivables:
Fund shares sold		1,791,704
Dividends		176,861
Interest		42
Total assets		869,840,069
LIABILITIES:
Unrealized depreciation on swap agreements		132,144
Payable for:
Fund shares redeemed		2,055,879
Management fees		525,858
Transfer agent and administrative fees		175,286
Variation margin		127,650
Portfolio accounting fees		49,619
Distribution and service fees		37,883
Miscellaneous		409,469
Total liabilities		3,513,788
NET ASSETS	$	866,326,281
NET ASSETS CONSIST OF:
Paid in capital	$	553,742,424
Accumulated net investment loss		(1,097,969	)
Accumulated net realized loss on investments		(74,717,675	)
Net unrealized appreciation on investments		388,399,501
Net assets	$	866,326,281
INVESTOR CLASS:
Net assets	$	770,626,273
Capital shares outstanding		42,999,397
Net asset value per share	$	17.92
ADVISOR CLASS:
Net assets	$	65,970,094
Capital shares outstanding		3,949,696
Net asset value per share	$	16.70
A-CLASS:
Net assets	$	14,552,729
Capital shares outstanding		854,619
Net asset value per share	$	17.03
Maximum offering price per share
(Net asset value divided by 95.25%)	$	17.88
C-CLASS:
Net assets	$	15,177,185
Capital shares outstanding		950,088
Net asset value per share	$	15.97

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $2,349)	$	6,157,304
Interest		37,577
Total investment income		6,194,881
EXPENSES:
Management fees		5,092,327
Transfer agent and administrative fees		1,697,442
Distribution and service fees:
Advisor Class		261,664
A-Class		29,131
C-Class		119,361
Portfolio accounting fees		525,026
Custodian fees		185,929
Trustees’ fees*		55,953
Miscellaneous		1,041,604
Total expenses		9,008,437
Net investment loss		(2,813,556	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		75,534,229
Swap agreements		8,087,908
Futures contracts		(7,886,916	)
Net realized gain		75,735,221
Net change in unrealized appreciation (depreciation) on:
Investments		43,286,198
Swap agreements		(902,680	)
Futures contracts		718,676
Net change in unrealized appreciation
(depreciation)		43,102,194
Net realized and unrealized gain		118,837,415
Net increase in net assets resulting from operations	$	116,023,859

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

46  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NASDAQ-100^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(2,813,556	)	$	(3,428,489	)
Net realized gain on investments		75,735,221			70,297,595
Net change in unrealized appreciation (depreciation) on investments		43,102,194			34,762,528
Net increase in net assets resulting from operations		116,023,859			101,631,634
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
Investor Class		1,153,783,841			860,487,604
Advisor Class		571,956,189			441,307,154
A-Class		97,487,517			67,791,746
C-Class		21,424,113			21,551,470
COSTOFSHARESREDEEMED
Investor Class		(1,063,699,726	)		(940,995,522	)
Advisor Class		(639,590,826	)		(348,748,232	)
A-Class		(102,605,558	)		(64,453,774	)
C-Class		(20,325,435	)		(23,664,570	)
Net increase from capital share transactions		18,430,115			13,275,876
Net increase in net assets		134,453,974			114,907,510
NETASSETS:
Beginning of year		731,872,307			616,964,797
End of year	$	866,326,281		$	731,872,307
Accumulated net investment loss at end of year	$	(1,097,969	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		75,538,259			63,709,336
Advisor Class		40,025,316			35,761,441
A-Class		6,747,249			5,034,771
C-Class		1,580,216			1,782,827
Shares redeemed
Investor Class		(70,605,176	)		(70,201,212	)
Advisor Class		(44,503,780	)		(28,810,838	)
A-Class		(7,256,942	)		(4,903,901	)
C-Class		(1,494,948	)		(1,964,626	)
Net increase in shares		30,194			407,798

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  47

NASDAQ-100^® FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	15.23		$	12.83		$	8.15		$	11.81		$	11.78
Income (loss) from investment operations:
Net investment lossa		(.05	)		(.07	)		(.07	)		(.06	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		2.74			2.47			4.75			(3.60	)		.09
Total from investment operations		2.69			2.40			4.68			(3.66	)		.03
Net asset value, end of period	$	17.92		$	15.23		$	12.83		$	8.15		$	11.81
Total Returnb		17.66	%		18.71	%		57.42	%		(30.99	%)		0.25	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	770,626		$	579,925		$	571,761		$	389,944		$	617,923
Ratios to average net assets:
Net investment loss		(0.34	%)		(0.50	%)		(0.63	%)		(0.59	%)		(0.50	%)
Total expenses		1.27	%		1.31	%		1.30	%		1.30	%		1.28	%
Portfolio turnover rate		94	%		39	%		34	%		55	%		57	%
Advisor Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	14.27		$	12.09		$	7.72		$	11.23		$	11.26
Income (loss) from investment operations:
Net investment lossa		(.13	)		(.12	)		(.12	)		(.11	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		2.56			2.30			4.49			(3.40	)		.09
Total from investment operations		2.43			2.18			4.37			(3.51	)		(.03	)
Net asset value, end of period	$	16.70		$	14.27		$	12.09		$	7.72		$	11.23
Total Returnb		17.03	%		18.03	%		56.61	%		(31.26	%)		(0.27	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	65,970		$	120,277		$	17,859		$	18,078		$	15,184
Ratios to average net assets:
Net investment loss		(0.87	%)		(1.00	%)		(1.13	%)		(1.11	%)		(0.99	%)
Total expenses		1.76	%		1.80	%		1.80	%		1.79	%		1.78	%
Portfolio turnover rate		94	%		39	%		34	%		55	%		57	%

48  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

NASDAQ-100^® FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	14.52		$	12.27		$	7.82		$	11.35		$	11.36
Income (loss) from investment operations:
Net investment lossa		(.09	)		(.11	)		(.09	)		(.08	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		2.60			2.36			4.54			(3.45	)		.08
Total from investment operations		2.51			2.25			4.45			(3.53	)		(.01	)
Net asset value, end of period	$	17.03		$	14.52		$	12.27		$	7.82		$	11.35
Total Returnb		17.29	%		18.34	%		56.91	%		(31.10	%)		(0.09	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,553		$	19,806		$	15,128		$	3,140		$	6,044
Ratios to average net assets:
Net investment loss		(0.61	%)		(0.81	%)		(0.86	%)		(0.82	%)		(0.76	%)
Total expenses		1.53	%		1.56	%		1.55	%		1.55	%		1.54	%
Portfolio turnover rate		94	%		39	%		34	%		55	%		57	%
C-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	13.72		$	11.67		$	7.49		$	10.95		$	11.02
Income (loss) from investment operations:
Net investment lossa		(.19	)		(.19	)		(.16	)		(.15	)		(.18	)
Net gain (loss) on investments (realized and unrealized)		2.44			2.24			4.34			(3.31	)		.11
Total from investment operations		2.25			2.05			4.18			(3.46	)		(.07	)
Net asset value, end of period	$	15.97		$	13.72		$	11.67		$	7.49		$	10.95
Total Returnb		16.40	%		17.57	%		(55.81	%)		(31.60	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,177		$	11,864		$	12,216		$	6,368		$	10,343
Ratios to average net assets:
Net investment loss		(1.35	%)		(1.52	%)		(1.63	%)		(1.59	%)		(1.50	%)
Total expenses		2.27	%		2.31	%		2.30	%		2.30	%		2.28	%
Portfolio turnover rate		94	%		39	%		34	%		55	%		57	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE NASDAQ-100^® STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, with the NASDAQ-100 Index up 18.99%, the Inverse NASDAQ-100^® Fund Investor Class returned -21.22% over the same time period. For the same one-year period, Inverse NASDAQ-100^® Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index*.

Sectors contributing most to performance of the index were Information Technology and Consumer Discretionary, while Consumer Staples, Industrials and Materials contributed the least to performance of the index. Telecommunications Services was the only sector detracting from performance of the index.

Apple, Inc., Microsoft Corp. and Intel Corp. were among the stocks which provided the most performance to the index, while First Solar, Inc., Research in Motion Ltd. and Oracle Corp. were among the stocks which provided the least performance to the index during the year.

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

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

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

*The 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.

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.

50  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-21.22	%		-14.54	%		-10.56	%
C-Class Shares		-22.12	%		-15.42	%		-11.48	%
C-Class Shares with CDSC†		-22.90	%		-15.42	%		-11.48	%
NASDAQ-100 Index		18.99	%		10.00	%		7.15	%
							Since Inception (08/01/03)
Advisor Class Shares		-21.26	%		-14.94	%		-12.02	%
NASDAQ-100 Index		18.99	%		10.00	%		10.03	%
								(03/31/04	)
A-Class Shares		-21.53	%		-14.78	%		-11.05	%
A-Class Shares with sales charge‡		-25.25	%		-15.61	%		-11.59	%
NASDAQ-100 Index		18.99	%		10.00	%		9.11	%

^*  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 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 SERIES FUNDS ANNUAL REPORT  |  51

SCHEDULE OF INVESTMENTS	March31,2012
INVERSE NASDAQ-100® STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS†,1 – 89.8%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	5,296,603	$	5,296,603
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		1,995,246		1,995,246
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		1,490,196		1,490,196
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		396,078		396,078
Total Repurchase Agreements
(Cost $9,178,123)				9,178,123
Total Investments – 89.8%
(Cost $9,178,123)			$	9,178,123
Other Assets & Liabilities, net – 10.2%				1,046,342
Total Net Assets – 100.0%			$	10,224,465

	UNITS		UNREALIZED GAIN
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†
Goldman Sachs International
April 2012 NASDAQ-100 Index
Swap, Terminating 04/27/123
(Notional Value $2,204,172)		800	$	18,229
Credit Suisse Capital, LLC
April 2012 NASDAQ-100 Index
Swap, Terminating 04/30/123
(Notional Value $4,759,477)		1,727		10,438
Barclays Bank plc
April 2012 NASDAQ-100 Index
Swap, Terminating 04/30/123
(Notional Value $2,525,505)		917		6,244
Morgan Stanley Capital Services, Inc.
April 2012 NASDAQ-100 Index
Swap, Terminating 04/30/123
(Notional Value $637,354)		231		6,208
(Total Notional Value $10,126,508)			$	41,119

^†  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 31, 2012.

³  Total Return based on NASDAQ-100 Index +/- financing at a variable rate.

plc — Public Limited Company

52  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $9,178,123)	$	9,178,123
Total investments (cost $9,178,123)		9,178,123
Segregated cash with broker		482,868
Unrealized appreciation on swap agreements		41,119
Cash		62
Receivables:
Fund shares sold		579,278
Total assets		10,281,450
LIABILITIES:
Payable for:
Fund shares redeemed		33,235
Management fees		8,167
Transfer agent and administrative fees		2,269
Distribution and service fees		977
Portfolio accounting fees		907
Miscellaneous		11,430
Total liabilities		56,985
NET ASSETS	$	10,224,465
NET ASSETS CONSIST OF:
Paid in capital	$	90,814,754
Accumulated net investment loss		(46,094	)
Accumulated net realized loss on investments		(80,585,314	)
Net unrealized appreciation on investments		41,119
Net assets	$	10,224,465
INVESTOR CLASS:
Net assets	$	8,791,973
Capital shares outstanding		936,239
Net asset value per share	$	9.39
ADVISOR CLASS:
Net assets	$	207,299
Capital shares outstanding		23,030
Net asset value per share	$	9.00
A-CLASS:
Net assets	$	473,584
Capital shares outstanding		51,740
Net asset value per share	$	9.15
Maximum offering price per share (Net asset value divided by 95.25%)	$	9.61
C-CLASS:
Net assets	$	751,609
Capital shares outstanding		90,387
Net asset value per share	$	8.32

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	13,268
Total investment income		13,268
EXPENSES:
Management fees		176,419
Transfer agent and administrative fees		49,005
Distribution and service fees:
Advisor Class		15,324
A-Class		2,068
C-Class		10,762
Portfolio accounting fees		19,602
Custodian fees		4,953
Trustees’ fees*		2,029
Miscellaneous		31,380
Total expenses		311,542
Net investment loss		(298,274	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(6,494,251	)
Futures contracts		(1,333,742	)
Net realized loss		(7,827,993	)
Net change in unrealized appreciation
(depreciation) on:
Investments		(3,616	)
Swap agreements		377,447
Futures contracts		173,780
Net change in unrealized appreciation (depreciation)		547,611
Net realized and unrealized loss		(7,280,382	)
Net decrease in net assets resulting from operations	$	(7,578,656	)

* 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 SERIES FUNDS ANNUAL REPORT  |  53

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(298,274	)	$	(371,197	)
Net realized loss on investments		(7,827,993	)		(7,304,342	)
Net change in unrealized appreciation (depreciation) on investments		547,611			882,515
Net decrease in net assets resulting from operations		(7,578,656	)		(6,793,024	)
CAPITALSHARETRANSACTIONS:
PROCEEDS FROM SALE OF SHARES
Investor Class		142,109,664			260,086,564
Advisor Class		114,452,287			27,365,708
A-Class		6,351,382			4,601,753
C-Class		7,348,638			9,852,417
COSTOFSHARESREDEEMED
Investor Class		(162,650,698	)		(242,454,552	)
Advisor Class		(111,429,096	)		(27,271,613	)
A-Class		(6,619,902	)		(4,482,661	)
C-Class		(8,759,826	)		(8,856,521	)
Net increase (decrease) from capital share transactions		(19,197,551	)		18,841,095
Net increase (decrease) in net assets		(26,776,207	)		12,048,071
NET ASSETS:
Beginning of year		37,000,672			24,952,601
End of year	$	10,224,465		$	37,000,672
Accumulated net investment loss at end of year	$	(46,094	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		12,219,255			18,840,855
Advisor Class		9,713,681			2,019,121
A-Class		569,930			320,094
C-Class		688,617			786,039
Shares redeemed
Investor Class		(14,048,576	)		(17,478,115	)
Advisor Class		(9,746,834	)		(2,025,955	)
A-Class		(599,296	)		(309,462	)
C-Class		(826,443	)		(694,263	)
Net increase (decrease) in shares		(2,029,666	)		1,458,314

54  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE NASDAQ-100^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.92		$	15.07		$	25.09		$	21.27		$	21.67
Income (loss) from investment operations:
Net investment income (loss)a		(.16	)		(.18	)		(.25	)		(.06	)		.59
Net gain (loss) on investments (realized and unrealized)		(2.37	)		(2.97	)		(9.77	)		4.25			(.30	)
Total from investment operations		(2.53	)		(3.15	)		(10.02	)		4.19			.29
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)
Total distributions		—			—			—			(.37	)		(.69	)
Net asset value, end of period	$	9.39		$	11.92		$	15.07		$	25.09		$	21.27
Total Returnb		(21.22	%)		(20.90	%)		(39.94	%)		19.48	%		1.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,792		$	32,978		$	21,137		$	33,672		$	59,819
Ratios to average net assets:
Net investment income (loss)		(1.38	%)		(1.30	%)		(1.35	%)		(0.26	%)		2.98	%
Total expenses		1.45	%		1.47	%		1.47	%		1.46	%		1.47	%
Portfolio turnover rate		—			—			—			—			—

Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.43		$	14.54		$	24.37		$	20.77		$	21.28
Income (loss) from investment operations:
Net investment income (loss)a		(.21	)		(.24	)		(.32	)		(.06	)		.51
Net gain (loss) on investments (realized and unrealized)		(2.22	)		(2.87	)		(9.51	)		4.03			(.33	)
Total from investment operations		(2.43	)		(3.11	)		(9.83	)		3.97			.18
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)
Total distributions		—			—			—			(.37	)		(.69	)
Net asset value, end of period	$	9.00		$	11.43		$	14.54		$	24.37		$	20.77
Total Returnb		(21.26	%)		(21.39	%)		(40.34	%)		18.88	%		1.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	207		$	642		$	916		$	476		$	3,744
Ratios to average net assets:
Net investment income (loss)		(1.91	%)		(1.80	%)		(1.84	%)		(0.29	%)		2.56	%
Total expenses		1.95	%		1.97	%		1.97	%		1.97	%		1.98	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  55

INVERSE NASDAQ-100^® STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.66		$	14.78		$	24.67		$	20.97		$	21.43
Income (loss) from investment operations:
Net investment income (loss)a		(.18	)		(.21	)		(.26	)		(.22	)		.52
Net gain (loss) on investments (realized and unrealized)		(2.33	)		(2.91	)		(9.63	)		4.29			(.29	)
Total from investment operations		(2.51	)		(3.12	)		(9.89	)		4.07			.23
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)
Total distributions		—			—			—			(.37	)		(.69	)
Net asset value, end of period	$	9.15		$	11.66		$	14.78		$	24.67		$	20.97
Total Returnb		(21.53	%)		(21.11	%)		(40.09	%)		19.18	%		1.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	474		$	946		$	1,041		$	2,301		$	1,784
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.54	%)		(1.37	%)		(0.92	%)		2.61	%
Total expenses		1.69	%		1.72	%		1.71	%		1.71	%		1.72	%
Portfolio turnover rate		—			—			—			—			—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.67		$	13.62		$	22.91		$	19.63		$	20.27
Income (loss) from investment operations:
Net investment income (loss)a		(.24	)		(.29	)		(.39	)		(.25	)		.38
Net gain (loss) on investments (realized and unrealized)		(2.11	)		(2.66	)		(8.90	)		3.90			(.33	)
Total from investment operations		(2.35	)		(2.95	)		(9.29	)		3.65			.05
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)
Total distributions		—			—			—			(.37	)		(.69	)
Net asset value, end of period	$	8.32		$	10.67		$	13.62		$	22.91		$	19.63
Total Returnb		(22.12	%)		(21.66	%)		(40.55	%)		18.35	%		0.85	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	752		$	2,435		$	1,858		$	3,066		$	7,633
Ratios to average net assets:
Net investment income (loss)		(2.37	%)		(2.29	%)		(2.33	%)		(1.19	%)		2.05	%
Total expenses		2.45	%		2.47	%		2.47	%		2.47	%		2.48	%
Portfolio turnover rate		—			—			—			—			—

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

56  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

MID-CAP 1.5x STRATEGY FUND

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

For the year ended March 31, 2012, the Mid-Cap 1.5x Strategy Fund H-Class returned -2.29%. Over the year, its benchmark, the S&P MidCap 400 Index*, had a 1.98% return. The Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index.

Sectors contributing most to performance of the index were Consumer Discretionary and Industrials. Energy was the largest detractor from return of the index for the year.

Regeneron Pharmaceuticals, Inc., Monster Beverage Corp. and Dollar Tree, Inc. were among the stocks which provided the most performance to the index during the year. Cimarex Energy Co., Green Mountain Coffee Roasters, Inc. and Arch Coal, Inc. were among the stocks which provided the least performance to the index during the year.

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

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

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

*The 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.

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)
Monster Beverage Corp.	0.7	%
Regeneron Pharmaceuticals, Inc.	0.6	%
Vertex Pharmaceuticals, Inc.	0.6	%
Kansas City Southern	0.6	%
AMETEK, Inc.	0.6	%
Macerich Co.	0.5	%
Equinix, Inc.	0.5	%
Church & Dwight Company, Inc.	0.5	%
Fossil, Inc.	0.5	%
Henry Schein, Inc.	0.5	%
Top Ten Total	5.6	%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

58  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
C-Class Shares		-3.15	%		-0.61	%		4.58	%
C-Class Shares with CDSC†		-4.12	%		-0.61	%		4.58	%
H-Class Shares		-2.29	%		0.13	%		5.37	%
S&P MidCap 400 Index		1.98	%		4.78	%		7.70	%
							Since Inception (03/31/04)
A-Class Shares		-2.45	%		0.12	%		5.58	%
A-Class Shares with sales  charge‡		-7.08	%		-0.85	%		4.94	%
S&P MidCap 400 Index		1.98	%		4.78	%		7.92	%

* 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 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 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 SERIES FUNDS ANNUAL REPORT  |  59

SCHEDULE OF INVESTMENTS	March 31, 2012
MID-CAP 1.5x STRATEGY FUND

	SHARES		VALUE
COMMON STOCKS† — 83.8%
FINANCIALS — 17.5%
Macerich Co.		2,215	$	127,916
SL Green Realty Corp.		1,450		112,448
Federal Realty Investment Trust		1,069		103,469
New York Community Bancorp, Inc.		7,363		102,420
Affiliated Managers Group, Inc.*		900		100,629
UDR, Inc.		3,750		100,162
Rayonier, Inc.		2,058		90,738
Essex Property Trust, Inc.		579		87,724
Camden Property Trust		1,324		87,053
Realty Income Corp.		2,239		86,716
Everest Re Group Ltd.		900		83,268
Alleghany Corp.*		246		80,959
Alexandria Real Estate Equities, Inc.		1,037		75,836
MSCI, Inc. — Class A*		2,040		75,092
Reinsurance Group of America, Inc. — Class A		1,230		73,148
Taubman Centers, Inc.		970		70,762
Liberty Property Trust		1,959		69,975
Arthur J Gallagher & Co.		1,930		68,978
Raymond James Financial, Inc.		1,869		68,275
WR Berkley Corp.		1,874		67,689
Regency Centers Corp.		1,509		67,120
Fidelity National Financial, Inc. — Class A		3,714		66,963
BRE Properties, Inc.		1,270		64,199
Duke Realty Corp.		4,344		62,293
Jones Lang LaSalle, Inc.		730		60,816
Senior Housing Properties Trust		2,730		60,197
Cullen/Frost Bankers, Inc.		1,028		59,819
First Niagara Financial Group, Inc.		5,907		58,125
East West Bancorp, Inc.		2,495		57,610
American Campus Communities, Inc.		1,250		55,900
Eaton Vance Corp.		1,942		55,502
Hospitality Properties Trust		2,073		54,872
HCC Insurance Holdings, Inc.		1,747		54,454
Commerce Bancshares, Inc.		1,329		53,851
Weingarten Realty Investors		2,028		53,600
Hancock Holding Co.		1,422		50,495
SEI Investments Co.		2,430		50,277
Home Properties, Inc.		812		49,540
American Financial Group, Inc.		1,282		49,460
Signature Bank*		775		48,856
National Retail Properties, Inc.		1,772		48,181
Jefferies Group, Inc.		2,520		47,477
SVB Financial Group*		728		46,840
Waddell & Reed Financial, Inc. — Class A		1,438		46,606
Brown & Brown, Inc.		1,949		46,347
Old Republic International Corp.		4,348		45,871
Mack-Cali Realty Corp.		1,470		42,365
CBOE Holdings, Inc.		1,490		42,346
City National Corp.		786		41,241
Valley National Bancorp		3,149		40,780
Associated Banc-Corp.		2,920		40,763
Highwoods Properties, Inc.		1,220		40,650
Protective Life Corp.		1,371		40,609
Bank of Hawaii Corp.		770		37,230

	SHARES		VALUE
Omega Healthcare Investors, Inc.		1,740	$	36,992
Prosperity Bancshares, Inc.		790		36,182
Fulton Financial Corp.		3,362		35,301
Aspen Insurance Holdings Ltd.		1,188		33,193
TCF Financial Corp.		2,653		31,544
Hanover Insurance Group, Inc.		755		31,046
FirstMerit Corp.		1,833		30,904
StanCorp Financial Group, Inc.		743		30,418
Washington Federal, Inc.		1,804		30,343
First American Financial Corp.		1,770		29,435
Janus Capital Group, Inc.		3,166		28,209
Corporate Office Properties Trust		1,209		28,061
Webster Financial Corp.		1,237		28,043
Synovus Financial Corp.		13,300		27,265
Trustmark Corp.		1,080		26,978
Mercury General Corp.		610		26,681
Kemper Corp.		840		25,435
Apollo Investment Corp.		3,307		23,711
Cathay General Bancorp		1,320		23,364
Westamerica Bancorporation		471		22,608
Potlatch Corp.		677		21,217
Greenhill & Company, Inc.		480		20,947
Equity One, Inc.		998		20,180
International Bancshares Corp.		890		18,824
BancorpSouth, Inc.		1,375		18,521
Astoria Financial Corp.		1,406		13,863
Total Financials				4,173,777
INDUSTRIALS—14.2%
Kansas City Southern*		1,840		131,910
AMETEK, Inc.		2,694		130,687
Donaldson Company, Inc.		2,500		89,324
KBR, Inc.		2,484		88,306
J.B. Hunt Transport Services, Inc.		1,511		82,154
BE Aerospace, Inc.*		1,748		81,230
Pentair, Inc.		1,655		78,794
Hubbell, Inc. — Class B		999		78,501
AGCO Corp.*		1,631		76,999
Timken Co.		1,410		71,542
Waste Connections, Inc.		2,068		67,272
SPX Corp.		858		66,521
MSC Industrial Direct Co., Inc. — Class A		769		64,042
Lincoln Electric Holdings, Inc.		1,406		63,720
Manpower, Inc.		1,345		63,712
Thomas & Betts Corp.*		876		62,993
Kirby Corp.*		936		61,580
Wabtec Corp.		806		60,748
Kennametal, Inc.		1,339		59,626
IDEX Corp.		1,407		59,277
Fortune Brands Home & Security, Inc.*		2,654		58,574
URS Corp.		1,336		56,807
Towers Watson & Co. — Class A		850		56,160
Gardner Denver, Inc.		850		53,567
Clean Harbors, Inc.*		790		53,191
Graco, Inc.		1,000		53,060
Nordson Corp.		956		52,112
Carlisle Companies, Inc.		1,033		51,567
Copart, Inc.*		1,792		46,717

60  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
MID-CAP 1.5x STRATEGY FUND

	SHARES		VALUE
Regal-Beloit Corp.		699	$	45,819
Corrections Corporation of America*		1,671		45,635
Triumph Group, Inc.		724		45,366
United Rentals, Inc.*		1,056		45,292
Landstar System, Inc.		784		45,252
Valmont Industries, Inc.		380		44,616
Trinity Industries, Inc.		1,346		44,351
Acuity Brands, Inc.		702		44,107
AECOM Technology Corp.*		1,970		44,069
Woodward, Inc.		1,010		43,258
Alaska Air Group, Inc.*		1,190		42,625
Terex Corp.*		1,840		41,400
CLARCOR, Inc.		840		41,236
Crane Co.		814		39,479
Exelis, Inc.		3,101		38,825
Esterline Technologies Corp.*		514		36,730
ITT Corp.		1,590		36,475
Oshkosh Corp.*		1,540		35,682
Watsco, Inc.		475		35,169
Shaw Group, Inc.*		1,094		34,691
Lennox International, Inc.		854		34,416
Alexander & Baldwin, Inc.		707		34,254
Huntington Ingalls Industries, Inc.*		818		32,916
Harsco Corp.		1,352		31,718
GATX Corp.		780		31,434
Con-way, Inc.		936		30,523
UTI Worldwide, Inc.		1,720		29,636
Alliant Techsystems, Inc.		554		27,766
FTI Consulting, Inc.*		695		26,076
General Cable Corp.*		835		24,282
Corporate Executive Board Co.		558		24,000
Rollins, Inc.		1,080		22,982
Herman Miller, Inc.		973		22,340
Mine Safety Appliances Co.		516		21,197
HNI Corp.		753		20,896
Deluxe Corp.		855		20,024
Brink’s Co.		787		18,786
Werner Enterprises, Inc.		750		18,645
JetBlue Airways Corp.*		3,450		16,871
Granite Construction, Inc.		577		16,583
Korn*		802		13,434
Total Industrials				3,369,549
INFORMATION TECHNOLOGY—14.0%
Equinix, Inc.*		783		123,283
Trimble Navigation Ltd.*		2,090		113,738
Alliance Data Systems Corp.*		842		106,058
ANSYS, Inc.*		1,560		101,430
Rackspace Hosting, Inc.*		1,750		101,133
Informatica Corp.*		1,800		95,220
VeriFone Systems, Inc.*		1,782		92,432
Lam Research Corp.*		2,012		89,775
Avnet, Inc.*		2,435		88,609
Skyworks Solutions, Inc.*		3,162		87,430
TIBCO Software, Inc.*		2,800		85,400
Arrow Electronics, Inc.*		1,875		78,694
Factset Research Systems, Inc.		757		74,973

	SHARES		VALUE
Synopsys, Inc.*		2,444	$	74,933
Atmel Corp.*		7,569		74,631
MICROS Systems, Inc.*		1,342		74,199
Riverbed Technology, Inc.*		2,640		74,131
Gartner, Inc.*		1,567		66,817
Global Payments, Inc.		1,315		62,463
Cree, Inc.*		1,940		61,362
Rovi Corp.*		1,801		58,623
NCR Corp.*		2,655		57,641
Polycom, Inc.*		2,979		56,810
Parametric Technology Corp.*		1,992		55,656
Cadence Design Systems, Inc.*		4,594		54,393
Solera Holdings, Inc.		1,176		53,967
Broadridge Financial Solutions, Inc.		2,082		49,781
Jack Henry & Associates, Inc.		1,456		49,679
Ingram Micro, Inc. — Class A*		2,519		46,753
Concur Technologies, Inc.*		786		45,101
National Instruments Corp.		1,560		44,491
NeuStar, Inc. — Class A*		1,133		42,204
Wright Express Corp.*		651		42,139
Cypress Semiconductor Corp.*		2,599		40,622
Diebold, Inc.		1,049		40,407
Tech Data Corp.*		690		37,439
Lender Processing Services, Inc.		1,416		36,816
Zebra Technologies Corp. — Class A*		873		35,950
Compuware Corp.*		3,668		33,709
ADTRAN, Inc.		1,070		33,373
Vishay Intertechnology, Inc.*		2,639		32,090
Semtech Corp.*		1,092		31,078
Fairchild Semiconductor International, Inc. — Class A*		2,114		31,076
DST Systems, Inc.		564		30,586
Silicon Laboratories, Inc.*		710		30,530
Itron, Inc.*		668		30,334
AOL, Inc.*		1,591		30,181
QLogic Corp.*		1,656		29,411
CoreLogic, Inc.*		1,788		29,180
Plantronics, Inc.		721		29,027
Ciena Corp.*		1,660		26,875
International Rectifier Corp.*		1,159		26,738
ValueClick, Inc.*		1,348		26,610
ACI Worldwide, Inc.*		660		26,578
Fair Isaac Corp.		601		26,384
Convergys Corp.*		1,945		25,966
Tellabs, Inc.		6,132		24,835
Intersil Corp. — Class A		2,120		23,744
Mentor Graphics Corp.*		1,561		23,196
RF Micro Devices, Inc.*		4,636		23,087
Quest Software, Inc.*		952		22,153
Monster Worldwide, Inc.*		2,066		20,144
Acxiom Corp.*		1,312		19,260
Integrated Device Technology, Inc.*		2,373		16,967
MEMC Electronic Materials, Inc.*		3,873		13,982
Advent Software, Inc.*		538		13,773
Mantech International Corp. — Class A		390		13,439
Total Information Technology				3,319,489

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  61

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
MID-CAP 1.5x STRATEGY FUND

		xxxxxxxxx		xxxxxxxxx
	SHARES		VALUE
CONSUMER DISCRETIONARY - 11.2%
Fossil, Inc.*		871	$	114,955
Advance Auto Parts, Inc.		1,225		108,498
Tractor Supply Co.		1,197		108,400
PetSmart, Inc.		1,871		107,059
PVH Corp.		1,130		100,943
Polaris Industries, Inc.		1,149		82,900
Panera Bread Co. — Class A*		502		80,781
Foot Locker, Inc.		2,538		78,805
Dick’s Sporting Goods, Inc.		1,621		77,938
LKQ Corp.*		2,470		76,990
Signet Jewelers Ltd.		1,459		68,982
Williams-Sonoma, Inc.		1,727		64,728
Mohawk Industries, Inc.*		959		63,783
NVR, Inc.*		85		61,738
Tupperware Brands Corp.		942		59,817
Gentex Corp.		2,418		59,241
Toll Brothers, Inc.*		2,461		59,039
Under Armour, Inc. — Class A*		617		57,998
American Eagle Outfitters, Inc.		3,252		55,902
Ascena Retail Group, Inc.*		1,131		50,126
Hanesbrands, Inc.*		1,637		48,357
Sotheby’s		1,130		44,454
AMC Networks, Inc. — Class A*		965		43,068
Carter’s, Inc.*		859		42,752
Chico’s FAS, Inc.		2,814		42,491
Service Corporation International		3,718		41,865
Deckers Outdoor Corp.*		646		40,730
Warnaco Group, Inc.*		674		39,362
Rent-A-Center, Inc. — Class A		996		37,599
John Wiley & Sons, Inc. — Class A		788		37,500
Brinker International, Inc.		1,318		36,311
Life Time Fitness, Inc.*		710		35,904
Guess?, Inc.		1,120		35,000
Bally Technologies, Inc.*		720		33,660
Aaron’s, Inc.		1,272		32,945
Lamar Advertising Co. — Class A*		980		31,762
Saks, Inc.*		2,616		30,372
Aeropostale, Inc.*		1,355		29,295
Cheesecake Factory, Inc.*		917		26,951
ANN, Inc.*		879		25,175
HSN, Inc.		661		25,138
Wendy’s Co.		4,974		24,920
Thor Industries, Inc.		736		23,228
DreamWorks Animation SKG, Inc. — Class A*		1,200		22,140
WMS Industries, Inc.*		928		22,021
ITT Educational Services, Inc.*		329		21,760
Meredith Corp.		620		20,125
Collective Brands, Inc.*		1,017		19,994
Bob Evans Farms, Inc.		489		18,445
Strayer Education, Inc.		187		17,630
Regis Corp.		951		17,527
Valassis Communications, Inc.*		717		16,491
MDC Holdings, Inc.		633		16,325
Office Depot, Inc.*		4,714		16,263
Matthews International Corp. — Class A		474		14,997

	SHARES		VALUE
Scholastic Corp.		420	$	14,818
New York Times Co. — Class A*		2,035		13,818
International Speedway Corp. — Class A		469		13,015
Scientific Games Corp. — Class A*		977		11,392
KB Home		1,211		10,778
RadioShack Corp.		1,667		10,369
American Greetings Corp. — Class A		643		9,864
Barnes & Noble, Inc.*		690		9,143
Total Consumer Discretionary				2,664,377
HEALTH CARE—8.6%
Regeneron Pharmaceuticals, Inc.*		1,280		149,274
Vertex Pharmaceuticals, Inc.*		3,530		144,765
Henry Schein, Inc.*		1,507		114,050
Mettler-Toledo International, Inc.*		528		97,547
Hologic, Inc.*		4,425		95,358
IDEXX Laboratories, Inc.*		924		80,803
Endo Pharmaceuticals Holdings, Inc.*		1,959		75,872
ResMed, Inc.*		2,420		74,802
Universal Health Services, Inc. — Class B		1,624		68,062
Omnicare, Inc.		1,907		67,833
Cooper Companies, Inc.		800		65,368
Mednax, Inc.*		820		60,983
Health Net, Inc.*		1,386		55,051
AMERIGROUP Corp.*		810		54,497
Catalyst Health Solutions, Inc.*		840		53,533
Allscripts Healthcare Solutions, Inc.*		3,200		53,120
WellCare Health Plans, Inc.*		719		51,682
Gen-Probe, Inc.*		759		50,405
Covance, Inc.*		982		46,773
HMS Holdings Corp.*		1,440		44,942
Techne Corp.		617		43,252
United Therapeutics Corp.*		900		42,417
Teleflex, Inc.		680		41,582
Lincare Holdings, Inc.		1,460		37,785
Medicis Pharmaceutical Corp. — Class A		989		37,177
Hill-Rom Holdings, Inc.		1,041		34,780
Bio-Rad Laboratories, Inc. — Class A*		330		34,218
VCA Antech, Inc.*		1,470		34,119
Thoratec Corp.*		981		33,070
Community Health Systems, Inc.*		1,483		32,982
Owens & Minor, Inc.		1,067		32,447
LifePoint Hospitals, Inc.*		809		31,907
STERIS Corp.		967		30,577
Charles River Laboratories International, Inc.*		821		29,630
Health Management Associates,
Inc. — Class A*		4,270		28,694
Masimo Corp.*		978		22,866
Total Health Care				2,052,223
MATERIALS—5.4%
Albemarle Corp.		1,493		95,432
Ashland, Inc.		1,314		80,233
Rock-Tenn Co. — Class A		1,180		79,721
Valspar Corp.		1,563		75,477
Reliance Steel & Aluminum Co.		1,258		71,052
Martin Marietta Materials, Inc.		766		65,593

62  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
MID-CAP 1.5x STRATEGY FUND

	SHARES			VALUE
Aptargroup, Inc.		1,110		$	60,794
Domtar Corp.		613			58,468
RPM International, Inc.		2,200	��		57,618
Sonoco Products Co.		1,690			56,108
Steel Dynamics, Inc.		3,676			53,449
Packaging Corporation of America		1,620			47,936
Cytec Industries, Inc.		769			46,748
Cabot Corp.		1,058			45,155
Compass Minerals International, Inc.		550			39,457
Scotts Miracle-Gro Co. — Class A		725			39,266
Carpenter Technology Corp.		738			38,546
Silgan Holdings, Inc.		830			36,686
NewMarket Corp.		180			33,732
Sensient Technologies Corp.		844			32,072
Olin Corp.		1,344			29,232
Greif, Inc. — Class A		516			28,855
Commercial Metals Co.		1,940			28,751
Louisiana-Pacific Corp.*		2,300			21,505
Intrepid Potash, Inc.*		880			21,410
Minerals Technologies, Inc.		298			19,492
Worthington Industries, Inc.		879			16,859
Total Materials					1,279,647
ENERGY—4.7%
HollyFrontier Corp.		3,495			112,364
Cimarex Energy Co.		1,438			108,526
Oceaneering International, Inc.		1,813			97,702
Plains Exploration & Production Co.*		2,152			91,783
SM Energy Co.		1,076			76,149
Superior Energy Services, Inc.*		2,646			69,749
Oil States International, Inc.*		860			67,132
Dresser-Rand Group, Inc.*		1,271			58,962
World Fuel Services Corp.		1,194			48,954
Tidewater, Inc.		861			46,511
Patterson-UTI Energy, Inc.		2,595			44,867
Atwood Oceanics, Inc.*		947			42,511
Arch Coal, Inc.		3,580			38,342
Dril-Quip, Inc.*		580			37,712
CARBO Ceramics, Inc.		330			34,799
Helix Energy Solutions Group, Inc.*		1,773			31,559
Unit Corp.*		696			29,761
Forest Oil Corp.*		1,881			22,798
Northern Oil and Gas, Inc.*		1,060			21,984
Bill Barrett Corp.*		788			20,496
Quicksilver Resources, Inc.*		1,986			10,009
Patriot Coal Corp.*		1,556			9,709
Total Energy					1,122,379
UTILITIES—4.5%
OGE Energy Corp.		1,646			88,062
NSTAR		1,734			84,324
Alliant Energy Corp.		1,859			80,532
MDU Resources Group, Inc.		3,169			70,954
National Fuel Gas Co.		1,395			67,127
N.V. Energy, Inc.		3,961			63,850
Energen Corp.		1,210			59,472
Westar Energy, Inc.		2,110			58,932
Questar Corp.		2,986			57,510
Aqua America, Inc.		2,330			51,936

	SHARES		VALUE
UGI Corp.		1,882	$	51,285
Atmos Energy Corp.		1,514		47,630
Great Plains Energy, Inc.		2,285		46,317
Hawaiian Electric Industries, Inc.		1,610		40,814
Cleco Corp.		1,021		40,483
Vectren Corp.		1,370		39,812
WGL Holdings, Inc.		864		35,165
IDACORP, Inc.		838		34,459
Black Hills Corp.		738		24,745
PNM Resources, Inc.		1,337		24,467
Total Utilities				1,067,876
CONSUMER STAPLES—3.3%
Monster Beverage Corp.*		2,542		157,833
Church & Dwight Company, Inc.		2,390		117,564
Green Mountain Coffee Roasters, Inc.*		2,183		102,252
Energizer Holdings, Inc.*		1,107		82,117
Corn Products International, Inc.		1,280		73,792
Ralcorp Holdings, Inc.*		927		68,681
Smithfield Foods, Inc.*		2,701		59,503
Flowers Foods, Inc.		1,895		38,601
Harris Teeter Supermarkets, Inc.*		827		33,163
Lancaster Colony Corp.		330		21,932
Universal Corp.		389		18,127
Post Holdings, Inc.*		460		15,148
Tootsie Roll Industries, Inc.		428		9,799
Total Consumer Staples				798,512
TELECOMMUNICATION SERVICES—0.4%
tw telecom, Inc. — Class A*		2,518		55,799
Telephone & Data Systems, Inc.		1,620		37,503
Total Telecommunication Services				93,302
Total Common Stocks (Cost $15,025,011)				19,941,131
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1 – 16.0%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	2,239,083		2,239,083
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		768,150		768,150
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		629,964		629,964
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		167,438		167,438
Total Repurchase Agreements (Cost $3,804,635)				3,804,635
Total Investments – 99.8% (Cost $18,829,646)			$	23,745,766
Other Assets & Liabilities, net – 0.2%				40,080
Total Net Assets – 100.0%			$	23,785,846

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  63

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
MID-CAP 1.5x STRATEGY FUND

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $8,914,500)		90	$	195,103
	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Credit Suisse Capital, LLC April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $464,365)		467	$	(161	)
Barclays Bank plc April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $3,323,983)		3,343		(1,240	)
Morgan Stanley Capital Services, Inc. April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $1,176,683)		1,183		(7,325	)
Goldman Sachs International April 2012 S&P MidCap 400 Index Swap, Terminating 04/27/123 (Notional Value $1,650,906)		1,660		(17,407	)
(Total Notional Value $6,615,937)			$	(26,133	)

* 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 31, 2012.

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

plc — Public Limited Company

64  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MID-CAP 1.5x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $15,025,011)	$	19,941,131
Repurchase agreements, at value (cost $3,804,635)		3,804,635
Total investments (cost $18,829,646)		23,745,766
Segregated cash with broker		829,602
Cash		219
Receivables:
Fund shares sold		122,685
Dividends		17,615
Total assets		24,715,887
LIABILITIES:
Unrealized depreciation on swap agreements		26,133
Payable for:
Fund shares redeemed		808,313
Variation margin		26,100
Management fees		18,404
Swap settlement		17,226
Distribution and service fees		9,072
Transfer agent and administrative fees		5,112
Portfolio accounting fees		2,045
Miscellaneous		17,636
Total liabilities		930,041
NET ASSETS	$	23,785,846
NET ASSETS CONSIST OF:
Paid in capital	$	37,473,184
Accumulated net investment loss		(67,408	)
Accumulated net realized loss on investments		(18,705,020	)
Net unrealized appreciation on investments		5,085,090
Net assets	$	23,785,846
A-CLASS:
Net assets	$	1,997,263
Capital shares outstanding		55,123
Net asset value per share	$	36.23
Maximum offering price per share (Net asset value divided by 95.25%)	$	38.04
C-CLASS:
Net assets	$	4,814,953
Capital shares outstanding		145,126
Net asset value per share	$	33.18
H-CLASS:
Net assets	$	16,973,630
Capital shares outstanding		467,965
Net asset value per share	$	36.27

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	272,163
Interest		2,057
Total investment income		274,220
EXPENSES:
Management fees		258,148
Transfer agent and administrative fees		71,708
Distribution and service fees:
A-Class		3,598
C-Class		62,900
H-Class		52,385
Portfolio accounting fees		28,683
Custodian fees		7,504
Trustees’ fees*		2,919
Miscellaneous		35,307
Total expenses		523,152
Net investment loss		(248,932	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(2,509,050	)
Swap agreements		588,413
Futures contracts		(1,806,429	)
Net realized loss		(3,727,066	)
Net change in unrealized appreciation (depreciation) on:
Investments		(48,469	)
Swap agreements		(890,840	)
Futures contracts		194,958
Net change in unrealized appreciation (depreciation)		(744,351	)
Net realized and unrealized loss		(4,471,417	)
Net decrease in net assets resulting from operations	$	(4,720,349	)

* 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 SERIES FUNDS ANNUAL REPORT  |  65

MID-CAP 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(248,932	)	$	(353,954	)
Net realized gain (loss) on investments		(3,727,066	)		3,824,140
Net change in unrealized appreciation (depreciation) on investments		(744,351	)		1,314,011
Net increase (decrease) in net assets resulting from operations		(4,720,349	)		4,784,197
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		4,439,075			1,553,048
C-Class		8,856,328			16,167,502
H-Class		191,352,207			368,792,421
COSTOFSHARESREDEEMED
A-Class		(4,211,118	)		(1,666,271	)
C-Class		(9,591,810	)		(15,672,167	)
H-Class		(212,908,174	)		(359,850,110	)
Net increase (decrease) from capital share transactions		(22,063,492	)		9,324,423
Net increase (decrease) in net assets		(26,783,841	)		14,108,620
NETASSETS:
Beginning of year		50,569,687			36,461,067
End of year	$	23,785,846		$	50,569,687
Accumulated net investment loss at end of year	$	(67,408	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		137,923			51,004
C-Class		276,605			563,073
H-Class		5,925,626			12,089,650
Shares redeemed
A-Class		(133,333	)		(58,734	)
C-Class		(307,940	)		(549,462	)
H-Class		(6,606,666	)		(12,087,163	)
Net increase (decrease) in shares		(707,785	)		8,368

66  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

MID-CAP 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	37.14		$	26.89		$	13.33		$	32.39		$	41.56
Income (loss) from investment operations:
Net investment income (loss)a		(.23	)		(.26	)		(.16	)		—	b		.23
Net gain (loss) on investments (realized and unrealized)		(.68	)		10.51			13.72			(17.74	)		(7.46	)
Total from investment operations		(.91	)		10.25			13.56			(17.74	)		(7.23	)
Less distributions from:
Net investment income		—			—			—			—			(.26	)
Net realized gains		—			—			—			(1.32	)		(1.68	)
Total distributions		—			—			—			(1.32	)		(1.94	)
Net asset value, end of period	$	36.23		$	37.14		$	26.89		$	13.33		$	32.39
Total Returnc		(2.45	%)		38.12	%		101.73	%		(54.70	%)		(18.29	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,997		$	1,877		$	1,567		$	1,080		$	1,571
Ratios to average net assets:
Net investment income (loss)		(0.68	%)		(0.88	%)		(0.79	%)		0.01	%		0.57	%
Total expenses		1.66	%		1.70	%		1.69	%		1.68	%		1.67	%
Portfolio turnover rate		141	%		211	%		219	%		204	%		226	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	34.26		$	24.98		$	12.47		$	30.73		$	39.82
Income (loss) from investment operations:
Net investment lossa		(.43	)		(.43	)		(.27	)		(.17	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		(.65	)		9.71			12.78			(16.77	)		(7.07	)
Total from investment operations		(1.08	)		9.28			12.51			(16.94	)		(7.15	)
Less distributions from:
Net investment income		—			—			—			—			(.26	)
Net realized gains		—			—			—			(1.32	)		(1.68	)
Total distributions		—			—			—			(1.32	)		(1.94	)
Net asset value, end of period	$	33.18		$	34.26		$	24.98		$	12.47		$	30.73
Total Returnc		(3.15	%)		37.15	%		100.32	%		(55.06	%)		(18.90	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,815		$	6,045		$	4,069		$	2,954		$	8,388
Ratios to average net assets:
Net investment loss		(1.42	%)		(1.59	%)		(1.43	%)		(0.72	%)		(0.20	%)
Total expenses		2.41	%		2.44	%		2.44	%		2.43	%		2.42	%
Portfolio turnover rate		141	%		211	%		219	%		204	%		226	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  67

MID-CAP 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	37.12		$	26.89		$	13.33		$	32.40		$	41.58
Income (loss) from investment operations:
Net investment income (loss)a		(.24	)		(.28	)		(.15	)		.01			.25
Net gain (loss) on investments (realized and unrealized)		(.61	)		10.51			13.71			(17.76	)		(7.49	)
Total from investment operations		(.85	)		10.23			13.56			(17.75	)		(7.24	)
Less distributions from:
Net investment income		—			—			—			—			(.26	)
Net realized gains		—			—			—			(1.32	)		(1.68	)
Total distributions		—			—			—			(1.32	)		(1.94	)
Net asset value, end of period	$	36.27		$	37.12		$	26.89		$	13.33		$	32.40
Total Returnc		(2.29	%)		38.04	%		101.73	%		(54.71	%)		(18.31	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,974		$	42,647		$	30,825		$	11,063		$	11,763
Ratios to average net assets:
Net investment income (loss)		(0.72	%)		(0.91	%)		(0.73	%)		0.06	%		0.61	%
Total expenses		1.66	%		1.70	%		1.68	%		1.68	%		1.67	%
Portfolio turnover rate		141	%		211	%		219	%		204	%		226	%

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

^b  Net investment income is less than $0.01 per share.

^c  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

68 |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  69

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE MID-CAP STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the year ended March 31, 2012, Inverse Mid-Cap Strategy Fund H-Class returned -10.66%. Over the year, its benchmark, the S&P MidCap 400 Index*, had a 1.98% return. Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index.

Sectors contributing most to performance of the index were Consumer Discretionary and Industrials. Energy was the largest detractor from return of the index for the year.

Regeneron Pharmaceuticals, Inc., Monster Beverage Corp. and Dollar Tree, Inc. were among the stocks which provided the most performance to the index during the year. Cimarex Energy Co., Green Mountain Coffee Roasters, Inc. and Arch Coal, Inc. were among the stocks which provided the least performance to the index during the year.

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

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

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

*The 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.

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.

70  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (03/31/04)
A-Class Shares		-10.65	%		-11.28	%		-10.37	%
A-Class Shares with sales charge‡		-14.91	%		-12.14	%		-10.91	%
S&P MidCap 400 Index		1.98	%		4.78	%		7.92	%
							(02/20/04)
C-Class Shares		-11.33	%		-11.95	%		-11.14	%
C-Class Shares with CDSC†		-12.22	%		-11.95	%		-11.14	%
H-Class Shares		-10.66	%		-11.30	%		-10.47	%
S&P MidCap 400 Index		1.98	%		4.78	%		7.97	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  71

SCHEDULE OF INVESTMENTS	March31,2012
INVERSE MID-CAP STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 93.6%
HSBC Group
issued 03/30/12 at 0.01% due 04/02/12	$	957,551	$	957,551
Credit Suisse Group
issued 03/30/12 at 0.01% due 04/02/122		399,128		399,128
Mizuho Financial Group, Inc.
issued 03/30/12 at 0.01% due 04/02/12		269,407		269,407
Deutsche Bank
issued 03/30/12 at 0.01% due 04/02/12		71,605		71,605
Total Repurchase Agreements (Cost $1,697,691)				1,697,691
Total Investments – 93.6% (Cost $1,697,691)			$	1,697,691
Other Assets & Liabilities, net – 6.4%				116,912
Total Net Assets – 100.0%			$	1,814,603

	CONTRACTS		UNREALIZED GAIN
FUTURES CONTRACTS SOLD SHORT†
June 2012 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $198,100)		2	$	1,297
	UNITS
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International April 2012 S&P MidCap 400 Index Swap, Terminating 04/27/123 (Notional Value $280,503)		282	$	2,263
Morgan Stanley Capital Services, Inc. April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $155,013)		156		1,034
Credit Suisse Capital, LLC April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $905,767)		911		315
Barclays Bank plc April 2012 S&P MidCap 400 Index Swap, Terminating 04/30/123 (Notional Value $279,771)		281		103
(Total Notional Value $1,621,054)			$	3,715

† 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 31, 2012.

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

plc — Public Limited Company

72  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE MID-CAP STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $1,697,691)	$	1,697,691
Total investments (cost $1,697,691)		1,697,691
Segregated cash with broker		117,416
Unrealized appreciation on swap agreements		3,715
Receivable for swap settlement		273
Receivable:
Variation margin		580
Total assets		1,819,675
LIABILITIES:
Payable for:
Management fees		1,486
Distribution and service fees		504
Transfer agent and administrative fees		413
Portfolio accounting fees		165
Miscellaneous		2,504
Total liabilities		5,072
NET ASSETS	$	1,814,603
NET ASSETS CONSISTOF:
Paid in capital	$	16,836,382
Accumulated net investment loss		(9,051	)
Accumulated net realized loss on investments		(15,017,740	)
Net unrealized appreciation on investments		5,012
Net assets	$	1,814,603
A-CLASS:
Net assets	$	115,500
Capital shares outstanding		6,342
Net asset value per share	$	18.21
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.12
C-CLASS:
Net assets	$	120,916
Capital shares outstanding		7,087
Net asset value per share	$	17.06
H-CLASS:
Net assets	$	1,578,187
Capital shares outstanding		86,765
Net asset value per share	$	18.19

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	1,187
Total investment income		1,187
EXPENSES:
Management fees		41,244
Transfer agent and administrative fees		11,457
Distribution and service fees:
A-Class		583
C-Class		3,449
H-Class		10,011
Portfolio accounting fees		4,583
Custodian fees		1,184
Trustees’ fees*		387
Miscellaneous		5,808
Total expenses		78,706
Net investment loss		(77,519	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(1,297,632	)
Futures contracts		(491,657	)
Net realized loss		(1,789,289	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		49,519
Futures contracts		1,404
Net change in unrealized appreciation (depreciation)		50,923
Net realized and unrealized loss		(1,738,366	)
Net decrease in net assets resulting from operations	$	(1,815,885	)

* 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 SERIES FUNDS ANNUAL REPORT  |  73

INVERSE MID-CAP STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(77,519	)	$	(67,569	)
Net realized loss on investments		(1,789,289	)		(1,408,270	)
Net change in unrealized appreciation (depreciation) on investments		50,923			124,179
Net decrease in net assets resulting from operations		(1,815,885	)		(1,351,660	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		422,447			686,044
C-Class		1,884,393			1,570,414
H-Class		35,539,703			41,475,130
COSTOFSHARESREDEEMED
A-Class		(552,182	)		(1,036,384	)
C-Class		(2,014,057	)		(1,354,262	)
H-Class		(34,099,863	)		(41,431,048	)
Net increase (decrease) from capital share transactions		1,180,441			(90,106	)
Net decrease in net assets		(635,444	)		(1,441,766	)
NETASSETS:
Beginning of period		2,450,047			3,891,813
End of year	$	1,814,603		$	2,450,047
Accumulated net investment loss at end of year	$	(9,051	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		20,135			25,274
C-Class		88,767			61,434
H-Class		1,591,658			1,626,446
Shares redeemed
A-Class		(26,947	)		(38,915	)
C-Class		(99,207	)		(54,193	)
H-Class		(1,595,492	)		(1,641,534	)
Net decrease in shares		(21,086	)		(21,488	)

74  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE MID-CAP STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	20.38		$	27.37		$	48.21		$	37.07		$	33.78
Income (loss) from investment operations:
Net investment income (loss)a		(.34	)		(.39	)		(.52	)		(.22	)		.81
Net gain (loss) on investments (realized and unrealized)		(1.83	)		(6.60	)		(20.32	)		11.40			3.11
Total from investment operations		(2.17	)		(6.99	)		(20.84	)		11.18			3.92
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)
Total distributions		—			—			—			(.04	)		(.63	)
Net asset value, end of period	$	18.21		$	20.38		$	27.37		$	48.21		$	37.07
Total Returnb		(10.65	%)		(25.54	%)		(43.23	%)		30.14	%		11.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	115		$	268		$	733		$	452		$	906
Ratios to average net assets:
Net investment income (loss)		(1.63	%)		(1.54	%)		(1.56	%)		(0.55	%)		2.35	%
Total expenses		1.66	%		1.69	%		1.69	%		1.68	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	19.24		$	26.03		$	46.24		$	35.82		$	32.89
Income (loss) from investment operations:
Net investment income (loss)a		(.48	)		(.55	)		(.75	)		(.41	)		.60
Net gain (loss) on investments (realized and unrealized)		(1.70	)		(6.24	)		(19.46	)		10.87			2.96
Total from investment operations		(2.18	)		(6.79	)		(20.21	)		10.46			3.56
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)
Total distributions		—			—			—			(.04	)		(.63	)
Net asset value, end of period	$	17.06		$	19.24		$	26.03		$	46.24		$	35.82
Total Returnb		(11.33	%)		(26.09	%)		(43.71	%)		29.18	%		11.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	121		$	337		$	268		$	327		$	1,478
Ratios to average net assets:
Net investment income (loss)		(2.39	%)		(2.29	%)		(2.30	%)		(1.07	%)		1.83	%
Total expenses		2.42	%		2.44	%		2.43	%		2.43	%		2.41	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  75

INVERSE MID-CAP STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	20.36		$	27.35		$	48.21		$	37.07		$	33.78
Income (loss) from investment operations:
Net investment income (loss)a		(.35	)		(.40	)		(.55	)		(.27	)		.78
Net gain (loss) on investments (realized and unrealized)		(1.82	)		(6.59	)		(20.31	)		11.45			3.14
Total from investment operations		(2.17	)		(6.99	)		(20.86	)		11.18			3.92
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)
Total distributions		—			—			—			(.04	)		(.63	)
Net asset value, end of period	$	18.19		$	20.36		$	27.35		$	48.21		$	37.07
Total Returnb		(10.66	%)		(25.56	%)		(43.27	%)		30.14	%		11.83	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,578		$	1,845		$	2,891		$	7,350		$	46,630
Ratios to average net assets:
Net investment income (loss)		(1.64	%)		(1.53	%)		(1.55	%)		(0.62	%)		2.26	%
Total expenses		1.67	%		1.69	%		1.68	%		1.70	%		1.65	%
Portfolio turnover rate		—			—			—			—			—

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

76  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  77

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

RUSSELL 2000^® 1.5x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 -6.30%, while the Russell 2000 Index* returned -0.18% over the same period.

The biggest performance contributors to the index during the period were the Financials and Health Care sectors. Energy and Information Technology provided the least performance to the index during the year.

Medivation, Inc., Nu Skin Enterprises, Inc. Class A and Inhibitex, Inc. were among the stocks which provided the most performance to the index during the year. MF Global Holdings Ltd., InterMune, Inc. and Patriot Coal Corp. were among the stocks which provided the least performance to the index during the year.

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

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

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

*Russell 2000^® Index measures the performance of the small-cap value segment of the U.S. equity universe.

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)
Parametric Technology Corp.	0.2	%
Nu Skin Enterprises, Inc.—Class A	0.2	%
Clean Harbors, Inc.	0.2	%
American Campus Communities, Inc.	0.2	%
WellCare Health Plans, Inc.	0.2	%
Salix Pharmaceuticals Ltd.	0.2	%
Jack Henry & Associates, Inc.	0.2	%
Signature Bank	0.2	%
Home Properties, Inc.	0.2	%
BioMed Realty Trust, Inc.	0.2	%
Top Ten Total	2.0	%

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

78  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
C-Class Shares		-7.02	%		-3.58	%		3.28	%
C-Class Shares with CDSC†		-7.95	%		-3.58	%		3.28	%
H-Class Shares		-6.30	%		-2.85	%		4.08	%
Russell 2000 Index		-0.18	%		2.13	%		6.45	%
							Since Inception (03/31/04)
A-Class Shares		-6.31	%		-2.82	%		3.19	%
A-Class Shares with sales charge‡		-10.75	%		-3.77	%		2.56	%
Russell 2000 Index		-0.18	%		2.13	%		5.73	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  79

SCHEDULE OF INVESTMENTS	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
COMMON STOCKS† - 84.0%
FINANCIALS - 18.9%
American Campus Communities, Inc.		860	$	38,458
Signature Bank*		572		36,058
Home Properties, Inc.		591		36,057
BioMed Realty Trust, Inc.		1,899		36,043
National Retail Properties, Inc.		1,288		35,021
CBL & Associates Properties, Inc.		1,835		34,718
SVB Financial Group*		534		34,357
Kilroy Realty Corp.		737		34,352
Hancock Holding Co.		957		33,983
Extra Space Storage, Inc.		1,157		33,309
ProAssurance Corp.		377		33,216
MFA Financial, Inc.		4,402		32,882
Tanger Factory Outlet Centers		1,062		31,573
Mid-America Apartment Communities, Inc.		464		31,102
Highwoods Properties, Inc.		922		30,721
Post Properties, Inc.		648		30,365
LaSalle Hotel Properties		1,051		29,575
Equity Lifestyle Properties, Inc.		401		27,966
Entertainment Properties Trust		585		27,132
Omega Healthcare Investors, Inc.		1,260		26,788
Delphi Financial Group, Inc.—Class A		596		26,683
Prosperity Bancshares, Inc.		581		26,610
Hatteras Financial Corp.		925		25,808
Alterra Capital Holdings Ltd.		1,119		25,715
Invesco Mortgage Capital, Inc.		1,441		25,434
Stifel Financial Corp.*		668		25,276
Starwood Property Trust, Inc.		1,156		24,299
Washington Real Estate Investment Trust		811		24,087
FirstMerit Corp.		1,352		22,795
Colonial Properties Trust		1,036		22,512
First American Financial Corp.		1,301		21,635
DiamondRock Hospitality Co.		2,071		21,311
CNO Financial Group, Inc.*		2,737		21,294
Healthcare Realty Trust, Inc.		965		21,230
FNB Corp.		1,679		20,282
Webster Financial Corp.		894		20,267
Iberiabank Corp.		377		20,158
Trustmark Corp.		786		19,634
Susquehanna Bancshares, Inc.		1,971		19,473
Umpqua Holdings Corp.		1,419		19,242
Ezcorp, Inc. — Class A*		583		18,922
Ocwen Financial Corp.*		1,185		18,522
CubeSmart		1,508		17,945
DCT Industrial Trust, Inc.		3,040		17,937
United Bankshares, Inc.		620		17,893
DuPont Fabros Technology, Inc.		729		17,824
UMB Financial Corp.		398		17,805
Westamerica Bancorporation		369		17,712
Cash America International, Inc.		365		17,494
Apollo Investment Corp.		2,425		17,388

	SHARES		VALUE
Cathay General Bancorp		971	$	17,187
Sovran Self Storage, Inc.		344		17,142
Platinum Underwriters Holdings Ltd.		463		16,900
First Cash Financial Services, Inc.*		388		16,641
EastGroup Properties, Inc.		329		16,522
RLI Corp.		229		16,406
Northwest Bancshares, Inc.		1,275		16,193
Knight Capital Group, Inc.—Class A*		1,253		16,126
Texas Capital Bancshares, Inc.*		460		15,925
Wintrust Financial Corp.		435		15,569
Potlatch Corp.		493		15,451
Old National Bancorp		1,168		15,348
PS Business Parks, Inc.		233		15,271
National Health Investors, Inc.		305		14,878
Portfolio Recovery Associates, Inc.*		207		14,845
Prospect Capital Corp.		1,350		14,824
Montpelier Re Holdings Ltd.		767		14,818
BancorpSouth, Inc.		1,079		14,534
Glimcher Realty Trust		1,422		14,533
Two Harbors Investment Corp.		1,427		14,470
MB Financial, Inc.		686		14,399
Strategic Hotels & Resorts, Inc.*		2,165		14,246
International Bancshares Corp.		673		14,234
Sunstone Hotel Investors, Inc.*		1,458		14,201
Pebblebrook Hotel Trust		627		14,158
Cardtronics, Inc.*		533		13,991
Capstead Mortgage Corp.		1,056		13,844
Community Bank System, Inc.		481		13,843
National Penn Bancshares, Inc.		1,553		13,744
First Financial Bankshares, Inc.		389		13,697
Equity One, Inc.		665		13,446
Lexington Realty Trust		1,492		13,413
MarketAxess Holdings, Inc.		358		13,350
Glacier Bancorp, Inc.		892		13,326
First Industrial Realty Trust, Inc.*		1,072		13,239
CVB Financial Corp.		1,118		13,125
Medical Properties Trust, Inc.		1,384		12,844
LTC Properties, Inc.		390		12,480
First Financial Bancorp		716		12,387
Education Realty Trust, Inc.		1,131		12,260
CYS Investments, Inc.		922		12,069
Acadia Realty Trust		528		11,901
Alexander’s, Inc.		30		11,816
Selective Insurance Group, Inc.		670		11,799
World Acceptance Corp.*		192		11,760
MGIC Investment Corp.*		2,315		11,482
PrivateBancorp, Inc.		743		11,271
Columbia Banking System, Inc.		493		11,231
Sun Communities, Inc.		257		11,136
First Midwest Bancorp, Inc.		925		11,082
Park National Corp.		160		11,067
Redwood Trust, Inc.		975		10,920
Bank of the Ozarks, Inc.		348		10,878
Anworth Mortgage Asset Corp.		1,652		10,870
Provident Financial Services, Inc.		742		10,781

80  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
PHH Corp.*		695	$	10,752
Financial Engines, Inc.*		476		10,643
Astoria Financial Corp.		1,072		10,570
Primerica, Inc.		418		10,538
Tower Group, Inc.		468		10,497
Government Properties Income Trust		435		10,488
Pennsylvania Real Estate Investment Trust		685		10,460
BBCN Bancorp, Inc.*		920		10,240
DFC Global Corp.*		539		10,171
Solar Capital Ltd.		453		9,997
Argo Group International Holdings Ltd.		334		9,977
Symetra Financial Corp.		833		9,604
Hersha Hospitality Trust — Class A		1,735		9,473
Boston Private Financial Holdings, Inc.		953		9,444
American Equity Investment Life Holding Co.		736		9,399
Oritani Financial Corp.		640		9,395
NBT Bancorp, Inc.		423		9,340
Franklin Street Properties Corp.		871		9,233
Fifth Street Finance Corp.		940		9,174
PacWest Bancorp		376		9,137
American Assets Trust, Inc.		399		9,097
Brookline Bancorp, Inc.		953		8,930
BlackRock Kelso Capital Corp.		909		8,926
Harleysville Group, Inc.		153		8,828
Horace Mann Educators Corp.		493		8,686
Associated Estates Realty Corp.		531		8,677
Inland Real Estate Corp.		977		8,666
Investors Bancorp, Inc.*		570		8,561
Cousins Properties, Inc.		1,125		8,528
Greenlight Capital Re Ltd. — Class A*		344		8,473
Credit Acceptance Corp.*		83		8,384
iStar Financial, Inc.*		1,155		8,374
Nelnet, Inc. — Class A		322		8,343
Employers Holdings, Inc.		461		8,164
Newcastle Investment Corp.		1,300		8,164
Independent Bank Corp.		281		8,073
Enstar Group Ltd.*		81		8,018
First Commonwealth Financial Corp.		1,304		7,980
Infinity Property & Casualty Corp.		152		7,954
Pinnacle Financial Partners, Inc.*		433		7,946
Amtrust Financial Services, Inc.		295		7,930
KBW, Inc.		426		7,881
Chemical Financial Corp.		335		7,852
National Financial Partners Corp.*		510		7,721
Investors Real Estate Trust		995		7,652
Evercore Partners, Inc. — Class A		263		7,645
First Potomac Realty Trust		630		7,617
Sabra Health Care REIT, Inc.		458		7,530
S&T Bancorp, Inc.		346		7,505
Home Bancshares, Inc.		281		7,477

	SHARES		VALUE
Compass Diversified Holdings		503	$	7,439
Cohen & Steers, Inc.		233		7,433
Retail Opportunity Investments Corp.		608		7,320
Western Alliance Bancorporation*		863		7,310
Banco Latinoamericano de Comercio Exterior S.A. — Class E		345		7,283
Navigators Group, Inc.*		154		7,275
CreXus Investment Corp.		703		7,269
Walter Investment Management Corp.		322		7,261
Advance America Cash Advance Centers, Inc.		685		7,186
Radian Group, Inc.		1,640		7,134
Chesapeake Lodging Trust		393		7,062
Oriental Financial Group, Inc.		580		7,018
Bankrate, Inc.*		283		7,004
ViewPoint Financial Group		450		6,921
Main Street Capital Corp.		280		6,896
Sterling Financial Corp.*		329		6,870
BGC Partners, Inc. — Class A		929		6,865
State Bank Financial Corp.*		391		6,846
Forestar Group, Inc.*		433		6,663
Colony Financial, Inc.		405		6,634
City Holding Co.		190		6,597
Trustco Bank Corp.		1,148		6,555
PICO Holdings, Inc.*		278		6,519
Safety Insurance Group, Inc.		155		6,454
PennyMac Mortgage Investment Trust		345		6,441
RLJ Lodging Trust		345		6,427
NorthStar Realty Finance Corp.		1,183		6,400
Simmons First National Corp. — Class A		247		6,380
Hercules Technology Growth Capital, Inc.		570		6,316
ARMOUR Residential REIT, Inc.		933		6,298
Meadowbrook Insurance Group, Inc.		672		6,270
Investment Technology Group, Inc.*		518		6,195
Berkshire Hills Bancorp, Inc.		267		6,120
Universal Health Realty Income Trust		154		6,103
HFF, Inc. — Class A*		369		6,078
Community Trust Bancorp, Inc.		188		6,029
Duff & Phelps Corp. — Class A		387		6,014
AMERISAFE, Inc.*		240		5,938
PennantPark Investment Corp.		567		5,897
SCBT Financial Corp.		179		5,855
Ramco-Gershenson Properties Trust		479		5,853
WesBanco, Inc.		289		5,820
Coresite Realty Corp.		246		5,803
Urstadt Biddle Properties, Inc. — Class A		293		5,784
Ashford Hospitality Trust, Inc.		640		5,766
Dime Community Bancshares, Inc.		389		5,683
Maiden Holdings Ltd.		629		5,661
Virtus Investment Partners, Inc.*		65		5,576
FelCor Lodging Trust, Inc.*		1,547		5,569

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  81

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Tejon Ranch Co.*		194	$	5,556
Triangle Capital Corp.		275		5,431
Flushing Financial Corp.		401		5,397
Sandy Spring Bancorp, Inc.		297		5,396
FBL Financial Group, Inc. — Class A		159		5,358
Piper Jaffray Cos.*		198		5,271
Flagstone Reinsurance Holdings S.A.		669		5,265
Lakeland Financial Corp.		198		5,154
Resource Capital Corp.		954		5,142
Renasant Corp.		312		5,079
United Community Banks, Inc.*		509		4,963
Getty Realty Corp.		315		4,908
United Fire Group, Inc.		272		4,866
First Busey Corp.		981		4,846
Southside Bancshares, Inc.		217		4,796
West Coast Bancorp*		251		4,749
Banner Corp.		215		4,736
Monmouth Real Estate Investment Corp. — Class A		483		4,704
Citizens, Inc.*		472		4,663
1st Source Corp.		190		4,649
Washington Trust Bancorp, Inc.		192		4,635
Excel Trust, Inc.		379		4,578
Epoch Holding Corp.		191		4,561
Safeguard Scientifics, Inc.*		264		4,541
Kennedy-Wilson Holdings, Inc.		336		4,536
First Financial Corp.		142		4,509
Rockville Financial, Inc.		384		4,474
Encore Capital Group, Inc.*		198		4,465
eHealth, Inc.*		273		4,453
Campus Crest Communities, Inc.		377		4,396
OneBeacon Insurance Group Ltd. — Class A		285		4,392
Dynex Capital, Inc.		455		4,345
Cardinal Financial Corp.		379		4,283
Hilltop Holdings, Inc.*		492		4,128
TowneBank		305		4,114
Winthrop Realty Trust		354		4,103
MCG Capital Corp.		964		4,097
Hudson Pacific Properties, Inc.		270		4,085
Tompkins Financial Corp.		100		4,006
National Western Life Insurance Co. — Class A		29		3,969
GAMCO Investors, Inc. — Class A		80		3,969
First Merchants Corp.		321		3,961
Provident New York Bancorp		468		3,959
Hanmi Financial Corp.*		391		3,957
Apollo Commercial Real Estate Finance, Inc.		251		3,928
MVC Capital, Inc.		297		3,900
Ameris Bancorp*		295		3,876
TICC Capital Corp.		395		3,847
NewStar Financial, Inc.*		345		3,836
INTL FCStone, Inc.*		180		3,798
Capital Southwest Corp.		40		3,782
Bancorp, Inc.*		375		3,765

	SHARES		VALUE
Wilshire Bancorp, Inc.*		772	$	3,729
Beneficial Mutual Bancorp, Inc.*		426		3,723
Sterling Bancorp		386		3,702
WSFS Financial Corp.		89		3,649
Kite Realty Group Trust		692		3,647
Eagle Bancorp, Inc.*		216		3,616
Cedar Realty Trust, Inc.		697		3,569
Westwood Holdings Group, Inc.		92		3,563
Saul Centers, Inc.		88		3,552
Phoenix Companies, Inc.*		1,443		3,535
Univest Corporation of Pennsylvania		209		3,507
Bancfirst Corp.		80		3,485
Hudson Valley Holding Corp.		216		3,484
Union First Market Bankshares Corp.		248		3,472
Global Indemnity plc—Class A*		177		3,450
Camden National Corp.		98		3,445
SY Bancorp, Inc.		147		3,410
CapLease, Inc.		845		3,405
StellarOne Corp.		284		3,371
GFI Group, Inc.		876		3,294
Republic Bancorp, Inc. — Class A		135		3,229
Stewart Information Services Corp.		227		3,226
Calamos Asset Management, Inc. — Class A		245		3,212
Bryn Mawr Bank Corp.		142		3,186
United Financial Bancorp, Inc.		197		3,117
Centerstate Banks, Inc.		380		3,101
Territorial Bancorp, Inc.		149		3,101
OmniAmerican Bancorp, Inc.*		160		3,098
Presidential Life Corp.		271		3,098
German American Bancorp, Inc.		158		3,070
Arrow Financial Corp.		124		3,026
Parkway Properties, Inc.		287		3,008
Great Southern Bancorp, Inc.		125		3,000
Trico Bancshares		172		2,996
MainSource Financial Group, Inc.		248		2,988
Citizens & Northern Corp.		149		2,980
Agree Realty Corp.		131		2,958
Northfield Bancorp, Inc.		208		2,958
First Connecticut Bancorp, Inc.		224		2,955
Heartland Financial USA, Inc.		170		2,948
State Auto Financial Corp.		200		2,922
OceanFirst Financial Corp.		203		2,891
CoBiz Financial, Inc.		407		2,877
Netspend Holdings, Inc.*		370		2,871
Farmer Mac — Class C		126		2,860
First Interstate Bancsystem, Inc. — Class A		195		2,851
Washington Banking Co.		204		2,817
Lakeland Bancorp, Inc.		280		2,761
FXCM, Inc. — Class A		211		2,741
Westfield Financial, Inc.		343		2,713
Financial Institutions, Inc.		167		2,700
STAG Industrial, Inc.		193		2,694
Heritage Financial Corp.		198		2,693
Franklin Financial Corp.*		200		2,686

82  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
National Bankshares, Inc.		89	$	2,679
Bank of Marin Bancorp		69		2,623
First Community Bancshares, Inc.		195		2,605
CNB Financial Corp.		155		2,590
Virginia Commerce Bancorp, Inc.*		294		2,581
First of Long Island Corp.		97		2,571
Summit Hotel Properties, Inc.		336		2,547
One Liberty Properties, Inc.		138		2,525
Pacific Capital Bancorp North America*		55		2,509
RAIT Financial Trust		495		2,460
American Safety Insurance Holdings Ltd.*		130		2,451
Doral Financial Corp.*		1,585		2,441
Chatham Lodging Trust		192		2,436
Central Pacific Financial Corp.*		186		2,409
Apollo Residential Mortgage, Inc.		130		2,389
Cogdell Spencer, Inc.		563		2,387
Ames National Corp.		100		2,380
Oppenheimer Holdings, Inc. — Class A		137		2,377
Gladstone Commercial Corp.		137		2,358
Peoples Bancorp, Inc.		134		2,350
Ladenburg Thalmann Financial Services, Inc.*		1,311		2,334
National Interstate Corp.		91		2,328
Bank Mutual Corp.		572		2,311
Encore Bancshares, Inc.*		113		2,302
Enterprise Financial Services Corp.		195		2,289
First Financial Holdings, Inc.		208		2,288
Fox Chase Bancorp, Inc.		176		2,288
Diamond Hill Investment Group, Inc.		31		2,283
ESB Financial Corp.		158		2,278
SeaBright Holdings, Inc.		249		2,263
Baldwin & Lyons, Inc. — Class B		101		2,260
Mission West Properties, Inc.		228		2,248
Cowen Group, Inc. — Class A*		829		2,247
Medallion Financial Corp.		200		2,232
Home Federal Bancorp, Inc.		220		2,229
Southwest Bancorp, Inc.*		241		2,222
Manning & Napier, Inc. — Class A*		151		2,220
Flagstar Bancorp, Inc.*		2,410		2,217
American Capital Mortgage Investment Corp.		101		2,199
Metro Bancorp, Inc.*		188		2,198
Taylor Capital Group, Inc.*		151		2,167
Pacific Continental Corp.		230		2,167
SWS Group, Inc.		377		2,156
Gladstone Capital Corp.		265		2,149
BofI Holding, Inc.*		122		2,084
First Bancorp		189		2,066
1st United Bancorp, Inc.*		339		2,051
Golub Capital BDC, Inc.		134		2,046
Gladstone Investment Corp.		270		2,044
Arlington Asset Investment Corp. — Class A		89		1,976
Alliance Financial Corp.		65		1,970
West Bancorporation, Inc.		197		1,968
First Defiance Financial Corp.		116		1,956

	SHARES		VALUE
Park Sterling Corp.*		399	$	1,915
Artio Global Investors, Inc. — Class A		387		1,846
Penns Woods Bancorp, Inc.		44		1,799
Kansas City Life Insurance Co.		55		1,771
Kearny Financial Corp.		180		1,755
BankFinancial Corp.		265		1,754
Bank of Kentucky Financial Corp.		68		1,750
Merchants Bancshares, Inc.		62		1,747
NGP Capital Resources Co.		266		1,742
Sun Bancorp, Inc.*		492		1,737
Heritage Commerce Corp.*		267		1,717
Walker & Dunlop, Inc.*		135		1,701
First Bancorp, Inc.		112		1,661
Bridge Bancorp, Inc.		79		1,657
Marlin Business Services Corp.		110		1,657
Kohlberg Capital Corp.		239		1,651
Edelman Financial Group, Inc.		249		1,646
UMH Properties, Inc.		150		1,644
Crawford & Co. — Class B		329		1,612
FBR & Company*		624		1,604
Harris & Harris Group, Inc.*		386		1,602
Medley Capital Corp.		142		1,600
Seacoast Banking Corporation of Florida*		909		1,600
Solar Senior Capital Ltd.		98		1,579
First Pactrust Bancorp, Inc.		129		1,538
Nicholas Financial, Inc.		116		1,530
Sierra Bancorp		155		1,524
Suffolk Bancorp*		116		1,507
THL Credit, Inc.		117		1,505
Center Bancorp, Inc.		150		1,505
Meridian Interstate Bancorp, Inc.*		112		1,471
Bridge Capital Holdings*		109		1,467
ESSA Bancorp, Inc.		148		1,450
Consolidated-Tomoka Land Co.		48		1,428
MPG Office Trust, Inc.*		601		1,406
Terreno Realty Corp.		98		1,402
JMP Group, Inc.		190		1,402
AV Homes, Inc.*		114		1,389
Donegal Group, Inc. — Class A		98		1,340
MidSouth Bancorp, Inc.		97		1,319
AG Mortgage Investment Trust, Inc.		66		1,303
Gleacher & Company, Inc.*		949		1,291
Whitestone REIT — Class B		95		1,239
New Mountain Finance Corp.		88		1,209
Century Bancorp, Inc. — Class A		44		1,201
Cape Bancorp, Inc.*		150		1,197
Enterprise Bancorp, Inc.		72		1,184
Hallmark Financial Services*		150		1,184
Clifton Savings Bancorp, Inc.		110		1,147
EMC Insurance Group, Inc.		55		1,105
Independence Holding Co.		108		1,076
Capital City Bank Group, Inc.		140		1,043
Fidus Investment Corp.		73		1,023
Universal Insurance Holdings, Inc.		242		941

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  83

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Roma Financial Corp.		95	$	930
CIFC Corp.*		145		899
Charter Financial Corp.		99		887
First Marblehead Corp.*		684		834
Orrstown Financial Services, Inc.		94		824
Pzena Investment Management, Inc. — Class A		111		649
Imperial Holdings, Inc.*		228		609
Fortegra Financial Corp.*		71		594
Gain Capital Holdings, Inc.		93		467
Cascade Bancorp*		71		403
Capital Bank Corp.*		174		390
Hampton Roads Bankshares, Inc.*		120		364
California First National Bancorp		21		322
Total Financials				3,418,006
INFORMATION TECHNOLOGY—13.9%
Parametric Technology Corp.*		1,470		41,072
Jack Henry & Associates, Inc.		1,070		36,508
Concur Technologies, Inc.*		547		31,387
Wright Express Corp.*		475		30,747
QLIK Technologies, Inc.*		877		28,064
SolarWinds, Inc.*		710		27,442
CommVault Systems, Inc.*		547		27,152
Anixter International, Inc.*		359		26,037
ADTRAN, Inc.		822		25,639
Aruba Networks, Inc.*		1,103		24,576
Taleo Corp. — Class A*		519		23,838
Ultimate Software Group, Inc.*		323		23,669
Plantronics, Inc.		586		23,593
FEI Co.*		479		23,523
CACI International, Inc. — Class A*		376		23,420
Semtech Corp.*		819		23,309
Microsemi Corp.*		1,070		22,941
Cognex Corp.		526		22,280
Finisar Corp.*		1,103		22,226
Aspen Technology, Inc.*		1,053		21,618
Viasat, Inc.*		444		21,405
Fair Isaac Corp.		484		21,248
Hittite Microwave Corp.*		385		20,909
Progress Software Corp.*		869		20,526
InterDigital, Inc.		570		19,870
Cirrus Logic, Inc.*		832		19,802
ACI Worldwide, Inc.*		483		19,450
Littelfuse, Inc.		307		19,248
MKS Instruments, Inc.		651		19,223
ValueClick, Inc.*		971		19,167
Cymer, Inc.*		377		18,849
Cavium, Inc.*		594		18,378
Blackbaud, Inc.		551		18,310
Netgear, Inc.*		472		18,030
Coherent, Inc.*		306		17,849
Mentor Graphics Corp.*		1,194		17,743
TiVo, Inc.*		1,477		17,709
Quest Software, Inc.*		755		17,569
MAXIMUS, Inc.		429		17,447

	SHARES		VALUE
Universal Display Corp.*		477	$	17,425
Convergys Corp.*		1,301		17,368
Arris Group, Inc.*		1,534		17,334
RF Micro Devices, Inc.*		3,412		16,992
Sourcefire, Inc.*		352		16,942
Sapient Corp.		1,346		16,758
NetSuite, Inc.*		331		16,646
j2 Global, Inc.		569		16,318
DealerTrack Holdings, Inc.*		523		15,825
Entegris, Inc.*		1,671		15,606
Plexus Corp.*		445		15,571
JDA Software Group, Inc.*		542		14,894
Acxiom Corp.*		1,013		14,871
Synaptics, Inc.*		405		14,786
OSI Systems, Inc.*		239		14,651
Tyler Technologies, Inc.*		378		14,519
Veeco Instruments, Inc.*		506		14,471
Omnivision Technologies, Inc.*		720		14,400
TriQuint Semiconductor, Inc.*		2,034		14,024
Take-Two Interactive Software, Inc.*		909		13,984
Heartland Payment Systems, Inc.		479		13,814
Manhattan Associates, Inc.*		285		13,546
MicroStrategy, Inc. — Class A*		96		13,440
Euronet Worldwide, Inc.*		637		13,307
Power Integrations, Inc.		355		13,178
Integrated Device Technology, Inc.*		1,833		13,106
Benchmark Electronics, Inc.*		767		12,648
Scansource, Inc.*		336		12,540
Insight Enterprises, Inc.*		571		12,522
Bottomline Technologies, Inc.*		444		12,405
VirnetX Holding Corp.*		503		12,037
SYNNEX Corp.*		311		11,862
FARO Technologies, Inc.*		200		11,666
OpenTable, Inc.*		287		11,614
Sanmina-SCI Corp.*		1,012		11,587
Liquidity Services, Inc.*		256		11,468
Emulex Corp.*		1,093		11,345
Websense, Inc.*		533		11,241
Cabot Microelectronics Corp.		287		11,159
BroadSoft, Inc.*		290		11,093
Kulicke & Soffa Industries, Inc.*		892		11,088
LivePerson, Inc.*		658		11,034
Syntel, Inc.		196		10,976
Constant Contact, Inc.*		368		10,963
Earthlink, Inc.		1,359		10,858
Tessera Technologies, Inc.*		628		10,833
Loral Space & Communications, Inc.		134		10,666
Synchronoss Technologies, Inc.*		330		10,534
Unisys Corp.*		534		10,530
Volterra Semiconductor Corp.*		304		10,462
MTS Systems Corp.		197		10,459
Infinera Corp.*		1,287		10,450
Kenexa Corp.*		333		10,403
Advent Software, Inc.*		402		10,291

84  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Brooks Automation, Inc.		821	$	10,123
Diodes, Inc.*		436		10,106
Mantech International Corp. — Class A		287		9,890
Stratasys, Inc.*		265		9,678
Electronics for Imaging, Inc.*		574		9,540
NIC, Inc.		786		9,534
Netscout Systems, Inc.*		467		9,499
Comtech Telecommunications Corp.		287		9,350
Lattice Semiconductor Corp.*		1,453		9,343
Rofin-Sinar Technologies, Inc.*		352		9,282
LogMeIn, Inc.*		262		9,230
ATMI, Inc.*		391		9,110
Ultratech, Inc.*		311		9,013
Ancestry.com, Inc.*		392		8,914
Verint Systems, Inc.*		271		8,778
Digital River, Inc.*		462		8,644
comScore, Inc.*		397		8,492
Newport Corp.*		469		8,311
Ebix, Inc.		355		8,222
Pegasystems, Inc.		209		7,975
Amkor Technology, Inc.*		1,282		7,878
Rambus, Inc.*		1,218		7,856
Park Electrochemical Corp.		257		7,769
Harmonic, Inc.*		1,417		7,751
Spansion, Inc. — Class A*		625		7,613
Sonus Networks, Inc.*		2,611		7,572
Rogers Corp.*		195		7,556
RealPage, Inc.*		390		7,476
Standard Microsystems Corp.*		286		7,399
TTM Technologies, Inc.*		643		7,388
Quantum Corp.*		2,790		7,310
SS&C Technologies Holdings, Inc.*		310		7,232
Monolithic Power Systems, Inc.*		366		7,199
DTS, Inc.*		237		7,162
Advanced Energy Industries, Inc.*		539		7,072
TNS, Inc.*		322		6,997
RealD, Inc.*		512		6,912
Brightpoint, Inc.*		854		6,875
Ceva, Inc.*		296		6,722
CSG Systems International, Inc.*		435		6,586
iGate Corp.*		389		6,520
Monotype Imaging Holdings, Inc.*		437		6,511
Forrester Research, Inc.		200		6,480
Measurement Specialties, Inc.*		190		6,403
Micrel, Inc.		620		6,361
Maxwell Technologies, Inc.*		341		6,251
Global Cash Access Holdings, Inc.*		800		6,240
InfoSpace, Inc.*		485		6,213
Entropic Communications, Inc.*		1,063		6,197
Super Micro Computer, Inc.*		349		6,094
Xyratex Ltd.		377		5,998
Ixia*		478		5,970
Black Box Corp.		234		5,969
Silicon Image, Inc.*		984		5,786

	SHARES		VALUE
Interactive Intelligence Group, Inc.*		189	$	5,766
Intermec, Inc.*		731		5,651
Dice Holdings, Inc.*		596		5,561
Checkpoint Systems, Inc.*		492		5,550
Accelrys, Inc.*		689		5,498
Applied Micro Circuits Corp.*		786		5,455
Opnet Technologies, Inc.		188		5,452
ExlService Holdings, Inc.*		198		5,433
United Online, Inc.		1,105		5,403
Web.com Group, Inc.*		369		5,325
Kemet Corp.*		548		5,129
PROS Holdings, Inc.*		272		5,086
Mercury Computer Systems, Inc.*		378		5,009
TeleTech Holdings, Inc.*		311		5,007
Cass Information Systems, Inc.		122		4,874
Move, Inc.*		501		4,865
STEC, Inc.*		514		4,852
Photronics, Inc.*		729		4,848
Nanometrics, Inc.*		258		4,776
EPIQ Systems, Inc.		392		4,743
Internap Network Services Corp.*		643		4,720
Electro Rent Corp.		256		4,713
CTS Corp.		433		4,555
Fabrinet*		257		4,551
Sycamore Networks, Inc.*		249		4,417
LTX-Credence Corp.*		612		4,400
Rudolph Technologies, Inc.*		396		4,400
Extreme Networks*		1,142		4,374
Methode Electronics, Inc.		458		4,250
Avid Technology, Inc.*		386		4,246
Electro Scientific Industries, Inc.		282		4,233
ICG Group, Inc.*		470		4,207
Oplink Communications, Inc.*		245		4,190
OCZ Technology Group, Inc.*		600		4,188
Procera Networks, Inc.*		181		4,047
Calix, Inc.*		472		4,026
Globecomm Systems, Inc.*		272		3,939
LoopNet, Inc.*		209		3,925
IXYS Corp.*		297		3,920
GSI Group, Inc.*		323		3,895
Power-One, Inc.*		854		3,886
Exar Corp.*		462		3,881
Daktronics, Inc.		431		3,832
Zygo Corp.*		195		3,816
Keynote Systems, Inc.		192		3,794
Inphi Corp.*		265		3,758
Silicon Graphics International Corp.*		386		3,736
Stamps.com, Inc.*		134		3,736
Integrated Silicon Solution, Inc.*		329		3,672
VASCO Data Security International, Inc.*		338		3,647
Saba Software, Inc.*		370		3,630
KIT Digital, Inc.*		502		3,614
Perficient, Inc.*		297		3,567
QuinStreet, Inc.*		340		3,567

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  85

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
MIPS Technologies, Inc. — Class A*		653	$	3,552
Formfactor, Inc.*		629		3,510
Digital Generation, Inc.*		342		3,492
Anaren, Inc.*		190		3,487
XO Group, Inc.*		371		3,484
Digi International, Inc.*		311		3,418
Kopin Corp.*		834		3,394
NVE Corp.*		64		3,392
Cohu, Inc.		297		3,377
CIBER, Inc.*		792		3,358
ShoreTel, Inc.*		583		3,311
Virtusa Corp.*		191		3,299
Cray, Inc.*		447		3,272
Ubiquiti Networks, Inc.*		101		3,195
Deltek, Inc.*		298		3,177
Symmetricom, Inc.*		535		3,087
Cornerstone OnDemand, Inc.*		140		3,058
Callidus Software, Inc.*		386		3,015
Envestnet, Inc.*		239		2,992
Multi-Fineline Electronix, Inc.*		109		2,992
Actuate Corp.*		474		2,977
SPS Commerce, Inc.*		109		2,930
Limelight Networks, Inc.*		885		2,912
ModusLink Global Solutions, Inc.*		539		2,911
Computer Task Group, Inc.*		189		2,895
Vocus, Inc.*		218		2,889
Glu Mobile, Inc.*		588		2,852
Mindspeed Technologies, Inc.*		435		2,771
Aeroflex Holding Corp.*		247		2,752
Imperva, Inc.*		68		2,662
Seachange International, Inc.*		337		2,622
RealNetworks, Inc.		263		2,614
Active Network, Inc.*		155		2,609
Pericom Semiconductor Corp.*		312		2,524
AXT, Inc.*		394		2,502
Supertex, Inc.*		136		2,458
American Software, Inc. — Class A		285		2,445
Tangoe, Inc.*		130		2,445
Oclaro, Inc.*		619		2,439
Bel Fuse, Inc. — Class B		138		2,438
Intevac, Inc.*		285		2,423
PDF Solutions, Inc.*		285		2,403
Zix Corp.*		822		2,392
Openwave Systems, Inc.*		1,051		2,386
Digimarc Corp.*		85		2,375
Imation Corp.*		380		2,352
FSI International, Inc.*		481		2,352
Convio, Inc.*		151		2,336
DDi Corp.		190		2,318
Angie’s List, Inc.*		122		2,305
Rubicon Technology, Inc.*		218		2,274
SciQuest, Inc.*		149		2,271
Ultra Clean Holdings*		301		2,270
Hackett Group, Inc.*		378		2,257
MoneyGram International, Inc.*		125		2,250

	SHARES		VALUE
Axcelis Technologies, Inc.*		1,308	$	2,250
PLX Technology, Inc.*		551		2,215
Vishay Precision Group, Inc.*		149		2,210
Echo Global Logistics, Inc.*		137		2,206
Lionbridge Technologies, Inc.*		761		2,192
Richardson Electronics Ltd.		180		2,156
KVH Industries, Inc.*		204		2,142
Aviat Networks, Inc.*		756		2,132
Agilysys, Inc.*		237		2,131
ServiceSource International, Inc.*		137		2,121
InvenSense, Inc. — Class A*		116		2,100
LeCroy Corp.*		201		2,088
Sigma Designs, Inc.*		399		2,067
IntraLinks Holdings, Inc.*		390		2,063
Guidance Software, Inc.*		186		2,055
Anadigics, Inc.*		836		1,981
Alpha & Omega Semiconductor Ltd.*		203		1,953
Immersion Corp.*		351		1,916
Wave Systems Corp. — Class A*		1,025		1,907
Echelon Corp.*		430		1,905
DSP Group, Inc.*		285		1,898
support.com, Inc.*		595		1,874
Archipelago Learning, Inc.*		165		1,835
Zillow, Inc. — Class A*		51		1,815
Radisys Corp.*		240		1,776
ePlus, Inc.*		55		1,758
Travelzoo, Inc.*		72		1,656
MoSys, Inc.*		408		1,620
TeleCommunication Systems, Inc. — Class A*		570		1,585
Westell Technologies, Inc. — Class A*		673		1,568
PRGX Global, Inc.*		246		1,547
X-Rite, Inc.*		337		1,530
Responsys, Inc.*		121		1,448
Rosetta Stone, Inc.*		137		1,414
TeleNav, Inc.*		201		1,411
FalconStor Software, Inc.*		376		1,406
Novatel Wireless, Inc.*		399		1,337
Pulse Electronics Corp.		532		1,335
Emcore Corp.*		277		1,321
TechTarget, Inc.*		190		1,317
Communications Systems, Inc.		96		1,260
Ellie Mae, Inc.*		111		1,239
Rimage Corp.		117		1,171
Marchex, Inc. — Class A		262		1,169
Numerex Corp. — Class A*		114		1,115
MaxLinear, Inc. — Class A*		199		1,108
QAD, Inc. — Class A*		83		1,087
Dot Hill Systems Corp.*		713		1,077
GSI Technology, Inc.*		249		1,056
PC Connection, Inc.		127		1,044
SRS Labs, Inc.*		150		1,043
Dynamics Research Corp.*		108		1,041
Smith Micro Software, Inc.*		438		1,021
Identive Group, Inc.*		480		1,003

86  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Amtech Systems, Inc.*		114	$	950
Carbonite, Inc.*		86		947
Opnext, Inc.*		539		835
Powerwave Technologies, Inc.*		392		804
eMagin Corp.*		234		761
Demand Media, Inc.*		103		747
Viasystems Group, Inc.*		39		740
Intermolecular, Inc.*		114		708
NCI, Inc. — Class A*		89		569
Meru Networks, Inc.*		139		563
Motricity, Inc.*		470		517
NeoPhotonics Corp.*		109		516
THQ, Inc.*		837		469
Stream Global Services, Inc.*		119		392
Quepasa Corp.*		83		369
Dialogic, Inc.*		191		166
FriendFinder Networks, Inc.*		69		94
Total Information Technology				2,511,545
INDUSTRIALS—13.3%
Clean Harbors, Inc.*		578		38,916
Acuity Brands, Inc.		541		33,990
United Rentals, Inc.*		776		33,283
Woodward, Inc.		772		33,064
Alaska Air Group, Inc.*		892		31,952
Dollar Thrifty Automotive Group, Inc.*		384		31,070
CLARCOR, Inc.		620		30,436
Triumph Group, Inc.		476		29,826
Hexcel Corp.*		1,212		29,100
Teledyne Technologies, Inc.*		452		28,499
Old Dominion Freight Line, Inc.*		583		27,792
Esterline Technologies Corp.*		377		26,940
Chart Industries, Inc.*		365		26,765
HEICO Corp.		516		26,620
Genesee & Wyoming, Inc. — Class A*		485		26,471
Watsco, Inc.		344		25,470
Robbins & Myers, Inc.		488		25,400
Actuant Corp. — Class A		853		24,728
Moog, Inc. — Class A*		564		24,190
EMCOR Group, Inc.		829		22,979
Middleby Corp.*		227		22,968
Acacia Research Corp.*		534		22,289
Belden, Inc.		582		22,064
CoStar Group, Inc.*		317		21,889
Mueller Industries, Inc.		481		21,861
Applied Industrial Technologies, Inc.		526		21,634
EnerSys*		618		21,414
Curtiss-Wright Corp.		571		21,133
AO Smith Corp.		468		21,037
Tetra Tech, Inc.*		767		20,218
Colfax Corp.*		561		19,770
FTI Consulting, Inc.*		521		19,548
Corporate Executive Board Co.		445		19,139
RSC Holdings, Inc.*		837		18,908

	SHARES		VALUE
Brady Corp. — Class A		582	$	18,828
Advisory Board Co.*		208		18,433
Avis Budget Group, Inc.*		1,300		18,395
Barnes Group, Inc.		683		17,970
United Stationers, Inc.		568		17,624
Healthcare Services Group, Inc.		824		17,525
Simpson Manufacturing Company, Inc.		523		16,866
Herman Miller, Inc.		728		16,715
Rollins, Inc.		780		16,598
HUB Group, Inc. — Class A*		458		16,502
ABM Industries, Inc.		673		16,354
Atlas Air Worldwide Holdings, Inc.*		324		15,944
Watts Water Technologies, Inc. — Class A		384		15,648
Geo Group, Inc.*		813		15,455
US Airways Group, Inc.*		2,016		15,302
HNI Corp.		551		15,290
II-VI, Inc.*		642		15,183
USG Corp.*		882		15,170
Beacon Roofing Supply, Inc.*		582		14,992
Deluxe Corp.		640		14,989
JetBlue Airways Corp.*		3,041		14,871
Brink’s Co.		595		14,203
Franklin Electric Company, Inc.		284		13,936
Mine Safety Appliances Co.		338		13,885
Granite Construction, Inc.		481		13,823
Raven Industries, Inc.		226		13,788
RBC Bearings, Inc.*		294		13,562
Forward Air Corp.		368		13,495
Werner Enterprises, Inc.		539		13,400
Knight Transportation, Inc.		754		13,316
GT Advanced Technologies, Inc.*		1,553		12,843
MasTec, Inc.*		698		12,626
Titan International, Inc.		522		12,345
3D Systems Corp.*		524		12,335
ESCO Technologies, Inc.		324		11,913
Amerco, Inc.		109		11,501
Unifirst Corp.		185		11,387
Swift Transportation Co. — Class A*		976		11,263
Briggs & Stratton Corp.		619		11,099
Huron Consulting Group, Inc.*		293		11,005
EnPro Industries, Inc.*		267		10,974
Kaman Corp.		321		10,898
Tennant Co.		238		10,472
Kaydon Corp.		408		10,408
Lindsay Corp.		155		10,272
Dycom Industries, Inc.*		437		10,208
Blount International, Inc.*		612		10,208
TAL International Group, Inc.		274		10,059
Ceradyne, Inc.		304		9,898
Knoll, Inc.		594		9,884
Allegiant Travel Co. — Class A*		180		9,810
Korn*		582		9,748
Orbital Sciences Corp.*		726		9,547
Mobile Mini, Inc.*		452		9,546
McGrath Rentcorp		296		9,505

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  87

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Steelcase, Inc. — Class A		986	$	9,466
TrueBlue, Inc.*		524		9,368
Cubic Corp.		197		9,314
Interface, Inc. — Class A		664		9,263
Interline Brands, Inc.*		426		9,206
Astec Industries, Inc.*		249		9,084
AAR Corp.		494		9,016
Heartland Express, Inc.		620		8,965
Insperity, Inc.		289		8,855
Navigant Consulting, Inc.*		636		8,847
Aegion Corp. — Class A*		493		8,790
Wabash National Corp.*		846		8,756
Exponent, Inc.*		180		8,734
G&K Services, Inc. — Class A		255		8,721
Aircastle Ltd.		710		8,690
Resources Connection, Inc.		610		8,571
Rush Enterprises, Inc. — Class A*		402		8,530
ACCO Brands Corp.*		684		8,488
Quanex Building Products Corp.		479		8,445
SYKES Enterprises, Inc.*		524		8,279
Universal Forest Products, Inc.		240		8,275
NACCO Industries, Inc. — Class A		71		8,262
AZZ, Inc.		158		8,160
On Assignment, Inc.*		464		8,106
American Science & Engineering, Inc.		119		7,979
Albany International Corp. — Class A		345		7,918
Generac Holdings, Inc.*		311		7,635
Encore Wire Corp.		252		7,492
Team, Inc.*		241		7,459
SkyWest, Inc.		664		7,337
Trimas Corp.*		325		7,277
Sauer-Danfoss, Inc.		154		7,238
CIRCOR International, Inc.		215		7,153
H&E Equipment Services, Inc.*		351		6,641
GeoEye, Inc.*		274		6,595
Sun Hydraulics Corp.		252		6,592
Standex International Corp.		158		6,508
Badger Meter, Inc.		190		6,458
Mueller Water Products, Inc. — Class A		1,927		6,417
Altra Holdings, Inc.*		329		6,317
Trex Company, Inc.*		196		6,288
Griffon Corp.		584		6,249
Kforce, Inc.*		415		6,184
Tutor Perini Corp.*		391		6,092
ICF International, Inc.*		238		6,038
Cascade Corp.		117		5,864
Arkansas Best Corp.		311		5,850
RailAmerica, Inc.*		271		5,816
John Bean Technologies Corp.		358		5,800
Tredegar Corp.		296		5,799
DigitalGlobe, Inc.*		434		5,790
Aerovironment, Inc.*		214		5,737
Gibraltar Industries, Inc.*		377		5,712

	SHARES		VALUE
Higher One Holdings, Inc.*		377	$	5,636
Primoris Services Corp.		349		5,605
Gorman-Rupp Co.		190		5,544
Titan Machinery, Inc.*		196		5,527
Global Power Equipment Group, Inc.*		196		5,429
Kelly Services, Inc. — Class A		334		5,341
Layne Christensen Co.*		239		5,318
Ennis, Inc.		335		5,300
Great Lakes Dredge & Dock Corp.		730		5,271
Comfort Systems USA, Inc.		483		5,270
Heidrick & Struggles International, Inc.		238		5,243
GenCorp, Inc.*		730		5,183
Consolidated Graphics, Inc.*		112		5,068
AAON, Inc.		249		5,027
Viad Corp.		258		5,013
US Ecology, Inc.		228		4,957
EnergySolutions, Inc.*		1,000		4,900
Greenbrier Companies, Inc.*		246		4,868
Mistras Group, Inc.*		200		4,764
Textainer Group Holdings Ltd.		140		4,746
DXP Enterprises, Inc.*		109		4,740
Astronics Corp.*		129		4,510
Apogee Enterprises, Inc.		343		4,442
MYR Group, Inc.*		245		4,376
Accuride Corp.*		502		4,362
Commercial Vehicle Group, Inc.*		357		4,359
Quad Graphics Inc.		311		4,323
Federal Signal Corp.*		772		4,292
Wesco Aircraft Holdings, Inc.*		264		4,277
Standard Parking Corp.*		208		4,264
Marten Transport Ltd.		189		4,171
Celadon Group, Inc.		257		3,996
InnerWorkings, Inc.*		337		3,926
Columbus McKinnon Corp.*		241		3,926
Air Transport Services Group, Inc.*		667		3,862
Spirit Airlines, Inc.*		190		3,813
CRA International, Inc.*		151		3,808
Powell Industries, Inc.*		104		3,562
Kadant, Inc.*		149		3,549
Dolan Co.*		381		3,471
Dynamic Materials Corp.		161		3,399
Saia, Inc.*		199		3,385
LB Foster Co. — Class A		118		3,364
PMFG, Inc.*		222		3,332
FreightCar America, Inc.		148		3,329
Houston Wire & Cable Co.		237		3,292
GP Strategies Corp.*		186		3,255
Taser International, Inc.*		750		3,255
Aceto Corp.		342		3,246
Hawaiian Holdings, Inc.*		619		3,237
Douglas Dynamics, Inc.		233		3,204
Multi-Color Corp.		140		3,151
Capstone Turbine Corp.*		3,056		3,117
CBIZ, Inc.*		489		3,090

88  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Ameresco, Inc. — Class A*		224	$	3,035
Furmanite Corp.*		467		2,998
Republic Airways Holdings, Inc.*		595		2,939
American Railcar Industries, Inc.*		123		2,892
CDI Corp.		159		2,851
Graham Corp.		130		2,846
Odyssey Marine Exploration, Inc.*		904		2,802
NCI Building Systems, Inc.*		239		2,751
Pacer International, Inc.*		435		2,749
CAI International, Inc.*		151		2,745
Kimball International, Inc. — Class B		392		2,709
Thermon Group Holdings, Inc.*		131		2,679
Insteel Industries, Inc.		218		2,649
Hurco Companies, Inc.*		93		2,627
Twin Disc, Inc.		100		2,609
American Reprographics Co.*		481		2,593
Swisher Hygiene, Inc.*		1,043		2,566
Quality Distribution, Inc.*		185		2,549
FuelCell Energy, Inc.*		1,621		2,545
Miller Industries, Inc.		148		2,504
Builders FirstSource, Inc.*		578		2,445
SeaCube Container Leasing Ltd.		142		2,442
Northwest Pipe Co.*		114		2,421
Michael Baker Corp.*		101		2,409
Alamo Group, Inc.		80		2,405
Orion Marine Group, Inc.*		329		2,379
American Superconductor Corp.*		575		2,369
Preformed Line Products Co.		36		2,358
Flow International Corp.*		584		2,348
Genco Shipping & Trading Ltd.*		366		2,327
Cenveo, Inc.*		684		2,312
Ampco-Pittsburgh Corp.		110		2,214
Kratos Defense & Security Solutions, Inc.*		414		2,211
Hudson Highland Group, Inc.*		403		2,168
RPX Corp.*		127		2,154
LMI Aerospace, Inc.*		117		2,129
Lydall, Inc.*		208		2,120
Park-Ohio Holdings Corp.*		105		2,105
Metalico, Inc.*		491		2,097
Sterling Construction Company, Inc.*		213		2,077
Roadrunner Transportation Systems, Inc.*		119		2,065
American Woodmark Corp.		114		2,052
EnerNOC, Inc.*		284		2,045
Met-Pro Corp.		191		2,017
Zipcar, Inc.*		135		1,999
Vicor Corp.		247		1,976
TMS International Corp. — Class A*		161		1,948
Casella Waste Systems, Inc. — Class A*		311		1,938
Barrett Business Services, Inc.		97		1,924
Patriot Transportation Holding, Inc.*		81		1,886
Schawk, Inc. — Class A		150		1,877
LSI Industries, Inc.		239		1,752
KEYW Holding Corp.*		226		1,752
Pike Electric Corp.*		208		1,712

	SHARES		VALUE
Courier Corp.		147	$	1,705
NN, Inc.*		208		1,697
Ducommun, Inc.*		138		1,642
Franklin Covey Co.*		171		1,609
Intersections, Inc.		124		1,585
International Shipholding Corp.		68		1,570
Eagle Bulk Shipping, Inc.*		775		1,504
Argan, Inc.		93		1,492
PowerSecure International, Inc.*		246		1,491
TRC Companies, Inc.*		228		1,393
AT Cross Co. — Class A*		114		1,373
Energy Recovery, Inc.*		572		1,316
Heritage-Crystal Clean, Inc.*		65		1,297
Chase Corp.		81		1,276
Fuel Tech, Inc.*		229		1,250
A123 Systems, Inc.*		1,096		1,228
Hill International, Inc.*		311		1,222
VSE Corp.		48		1,191
Excel Maritime Carriers Ltd. — Class A*		571		1,142
Universal Truckload Services, Inc.		67		1,009
Coleman Cable, Inc.*		100		972
Tecumseh Products Co. — Class A*		238		957
Xerium Technologies, Inc.*		136		877
Baltic Trading Ltd.		204		847
Broadwind Energy, Inc.*		1,723		810
Essex Rental Corp.*		207		791
Active Power, Inc.*		985		768
Valence Technology, Inc.*		897		725
School Specialty, Inc.*		196		694
Lawson Products, Inc.		43		650
Ultrapetrol Bahamas Ltd.*		274		548
Microvision, Inc.*		194		530
UniTek Global Services, Inc.*		137		462
Omega Flex, Inc.*		36		457
Satcon Technology Corp.*		1,120		403
Covenant Transportation Group, Inc. — Class A*		102		326
Compx International, Inc.		15		209
Total Industrials				2,407,389
CONSUMER DISCRETIONARY—11.7%
Ascena Retail Group, Inc.*		775		34,349
Sotheby’s		833		32,769
Warnaco Group, Inc.*		531		31,011
Carter’s, Inc.*		612		30,459
Rent-A-Center, Inc. — Class A		762		28,766
Brunswick Corp.		1,111		28,608
Domino’s Pizza, Inc.		785		28,496
Dana Holding Corp.		1,827		28,318
Tenneco, Inc.*		742		27,565
Life Time Fitness, Inc.*		536		27,106
Cinemark Holdings, Inc.		1,155		25,352
Men’s Wearhouse, Inc.		640		24,813
Coinstar, Inc.*		389		24,721
Six Flags Entertainment Corp.		517		24,180
Crocs, Inc.*		1,118		23,388
Wolverine World Wide, Inc.		625		23,237

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  89

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Pier 1 Imports, Inc.*		1,251	$	22,743
Pool Corp.		595		22,265
Select Comfort Corp.*		683		22,122
Cheesecake Factory, Inc.*		742		21,807
Aeropostale, Inc.*		1,002		21,663
Cabela’s, Inc.*		544		20,754
Genesco, Inc.*		289		20,707
Buffalo Wild Wings, Inc.*		228		20,677
Steven Madden Ltd.*		476		20,349
Vail Resorts, Inc.		449		19,419
HSN, Inc.		493		18,748
ANN, Inc.*		643		18,416
Hibbett Sports, Inc.*		336		18,329
Hillenbrand, Inc.		774		17,763
Jos A. Bank Clothiers, Inc.*		347		17,492
Children’s Place Retail Stores, Inc.*		335		17,309
Express, Inc.*		686		17,136
Saks, Inc.*		1,451		16,846
Live Nation Entertainment, Inc.*		1,747		16,422
Buckle, Inc.		339		16,238
Cracker Barrel Old Country Store, Inc.		290		16,182
Group 1 Automotive, Inc.		282		15,841
Monro Muffler Brake, Inc.		378		15,683
Iconix Brand Group, Inc.*		899		15,625
Liz Claiborne, Inc.*		1,169		15,618
Collective Brands, Inc.*		768		15,099
BJ’s Restaurants, Inc.*		297		14,954
Meredith Corp.		444		14,412
Bob Evans Farms, Inc.		376		14,183
Penske Automotive Group, Inc.		575		14,162
Strayer Education, Inc.		149		14,049
Valassis Communications, Inc.*		609		14,007
Finish Line, Inc. — Class A		644		13,666
Vitamin Shoppe, Inc.*		309		13,661
Gaylord Entertainment Co.*		443		13,644
Jack in the Box, Inc.*		563		13,495
Regis Corp.		721		13,288
Jones Group, Inc.		1,051		13,201
Texas Roadhouse, Inc. — Class A		778		12,946
Helen of Troy Ltd.*		380		12,924
Arbitron, Inc.		338		12,500
MDC Holdings, Inc.		473		12,198
Sturm Ruger & Company, Inc.		246		12,079
Orient-Express Hotels Ltd. — Class A*		1,179		12,026
Matthews International Corp. — Class A		379		11,992
Peet’s Coffee & Tea, Inc.*		161		11,866
Office Depot, Inc.*		3,433		11,844
Shuffle Master, Inc.*		672		11,827
Scholastic Corp.		335		11,819
Cooper Tire & Rubber Co.		768		11,689
New York Times Co. — Class A*		1,695		11,509
Shutterfly, Inc.*		365		11,435
Ryland Group, Inc.		553		10,661
National CineMedia, Inc.		684		10,465
PF Chang’s China Bistro, Inc.		264		10,433
International Speedway Corp. — Class A		375		10,406

	SHARES		VALUE
Asbury Automotive Group, Inc.*		385	$	10,395
GNC Holdings, Inc. — Class A		286		9,979
PEP Boys-Manny Moe & Jack		662		9,877
Zumiez, Inc.*		273		9,858
Ascent Capital Group, Inc. — Class A*		206		9,742
American Axle & Manufacturing Holdings, Inc.*		825		9,661
Cato Corp. — Class A		345		9,536
La-Z-Boy, Inc.*		637		9,530
Meritor, Inc.*		1,169		9,434
DineEquity, Inc.*		190		9,424
Steiner Leisure Ltd.*		191		9,327
CEC Entertainment, Inc.		246		9,326
Meritage Homes Corp.*		344		9,309
Papa John’s International, Inc.*		242		9,114
Pinnacle Entertainment, Inc.*		786		9,047
True Religion Apparel, Inc.*		328		8,987
Sonic Automotive, Inc. — Class A		501		8,973
Interval Leisure Group, Inc.		501		8,717
American Public Education, Inc.*		228		8,664
Churchill Downs, Inc.		154		8,609
Charming Shoppes, Inc.*		1,442		8,508
KB Home		953		8,482
Scientific Games Corp. — Class A*		721		8,407
American Greetings Corp. — Class A		542		8,314
Belo Corp. — Class A		1,141		8,182
Oxford Industries, Inc.		160		8,131
iRobot Corp.*		294		8,014
Lions Gate Entertainment Corp.*		571		7,948
K12, Inc.*		334		7,892
Lithia Motors, Inc. — Class A		292		7,650
Ethan Allen Interiors, Inc.		298		7,545
Vera Bradley, Inc.*		249		7,517
Ameristar Casinos, Inc.		397		7,396
Ruby Tuesday, Inc.*		799		7,295
Capella Education Co.*		202		7,262
Biglari Holdings, Inc.*		18		7,251
Lumber Liquidators Holdings, Inc.*		281		7,056
Knology, Inc.*		384		6,989
Sinclair Broadcast Group, Inc. — Class A		631		6,979
Columbia Sportswear Co.		146		6,928
Fred’s, Inc. — Class A		466		6,808
Dorman Products, Inc.*		133		6,730
Drew Industries, Inc.*		239		6,527
Quiksilver, Inc.*		1,602		6,472
Maidenform Brands, Inc.*		284		6,393
Arctic Cat, Inc.*		146		6,253
Grand Canyon Education, Inc.*		349		6,198
Stage Stores, Inc.		380		6,171
OfficeMax, Inc.*		1,062		6,075
Skechers U.S.A., Inc. — Class A*		473		6,017
Sonic Corp.*		780		5,990
Red Robin Gourmet Burgers, Inc.*		161		5,988
G-III Apparel Group Ltd.*		208		5,911
Jakks Pacific, Inc.		338		5,898
Stewart Enterprises, Inc. — Class A		970		5,888

90  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Superior Industries International, Inc.		299	$	5,842
Standard Pacific Corp.*		1,308		5,834
Smith & Wesson Holding Corp.*		752		5,828
Core-Mark Holding Company, Inc.		140		5,731
Bridgepoint Education, Inc.*		227		5,618
Rue21, Inc.*		190		5,575
Hot Topic, Inc.		539		5,471
Fuel Systems Solutions, Inc.*		207		5,415
Callaway Golf Co.		798		5,394
Krispy Kreme Doughnuts, Inc.*		729		5,322
Boyd Gaming Corp.*		674		5,284
Blue Nile, Inc.*		157		5,178
AFC Enterprises, Inc.*		304		5,156
Movado Group, Inc.		209		5,131
Modine Manufacturing Co.*		572		5,051
America’s Car-Mart, Inc.*		112		4,926
Denny’s Corp.*		1,218		4,921
Harte-Hanks, Inc.		543		4,914
Barnes & Noble, Inc.*		369		4,889
National Presto Industries, Inc.		64		4,855
Bravo Brio Restaurant Group, Inc.*		240		4,790
Brown Shoe Company, Inc.		517		4,772
Blyth, Inc.		61		4,565
Amerigon, Inc.*		281		4,547
Cost Plus, Inc.*		253		4,529
Leapfrog Enterprises, Inc. — Class A*		532		4,448
Standard Motor Products, Inc.		248		4,400
Bebe Stores, Inc.		475		4,384
Body Central Corp.*		150		4,353
EW Scripps Co. — Class A*		420		4,145
Cavco Industries, Inc.*		88		4,099
Corinthian Colleges, Inc.*		977		4,045
Francesca’s Holdings Corp.*		127		4,014
NutriSystem, Inc.		348		3,908
Wet Seal, Inc. — Class A*		1,120		3,864
Universal Electronics, Inc.*		190		3,796
Shoe Carnival, Inc.*		117		3,770
Universal Technical Institute, Inc.		275		3,627
Winnebago Industries, Inc.*		369		3,616
Multimedia Games Holding Company, Inc.*		329		3,606
MDC Partners, Inc. — Class A		312		3,469
Kirkland’s, Inc.*		209		3,382
Stoneridge, Inc.*		338		3,343
PetMed Express, Inc.		267		3,305
Ruth’s Hospitality Group, Inc.*		435		3,302
Fisher Communications, Inc.*		106		3,256
Town Sports International Holdings, Inc.*		255		3,221
Central European Media Enterprises Ltd. — Class A*		452		3,209
Marcus Corp.		255		3,200
Libbey, Inc.*		245		3,170
Exide Technologies*		980		3,067
Beazer Homes USA, Inc.*		943		3,065
VOXX International Corp. — Class A*		223		3,024
Caribou Coffee Company, Inc.*		161		3,001
Journal Communications, Inc. — Class A*		531		2,990

	SHARES		VALUE
World Wrestling Entertainment, Inc. — Class A		336	$	2,980
M/I Homes, Inc.*		237		2,929
Perry Ellis International, Inc.*		155		2,894
Speedway Motorsports, Inc.		150		2,802
Conn’s, Inc.*		178		2,732
Haverty Furniture Companies, Inc.		239		2,653
Talbots, Inc.*		872		2,642
REX American Resources Corp.*		86		2,640
hhgregg, Inc.*		229		2,606
Rentrak Corp.*		114		2,588
Mattress Firm Holding Corp.*		66		2,501
Weyco Group, Inc.		105		2,489
Destination Maternity Corp.		134		2,488
Benihana, Inc. — Class A		187		2,440
Carrols Restaurant Group, Inc.*		154		2,349
MarineMax, Inc.*		284		2,337
Big 5 Sporting Goods Corp.		298		2,336
Stein Mart, Inc.*		345		2,277
West Marine, Inc.*		190		2,276
Lincoln Educational Services Corp.		286		2,262
O’Charleys, Inc.*		229		2,253
Steinway Musical Instruments, Inc.*		90		2,250
Spartan Motors, Inc.		420		2,222
Mac-Gray Corp.		145		2,194
Systemax, Inc.*		130		2,192
Citi Trends, Inc.*		190		2,177
McClatchy Co. — Class A*		718		2,075
Tuesday Morning Corp.*		534		2,051
Skullcandy, Inc.*		123		1,947
CSS Industries, Inc.		100		1,946
Entercom Communications Corp. — Class A*		297		1,928
Winmark Corp.		33		1,912
Hovnanian Enterprises, Inc. — Class A*		764		1,872
Saga Communications, Inc. — Class A*		52		1,862
Unifi, Inc.*		186		1,797
Isle of Capri Casinos, Inc.*		249		1,758
Casual Male Retail Group, Inc.*		522		1,754
Teavana Holdings, Inc.*		88		1,735
Delta Apparel, Inc.*		103		1,692
Jamba, Inc.*		813		1,683
Red Lion Hotels Corp.*		200		1,642
Cumulus Media, Inc. — Class A*		467		1,630
Kenneth Cole Productions, Inc. — Class A*		98		1,578
Gordmans Stores, Inc.*		70		1,538
Outdoor Channel Holdings, Inc.		206		1,506
Bon-Ton Stores, Inc.		162		1,497
Luby’s, Inc.*		246		1,493
LIN TV Corp. — Class A*		366		1,482
Motorcar Parts of America, Inc.*		150		1,443
RG Barry Corp.		109		1,330
Morgans Hotel Group Co.*		268		1,327
Cherokee, Inc.		116		1,321
K-Swiss, Inc. — Class A*		321		1,316
Lifetime Brands, Inc.		117		1,315
Black Diamond, Inc.*		142		1,315
New York & Company, Inc.*		347		1,294

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  91

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Martha Stewart Living Omnimedia — Class A		334	$	1,273
Sealy Corp.*		613		1,238
Zale Corp.*		399		1,233
Einstein Noah Restaurant Group, Inc.		82		1,223
AH Belo Corp. — Class A		242		1,183
Ambassadors Group, Inc.		219		1,172
Gray Television, Inc.*		615		1,162
Nexstar Broadcasting Group, Inc. — Class A*		137		1,138
Monarch Casino & Resort, Inc.*		107		1,102
Tower International, Inc.*		90		1,096
Summer Infant, Inc.*		179		1,074
Entravision Communications Corp. — Class A		619		1,058
Valuevision Media, Inc. — Class A*		510		1,056
Johnson Outdoors, Inc. — Class A*		55		1,051
Coldwater Creek, Inc.*		902		1,046
Pacific Sunwear of California, Inc.*		584		1,028
Build-A-Bear Workshop, Inc. — Class A*		192		1,008
1-800-Flowers.com, Inc. — Class A*		329		997
ReachLocal, Inc.*		131		934
Geeknet, Inc.*		63		911
Furniture Brands International, Inc.*		531		892
Global Sources Ltd.*		140		862
Christopher & Banks Corp.		446		830
Orbitz Worldwide, Inc.*		267		814
Marine Products Corp.		135		803
Overstock.com, Inc.*		140		734
National American University Holdings, Inc.		112		706
Crown Media Holdings, Inc. — Class A*		430		684
Skyline Corp.		89		681
US Auto Parts Network, Inc.*		185		668
Shiloh Industries, Inc.		63		600
Cambium Learning Group, Inc.*		214		567
Digital Domain Media Group, Inc.*		40		228
Value Line, Inc.		18		221
Dial Global, Inc.*		61		142
Total Consumer Discretionary				2,118,886
HEALTH CARE—10.6%
WellCare Health Plans, Inc.*		528		37,952
Salix Pharmaceuticals Ltd.*		717		37,642
Cepheid, Inc.*		802		33,549
HMS Holdings Corp.*		1,053		32,865
Cubist Pharmaceuticals, Inc.*		743		32,136
athenahealth, Inc.*		430		31,871
Centene Corp.*		630		30,851
Onyx Pharmaceuticals, Inc.*		787		29,654
Medivation, Inc.*		385		28,767
Medicis Pharmaceutical Corp. — Class A		759		28,530
Zoll Medical Corp.*		298		27,603
Viropharma, Inc.*		879		26,431
Ariad Pharmaceuticals, Inc.*		1,639		26,142
Questcor Pharmaceuticals, Inc.*		659		24,792
Vivus, Inc.*		1,104		24,685
Seattle Genetics, Inc.*		1,193		24,313
HealthSouth Corp.*		1,180		24,167
Owens & Minor, Inc.		792		24,084

	SHARES		VALUE
STERIS Corp.		736	$	23,271
Haemonetics Corp.*		327		22,785
Alkermes plc*		1,176		21,815
Incyte Corporation Ltd.*		1,110		21,423
Align Technology, Inc.*		768		21,158
Quality Systems, Inc.		479		20,947
PAREXEL International Corp.*		739		19,932
Impax Laboratories, Inc.*		808		19,861
Magellan Health Services, Inc.*		400		19,524
West Pharmaceutical Services, Inc.		445		18,926
PSS World Medical, Inc.*		724		18,346
Volcano Corp.*		642		18,201
Par Pharmaceutical Companies, Inc.*		448		17,351
Theravance, Inc.*		866		16,887
MAKO Surgical Corp.*		399		16,818
Chemed Corp.		256		16,047
Pharmacyclics, Inc.*		576		15,990
Masimo Corp.*		657		15,361
Halozyme Therapeutics, Inc.*		1,090		13,908
MWI Veterinary Supply, Inc.*		158		13,904
Jazz Pharmaceuticals plc*		284		13,765
Cyberonics, Inc.*		352		13,422
Medicines Co.*		662		13,286
Immunogen, Inc.*		923		13,282
Acorda Therapeutics, Inc.*		488		12,956
Air Methods Corp.*		142		12,391
Molina Healthcare, Inc.*		342		11,501
Nektar Therapeutics*		1,413		11,191
Luminex Corp.*		476		11,115
Neogen Corp.*		284		11,096
PDL BioPharma, Inc.		1,737		11,030
NxStage Medical, Inc.*		571		11,003
Auxilium Pharmaceuticals, Inc.*		592		10,993
Insulet Corp.*		571		10,929
Amsurg Corp. — Class A*		389		10,885
Isis Pharmaceuticals, Inc.*		1,227		10,761
Analogic Corp.		158		10,671
CONMED Corp.		349		10,425
Meridian Bioscience, Inc.		514		9,961
Accretive Health, Inc.*		495		9,886
InterMune, Inc.*		665		9,756
HeartWare International, Inc.*		148		9,722
Hanger Orthopedic Group, Inc.*		440		9,618
Dynavax Technologies Corp.*		1,885		9,538
Wright Medical Group, Inc.*		485		9,370
Arthrocare Corp.*		345		9,263
Spectrum Pharmaceuticals, Inc.*		710		8,967
Endologix, Inc.*		606		8,878
Ironwood Pharmaceuticals, Inc. — Class A*		667		8,878
NuVasive, Inc.*		521		8,774
Momenta Pharmaceuticals, Inc.*		569		8,717
Integra LifeSciences Holdings Corp.*		251		8,707
Orthofix International N.V.*		231		8,681
ABIOMED, Inc.*		391		8,676
DexCom, Inc.*		828		8,636
Exelixis, Inc.*		1,622		8,402

92  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Abaxis, Inc.*		284	$	8,273
Akorn, Inc.*		697		8,155
Optimer Pharmaceuticals, Inc.*		570		7,923
MedAssets, Inc.*		593		7,804
Exact Sciences Corp.*		694		7,745
Computer Programs & Systems, Inc.		136		7,687
IPC The Hospitalist Company, Inc.*		207		7,640
ICU Medical, Inc.*		149		7,325
NPS Pharmaceuticals, Inc.*		1,063		7,271
Idenix Pharmaceuticals, Inc.*		742		7,264
Bio-Reference Labs, Inc.*		304		7,147
Greatbatch, Inc.*		289		7,086
Team Health Holdings, Inc.*		343		7,052
Medidata Solutions, Inc.*		262		6,980
Rigel Pharmaceuticals, Inc.*		852		6,859
OraSure Technologies, Inc.*		595		6,837
Genomic Health, Inc.*		218		6,673
Emeritus Corp.*		377		6,658
Quidel Corp.*		356		6,540
Merit Medical Systems, Inc.*		524		6,508
Omnicell, Inc.*		424		6,449
Opko Health, Inc.*		1,343		6,352
National Healthcare Corp.		138		6,287
Cantel Medical Corp.		248		6,222
Landauer, Inc.		116		6,150
Accuray, Inc.*		850		6,001
Invacare Corp.		349		5,783
Triple-S Management Corp. — Class B*		250		5,775
Conceptus, Inc.*		395		5,680
Achillion Pharmaceuticals, Inc.*		585		5,604
AVANIR Pharmaceuticals, Inc. — Class A*		1,631		5,578
Ensign Group, Inc.		205		5,568
Kindred Healthcare, Inc.*		642		5,547
Arena Pharmaceuticals, Inc.*		1,804		5,538
Amedisys, Inc.*		379		5,480
HealthStream, Inc.*		227		5,264
Sequenom, Inc.*		1,261		5,132
Affymax, Inc.*		435		5,107
Alnylam Pharmaceuticals, Inc.*		455		5,037
Hi-Tech Pharmacal Company, Inc.*		139		4,994
Neurocrine Biosciences, Inc.*		624		4,973
Metropolitan Health Networks, Inc.*		526		4,929
AVEO Pharmaceuticals, Inc.*		387		4,803
Emergent Biosolutions, Inc.*		299		4,784
eResearchTechnology, Inc.*		611		4,778
Staar Surgical Co.*		437		4,733
Arqule, Inc.*		667		4,676
Curis, Inc.*		957		4,613
Sunrise Senior Living, Inc.*		720		4,550
PharMerica Corp.*		365		4,537
MModal, Inc.*		418		4,410
Universal American Corp.		402		4,334
AMAG Pharmaceuticals, Inc.*		271		4,317
Select Medical Holdings Corp.*		561		4,314
Spectranetics Corp.*		411		4,274
Keryx Biopharmaceuticals, Inc.*		858		4,273

	SHARES		VALUE
Natus Medical, Inc.*		357	$	4,259
Depomed, Inc.*		673		4,213
Lexicon Pharmaceuticals, Inc.*		2,263		4,209
ExamWorks Group, Inc.*		330		4,099
MAP Pharmaceuticals, Inc.*		282		4,050
Merge Healthcare, Inc.*		690		4,037
ZIOPHARM Oncology, Inc.*		746		4,028
Assisted Living Concepts, Inc. — Class A		240		3,986
Raptor Pharmaceutical Corp.*		586		3,961
Ardea Biosciences, Inc.*		182		3,960
Santarus, Inc.*		667		3,902
Navidea Biopharmaceuticals, Inc.*		1,170		3,838
Ligand Pharmaceuticals, Inc. — Class B*		239		3,812
AngioDynamics, Inc.*		309		3,785
Vanguard Health Systems, Inc.*		378		3,727
Affymetrix, Inc.*		870		3,715
LHC Group, Inc.*		197		3,650
Progenics Pharmaceuticals, Inc.*		366		3,623
ISTA Pharmaceuticals, Inc.*		399		3,595
Corvel Corp.*		90		3,590
Tornier N.V.*		138		3,547
Antares Pharma, Inc.*		1,097		3,543
BioScrip, Inc.*		498		3,381
Obagi Medical Products, Inc.*		252		3,377
Atrion Corp.		16		3,363
US Physical Therapy, Inc.		143		3,296
Transcend Services, Inc.*		112		3,287
Gentiva Health Services, Inc.*		376		3,286
Clovis Oncology, Inc.*		128		3,258
Cell Therapeutics, Inc.*		2,500		3,250
Unilife Corp.*		796		3,232
Kensey Nash Corp.		110		3,219
Capital Senior Living Corp.*		346		3,197
Symmetry Medical, Inc.*		452		3,196
Enzon Pharmaceuticals, Inc.*		467		3,194
Healthways, Inc.*		431		3,172
Sangamo Biosciences, Inc.*		642		3,146
Vical, Inc.*		891		3,029
IRIS International, Inc.*		223		3,013
SurModics, Inc.*		194		2,982
Furiex Pharmaceuticals, Inc.*		126		2,977
AMN Healthcare Services, Inc.*		490		2,969
Immunomedics, Inc.*		818		2,969
Infinity Pharmaceuticals, Inc.*		241		2,882
Celldex Therapeutics, Inc.*		549		2,794
Almost Family, Inc.*		105		2,731
Sciclone Pharmaceuticals, Inc.*		431		2,720
Geron Corp.*		1,592		2,690
Cambrex Corp.*		375		2,621
AVI BioPharma, Inc.*		1,678		2,584
Providence Service Corp.*		163		2,528
RTI Biologics, Inc.*		682		2,523
Cerus Corp.*		593		2,384
Solta Medical, Inc.*		756		2,291
Cadence Pharmaceuticals, Inc.*		607		2,246
Vascular Solutions, Inc.*		208		2,244

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  93

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Oncothyreon, Inc.*		510	$	2,224
MannKind Corp.*		898		2,218
Maxygen, Inc.*		384		2,204
Palomar Medical Technologies, Inc.*		230		2,148
Young Innovations, Inc.		69		2,133
Sun Healthcare Group, Inc.*		311		2,127
Cynosure, Inc. — Class A*		117		2,090
Corcept Therapeutics, Inc.*		521		2,048
Pozen, Inc.*		337		2,022
Array Biopharma, Inc.*		590		2,012
Nymox Pharmaceutical Corp.*		244		1,962
XenoPort, Inc.*		433		1,949
Savient Pharmaceuticals, Inc.*		877		1,912
Synergetics USA, Inc.*		294		1,911
Dusa Pharmaceuticals, Inc.*		305		1,909
Dyax Corp.*		1,220		1,903
Delcath Systems, Inc.*		594		1,865
AtriCure, Inc.*		186		1,851
Exactech, Inc.*		116		1,839
Rockwell Medical Technologies, Inc.*		194		1,835
Skilled Healthcare Group, Inc. — Class A*		237		1,815
CryoLife, Inc.*		344		1,813
Chelsea Therapeutics International Ltd.*		707		1,810
Five Star Quality Care, Inc.*		514		1,753
Hansen Medical, Inc.*		583		1,749
BioCryst Pharmaceuticals, Inc.*		359		1,734
Orexigen Therapeutics, Inc.*		422		1,730
Cross Country Healthcare, Inc.*		345		1,728
Pain Therapeutics, Inc.*		480		1,723
Cardiovascular Systems, Inc.*		186		1,721
Sagent Pharmaceuticals, Inc.*		96		1,716
Targacept, Inc.*		335		1,715
Vanda Pharmaceuticals, Inc.*		353		1,691
Medtox Scientific, Inc.*		97		1,635
Aegerion Pharmaceuticals, Inc.*		117		1,618
Alphatec Holdings, Inc.*		669		1,586
Cytori Therapeutics, Inc.*		635		1,581
OncoGenex Pharmaceutical, Inc.*		117		1,555
Novavax, Inc.*		1,210		1,525
Allos Therapeutics, Inc.*		971		1,437
SIGA Technologies, Inc.*		427		1,435
Pacific Biosciences of California, Inc.*		418		1,430
Fluidigm Corp.*		89		1,400
Chindex International, Inc.*		147		1,397
Biotime, Inc.*		303		1,336
Synta Pharmaceuticals Corp.*		304		1,322
Astex Pharmaceuticals*		692		1,287
Enzo Biochem, Inc.*		476		1,280
Metabolix, Inc.*		435		1,231
RadNet, Inc.*		377		1,199
National Research Corp.		27		1,159
Sucampo Pharmaceuticals, Inc. — Class A*		155		1,155
Insmed, Inc.*		314		1,140
Medical Action Industries, Inc.*		199		1,138
Harvard Bioscience, Inc.*		286		1,121
GTx, Inc.*		288		1,109

		SHARES		VALUE
Zalicus, Inc.*			920	$	1,104
Codexis, Inc.*			301		1,099
Endocyte, Inc.*			215		1,071
Pacira Pharmaceuticals, Inc.*			92		1,062
Osiris Therapeutics, Inc.*			203		1,039
Biolase Technology, Inc.*			379		1,027
Amicus Therapeutics, Inc.*			193		1,019
Sunesis Pharmaceuticals, Inc.*			352		1,010
Nabi Biopharmaceuticals*			534		993
Biospecifics Technologies Corp.*			62		981
CardioNet, Inc.*			305		939
Biosante Pharmaceuticals, Inc.*			1,357		923
Ampio Pharmaceuticals, Inc.*			261		890
Cleveland Biolabs, Inc.*			348		856
KV Pharmaceutical Co. — Class A*			640		845
Anacor Pharmaceuticals, Inc.*			142		836
Lannett Company, Inc.*			198		826
Durect Corp.*			1,002		802
Albany Molecular Research, Inc.*			294		794
PharmAthene, Inc.*			444		786
NewLink Genetics Corp.*			85		778
Uroplasty, Inc.*			257		774
Transcept Pharmaceuticals, Inc.*	��		71		747
Bacterin International Holdings, Inc.*			293		709
BG Medicine, Inc.*			98		688
Columbia Laboratories, Inc.*			905		643
Epocrates, Inc.*			73		626
Anthera Pharmaceuticals, Inc.*			273		603
Cornerstone Therapeutics, Inc.*			100		596
BioMimetic Therapeutics, Inc.*			239		590
Peregrine Pharmaceuticals, Inc.*			1,052		568
Zogenix, Inc.*			265		530
Zeltiq Aesthetics, Inc.*			84		518
Trius Therapeutics, Inc.*			90		482
Alimera Sciences, Inc.*			136		460
Pernix Therapeutics Holdings*			51		459
Acura Pharmaceuticals, Inc.*			130		450
Alliance HealthCare Services, Inc.*			298		447
Complete Genomics, Inc.*			142		400
Stereotaxis, Inc.*			549		357
DynaVox, Inc. — Class A*			114		351
Horizon Pharma, Inc.*			68		282
Neostem, Inc.*			629		237
Total Health Care					1,916,187
ENERGY—5.3%
World Fuel Services Corp.			875		35,874
Energy XXI Bermuda Ltd.*			935		33,763
Rosetta Resources, Inc.*			652		31,792
Kodiak Oil & Gas Corp.*			3,182		31,693
Lufkin Industries, Inc.			376		30,323
Berry Petroleum Co. — Class A			638		30,069
CVR Energy, Inc.*			1,088		29,104
Dril-Quip, Inc.*			427		27,764
Key Energy Services, Inc.*			1,553		23,994
Helix Energy Solutions Group, Inc.*			1,314		23,389

94  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Oasis Petroleum, Inc.*		736	$	22,691
Bristow Group, Inc.		457		21,813
Golar LNG Ltd.		493		18,759
Stone Energy Corp.*		625		17,869
Gulfport Energy Corp.*		559		16,278
Northern Oil and Gas, Inc.*		778		16,136
Hornbeck Offshore Services, Inc.*		378		15,887
SemGroup Corp. — Class A*		531		15,473
Swift Energy Co.*		529		15,357
Bill Barrett Corp.*		582		15,138
Gulfmark Offshore, Inc. — Class A*		298		13,696
Carrizo Oil & Gas, Inc.*		483		13,650
Clean Energy Fuels Corp.*		635		13,513
McMoRan Exploration Co.*		1,216		13,011
Western Refining, Inc.		667		12,553
Cheniere Energy, Inc.*		822		12,314
Cloud Peak Energy, Inc.*		758		12,076
Approach Resources, Inc.*		318		11,750
Petroleum Development Corp.*		294		10,904
ION Geophysical Corp.*		1,628		10,501
Exterran Holdings, Inc.*		791		10,433
Nordic American Tankers Ltd.		616		9,782
Targa Resources Corp.		207		9,408
Comstock Resources, Inc.*		593		9,387
W&T Offshore, Inc.		444		9,360
Newpark Resources, Inc.*		1,120		9,173
Tetra Technologies, Inc.*		962		9,062
Contango Oil & Gas Co.*		153		9,013
Magnum Hunter Resources Corp.*		1,397		8,955
Parker Drilling Co.*		1,447		8,639
Ship Finance International Ltd.		561		8,583
GeoResources, Inc.*		251		8,218
Apco Oil and Gas International, Inc.		117		7,976
Crosstex Energy, Inc.		522		7,381
Patriot Coal Corp.*		1,124		7,014
Hercules Offshore, Inc.*		1,433		6,778
Pioneer Drilling Co.*		765		6,732
Resolute Energy Corp.*		572		6,509
Goodrich Petroleum Corp.*		334		6,353
Vaalco Energy, Inc.*		636		6,010
OYO Geospace Corp.*		57		6,004
Energy Partners Ltd.*		358		5,946
Endeavour International Corp.*		487		5,771
Rentech, Inc.*		2,755		5,730
Clayton Williams Energy, Inc.*		71		5,640
Gulf Island Fabrication, Inc.		191		5,591
Tesco Corp.*		378		5,364
Heckmann Corp.*		1,244		5,362
Basic Energy Services, Inc.*		297		5,153
BPZ Resources, Inc.*		1,267		5,106
Frontline Ltd.		637		4,899
Rex Energy Corp.*		435		4,646
Matrix Service Co.*		331		4,637
Knightsbridge Tankers Ltd.		296		4,256
Petroquest Energy, Inc.*		688		4,224

	SHARES		VALUE
Overseas Shipholding Group, Inc.		325	$	4,105
ATP Oil & Gas Corp.*		555		4,079
Venoco, Inc.*		376		4,076
Cal Dive International, Inc.*		1,176		3,881
PHI, Inc.*		161		3,727
Triangle Petroleum Corp.*		534		3,685
Uranium Energy Corp.*		927		3,615
FX Energy, Inc.*		651		3,541
Dawson Geophysical Co.*		103		3,538
Vantage Drilling Co.*		2,155		3,448
Mitcham Industries, Inc.*		150		3,369
Abraxas Petroleum Corp.*		1,014		3,164
Teekay Tankers Ltd. — Class A		518		3,144
Callon Petroleum Co.*		481		3,025
Delek US Holdings, Inc.		195		3,024
Harvest Natural Resources, Inc.*		427		3,023
Warren Resources, Inc.*		882		2,875
Panhandle Oil and Gas, Inc. — Class A		90		2,653
Green Plains Renewable Energy, Inc.*		245		2,644
Penn Virginia Corp.		581		2,644
Hyperdynamics Corp.*		2,049		2,643
C&J Energy Services, Inc.*		147		2,615
Scorpio Tankers, Inc.*		367		2,591
Global Geophysical Services, Inc.*		228		2,419
James River Coal Co.*		443		2,268
Gastar Exploration Ltd.*		717		2,144
Uranerz Energy Corp.*		802		2,021
Natural Gas Services Group, Inc.*		153		2,020
Solazyme, Inc.*		137		2,004
Evolution Petroleum Corp.*		194		1,804
Miller Energy Resources, Inc.*		398		1,680
KiOR, Inc. — Class A*		124		1,658
Ur-Energy, Inc.*		1,293		1,577
Willbros Group, Inc.*		485		1,571
Westmoreland Coal Co.*		136		1,519
USEC, Inc.*		1,432		1,518
Voyager Oil & Gas, Inc.*		582		1,414
RigNet, Inc.*		71		1,245
Alon USA Energy, Inc.		137		1,240
Crimson Exploration, Inc.*		282		1,170
Amyris, Inc.*		224		1,160
Houston American Energy Corp.*		208		1,086
Syntroleum Corp.*		1,100		1,062
Union Drilling, Inc.*		190		1,056
Uranium Resources, Inc.*		1,151		1,047
GMX Resources, Inc.*		790		1,003
Zion Oil & Gas, Inc.*		379		1,001
Isramco, Inc.*		10		874
DHT Holdings, Inc.		822		789
Gevo, Inc.*		82		754
CAMAC Energy, Inc.*		721		721
L&L Energy, Inc.*		276		676
Hallador Energy Co.		56		495
Geokinetics, Inc.*		144		253
Total Energy				956,587

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  95

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
MATERIALS - 3.9%
Coeur d’Alene Mines Corp.*		1,106	$	26,256
Sensient Technologies Corp.		626		23,789
Olin Corp.		1,000		21,750
NewMarket Corp.		109		20,427
Chemtura Corp.*		1,194		20,274
HB Fuller Co.		607		19,928
Eagle Materials, Inc.		551		19,147
Stillwater Mining Co.*		1,423		17,987
Buckeye Technologies, Inc.		494		16,782
PolyOne Corp.		1,153		16,603
Hecla Mining Co.		3,467		16,018
Minerals Technologies, Inc.		237		15,502
Louisiana-Pacific Corp.*		1,636		15,297
Georgia Gulf Corp.*		428		14,928
Worthington Industries, Inc.		752		14,424
Innophos Holdings, Inc.		282		14,134
Schweitzer-Mauduit International, Inc.		199		13,743
Thompson Creek Metals Company, Inc.*		1,888		12,763
SunCoke Energy, Inc.*		860		12,221
Globe Specialty Metals, Inc.		775		11,524
Calgon Carbon Corp.*		723		11,285
Graphic Packaging Holding Co.*		1,983		10,946
Balchem Corp.		357		10,799
OM Group, Inc.*		386		10,619
Kraton Performance Polymers, Inc.*		399		10,601
Boise, Inc.		1,285		10,550
A. Schulman, Inc.		377		10,187
Texas Industries, Inc.		286		10,013
Koppers Holdings, Inc.		254		9,794
Haynes International, Inc.		153		9,693
KapStone Paper and Packaging Corp.*		489		9,633
Kaiser Aluminum Corp.		203		9,594
LSB Industries, Inc.*		241		9,380
Clearwater Paper Corp.*		281		9,332
PH Glatfelter Co.		578		9,121
Deltic Timber Corp.		142		8,987
Innospec, Inc.*		293		8,901
Stepan Co.		100		8,780
AMCOL International Corp.		297		8,759
RTI International Metals, Inc.*		378		8,717
Gold Resource Corp.		349		8,484
Flotek Industries, Inc.*		620		7,452
Materion Corp.*		251		7,211
TPC Group, Inc.*		161		7,118
Ferro Corp.*		1,066		6,332
Quaker Chemical Corp.		158		6,233
American Vanguard Corp.		286		6,203
Horsehead Holding Corp.*		539		6,139
Golden Star Resources Ltd.*		3,192		5,937
Wausau Paper Corp.		622		5,834
McEwen Mining, Inc.*		1,299		5,768
Myers Industries, Inc.		389		5,737
Century Aluminum Co.*		636		5,648
Neenah Paper, Inc.		180		5,353

	SHARES		VALUE
Jaguar Mining, Inc.*		1,057	$	4,936
Universal Stainless & Alloy*		102		4,357
Zep, Inc.		298		4,291
Hawkins, Inc.		104		3,869
Zoltek Companies, Inc.*		341		3,860
Omnova Solutions, Inc.*		564		3,807
Paramount Gold and Silver Corp.*		1,442		3,259
Zagg, Inc.*		304		3,232
Headwaters, Inc.*		765		3,198
Noranda Aluminum Holding Corp.		293		2,921
Golden Minerals Co.*		345		2,908
General Moly, Inc.*		835		2,797
Vista Gold Corp.*		877		2,754
AM Castle & Co.*		208		2,631
Olympic Steel, Inc.		109		2,616
FutureFuel Corp.		231		2,536
Metals USA Holdings Corp.*		154		2,219
Landec Corp.*		331		2,161
United States Lime & Minerals, Inc.*		36		2,156
Spartech Corp.*		386		1,884
STR Holdings, Inc.*		369		1,786
AEP Industries, Inc.*		50		1,741
KMG Chemicals, Inc.		96		1,733
Midway Gold Corp.*		1,056		1,510
Senomyx, Inc.*		488		1,337
Revett Minerals, Inc.*		312		1,304
NL Industries, Inc.		83		1,237
Handy & Harman Ltd.*		71		1,025
US Energy Corp.*		305		964
Verso Paper Corp.*		186		350
Total Materials				704,016
CONSUMER STAPLES—3.0%
Nu Skin Enterprises, Inc. — Class A		679		39,320
United Natural Foods, Inc.*		596		27,809
TreeHouse Foods, Inc.*		438		26,060
Casey’s General Stores, Inc.		468		25,955
Darling International, Inc.*		1,443		25,136
Harris Teeter Supermarkets, Inc.*		626		25,103
Hain Celestial Group, Inc.*		447		19,583
Fresh Market, Inc.*		353		16,926
Pricesmart, Inc.		223		16,237
Lancaster Colony Corp.		241		16,017
Snyders-Lance, Inc.		583		15,071
Sanderson Farms, Inc.		275		14,583
Universal Corp.		295		13,747
B&G Foods, Inc. — Class A		592		13,326
Rite Aid Corp.*		7,281		12,669
Andersons, Inc.		239		11,637
Prestige Brands Holdings, Inc.*		639		11,169
Boston Beer Company, Inc. — Class A*		101		10,786
Elizabeth Arden, Inc.*		306		10,704
Vector Group Ltd.		600		10,632
Fresh Del Monte Produce, Inc.		451		10,301
J&J Snack Foods Corp.		185		9,705
WD-40 Co.		198		8,979

96  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
Spectrum Brands Holdings, Inc.*		208	$	7,272
Cal-Maine Foods, Inc.		186		7,116
Tootsie Roll Industries, Inc.		306		7,010
Weis Markets, Inc.		151		6,584
Diamond Foods, Inc.		272		6,207
Central Garden and Pet Co. — Class A*		589		5,672
Pilgrim’s Pride Corp.*		756		5,640
Chiquita Brands International, Inc.*		566		4,975
Spartan Stores, Inc.		274		4,965
Smart Balance, Inc.*		736		4,865
Central European Distribution Corp.*		911		4,655
Dole Food Company, Inc.*		447		4,461
Star Scientific, Inc.*		1,320		4,330
Nash Finch Co.		149		4,235
Coca-Cola Bottling Company Consolidated		66		4,141
Alliance One International, Inc.*		1,077		4,060
Calavo Growers, Inc.		142		3,803
Pantry, Inc.*		289		3,760
Chefs’ Warehouse, Inc.*		136		3,147
Inter Parfums, Inc.		196		3,075
USANA Health Sciences, Inc.*		82		3,061
Susser Holdings Corp.*		118		3,029
Medifast, Inc.*		173		3,021
Seneca Foods Corp. — Class A*		114		3,003
Village Super Market, Inc. — Class A		91		2,875
Ingles Markets, Inc. — Class A		155		2,734
National Beverage Corp.*		153		2,454
Nature’s Sunshine Products, Inc.*		152		2,435
Revlon, Inc. — Class A*		133		2,294
Omega Protein Corp.*		243		1,849
Schiff Nutrition International, Inc.*		150		1,844
Nutraceutical International Corp.*		117		1,704
Limoneira Co.		95		1,605
Oil-Dri Corporation of America		70		1,490
Arden Group, Inc. — Class A		15		1,363
Female Health Co.		237		1,285
Synutra International, Inc.*		210		1,235
Alico, Inc.		44		1,017
Craft Brew Alliance, Inc.*		130		996
Farmer Brothers Co.*		89		969
Griffin Land & Nurseries, Inc.		31		819
MGP Ingredients, Inc.		145		780
Imperial Sugar Co.		153		718
Harbinger Group, Inc.*		109		565
Lifeway Foods, Inc.*		53		490
Primo Water Corp.*		203		396
Total Consumer Staples				535,459
UTILITIES—2.7%
Cleco Corp.		762		30,213
Piedmont Natural Gas Company, Inc.		892		27,714
WGL Holdings, Inc.		637		25,926
IDACORP, Inc.		615		25,289
Southwest Gas Corp.		563		24,063
New Jersey Resources Corp.		527		23,488
Portland General Electric Co.		934		23,331
UIL Holdings Corp.		620		21,551

	SHARES		VALUE
Atlantic Power Corp.		1,399	$	19,362
PNM Resources, Inc.		1,054		19,288
South Jersey Industries, Inc.		376		18,815
Avista Corp.		722		18,468
Unisource Energy Corp.		468		17,115
El Paso Electric Co.		522		16,960
Black Hills Corp.		488		16,363
Allete, Inc.		390		16,181
NorthWestern Corp.		448		15,886
Northwest Natural Gas Co.		334		15,164
MGE Energy, Inc.		295		13,095
CH Energy Group, Inc.		194		12,946
Empire District Electric Co.		526		10,704
Laclede Group, Inc.		273		10,652
Otter Tail Corp.		448		9,722
California Water Service Group		526		9,578
American States Water Co.		231		8,348
Central Vermont Public Service Corp.		175		6,160
SJW Corp.		198		4,776
Ormat Technologies, Inc.		234		4,715
Chesapeake Utilities Corp.		114		4,688
Unitil Corp.		134		3,595
Middlesex Water Co.		190		3,589
Connecticut Water Service, Inc.		109		3,084
York Water Co.		154		2,664
Artesian Resources Corp. — Class A		100		1,879
Genie Energy Ltd. — Class B		186		1,799
Consolidated Water Company Ltd.		183		1,448
Cadiz, Inc.*		150		1,380
Dynegy, Inc. — Class A*		1,278		716
Total Utilities				490,715
TELECOMMUNICATION SERVICES—0.7%
AboveNet, Inc.*		283		23,432
Cogent Communications Group, Inc.*		582		11,105
Cincinnati Bell, Inc.*		2,452		9,858
Leap Wireless International, Inc.*		753		6,574
Consolidated Communications Holdings, Inc.		334		6,556
Premiere Global Services, Inc.*		653		5,903
Pendrell Corp.*		1,879		4,904
Neutral Tandem, Inc.*		395		4,815
Iridium Communications, Inc.*		540		4,730
General Communication, Inc. — Class A*		517		4,508
SureWest Communications		186		4,194
NTELOS Holdings Corp.		197		4,078
Atlantic Tele-Network, Inc.		111		4,036
Vonage Holdings Corp.*		1,710		3,779
USA Mobility, Inc.		270		3,761
Shenandoah Telecommunications Co.		295		3,289
8x8, Inc.*		768		3,226
Cbeyond, Inc.*		344		2,752
Towerstream Corp.*		523		2,484
Lumos Networks Corp.		197		2,120
inContact, Inc.*		376		2,098
HickoryTech Corp.		182		1,882
Alaska Communications Systems Group, Inc.		565		1,740
IDT Corp. — Class B		186		1,737

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  97

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
RUSSELL 2000® 1.5x STRATEGY FUND

	SHARES		VALUE
ORBCOMM, Inc.*		435	$	1,675
Fairpoint Communications, Inc.*		276		1,038
Boingo Wireless, Inc.*		75		908
Globalstar, Inc.*		1,263		884
Total Telecommunication Services				128,066
Total Common Stocks (Cost $13,358,555)				15,186,856
WARRANTS††—0.0%
Magnum Hunter Resources Corp.
$10.50, 10/14/13		23		—
Total Warrants (Costs $—)				—
RIGHTS††—0.0%
DHT Holdings, Inc.
Expires 05/01/12		822		214
Total Rights (Cost $178)				214
		FACE
	AMOUNT
REPURCHASE AGREEMENTS††,1—18.0%
Credit Suisse Group issued 03/30/12 at 0.01 % due 04/02/122	$	1,648,004		1,648,004
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		1,192,458		1,192,458
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01%due 04/02/12		335,497		335,497
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		89,171		89,171
Total Repurchase Agreements (Cost $3,265,130)				3,265,130
Total Investments – 102.0% (Cost $16,623,863)			$	18,452,200
Other Assets & Liabilities, net – (2.0)%				(357,067	)
Total Net Assets – 100.0%			$	18,095,133

			UNREALIZED
	CONTRACTS		GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 Russell 2000 Index
Mini Futures Contracts
(Aggregate Value of
Contracts $2,067,500)		25	$	54,724
	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Barclays Bank plc
April 2012 Russell 2000 Index Swap,
Terminating 04/30/123
(Notional Value $1,751,057)		2,109	$	(3,993	)
Goldman Sachs International
April 2012 Russell 2000 Index
Swap, Terminating 04/27/123
(Notional Value $253,917)		306		(4,721	)
Morgan Stanley Capital Services, Inc.
April 2012 Russell 2000 Index Swap,
Terminating 04/30/123
(Notional Value $1,315,918)		1,585		(14,670	)
Credit Suisse Capital, LLC
April 2012 Russell 2000 Index Swap,
Terminating 04/30/123
(Notional Value $6,682,463)		8,048		(15,315	)
(Total Notional Value $10,003,355)			$	(38,699	)

* 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 31, 2012.

3 Total Return based on Russell 2000 Index +/- financing at a variable rate.

          plc — Public Limited Company

          REIT — Real Estate Investment Trust

98  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

RUSSELL 2000^® 1.5x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES STATEMENT OF OPERATIONS

March 31, 2012
ASSETS:
Investments, at value (cost $13,358,733)	$	15,187,070
Repurchase agreements, at value (cost $3,265,130)		3,265,130
Total investments (cost $16,623,863)		18,452,200
Foreign currency, at value (cost $103)		103
Segregated cash with broker		597,403
Cash		421
Receivables:
Fund shares sold		25,403
Dividends		19,744
Total assets		19,095,274
LIABILITIES:
Unrealized depreciation on swap agreements		38,699
Payable for:
Fund shares redeemed		913,723
Management fees		15,153
Variation margin		9,000
Distribution and service fees		5,343
Transfer agent and administrative fees		4,209
Swap settlement		2,775
Portfolio accounting fees		1,683
Miscellaneous		9,556
Total liabilities		1,000,141
NET ASSETS	$	18,095,133
NET ASSETS CONSIST OF:
Paid in capital	$	27,481,787
Accumulated net investment loss		(43,290	)
Accumulated net realized loss on investments		(11,187,726	)
Net unrealized appreciation on investments		1,844,362
Net assets	$	18,095,133
A-CLASS:
Net assets	$	1,354,840
Capital shares outstanding		42,075
Net asset value per share	$	32.20
Maximum offering price per share
(Net asset value divided by 95.25%)	$	33.81
C-CLASS:
Net assets	$	1,838,682
Capital shares outstanding		62,275
Net asset value per share	$	29.52
H-CLASS:
Net assets	$	14,901,611
Capital shares outstanding		463,761
Net asset value per share	$	32.13

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $41)	$	102,706
Interest		4,414
Total investment income		107,120
EXPENSES:
Management fees		198,961
Transfer agent and administrative fees		55,267
Distribution and service fees:
A-Class		2,783
C-Class		20,139
H-Class		47,450
Portfolio accounting fees		22,107
Custodian fees		5,572
Trustees’ fees*		2,297
Miscellaneous		41,635
Total expenses		396,211
Net investment loss		(289,091	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		1,385,222
Swap agreements		(2,610,267	)
Futures contracts		(5,424	)
Foreign currency		(6	)
Realized gain distributions received from investment company shares		328
Net realized loss		(1,230,147	)
Net change in unrealized appreciation (depreciation) on:
Investments		(333,899	)
Swap agreements		(1,452,305	)
Futures contracts		(59,916	)
Net change in unrealized appreciation (depreciation)		(1,846,120	)
Net realized and unrealized loss		(3,076,267	)
Net decrease in net assets resulting from operations	$	(3,365,358	)

* 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 SERIES FUNDS ANNUAL REPORT  |  99

RUSSELL 2000^® 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	March 31,			March 31,
	2012			2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(289,091	)	$	(342,033	)
Net realized gain (loss) on investments		(1,230,147	)		7,585,812
Net change in unrealized appreciation (depreciation) on investments		(1,846,120	)		(1,516,617	)
Net increase (decrease) in net assets resulting from operations		(3,365,358	)		5,727,162
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SALE OF SHARES
A-Class		3,364,331			6,815,665
C-Class		645,809			1,474,481
H-Class		184,051,398			198,061,598
COST OF SHARES REDEEMED
A-Class		(4,002,486	)		(5,760,396	)
C-Class		(1,356,339	)		(2,047,330	)
H-Class		(204,119,521	)		(188,080,975	)
Net increase (decrease) from capital share transactions		(21,416,808	)		10,463,043
Net increase (decrease) in net assets		(24,782,166	)		16,190,205
NET ASSETS:
Beginning of year		42,877,299			26,687,094
End of year	$	18,095,133		$	42,877,299
Accumulated net investment loss at end of year	$	(43,290	)	$	(3,229	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		108,140			266,605
C-Class		23,548			57,713
H-Class		6,337,910			7,264,965
Shares redeemed
A-Class		(133,321	)		(222,529	)
C-Class		(49,014	)		(88,368	)
H-Class		(6,975,808	)		(7,088,420
Net increase (decrease) in shares		(688,545	)		189,966

100  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

RUSSELL 2000^® 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	34.37		$	25.24		$	12.49		$	28.62		$	37.24
Income (loss) from investment operations:
Net investment income (loss)a		(.39	)		(.35	)		(.11	)		(.02	)		.29
Net gain (loss) on investments (realized and unrealized)		(1.78	)		9.48			12.86			(16.11	)		(8.83	)
Total from investment operations		(2.17	)		9.13			12.75			(16.13	)		(8.54	)
Less distributions from:
Net investment income		—			—			—			—			(.08	)
Total distributions		—			—			—			—			(.08	)
Net asset value, end of period	$	32.20		$	34.37		$	25.24		$	12.49		$	28.62
Total Returnb		(6.31	%)		36.17	%		102.08	%		(56.36	%)		(22.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,355		$	2,312		$	585		$	591		$	4,372
Ratios to average net assets:
Net investment income (loss)		(1.24	%)		(1.25	%)		(0.59	%)		(0.07	%)		0.81	%
Total expenses		1.73	%		1.72	%		1.71	%		1.70	%		1.67	%
Portfolio turnover rate		177	%		211	%		109	%		288	%		227	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	31.75		$	23.50		$	11.71		$	27.10		$	35.51
Income (loss) from investment operations:
Net investment income (loss)a		(.54	)		(.47	)		(.24	)		(.18	)		.03
Net gain (loss) on investments (realized and unrealized)		(1.69	)		8.72			12.03			(15.21	)		(8.36	)
Total from investment operations		(2.23	)		8.25			11.79			(15.39	)		(8.33	)
Less distributions from:
Net investment income		—			—			—			—			(.08	)
Total distributions		—			—			—			—			(.08	)
Net asset value, end of period	$	29.52		$	31.75		$	23.50		$	11.71		$	27.10
Total Returnb		(7.02	%)		35.11	%		100.68	%		(56.79	%)		(23.50	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,839		$	2,786		$	2,782		$	3,381		$	10,873
Ratios to average net assets:
Net investment income (loss)		(1.99	%)		(1.90	%)		(1.36	%)		(0.83	%)		0.09	%
Total expenses		2.49	%		2.47	%		2.46	%		2.45	%		2.42	%
Portfolio turnover rate		177	%		211	%		109	%		288	%		227	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  101

RUSSELL 2000^® 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	34.29		$	25.21		$	12.47		$	28.62		$	37.22
Income (loss) from investment operations:
Net investment income (loss)a		(.37	)		(.35	)		(.19	)		(.02	)		.30
Net gain (loss) on investments (realized and unrealized)		(1.79	)		9.43			12.93			(16.13	)		(8.82	)
Total from investment operations		(2.16	)		9.08			12.74			(16.15	)		(8.52	)
Less distributions from:
Net investment income		—			—			—			—			(.08	)
Total distributions		—			—			—			—			(.08	)
Net asset value, end of period	$	32.13		$	34.29		$	25.21		$	12.47		$	28.62
Total Returnb		(6.30	%)		36.02	%		102.17	%		(56.43	%)		(22.93	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,902		$	37,780		$	23,320		$	13,807		$	13,839
Ratios to average net assets:
Net investment income (loss)		(1.24	%)		(1.25	%)		(0.94	%)		(0.07	%)		0.83	%
Total expenses		1.73	%		1.72	%		1.71	%		1.70	%		1.67	%
Portfolio turnover rate		177	%		211	%		109	%		288	%		227	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

102  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  103

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

RUSSELL 2000^® FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000^® Index (the “underlying index”).

Russell 2000^® Fund H-Class turned in a -1.26% performance for the one-year period ended March 31, 2012. Its benchmark, the Russell 2000 Index*, returned -0.18% for the period. Russell 2000^® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the Russell 2000 Index.

The biggest performance contributors to the index during the period were the Financials and Health Care sectors. Energy and Information Technology provided the least performance to the index during the year.

Medivation, Inc., Nu Skin Enterprises, Inc. Class A and Inhibitex, Inc. were among the stocks which provided the most performance to the index during the year. MF Global Holdings Ltd., InterMune, Inc. and Patriot Coal Corp. were among the stocks which provided the least performance to the index during the year.

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

*Russell 2000^® Index measures the performance of the small-cap value segment of the U.S. equity universe.

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)
Parametric Technology Corp.	0.2	%
Nu Skin Enterprises, Inc. — Class A	0.2	%
Clean Harbors, Inc.	0.2	%
WellCare Health Plans, Inc.	0.2	%
Salix Pharmaceuticals Ltd.	0.2	%
American Campus Communities, Inc.	0.2	%
Jack Henry & Associates, Inc.	0.2	%
Home Properties, Inc.	0.2	%
Signature Bank	0.2	%
World Fuel Services Corp.	0.2	%
Top Ten Total	2.0	%

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

104  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

							Since
							Inception
	1 Year			5 Year			(05/31/06)
A-Class Shares		-1.19	%		0.55	%		2.31	%
A-Class Shares with sales charge‡		-5.87	%		-0.42	%		1.46	%
C-Class Shares		-2.04	%		-0.27	%		1.49	%
C-Class Shares with CDSC†		-3.02	%		-0.27	%		1.49	%
H-Class Shares		-1.26	%		0.53	%		2.28	%
Russell 2000 Index		-0.18	%		2.13	%		3.86	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  105

SCHEDULE OF INVESTMENTS	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
COMMON STOCKS† - 73.3%
FINANCIALS - 16.6%
American Campus Communities, Inc.		2,893	$	129,374
Home Properties, Inc.		2,036		124,216
Signature Bank*		1,964		123,810
BioMed Realty Trust, Inc.		6,419		121,833
CBL & Associates Properties, Inc.		6,314		119,462
National Retail Properties, Inc.		4,386		119,255
SVB Financial Group*		1,825		117,420
Kilroy Realty Corp.		2,503		116,665
Hancock Holding Co.		3,247		115,300
Extra Space Storage, Inc.		3,996		115,044
ProAssurance Corp.		1,301		114,631
MFA Financial, Inc.		15,157		113,224
Tanger Factory Outlet Centers		3,648		108,455
Mid-America Apartment Communities, Inc.		1,559		104,500
Highwoods Properties, Inc.		3,067		102,192
LaSalle Hotel Properties		3,626		102,035
Post Properties, Inc.		2,124		99,531
Entertainment Properties Trust		1,991		92,343
Delphi Financial Group, Inc. — Class A		2,057		92,091
Omega Healthcare Investors, Inc.		4,328		92,013
Equity Lifestyle Properties, Inc.		1,315		91,708
Prosperity Bancshares, Inc.		1,992		91,234
Hatteras Financial Corp.		3,186		88,890
Alterra Capital Holdings Ltd.		3,865		88,817
Invesco Mortgage Capital, Inc.		4,916		86,767
Stifel Financial Corp.*		2,289		86,615
Starwood Property Trust, Inc.		3,972		83,491
Washington Real Estate Investment Trust		2,806		83,337
FirstMerit Corp.		4,653		78,450
Colonial Properties Trust		3,549		77,119
First American Financial Corp.		4,480		74,502
CNO Financial Group, Inc.*		9,440		73,443
DiamondRock Hospitality Co.		7,126		73,327
Healthcare Realty Trust, Inc.		3,315		72,930
Webster Financial Corp.		3,068		69,552
FNB Corp.		5,744		69,388
Trustmark Corp.		2,730		68,195
Iberiabank Corp.		1,260		67,372
Susquehanna Bancshares, Inc.		6,706		66,255
Umpqua Holdings Corp.		4,873		66,078
Ezcorp, Inc. — Class A*		2,001		64,943
United Bankshares, Inc.		2,141		61,789
Ocwen Financial Corp.*		3,948		61,708
DCT Industrial Trust, Inc.		10,457		61,696
DuPont Fabros Technology, Inc.		2,509		61,345
Two Harbors Investment Corp.		6,024		61,083
UMB Financial Corp.		1,365		61,063
CubeSmart		5,082		60,476
Cash America International, Inc.		1,252		60,008
Apollo Investment Corp.		8,346		59,840
Cathay General Bancorp		3,351		59,313
Westamerica Bancorporation		1,232		59,136

	SHARES			VALUE
Sovran Self Storage, Inc.		1,178		$	58,700
Platinum Underwriters Holdings Ltd.		1,585			57,853
First Cash Financial Services, Inc.*		1,336			57,301
EastGroup Properties, Inc.		1,141			57,301
RLI Corp.		778			55,736
Texas Capital Bancshares, Inc.*		1,588			54,977
Knight Capital Group, Inc. — Class A*		4,271			54,968
Potlatch Corp.		1,701			53,309
Old National Bancorp		4,023			52,862
Wintrust Financial Corp.		1,476			52,826
Northwest Bancshares, Inc.		4,151			52,718
Portfolio Recovery Associates, Inc.*		722			51,781
PS Business Parks, Inc.		790			51,777
Montpelier Re Holdings Ltd.		2,652			51,237
Prospect Capital Corp.		4,640			50,946
National Health Investors, Inc.		1,034			50,439
Pebblebrook Hotel Trust		2,172			49,044
Sunstone Hotel Investors, Inc.*		5,030			48,992
Strategic Hotels & Resorts, Inc.*		7,439			48,949
MB Financial, Inc.		2,316			48,613
Cardtronics, Inc.*		1,833			48,116
BancorpSouth, Inc.		3,560			47,953
International Bancshares Corp.		2,258			47,757
Capstead Mortgage Corp.		3,593			47,104
First Financial Bankshares, Inc.		1,336			47,041
CYS Investments, Inc.		3,585			46,928
Glimcher Realty Trust		4,588			46,889
National Penn Bancshares, Inc.		5,266			46,604
Equity One, Inc.		2,289	��		46,284
Lexington Realty Trust		5,103			45,876
Glacier Bancorp, Inc.		3,056			45,657
First Industrial Realty Trust, Inc.*		3,686			45,522
MarketAxess Holdings, Inc.		1,209			45,084
Community Bank System, Inc.		1,565			45,041
Medical Properties Trust, Inc.		4,807			44,609
CVB Financial Corp.		3,799			44,600
First Financial Bancorp		2,485			42,991
LTC Properties, Inc.		1,290			41,280
Education Realty Trust, Inc.		3,798			41,170
Selective Insurance Group, Inc.		2,301			40,521
Acadia Realty Trust		1,796			40,482
Sun Communities, Inc.		923			39,994
MGIC Investment Corp.*		7,995			39,655
World Acceptance Corp.*		640			39,200
PrivateBancorp, Inc.		2,556			38,775
Columbia Banking System, Inc.		1,683			38,339
Park National Corp.		552			38,182
First Midwest Bancorp, Inc.		3,168			37,953
Redwood Trust, Inc.		3,341			37,419
Provident Financial Services, Inc.		2,572			37,371
Anworth Mortgage Asset Corp.		5,666			37,282
Bank of the Ozarks, Inc.		1,188			37,137
PHH Corp.*		2,387			36,927
Financial Engines, Inc.*		1,632			36,492
Astoria Financial Corp.		3,699			36,472

106  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Government Properties Income Trust		1,503	$	36,237
Pennsylvania Real Estate Investment Trust		2,370		36,190
Tower Group, Inc.		1,568		35,170
Alexander’s, Inc.		89		35,055
Argo Group International Holdings Ltd.		1,173		35,038
DFC Global Corp.*		1,846		34,834
BBCN Bancorp, Inc.*		3,110		34,614
Solar Capital Ltd.		1,546		34,121
Symetra Financial Corp.		2,869		33,080
Hersha Hospitality Trust — Class A		5,996		32,738
Boston Private Financial Holdings, Inc.		3,282		32,525
American Equity Investment Life Holding Co.		2,535		32,372
NBT Bancorp, Inc.		1,464		32,325
Primerica, Inc.		1,279		32,244
Franklin Street Properties Corp.		3,008		31,885
American Assets Trust, Inc.		1,377		31,396
PacWest Bancorp		1,290		31,347
BlackRock Kelso Capital Corp.		3,112		30,560
Fifth Street Finance Corp.		3,102		30,276
Harleysville Group, Inc.		518		29,889
Horace Mann Educators Corp.		1,691		29,796
Investors Bancorp, Inc.*		1,968		29,559
Greenlight Capital Re Ltd. — Class A*		1,198		29,507
Cousins Properties, Inc.		3,882		29,426
Inland Real Estate Corp.		3,281		29,102
Associated Estates Realty Corp.		1,768		28,889
Enstar Group Ltd.*		291		28,806
Credit Acceptance Corp.*		285		28,788
Oritani Financial Corp.		1,950		28,626
Nelnet, Inc. — Class A		1,096		28,397
Newcastle Investment Corp.		4,476		28,109
Infinity Property & Casualty Corp.		525		27,473
Amtrust Financial Services, Inc.		1,022		27,471
Chemical Financial Corp.		1,170		27,425
First Commonwealth Financial Corp.		4,466		27,332
Brookline Bancorp, Inc.		2,891		27,089
National Financial Partners Corp.*		1,767		26,752
Pinnacle Financial Partners, Inc.*		1,457		26,736
Investors Real Estate Trust		3,420		26,300
Employers Holdings, Inc.		1,483		26,264
Independent Bank Corp.		914		26,259
Evercore Partners, Inc. — Class A		895		26,018
KBW, Inc.		1,404		25,974
S&T Bancorp, Inc.		1,195		25,920
Sabra Health Care REIT, Inc.		1,575		25,893
First Potomac Realty Trust		2,129		25,740
ARMOUR Residential REIT, Inc.		3,811		25,724
Home Bancshares, Inc.		957		25,466
Compass Diversified Holdings		1,720		25,439
iStar Financial, Inc.*		3,487		25,281
CreXus Investment Corp.		2,438		25,209
Western Alliance Bancorporation*		2,955		25,029
Banco Latinoamericano de Comercio Exterior S.A. — Class E		1,181		24,930
Retail Opportunity Investments Corp.		2,062		24,826
Walter Investment Management Corp.		1,097		24,737

	SHARES		VALUE
Radian Group, Inc.		5,667	$	24,651
Advance America Cash Advance Centers, Inc.		2,347		24,620
Chesapeake Lodging Trust		1,368		24,583
Cohen & Steers, Inc.		761		24,276
Bankrate, Inc.*		972		24,057
BGC Partners, Inc. — Class A		3,215		23,759
Sterling Financial Corp.*		1,133		23,657
State Bank Financial Corp.*		1,344		23,533
Main Street Capital Corp.		954		23,497
Forestar Group, Inc.*		1,508		23,208
ViewPoint Financial Group		1,483		22,809
PICO Holdings, Inc.*		972		22,793
Colony Financial, Inc.		1,391		22,785
Trustco Bank Corp.		3,956		22,589
City Holding Co.		649		22,533
Safety Insurance Group, Inc.		541		22,527
NorthStar Realty Finance Corp.		4,080		22,073
PennyMac Mortgage Investment Trust		1,181		22,049
Navigators Group, Inc.*		463		21,872
RLJ Lodging Trust		1,170		21,797
Oriental Financial Group, Inc.		1,760		21,296
Meadowbrook Insurance Group, Inc.		2,267		21,151
Investment Technology Group, Inc.*		1,760		21,050
Hercules Technology Growth Capital, Inc.		1,872		20,742
PennantPark Investment Corp.		1,972		20,509
Virtus Investment Partners, Inc.*		238		20,416
HFF, Inc. — Class A*		1,238		20,390
Berkshire Hills Bancorp, Inc.		884		20,261
Universal Health Realty Income Trust		508		20,132
Duff & Phelps Corp. — Class A		1,290		20,047
Ashford Hospitality Trust, Inc.		2,223		20,029
Ramco-Gershenson Properties Trust		1,633		19,955
WesBanco, Inc.		984		19,818
Coresite Realty Corp.		835		19,698
SCBT Financial Corp.		597		19,528
Urstadt Biddle Properties, Inc. — Class A		984		19,424
Maiden Holdings Ltd.		2,153		19,377
Dime Community Bancshares, Inc.		1,321		19,300
AMERISAFE, Inc.*		779		19,272
FelCor Lodging Trust, Inc.*		5,297		19,069
Simmons First National Corp. — Class A		735		18,985
Community Trust Bancorp, Inc.		590		18,921
Triangle Capital Corp.		956		18,881
Sandy Spring Bancorp, Inc.		1,022		18,570
FBL Financial Group, Inc. — Class A		537		18,097
Flushing Financial Corp.		1,333		17,942
Piper Jaffray Cos.*		670		17,835
Lakeland Financial Corp.		681		17,726
Resource Capital Corp.		3,269		17,620
Flagstone Reinsurance Holdings S.A.		2,235		17,589
Tejon Ranch Co.*		609		17,441
Renasant Corp.		1,067		17,371
United Community Banks, Inc.*		1,768		17,238
Getty Realty Corp.		1,102		17,169
Dynex Capital, Inc.		1,750		16,713
United Fire Group, Inc.		914		16,351

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  107

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
First Busey Corp.		3,280	$	16,203
Monmouth Real Estate Investment Corp. — Class A		1,642		15,993
Citizens, Inc.*		1,617		15,976
1st Source Corp.		649		15,881
Excel Trust, Inc.		1,310		15,825
Banner Corp.		710		15,641
Encore Capital Group, Inc.*		690		15,560
West Coast Bancorp*		817		15,458
Southside Bancshares, Inc.		698		15,426
Kennedy-Wilson Holdings, Inc.		1,131		15,269
Campus Crest Communities, Inc.		1,301		15,170
Safeguard Scientifics, Inc.*		877		15,084
Epoch Holding Corp.		631		15,068
First Financial Corp.		473		15,018
Washington Trust Bancorp, Inc.		608		14,677
Rockville Financial, Inc.		1,254		14,609
GAMCO Investors, Inc. — Class A		294		14,585
OneBeacon Insurance Group Ltd. — Class A		945		14,562
Hudson Pacific Properties, Inc.		944		14,283
Hilltop Holdings, Inc.*		1,685		14,137
Winthrop Realty Trust		1,217		14,105
eHealth, Inc.*		857		13,978
TowneBank		1,034		13,949
MCG Capital Corp.		3,280		13,940
Cardinal Financial Corp.		1,229		13,888
Tompkins Financial Corp.		344		13,781
Provident New York Bancorp		1,618		13,688
Apollo Commercial Real Estate Finance, Inc.		874		13,678
First Merchants Corp.		1,096		13,525
MVC Capital, Inc.		1,022		13,419
TICC Capital Corp.		1,375		13,393
Ameris Bancorp*		1,013		13,311
NewStar Financial, Inc.*		1,160		12,899
Hanmi Financial Corp.*		1,257		12,721
Wilshire Bancorp, Inc.*		2,621		12,659
Sterling Bancorp		1,319		12,649
Bancfirst Corp.		288		12,545
Bancorp, Inc.*		1,243		12,480
Saul Centers, Inc.		309		12,471
Kite Realty Group Trust		2,358		12,427
Beneficial Mutual Bancorp, Inc.*		1,414		12,358
Capital Southwest Corp.		130		12,292
Cedar Realty Trust, Inc.		2,384		12,206
National Western Life Insurance Co. — Class A		89		12,181
Phoenix Companies, Inc.*		4,950		12,128
Union First Market Bankshares Corp.		863		12,082
Eagle Bancorp, Inc.*		712		11,919
Univest Corporation of Pennsylvania		708		11,880
SY Bancorp, Inc.		511		11,855
INTL FCStone, Inc.*		561		11,837
CapLease, Inc.		2,896		11,671
StellarOne Corp.		982		11,656
Camden National Corp.		330		11,600
GFI Group, Inc.		3,013		11,329
WSFS Financial Corp.		271		11,111

	SHARES		VALUE
Stewart Information Services Corp.		775	$	11,013
United Financial Bancorp, Inc.		682		10,789
Global Indemnity plc — Class A*		548		10,681
Hudson Valley Holding Corp.		662		10,678
Calamos Asset Management, Inc. — Class A		813		10,658
Bryn Mawr Bank Corp.		474		10,637
Arrow Financial Corp.		434		10,590
Presidential Life Corp.		919		10,504
Westwood Holdings Group, Inc.		271		10,496
German American Bancorp, Inc.		540		10,492
Centerstate Banks, Inc.		1,284		10,477
Trico Bancshares		601		10,469
Great Southern Bancorp, Inc.		434		10,416
Citizens & Northern Corp.		518		10,360
MainSource Financial Group, Inc.		859		10,351
Northfield Bancorp, Inc.		727		10,338
Republic Bancorp, Inc. — Class A		424		10,142
First Connecticut Bancorp, Inc.		756		9,972
CoBiz Financial, Inc.		1,383		9,778
First Interstate Bancsystem, Inc. — Class A		668		9,766
Parkway Properties, Inc.		931		9,757
Territorial Bancorp, Inc.		467		9,718
Heartland Financial USA, Inc.		557		9,658
Agree Realty Corp.		427		9,642
FXCM, Inc. — Class A		740		9,613
Lakeland Bancorp, Inc.		972		9,577
Financial Institutions, Inc.		590		9,540
Westfield Financial, Inc.		1,197		9,468
Farmer Mac — Class C		417		9,466
STAG Industrial, Inc.		673		9,395
OmniAmerican Bancorp, Inc.*		475		9,196
State Auto Financial Corp.		623		9,102
Heritage Financial Corp.		666		9,058
Washington Banking Co.		654		9,032
First Community Bancshares, Inc.		670		8,951
National Bankshares, Inc.		295		8,880
OceanFirst Financial Corp.		623		8,872
CNB Financial Corp.		528		8,823
Summit Hotel Properties, Inc.		1,160		8,793
Netspend Holdings, Inc.*		1,127		8,746
Bank of Marin Bancorp		230		8,742
Virginia Commerce Bancorp, Inc.*		995		8,736
One Liberty Properties, Inc.		476		8,711
First of Long Island Corp.		324		8,586
RAIT Financial Trust		1,705		8,474
Central Pacific Financial Corp.*		654		8,469
Ames National Corp.		354		8,425
Doral Financial Corp.*		5,425		8,355
American Safety Insurance Holdings Ltd.*		442		8,332
Ladenburg Thalmann Financial Services, Inc.*		4,531		8,065
Cogdell Spencer, Inc.		1,898		8,048
Gladstone Commercial Corp.		467		8,037
Baldwin & Lyons, Inc. — Class B		355		7,945
Franklin Financial Corp.*		591		7,937
Bank Mutual Corp.		1,954		7,894
Peoples Bancorp, Inc.		449		7,875

108  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Enterprise Financial Services Corp.		670	$	7,866
First Financial Holdings, Inc.		708		7,788
Apollo Residential Mortgage, Inc.		423		7,775
SeaBright Holdings, Inc.		848		7,708
Cowen Group, Inc. — Class A*		2,844		7,707
Pacific Capital Bancorp North America*		167		7,617
Southwest Bancorp, Inc.*		825		7,607
Taylor Capital Group, Inc.*		530		7,606
Flagstar Bancorp, Inc.*		8,240		7,581
Fox Chase Bancorp, Inc.		583		7,579
Oppenheimer Holdings, Inc. — Class A		435		7,547
National Interstate Corp.		295		7,546
American Capital Mortgage Investment Corp.		346		7,532
Chatham Lodging Trust		591		7,500
ESB Financial Corp.		520		7,498
Mission West Properties, Inc.		755		7,444
Pacific Continental Corp.		788		7,423
Diamond Hill Investment Group, Inc.		100		7,365
Encore Bancshares, Inc.*		361		7,354
Gladstone Capital Corp.		893		7,242
Gladstone Investment Corp.		944		7,146
SWS Group, Inc.		1,239		7,087
1st United Bancorp, Inc.*		1,160		7,018
First Bancorp		640		6,995
Medallion Financial Corp.		623		6,953
First Defiance Financial Corp.		412		6,946
Metro Bancorp, Inc.*		591		6,909
Home Federal Bancorp, Inc.		671		6,797
BofI Holding, Inc.*		395		6,747
Golub Capital BDC, Inc.		439		6,704
West Bancorporation, Inc.		665		6,643
Penns Woods Bancorp, Inc.		162		6,623
Park Sterling Corp.*		1,360		6,528
Manning & Napier, Inc. — Class A*		438		6,439
Bank of Kentucky Financial Corp.		248		6,381
Artio Global Investors, Inc. — Class A		1,336		6,373
NGP Capital Resources Co.		926		6,065
Arlington Asset Investment Corp. — Class A		271		6,016
Alliance Financial Corp.		198		6,001
Bridge Bancorp, Inc.		285		5,976
Sun Bancorp, Inc.*		1,693		5,976
BankFinancial Corp.		893		5,912
Merchants Bancshares, Inc.		207		5,833
Terreno Realty Corp.		405		5,796
Walker & Dunlop, Inc.*		459		5,783
Heritage Commerce Corp.*		884		5,684
Kansas City Life Insurance Co.		176		5,667
Kohlberg Capital Corp.		819		5,659
Edelman Financial Group, Inc.		851		5,625
UMH Properties, Inc.		511		5,601
Kearny Financial Corp.		572		5,577
Harris & Harris Group, Inc.*		1,319		5,474
Nicholas Financial, Inc.		412		5,434
Seacoast Banking Corporation of Florida*		3,084		5,428
Consolidated-Tomoka Land Co.		182		5,415

	SHARES		VALUE
Marlin Business Services Corp.		359	$	5,407
First Bancorp, Inc.		364		5,398
Crawford & Co. — Class B		1,096		5,370
Suffolk Bancorp*		412		5,352
Medley Capital Corp.		473		5,331
Solar Senior Capital Ltd.		330		5,316
AG Mortgage Investment Trust, Inc.		269		5,310
Bridge Capital Holdings*		387		5,209
Center Bancorp, Inc.		514		5,155
First Pactrust Bancorp, Inc.		432		5,149
THL Credit, Inc.		395		5,080
Sierra Bancorp		508		4,994
FBR & Company*		1,914		4,919
MPG Office Trust, Inc.*		2,080		4,867
JMP Group, Inc.		648		4,782
Meridian Interstate Bancorp, Inc.*		364		4,779
Donegal Group, Inc. — Class A		331		4,525
ESSA Bancorp, Inc.		461		4,518
AV Homes, Inc.*		368		4,482
MidSouth Bancorp, Inc.		324		4,406
Gleacher & Company, Inc.*		3,133		4,261
New Mountain Finance Corp.		310		4,259
Whitestone REIT — Class B		319		4,160
Hallmark Financial Services*		513		4,048
EMC Insurance Group, Inc.		200		4,018
Enterprise Bancorp, Inc.		244		4,011
Cape Bancorp, Inc.*		490		3,910
Century Bancorp, Inc. — Class A		140		3,822
Clifton Savings Bancorp, Inc.		361		3,765
Capital City Bank Group, Inc.		490		3,651
Independence Holding Co.		337		3,357
Fidus Investment Corp.		225		3,152
CIFC Corp.*		508		3,150
Universal Insurance Holdings, Inc.		803		3,124
Roma Financial Corp.		319		3,123
First Marblehead Corp.*		2,350		2,867
Orrstown Financial Services, Inc.		295		2,587
Charter Financial Corp.		285		2,554
Pzena Investment Management, Inc. — Class A		367		2,147
Fortegra Financial Corp.*		248		2,073
Imperial Holdings, Inc.*		745		1,989
Gain Capital Holdings, Inc.		321		1,611
Cascade Bancorp*		255		1,448
California First National Bancorp		89		1,365
Capital Bank Corp.*		592		1,326
Hampton Roads Bankshares, Inc.*		418		1,267
Total Financials				11,628,520
INFORMATION TECHNOLOGY—12.1%
Parametric Technology Corp.*		5,073		141,739
Jack Henry & Associates, Inc.		3,673		125,322
Concur Technologies, Inc.*		1,902		109,137
Wright Express Corp.*		1,646		106,546
QLIK Technologies, Inc.*		2,996		95,872
SolarWinds, Inc.*		2,428		93,842
CommVault Systems, Inc.*		1,879		93,273

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  109

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Anixter International, Inc.*		1,238	$	89,793
ADTRAN, Inc.		2,750		85,772
Aruba Networks, Inc.*		3,639		81,077
FEI Co.*		1,649		80,982
Ultimate Software Group, Inc.*		1,104		80,901
Taleo Corp. — Class A*		1,748		80,286
Semtech Corp.*		2,774		78,948
Microsemi Corp.*		3,676		78,813
Finisar Corp.*		3,819		76,953
Cognex Corp.		1,765		74,766
Plantronics, Inc.		1,851		74,521
Viasat, Inc.*		1,541		74,292
Aspen Technology, Inc.*		3,601		73,929
Hittite Microwave Corp.*		1,336		72,558
CACI International, Inc. — Class A*		1,127		70,201
InterDigital, Inc.		1,933		67,384
Cirrus Logic, Inc.*		2,820		67,116
ACI Worldwide, Inc.*		1,666		67,090
Fair Isaac Corp.		1,523		66,860
ValueClick, Inc.*		3,351		66,150
MKS Instruments, Inc.		2,221		65,586
Cymer, Inc.*		1,301		65,050
Cavium, Inc.*		2,049		63,396
Blackbaud, Inc.		1,896		63,004
Progress Software Corp.*		2,639		62,333
Mentor Graphics Corp.*		4,104		60,985
TiVo, Inc.*		5,075		60,849
MAXIMUS, Inc.		1,476		60,029
Universal Display Corp.*		1,638		59,837
Convergys Corp.*		4,480		59,808
Arris Group, Inc.*		5,273		59,585
Netgear, Inc.*		1,557		59,477
Coherent, Inc.*		1,005		58,623
RF Micro Devices, Inc.*		11,761		58,570
NetSuite, Inc.*		1,160		58,336
Sourcefire, Inc.*		1,205		57,997
Sapient Corp.		4,649		57,880
Littelfuse, Inc.		920		57,684
Quest Software, Inc.*		2,418		56,267
j2 Global, Inc.		1,954		56,041
Entegris, Inc.*		5,719		53,415
DealerTrack Holdings, Inc.*		1,748		52,894
Plexus Corp.*		1,510		52,835
Acxiom Corp.*		3,454		50,705
Synaptics, Inc.*		1,370		50,019
OSI Systems, Inc.*		807		49,469
Omnivision Technologies, Inc.*		2,473		49,460
Veeco Instruments, Inc.*		1,729		49,449
JDA Software Group, Inc.*		1,798		49,409
Tyler Technologies, Inc.*		1,267		48,665
TriQuint Semiconductor, Inc.*		6,992		48,210
Take-Two Interactive Software, Inc.*		3,129		48,139
Heartland Payment Systems, Inc.		1,643		47,384
MicroStrategy, Inc. — Class A*		335		46,900
Power Integrations, Inc.		1,232		45,732
Euronet Worldwide, Inc.*		2,177		45,478

	SHARES		VALUE
Integrated Device Technology, Inc.*		6,311	$	45,124
Scansource, Inc.*		1,145		42,731
Bottomline Technologies, Inc.*		1,529		42,720
Benchmark Electronics, Inc.*		2,589		42,693
Manhattan Associates, Inc.*		874		41,541
VirnetX Holding Corp.*		1,723		41,231
Insight Enterprises, Inc.*		1,872		41,053
SYNNEX Corp.*		1,072		40,886
OpenTable, Inc.*		1,008		40,794
FARO Technologies, Inc.*		678		39,548
Sanmina-SCI Corp.*		3,431		39,285
Cabot Microelectronics Corp.		1,001		38,919
Emulex Corp.*		3,742		38,842
Kulicke & Soffa Industries, Inc.*		3,063		38,073
LivePerson, Inc.*		2,243		37,615
Tessera Technologies, Inc.*		2,180		37,605
Earthlink, Inc.		4,683		37,417
Constant Contact, Inc.*		1,250		37,238
BroadSoft, Inc.*		958		36,644
Syntel, Inc.		654		36,624
Loral Space & Communications, Inc.		459		36,536
Unisys Corp.*		1,834		36,166
Infinera Corp.*		4,452		36,150
Volterra Semiconductor Corp.*		1,048		36,067
Synchronoss Technologies, Inc.*		1,122		35,814
Liquidity Services, Inc.*		796		35,661
Advent Software, Inc.*		1,390		35,584
MTS Systems Corp.		668		35,464
Kenexa Corp.*		1,126		35,176
Diodes, Inc.*		1,505		34,886
Brooks Automation, Inc.		2,814		34,697
Mantech International Corp. — Class A		989		34,081
Websense, Inc.*		1,608		33,913
Electronics for Imaging, Inc.*		1,992		33,107
NIC, Inc.		2,728		33,091
Stratasys, Inc.*		903		32,977
Netscout Systems, Inc.*		1,593		32,402
Lattice Semiconductor Corp.*		5,019		32,272
Rofin-Sinar Technologies, Inc.*		1,212		31,960
ATMI, Inc.*		1,352		31,502
Ultratech, Inc.*		1,073		31,096
Ancestry.com, Inc.*		1,350		30,699
LogMeIn, Inc.*		867		30,544
Digital River, Inc.*		1,593		29,805
Verint Systems, Inc.*		902		29,216
comScore, Inc.*		1,352		28,919
Newport Corp.*		1,595		28,263
Ebix, Inc.		1,213		28,093
Comtech Telecommunications Corp.		862		28,084
Pegasystems, Inc.		709		27,055
Rambus, Inc.*		4,179		26,955
Park Electrochemical Corp.		884		26,723
Harmonic, Inc.*		4,881		26,699
Rogers Corp.*		679		26,311
Spansion, Inc. — Class A*		2,140		26,065
Sonus Networks, Inc.*		8,985		26,057

110  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
TTM Technologies, Inc.*		2,203	$	25,312
Amkor Technology, Inc.*		4,115		25,287
Standard Microsystems Corp.*		977		25,275
Quantum Corp.*		9,595		25,139
Monolithic Power Systems, Inc.*		1,276		25,099
SS&C Technologies Holdings, Inc.*		1,072		25,010
RealPage, Inc.*		1,290		24,729
Advanced Energy Industries, Inc.*		1,857		24,364
TNS, Inc.*		1,088		23,642
RealD, Inc.*		1,745		23,558
Brightpoint, Inc.*		2,908		23,409
Monotype Imaging Holdings, Inc.*		1,520		22,648
DTS, Inc.*		745		22,514
Ceva, Inc.*		985		22,369
CSG Systems International, Inc.*		1,473		22,301
Micrel, Inc.		2,147		22,028
iGate Corp.*		1,307		21,905
Maxwell Technologies, Inc.*		1,184		21,703
Measurement Specialties, Inc.*		639		21,534
InfoSpace, Inc.*		1,676		21,470
Global Cash Access Holdings, Inc.*		2,750		21,450
Entropic Communications, Inc.*		3,646		21,256
Ixia*		1,645		20,546
Forrester Research, Inc.		623		20,185
Super Micro Computer, Inc.*		1,149		20,062
Silicon Image, Inc.*		3,389		19,927
Black Box Corp.		766		19,541
Intermec, Inc.*		2,523		19,503
Xyratex Ltd.		1,209		19,235
Checkpoint Systems, Inc.*		1,705		19,232
Dice Holdings, Inc.*		2,058		19,201
Accelrys, Inc.*		2,356		18,801
Applied Micro Circuits Corp.*		2,694		18,696
ExlService Holdings, Inc.*		681		18,687
Interactive Intelligence Group, Inc.*		607		18,520
United Online, Inc.		3,774		18,455
Web.com Group, Inc.*		1,239		17,879
Opnet Technologies, Inc.		616		17,864
Kemet Corp.*		1,876		17,559
TeleTech Holdings, Inc.*		1,083		17,436
PROS Holdings, Inc.*		918		17,167
Mercury Computer Systems, Inc.*		1,287		17,053
Photronics, Inc.*		2,506		16,665
Move, Inc.*		1,692		16,429
Internap Network Services Corp.*		2,223		16,317
EPIQ Systems, Inc.		1,336		16,166
Nanometrics, Inc.*		860		15,919
Cass Information Systems, Inc.		393		15,700
OCZ Technology Group, Inc.*		2,233		15,586
CTS Corp.		1,465		15,412
Fabrinet*		864		15,301
LTX-Credence Corp.*		2,111		15,178
Sycamore Networks, Inc.*		851		15,097
Extreme Networks*		3,922		15,021
Rudolph Technologies, Inc.*		1,340		14,887
STEC, Inc.*		1,568		14,802

	SHARES		VALUE
Electro Rent Corp.		796	$	14,654
Methode Electronics, Inc.		1,577		14,635
Electro Scientific Industries, Inc.		954		14,320
Oplink Communications, Inc.*		831		14,210
ICG Group, Inc.*		1,576		14,105
Globecomm Systems, Inc.*		957		13,857
Avid Technology, Inc.*		1,257		13,827
Procera Networks, Inc.*		616		13,774
Calix, Inc.*		1,605		13,691
IXYS Corp.*		1,032		13,622
GSI Group, Inc.*		1,104		13,314
LoopNet, Inc.*		708		13,296
Power-One, Inc.*		2,895		13,172
Zygo Corp.*		670		13,112
Daktronics, Inc.		1,473		13,095
Exar Corp.*		1,554		13,054
Inphi Corp.*		911		12,918
Silicon Graphics International Corp.*		1,319		12,768
Integrated Silicon Solution, Inc.*		1,143		12,756
Stamps.com, Inc.*		449		12,518
VASCO Data Security International, Inc.*		1,154		12,452
Perficient, Inc.*		1,032		12,394
QuinStreet, Inc.*		1,178		12,357
Keynote Systems, Inc.		621		12,271
MIPS Technologies, Inc. — Class A*		2,241		12,191
Formfactor, Inc.*		2,157		12,036
Digital Generation, Inc.*		1,170		11,946
Anaren, Inc.*		649		11,909
Digi International, Inc.*		1,077		11,836
Saba Software, Inc.*		1,202		11,792
KIT Digital, Inc.*		1,635		11,772
Kopin Corp.*		2,883		11,734
Cohu, Inc.		1,022		11,620
CIBER, Inc.*		2,720		11,533
XO Group, Inc.*		1,220		11,456
ShoreTel, Inc.*		2,009		11,411
Cray, Inc.*		1,541		11,280
Virtusa Corp.*		641		11,070
NVE Corp.*		206		10,918
Cornerstone OnDemand, Inc.*		490		10,702
Symmetricom, Inc.*		1,843		10,634
Multi-Fineline Electronix, Inc.*		387		10,623
Envestnet, Inc.*		819		10,254
ModusLink Global Solutions, Inc.*		1,866		10,076
Actuate Corp.*		1,603		10,067
Deltek, Inc.*		943		10,052
Vocus, Inc.*		755		10,004
Ubiquiti Networks, Inc.*		316		9,995
Callidus Software, Inc.*		1,274		9,950
Glu Mobile, Inc.*		2,013		9,763
Computer Task Group, Inc.*		636		9,744
SPS Commerce, Inc.*		351		9,435
Aeroflex Holding Corp.*		839		9,346
Mindspeed Technologies, Inc.*		1,431		9,115
RealNetworks, Inc.		897		8,916
Limelight Networks, Inc.*		2,690		8,850

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  111

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Seachange International, Inc.*		1,128	$	8,776
Active Network, Inc.*		518		8,718
Pericom Semiconductor Corp.*		1,067		8,632
AXT, Inc.*		1,359		8,630
Oclaro, Inc.*		2,151		8,475
PDF Solutions, Inc.*		1,002		8,447
Intevac, Inc.*		977		8,305
American Software, Inc. — Class A		965		8,280
Zix Corp.*		2,830		8,235
Openwave Systems, Inc.*		3,626		8,231
Tangoe, Inc.*		432		8,126
FSI International, Inc.*		1,646		8,049
SciQuest, Inc.*		528		8,047
MoneyGram International, Inc.*		446		8,028
Convio, Inc.*		517		7,998
Supertex, Inc.*		442		7,987
Imation Corp.*		1,284		7,948
Bel Fuse, Inc. — Class B		449		7,934
Vishay Precision Group, Inc.*		528		7,830
Imperva, Inc.*		199		7,791
DDi Corp.		638		7,784
Axcelis Technologies, Inc.*		4,521		7,776
Rubicon Technology, Inc.*		745		7,770
Hackett Group, Inc.*		1,295		7,731
PLX Technology, Inc.*		1,892		7,606
Echo Global Logistics, Inc.*		471		7,583
Lionbridge Technologies, Inc.*		2,624		7,557
Digimarc Corp.*		269		7,516
Ultra Clean Holdings*		967		7,291
Aviat Networks, Inc.*		2,585		7,290
IntraLinks Holdings, Inc.*		1,360		7,194
Richardson Electronics Ltd.		596		7,140
LeCroy Corp.*		685		7,117
Sigma Designs, Inc.*		1,350		6,993
Angie’s List, Inc.*		365		6,895
ServiceSource International, Inc.*		444		6,873
Anadigics, Inc.*		2,869		6,800
Immersion Corp.*		1,220		6,661
DSP Group, Inc.*		995		6,627
KVH Industries, Inc.*		629		6,605
Echelon Corp.*		1,488		6,592
Wave Systems Corp. — Class A*		3,525		6,557
support.com, Inc.*		2,063		6,498
Agilysys, Inc.*		721		6,482
InvenSense, Inc. — Class A*		348		6,299
Archipelago Learning, Inc.*		554		6,160
Radisys Corp.*		823		6,090
Guidance Software, Inc.*		550		6,078
Alpha & Omega Semiconductor Ltd.*		623		5,993
MoSys, Inc.*		1,393		5,530
TeleCommunication Systems, Inc. — Class A*		1,978		5,499
Travelzoo, Inc.*		234		5,382
Westell Technologies, Inc. — Class A*		2,258		5,261
PRGX Global, Inc.*		831		5,227
X-Rite, Inc.*		1,119		5,080
ePlus, Inc.*		158		5,051

	SHARES		VALUE
Zillow, Inc. — Class A*		140	$	4,983
FalconStor Software, Inc.*		1,299		4,858
TeleNav, Inc.*		692		4,858
Rosetta Stone, Inc.*		467		4,819
Responsys, Inc.*		391		4,680
Novatel Wireless, Inc.*		1,367		4,579
Emcore Corp.*		938		4,474
Pulse Electronics Corp.		1,773		4,450
TechTarget, Inc.*		623		4,317
Marchex, Inc. — Class A		909		4,054
Ellie Mae, Inc.*		361		4,029
Rimage Corp.		398		3,984
Numerex Corp. — Class A*		397		3,883
MaxLinear, Inc. — Class A*		677		3,771
Communications Systems, Inc.		280		3,676
Dynamics Research Corp.*		380		3,663
QAD, Inc. — Class A*		279		3,655
GSI Technology, Inc.*		861		3,651
Dot Hill Systems Corp.*		2,410		3,639
SRS Labs, Inc.*		514		3,572
Smith Micro Software, Inc.*		1,530		3,565
Identive Group, Inc.*		1,645		3,438
Carbonite, Inc.*		303		3,336
Amtech Systems, Inc.*		399		3,324
PC Connection, Inc.		395		3,247
Opnext, Inc.*		1,859		2,881
Powerwave Technologies, Inc.*		1,353		2,774
eMagin Corp.*		785		2,551
Demand Media, Inc.*		335		2,429
Viasystems Group, Inc.*		120		2,278
Intermolecular, Inc.*		338		2,099
Meru Networks, Inc.*		461		1,867
NCI, Inc. — Class A*		287		1,834
Motricity, Inc.*		1,581		1,739
NeoPhotonics Corp.*		367		1,736
THQ, Inc.*		2,867		1,606
Quepasa Corp.*		293		1,301
Stream Global Services, Inc.*		387		1,273
Dialogic, Inc.*		650		566
FriendFinder Networks, Inc.*		242		329
Total Information Technology				8,497,352
INDUSTRIALS—11.6%
Clean Harbors, Inc.*		1,992		134,121
Acuity Brands, Inc.		1,842		115,732
United Rentals, Inc.*		2,662		114,174
Woodward, Inc.		2,620		112,215
Alaska Air Group, Inc.*		3,060		109,608
CLARCOR, Inc.		2,137		104,904
Triumph Group, Inc.		1,602		100,381
Hexcel Corp.*		4,166		100,026
Dollar Thrifty Automotive Group, Inc.*		1,233		99,763
Teledyne Technologies, Inc.*		1,564		98,610
Old Dominion Freight Line, Inc.*		2,019		96,246
Esterline Technologies Corp.*		1,295		92,541
Genesee & Wyoming, Inc. — Class A*		1,684		91,912

112  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
HEICO Corp.		1,781	$	91,882
Chart Industries, Inc.*		1,248		91,516
Watsco, Inc.		1,199		88,774
Robbins & Myers, Inc.		1,681		87,496
Actuant Corp. — Class A		2,922		84,709
Moog, Inc. — Class A*		1,931		82,821
Middleby Corp.*		803		81,248
EMCOR Group, Inc.		2,849		78,974
Belden, Inc.		2,021		76,616
Acacia Research Corp.*		1,817		75,841
Applied Industrial Technologies, Inc.		1,809		74,404
CoStar Group, Inc.*		1,077		74,366
Curtiss-Wright Corp.		1,980		73,280
Mueller Industries, Inc.		1,610		73,175
AO Smith Corp.		1,618		72,729
EnerSys*		2,027		70,236
Tetra Tech, Inc.*		2,652		69,907
Colfax Corp.*		1,928		67,943
FTI Consulting, Inc.*		1,794		67,310
Brady Corp. — Class A		2,010		65,024
RSC Holdings, Inc.*		2,870		64,833
Corporate Executive Board Co.		1,471		63,268
Avis Budget Group, Inc.*		4,466		63,194
Barnes Group, Inc.		2,315		60,908
Healthcare Services Group, Inc.		2,830		60,194
Advisory Board Co.*		672		59,553
Rollins, Inc.		2,711		57,690
Simpson Manufacturing Company, Inc.		1,768		57,018
HUB Group, Inc. — Class A*		1,569		56,530
United Stationers, Inc.		1,814		56,288
Herman Miller, Inc.		2,435		55,908
Atlas Air Worldwide Holdings, Inc.*		1,123		55,263
ABM Industries, Inc.		2,257		54,845
HNI Corp.		1,910		53,003
Geo Group, Inc.*		2,760		52,468
US Airways Group, Inc.*		6,902		52,386
USG Corp.*		3,044		52,357
II-VI, Inc.*		2,202		52,077
Watts Water Technologies, Inc. — Class A		1,277		52,038
JetBlue Airways Corp.*		10,498		51,335
Deluxe Corp.		2,187		51,220
Beacon Roofing Supply, Inc.*		1,953		50,309
Franklin Electric Company, Inc.		990		48,579
Brink’s Co.		1,992		47,549
Mine Safety Appliances Co.		1,153		47,365
Granite Construction, Inc.		1,647		47,335
Raven Industries, Inc.		773		47,161
Werner Enterprises, Inc.		1,868		46,438
Knight Transportation, Inc.		2,603		45,969
Forward Air Corp.		1,248		45,764
GT Advanced Technologies, Inc.*		5,357		44,302
MasTec, Inc.*		2,404		43,488
RBC Bearings, Inc.*		933		43,039
Titan International, Inc.		1,787		42,264
3D Systems Corp.*		1,786		42,042
ESCO Technologies, Inc.		1,132		41,624

	SHARES		VALUE
Swift Transportation Co. — Class A*		3,373	$	38,924
Amerco, Inc.		367		38,722
Briggs & Stratton Corp.		2,147		38,496
Kaman Corp.		1,118		37,956
Unifirst Corp.		608		37,422
EnPro Industries, Inc.*		884		36,332
Tennant Co.		815		35,860
Huron Consulting Group, Inc.*		950		35,682
Kaydon Corp.		1,392		35,510
Lindsay Corp.		534		35,389
Dycom Industries, Inc.*		1,497		34,970
TAL International Group, Inc.		941		34,544
Blount International, Inc.*		2,070		34,528
Ceradyne, Inc.		1,052		34,253
Allegiant Travel Co. — Class A*		628		34,226
Knoll, Inc.		2,027		33,729
Korn*		2,003		33,549
McGrath Rentcorp		1,032		33,138
Mobile Mini, Inc.*		1,559		32,926
Orbital Sciences Corp.*		2,484		32,665
Steelcase, Inc. — Class A		3,383		32,477
Cubic Corp.		669		31,630
Interface, Inc. — Class A		2,241		31,262
Astec Industries, Inc.*		853		31,118
Heartland Express, Inc.		2,147		31,046
AAR Corp.		1,684		30,733
Interline Brands, Inc.*		1,421		30,708
TrueBlue, Inc.*		1,712		30,610
Navigant Consulting, Inc.*		2,195		30,532
Wabash National Corp.*		2,921		30,232
Aegion Corp. — Class A*		1,683		30,008
Insperity, Inc.		975		29,874
Rush Enterprises, Inc. — Class A*		1,378		29,241
ACCO Brands Corp.*		2,353		29,201
Universal Forest Products, Inc.		833		28,722
NACCO Industries, Inc. — Class A		246		28,627
Aircastle Ltd.		2,334		28,568
Quanex Building Products Corp.		1,611		28,402
On Assignment, Inc.*		1,576		27,533
Exponent, Inc.*		561		27,220
AZZ, Inc.		527		27,215
G&K Services, Inc. — Class A		793		27,121
Albany International Corp. — Class A		1,181		27,104
SYKES Enterprises, Inc.*		1,694		26,765
American Science & Engineering, Inc.		387		25,948
Generac Holdings, Inc.*		1,056		25,925
Resources Connection, Inc.		1,838		25,824
Team, Inc.*		825		25,534
SkyWest, Inc.		2,252		24,885
Trimas Corp.*		1,085		24,293
CIRCOR International, Inc.		730		24,287
Encore Wire Corp.		786		23,368
H&E Equipment Services, Inc.*		1,220		23,082
Sauer-Danfoss, Inc.		491		23,077
GeoEye, Inc.*		946		22,770
Sun Hydraulics Corp.		854		22,341

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  113

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Mueller Water Products, Inc. — Class A		6,621	$	22,048
Altra Holdings, Inc.*		1,133		21,754
Griffon Corp.		2,033		21,753
Badger Meter, Inc.		638		21,686
Standex International Corp.		524		21,584
Trex Company, Inc.*		668		21,429
ICF International, Inc.*		837		21,235
Tutor Perini Corp.*		1,330		20,721
Arkansas Best Corp.		1,082		20,352
DigitalGlobe, Inc.*		1,499		19,997
Tredegar Corp.		1,019		19,962
John Bean Technologies Corp.		1,217		19,715
Gibraltar Industries, Inc.*		1,294		19,604
Seaboard Corp.*		10		19,510
RailAmerica, Inc.*		908		19,486
Higher One Holdings, Inc.*		1,301		19,450
Cascade Corp.		385		19,296
Aerovironment, Inc.*		714		19,142
Gorman-Rupp Co.		648		18,909
Kforce, Inc.*		1,268		18,893
Layne Christensen Co.*		841		18,712
Global Power Equipment Group, Inc.*		666		18,448
Titan Machinery, Inc.*		654		18,443
Primoris Services Corp.		1,138		18,276
Great Lakes Dredge & Dock Corp.		2,508		18,108
Kelly Services, Inc. — Class A		1,132		18,101
GenCorp, Inc.*		2,498		17,736
Comfort Systems USA, Inc.		1,611		17,576
Ennis, Inc.		1,105		17,481
US Ecology, Inc.		777		16,892
Viad Corp.		867		16,846
EnergySolutions, Inc.*		3,394		16,631
Textainer Group Holdings Ltd.		490		16,611
Heidrick & Struggles International, Inc.		754		16,611
Greenbrier Companies, Inc.*		832		16,465
Consolidated Graphics, Inc.*		360		16,290
AAON, Inc.		803		16,213
DXP Enterprises, Inc.*		367		15,961
Apogee Enterprises, Inc.		1,197		15,501
Astronics Corp.*		439		15,347
MYR Group, Inc.*		855		15,270
Accuride Corp.*		1,722		14,964
Commercial Vehicle Group, Inc.*		1,225		14,957
Quad Graphics Inc.		1,072		14,901
Mistras Group, Inc.*		623		14,840
Federal Signal Corp.*		2,644		14,701
Wesco Aircraft Holdings, Inc.*		899		14,564
Marten Transport Ltd.		658		14,522
Standard Parking Corp.*		670		13,735
Spirit Airlines, Inc.*		666		13,367
Columbus McKinnon Corp.*		815		13,276
Air Transport Services Group, Inc.*		2,289		13,253
Celadon Group, Inc.		850		13,218
Powell Industries, Inc.*		374		12,810
InnerWorkings, Inc.*		1,094		12,745
Kadant, Inc.*		528		12,577

	SHARES			VALUE
Dynamic Materials Corp.		568		$	11,990
Dolan Co.*		1,298			11,825
CRA International, Inc.*		459			11,576
Saia, Inc.*		676			11,499
PMFG, Inc.*		757			11,363
FreightCar America, Inc.		505			11,357
Hawaiian Holdings, Inc.*		2,137			11,177
GP Strategies Corp.*		631			11,043
Multi-Color Corp.		490			11,030
LB Foster Co. — Class A		383			10,919
Douglas Dynamics, Inc.		791			10,876
Aceto Corp.		1,132			10,743
Capstone Turbine Corp.*		10,472			10,681
CBIZ, Inc.*		1,683			10,637
Houston Wire & Cable Co.		753			10,459
Taser International, Inc.*		2,364			10,260
Ameresco, Inc. — Class A*		755			10,230
Republic Airways Holdings, Inc.*		2,050			10,127
Furmanite Corp.*		1,575			10,112
American Railcar Industries, Inc.*		414			9,733
CDI Corp.		542			9,718
NCI Building Systems, Inc.*		841			9,680
Odyssey Marine Exploration, Inc.*		3,101			9,613
Twin Disc, Inc.		361			9,418
Pacer International, Inc.*		1,483			9,373
CAI International, Inc.*		508			9,235
Kimball International, Inc. — Class B		1,336			9,232
Insteel Industries, Inc.		755			9,173
Graham Corp.		417			9,128
Swisher Hygiene, Inc.*		3,601			8,858
Quality Distribution, Inc.*		641			8,833
Thermon Group Holdings, Inc.*		424			8,671
Alamo Group, Inc.		288			8,657
American Reprographics Co.*		1,575			8,489
Michael Baker Corp.*		355			8,467
Northwest Pipe Co.*		395			8,390
FuelCell Energy, Inc.*		5,305			8,329
Orion Marine Group, Inc.*		1,138			8,228
Builders FirstSource, Inc.*		1,939			8,202
SeaCube Container Leasing Ltd.		473			8,136
Flow International Corp.*		2,011			8,084
Miller Industries, Inc.		475			8,037
Genco Shipping & Trading Ltd.*		1,260	��		8,013
Cenveo, Inc.*		2,345			7,926
American Superconductor Corp.*		1,898			7,820
Hurco Companies, Inc.*		271			7,656
Kratos Defense & Security Solutions, Inc.*		1,413			7,545
Hudson Highland Group, Inc.*		1,391			7,484
Lydall, Inc.*		733			7,469
Metalico, Inc.*		1,702			7,268
Ampco-Pittsburgh Corp.		361			7,267
RPX Corp.*		428			7,259
LMI Aerospace, Inc.*		395			7,189
American Woodmark Corp.		398			7,164
EnerNOC, Inc.*		991			7,135
Park-Ohio Holdings Corp.*		351			7,038

114  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Sterling Construction Company, Inc.*		700	$	6,825
Casella Waste Systems, Inc. — Class A*		1,083		6,747
Roadrunner Transportation Systems, Inc.*		387		6,714
TMS International Corp. — Class A*		552		6,679
Vicor Corp.		825		6,600
Met-Pro Corp.		621		6,558
Preformed Line Products Co.		100		6,550
Zipcar, Inc.*		432		6,398
Schawk, Inc. — Class A		502		6,280
Barrett Business Services, Inc.		316		6,266
KEYW Holding Corp.*		788		6,107
LSI Industries, Inc.		831		6,091
Patriot Transportation Holding, Inc.*		259		6,032
NN, Inc.*		713		5,818
Pike Electric Corp.*		690		5,679
Argan, Inc.		337		5,405
Franklin Covey Co.*		572		5,383
Ducommun, Inc.*		449		5,343
International Shipholding Corp.		231		5,334
Eagle Bulk Shipping, Inc.*		2,653		5,147
Intersections, Inc.		398		5,086
Courier Corp.		437		5,069
PowerSecure International, Inc.*		806		4,884
AT Cross Co. — Class A*		399		4,804
TRC Companies, Inc.*		754		4,607
Energy Recovery, Inc.*		1,947		4,478
VSE Corp.		174		4,317
Chase Corp.		271		4,268
Fuel Tech, Inc.*		777		4,242
A123 Systems, Inc.*		3,757		4,208
Hill International, Inc.*		1,059		4,162
Heritage-Crystal Clean, Inc.*		198		3,950
Excel Maritime Carriers Ltd. — Class A*		1,947		3,894
Universal Truckload Services, Inc.		233		3,509
Coleman Cable, Inc.*		352		3,421
Tecumseh Products Co. — Class A*		786		3,160
Xerium Technologies, Inc.*		473		3,051
Baltic Trading Ltd.		688		2,855
Essex Rental Corp.*		732		2,796
Broadwind Energy, Inc.*		5,945		2,795
Active Power, Inc.*		3,376		2,634
Valence Technology, Inc.*		3,074		2,485
School Specialty, Inc.*		675		2,390
Lawson Products, Inc.		145		2,191
Ultrapetrol Bahamas Ltd.*		907		1,814
Microvision, Inc.*		639		1,744
UniTek Global Services, Inc.*		467		1,574
Omega Flex, Inc.*		120		1,524
Satcon Technology Corp.*		3,839		1,382
Covenant Transportation Group, Inc. — Class A*		345		1,104
Compx International, Inc.		40		556
Total Industrials				8,199,398

	SHARES		VALUE
CONSUMER DISCRETIONARY—10.2%
Ascena Retail Group, Inc.*		2,672	$	118,423
Sotheby’s		2,873		113,023
Carter’s, Inc.*		2,098		104,418
Warnaco Group, Inc.*		1,727		100,857
Brunswick Corp.		3,787		97,516
Dana Holding Corp.		6,225		96,487
Tenneco, Inc.*		2,572		95,550
Rent-A-Center, Inc. — Class A		2,503		94,488
Life Time Fitness, Inc.*		1,798		90,924
Domino’s Pizza, Inc.		2,478		89,950
Cinemark Holdings, Inc.		3,961		86,943
Men’s Wearhouse, Inc.		2,197		85,178
Coinstar, Inc.*		1,336		84,902
Six Flags Entertainment Corp.		1,771		82,830
Crocs, Inc.*		3,817		79,851
Wolverine World Wide, Inc.		2,114		78,598
Select Comfort Corp.*		2,370		76,765
Pool Corp.		2,050		76,711
Pier 1 Imports, Inc.*		4,174		75,883
Aeropostale, Inc.*		3,441		74,394
Cheesecake Factory, Inc.*		2,458		72,241
Genesco, Inc.*		991		71,005
Buffalo Wild Wings, Inc.*		778		70,557
Cabela’s, Inc.*		1,841		70,233
Steven Madden Ltd.*		1,613		68,956
Vail Resorts, Inc.		1,533		66,302
HSN, Inc.		1,694		64,423
Hibbett Sports, Inc.*		1,172		63,933
ANN, Inc.*		2,212		63,352
Hillenbrand, Inc.		2,668		61,231
Jos A. Bank Clothiers, Inc.*		1,174		59,181
Express, Inc.*		2,358		58,903
Children’s Place Retail Stores, Inc.*		1,115		57,612
Saks, Inc.*		4,914		57,052
Live Nation Entertainment, Inc.*		6,010		56,494
Buckle, Inc.		1,148		54,989
Cracker Barrel Old Country Store, Inc.		977		54,517
Group 1 Automotive, Inc.		964		54,147
Iconix Brand Group, Inc.*		3,104		53,948
Liz Claiborne, Inc.*		4,032		53,868
Monro Muffler Brake, Inc.		1,295		53,730
Collective Brands, Inc.*		2,626		51,627
BJ’s Restaurants, Inc.*		1,022		51,458
Meredith Corp.		1,548		50,247
Strayer Education, Inc.		519		48,932
Bob Evans Farms, Inc.		1,290		48,659
Gaylord Entertainment Co.*		1,520		46,815
Vitamin Shoppe, Inc.*		1,058		46,774
Penske Automotive Group, Inc.		1,898		46,748
Finish Line, Inc. — Class A		2,198		46,642
Regis Corp.		2,462		45,375

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  115

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Jack in the Box, Inc.*		1,877	$	44,992
Helen of Troy Ltd.*		1,317		44,791
Texas Roadhouse, Inc. — Class A		2,673		44,479
Valassis Communications, Inc.*		1,903		43,769
Jones Group, Inc.		3,440		43,206
Arbitron, Inc.		1,153		42,638
Orient-Express Hotels Ltd. — Class A*		4,053		41,341
MDC Holdings, Inc.		1,593		41,084
Office Depot, Inc.*		11,815		40,762
Shuffle Master, Inc.*		2,301		40,497
Cooper Tire & Rubber Co.		2,646		40,272
Peet’s Coffee & Tea, Inc.*		542		39,945
Scholastic Corp.		1,131		39,902
Shutterfly, Inc.*		1,269		39,757
New York Times Co. — Class A*		5,842		39,667
Matthews International Corp. — Class A		1,253		39,645
Sturm Ruger & Company, Inc.		806		39,575
Ryland Group, Inc.		1,889		36,420
National CineMedia, Inc.		2,353		36,001
PF Chang’s China Bistro, Inc.		907		35,845
International Speedway Corp. — Class A		1,253		34,771
GNC Holdings, Inc. — Class A		977		34,088
Asbury Automotive Group, Inc.*		1,243		33,561
PEP Boys-Manny Moe & Jack		2,243		33,466
American Axle & Manufacturing Holdings, Inc.*		2,842		33,280
La-Z-Boy, Inc.*		2,212		33,092
Zumiez, Inc.*		905		32,680
Cato Corp. — Class A		1,180		32,615
DineEquity, Inc.*		657		32,587
Meritor, Inc.*		4,022		32,458
Meritage Homes Corp.*		1,188		32,147
CEC Entertainment, Inc.		840		31,844
Steiner Leisure Ltd.*		641		31,300
Sonic Automotive, Inc. — Class A		1,710		30,626
Pinnacle Entertainment, Inc.*		2,638		30,363
Papa John’s International, Inc.*		798		30,053
True Religion Apparel, Inc.*		1,095		30,003
Churchill Downs, Inc.		534		29,851
Interval Leisure Group, Inc.		1,710		29,754
KB Home		3,280		29,192
Charming Shoppes, Inc.*		4,947		29,187
American Public Education, Inc.*		762		28,956
Scientific Games Corp. — Class A*		2,479		28,905
Ascent Capital Group, Inc. — Class A*		611		28,894
Belo Corp. — Class A		3,947		28,299
Oxford Industries, Inc.		547		27,799
iRobot Corp.*		1,012		27,587
Lions Gate Entertainment Corp.*		1,918		26,699
K12, Inc.*		1,112		26,277
Ethan Allen Interiors, Inc.		1,024		25,928
Ameristar Casinos, Inc.		1,375		25,616
Vera Bradley, Inc.*		841		25,390
Ruby Tuesday, Inc.*		2,774		25,327
American Greetings Corp. — Class A		1,630		25,003
Lumber Liquidators Holdings, Inc.*		982		24,658
Lithia Motors, Inc. — Class A		940		24,628

	SHARES		VALUE
Columbia Sportswear Co.		508	$	24,105
Sinclair Broadcast Group, Inc. — Class A		2,150		23,779
Knology, Inc.*		1,284		23,369
Fred’s, Inc. — Class A		1,578		23,055
Dorman Products, Inc.*		448		22,669
Drew Industries, Inc.*		819		22,367
Maidenform Brands, Inc.*		993		22,352
Quiksilver, Inc.*		5,525		22,321
Arctic Cat, Inc.*		518		22,186
Capella Education Co.*		614		22,073
Grand Canyon Education, Inc.*		1,219		21,649
Stage Stores, Inc.		1,328		21,567
OfficeMax, Inc.*		3,651		20,884
Red Robin Gourmet Burgers, Inc.*		554		20,603
Stewart Enterprises, Inc. — Class A		3,350		20,335
Jakks Pacific, Inc.		1,163		20,294
Skechers U.S.A., Inc. — Class A*		1,594		20,276
Sonic Corp.*		2,634		20,229
Standard Pacific Corp.*		4,527		20,190
Coreßßßßß-Mark Holding Company, Inc.		490		20,061
G-III Apparel Group Ltd.*		701		19,922
Smith & Wesson Holding Corp.*		2,567		19,894
Superior Industries International, Inc.		995		19,442
Biglari Holdings, Incß.*		47		18,934
Bridgepoint Education, Inc.*		760		18,810
Rue21, Inc.*		638		18,719
Callaway Golf Co.		2,743		18,543
Fuel Systems Solutions, Inc.*		701		18,338
Boyd Gaming Corp.*		2,333		18,291
Hot Topic, Inc.		1,802		18,290
Krispy Kreme Doughnuts, Inc.*		2,487		18,155
Movado Group, Inc.		739		18,142
AFC Enterprises, Inc.*		1,049		17,791
Modine Manufacturing Co.*		1,984		17,519
Harte-Hanks, Inc.		1,888		17,086
Denny’s Corp.*		4,215		17,029
Blyth, Inc.		226		16,912
Blue Nile, Inc.*		504		16,622
Brown Shoe Company, Inc.		1,783		16,457
Barnes & Noble, Inc.*		1,238		16,404
Bravo Brio Restaurant Group, Inc.*		816		16,287
National Presto Industries, Inc.		207		15,703
America’s Car-Mart, Inc.*		350		15,393
Amerigon, Inc.*		943		15,258
Bebe Stores, Inc.		1,638		15,119
Standard Motor Products, Inc.		837		14,848
Leapfrog Enterprises, Inc. — Class A*		1,770		14,797
Body Central Corp.*		502		14,568
Cost Plus, Inc.*		809		14,481
Cavco Industries, Inc.*		295		13,741
Corinthian Colleges, Inc.*		3,317		13,732
Francesca’s Holdings Corp.*		427		13,497
Wet Seal, Inc. — Class A*		3,857		13,307
EW Scripps Co. — Class A*		1,346		13,285
NutriSystem, Inc.		1,149		12,903
Universal Electronics, Inc.*		643		12,847

116  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Multimedia Games Holding Company, Inc.*		1,148	$	12,582
Shoe Carnival, Inc.*		385		12,405
Winnebago Industries, Inc.*		1,241		12,162
Universal Technical Institute, Inc.		920		12,135
MDC Partners, Inc. — Class A		1,067		11,865
Kirkland’s, Inc.*		716		11,585
Fisher Communications, Inc.*		372		11,428
Ruth’s Hospitality Group, Inc.*		1,495		11,347
Stoneridge, Inc.*		1,128		11,156
Central European Media Enterprises
Ltd. — Class A*		1,553		11,026
Town Sports International Holdings, Inc.*		870		10,988
Libbey, Inc.*		841		10,883
Marcus Corp.		867		10,881
PetMed Express, Inc.		864		10,696
Beazer Homes USA, Inc.*		3,246		10,550
VOXX International Corp. — Class A*		772		10,468
Journal Communications, Inc. — Class A*		1,836		10,337
Exide Technologies*		3,294		10,310
World Wrestling Entertainment, Inc. — Class A		1,162		10,307
Caribou Coffee Company, Inc.*		544		10,140
M/I Homes, Inc.*		793		9,801
Perry Ellis International, Inc.*		521		9,727
Speedway Motorsports, Inc.		507		9,471
Conn’s, Inc.*		614		9,425
Rentrak Corp.*		398		9,035
Talbots, Inc.*		2,978		9,023
Haverty Furniture Companies, Inc.		803		8,913
Destination Maternity Corp.		459		8,524
Carrols Restaurant Group, Inc.*		540		8,235
hhgregg, Inc.*		721		8,205
MarineMax, Inc.*		990		8,148
REX American Resources Corp.*		264		8,105
Benihana, Inc. — Class A		613		8,000
Systemax, Inc.*		460		7,756
O’Charleys, Inc.*		788		7,754
Stein Mart, Inc.*		1,169		7,715
Lincoln Educational Services Corp.		967		7,649
Mattress Firm Holding Corp.*		199		7,542
Spartan Motors, Inc.		1,422		7,522
Mac-Gray Corp.		497		7,520
West Marine, Inc.*		623		7,464
Big 5 Sporting Goods Corp.		933		7,315
Citi Trends, Inc.*		638		7,311
Weyco Group, Inc.		302		7,157
McClatchy Co. — Class A*		2,458		7,104
Tuesday Morning Corp.*		1,832		7,035
Steinway Musical Instruments, Inc.*		279		6,975
CSS Industries, Inc.		345		6,714
Entercom Communications Corp. — Class A*		1,032		6,698
Skullcandy, Inc.*		408		6,459
Hovnanian Enterprises, Inc. — Class A*		2,608		6,390
Isle of Capri Casinos, Inc.*		867		6,121
Casual Male Retail Group, Inc.*		1,797		6,038
Teavana Holdings, Inc.*		295		5,817
Jamba, Inc.*		2,810		5,817

	SHARES		VALUE
Winmark Corp.		99	$	5,736
Unifi, Inc.*		590		5,699
Cumulus Media, Inc. — Class A*		1,598		5,577
Black Diamond, Inc.*		573		5,306
Kenneth Cole Productions, Inc. — Class A*		319		5,136
LIN TV Corp. — Class A*		1,264		5,119
Red Lion Hotels Corp.*		623		5,115
Saga Communications, Inc. — Class A*		142		5,084
Gordmans Stores, Inc.*		231		5,075
Delta Apparel, Inc.*		301		4,945
Motorcar Parts of America, Inc.*		514		4,945
Luby’s, Inc.*		806		4,892
Bon-Ton Stores, Inc.		525		4,851
Morgans Hotel Group Co.*		941		4,658
K-Swiss, Inc. — Class A*		1,115		4,572
RG Barry Corp.		367		4,477
Outdoor Channel Holdings, Inc.		611		4,466
Lifetime Brands, Inc.		395		4,440
Martha Stewart Living Omnimedia — Class A		1,160		4,420
New York & Company, Inc.*		1,155		4,308
Sealy Corp.*		2,109		4,260
Zale Corp.*		1,360		4,202
Cherokee, Inc.		361		4,112
Ambassadors Group, Inc.		748		4,002
Gray Television, Inc.*		2,114		3,995
Johnson Outdoors, Inc. — Class A*		204		3,896
AH Belo Corp. — Class A		796		3,892
Nexstar Broadcasting Group, Inc. — Class A*		467		3,881
Monarch Casino & Resort, Inc.*		375		3,863
Einstein Noah Restaurant Group, Inc.		250		3,730
Entravision Communications Corp. — Class A		2,134		3,649
Valuevision Media, Inc. — Class A*		1,741		3,604
Coldwater Creek, Inc.*		3,077		3,569
Pacific Sunwear of California, Inc.*		2,021		3,557
Summer Infant, Inc.*		573		3,438
Tower International, Inc.*		279		3,398
1-800-Flowers.com, Inc. — Class A*		1,103		3,342
Build-A-Bear Workshop, Inc. — Class A*		629		3,302
ReachLocal, Inc.*		424		3,023
Global Sources Ltd.*		490		3,018
Furniture Brands International, Inc.*		1,784		2,997
Christopher & Banks Corp.		1,520		2,827
Orbitz Worldwide, Inc.*		894		2,727
Geeknet, Inc.*		184		2,661
Overstock.com, Inc.*		491		2,573
Marine Products Corp.		432		2,570
Crown Media Holdings, Inc. — Class A*		1,484		2,360
National American University Holdings, Inc.		366		2,306
US Auto Parts Network, Inc.*		631		2,278
Skyline Corp.		295		2,257
Shiloh Industries, Inc.		230		2,192
Cambium Learning Group, Inc.*		702		1,860
Digital Domain Media Group, Inc.*		130		740
Value Line, Inc.		49		602
Dial Global, Inc.*		217		506
Total Consumer Discretionary				7,176,290

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  117

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
HEALTH CARE - 9.2%
WellCare Health Plans, Inc.*		1,811	$	130,176
Salix Pharmaceuticals Ltd.*		2,477		130,042
HMS Holdings Corp.*		3,610		112,668
Cubist Pharmaceuticals, Inc.*		2,556		110,548
athenahealth, Inc.*		1,489		110,365
Cepheid, Inc.*		2,634		110,181
Centene Corp.*		2,128		104,208
Onyx Pharmaceuticals, Inc.*		2,696		101,585
Medivation, Inc.*		1,334		99,676
Medicis Pharmaceutical Corp. — Class A		2,634		99,011
Viropharma, Inc.*		3,015		90,661
Ariad Pharmaceuticals, Inc.*		5,671		90,452
Zoll Medical Corp.*		933		86,423
Questcor Pharmaceuticals, Inc.*		2,259		84,984
Vivus, Inc.*		3,783		84,588
Seattle Genetics, Inc.*		4,107		83,701
HealthSouth Corp.*		4,052		82,985
Owens & Minor, Inc.		2,710		82,411
STERIS Corp.		2,524		79,809
Haemonetics Corp.*		1,094		76,229
Alkermes plc*		4,046		75,053
Incyte Corporation Ltd.*		3,767		72,703
Quality Systems, Inc.		1,650		72,155
Align Technology, Inc.*		2,613		71,987
Impax Laboratories, Inc.*		2,782		68,382
PAREXEL International Corp.*		2,504		67,534
Volcano Corp.*		2,218		62,880
West Pharmaceutical Services, Inc.		1,422		60,478
Par Pharmaceutical Companies, Inc.*		1,536		59,489
Magellan Health Services, Inc.*		1,214		59,255
MAKO Surgical Corp.*		1,367		57,619
Theravance, Inc.*		2,941		57,350
PSS World Medical, Inc.*		2,182		55,292
Pharmacyclics, Inc.*		1,954		54,243
Chemed Corp.		845		52,965
Masimo Corp.*		2,234		52,231
MWI Veterinary Supply, Inc.*		527		46,376
Medicines Co.*		2,297		46,101
Immunogen, Inc.*		3,194		45,962
Jazz Pharmaceuticals plc*		940		45,562
Cyberonics, Inc.*		1,193		45,489
Halozyme Therapeutics, Inc.*		3,506		44,737
Acorda Therapeutics, Inc.*		1,674		44,445
Air Methods Corp.*		476		41,531
Molina Healthcare, Inc.*		1,199		40,322
Neogen Corp.*		990		38,679
Nektar Therapeutics*		4,856		38,460
Auxilium Pharmaceuticals, Inc.*		2,038		37,846
PDL BioPharma, Inc.		5,951		37,789
Luminex Corp.*		1,613		37,664
Insulet Corp.*		1,954		37,400
Amsurg Corp. — Class A*		1,336		37,381
Isis Pharmaceuticals, Inc.*		4,238		37,167
NxStage Medical, Inc.*		1,896		36,536
CONMED Corp.		1,202		35,904

	SHARES		VALUE
Analogic Corp.		524	$	35,391
Accretive Health, Inc.*		1,706		34,069
Meridian Bioscience, Inc.		1,750		33,915
InterMune, Inc.*		2,305		33,814
HeartWare International, Inc.*		505		33,173
Dynavax Technologies Corp.*		6,351		32,136
Wright Medical Group, Inc.*		1,660		32,071
Arthrocare Corp.*		1,161		31,173
Hanger Orthopedic Group, Inc.*		1,424		31,129
Endologix, Inc.*		2,080		30,472
Spectrum Pharmaceuticals, Inc.*		2,406		30,388
ABIOMED, Inc.*		1,352		30,001
NuVasive, Inc.*		1,781		29,992
Momenta Pharmaceuticals, Inc.*		1,949		29,859
DexCom, Inc.*		2,849		29,715
Orthofix International N.V.*		771		28,974
Integra LifeSciences Holdings Corp.*		834		28,931
Ironwood Pharmaceuticals, Inc. — Class A*		2,153		28,656
Exelixis, Inc.*		5,477		28,371
Abaxis, Inc.*		956		27,848
Akorn, Inc.*		2,376		27,799
Optimer Pharmaceuticals, Inc.*		1,970		27,383
MedAssets, Inc.*		2,027		26,675
Exact Sciences Corp.*		2,381		26,572
Computer Programs & Systems, Inc.		464		26,225
IPC The Hospitalist Company, Inc.*		701		25,874
NPS Pharmaceuticals, Inc.*		3,660		25,034
ICU Medical, Inc.*		508		24,973
Idenix Pharmaceuticals, Inc.*		2,537		24,837
Bio-Reference Labs, Inc.*		1,048		24,638
Greatbatch, Inc.*		992		24,324
Medidata Solutions, Inc.*		893		23,790
Rigel Pharmaceuticals, Inc.*		2,921		23,514
Team Health Holdings, Inc.*		1,137		23,377
Emeritus Corp.*		1,301		22,976
OraSure Technologies, Inc.*		1,992		22,888
Quidel Corp.*		1,210		22,228
Genomic Health, Inc.*		723		22,131
Merit Medical Systems, Inc.*		1,781		22,120
Opko Health, Inc.*		4,640		21,947
Omnicell, Inc.*		1,410		21,446
Cantel Medical Corp.		844		21,176
Landauer, Inc.		395		20,943
Accuray, Inc.*		2,916		20,587
Invacare Corp.		1,219		20,199
National Healthcare Corp.		439		20,001
Triple-S Management Corp. — Class B*		842		19,450
Achillion Pharmaceuticals, Inc.*		2,021		19,361
Conceptus, Inc.*		1,328		19,097
Arena Pharmaceuticals, Inc.*		6,210		19,065
Kindred Healthcare, Inc.*		2,203		19,034
Ensign Group, Inc.		686		18,632
AVANIR Pharmaceuticals, Inc. — Class A*		5,303		18,136
Amedisys, Inc.*		1,253		18,118
Alnylam Pharmaceuticals, Inc.*		1,594		17,646
Affymax, Inc.*		1,502		17,633

118  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
HealthStream, Inc.*		751	$	17,416
Sequenom, Inc.*		4,229		17,212
Neurocrine Biosciences, Inc.*		2,124		16,928
Metropolitan Health Networks, Inc.*		1,796		16,829
Emergent Biosolutions, Inc.*		1,034		16,544
AVEO Pharmaceuticals, Inc.*		1,328		16,480
Staar Surgical Co.*		1,513		16,386
eResearchTechnology, Inc.*		2,089		16,336
Arqule, Inc.*		2,276		15,955
Hi-Tech Pharmacal Company, Inc.*		439		15,773
Ardea Biosciences, Inc.*		724		15,754
Curis, Inc.*		3,247		15,651
PharMerica Corp.*		1,252		15,562
Sunrise Senior Living, Inc.*		2,448		15,471
MModal, Inc.*		1,417		14,949
Universal American Corp.		1,380		14,876
Natus Medical, Inc.*		1,236		14,745
Atrion Corp.		70		14,715
Spectranetics Corp.*		1,412		14,685
Keryx Biopharmaceuticals, Inc.*		2,946		14,671
Select Medical Holdings Corp.*		1,903		14,634
AMAG Pharmaceuticals, Inc.*		902		14,369
Depomed, Inc.*		2,285		14,304
ExamWorks Group, Inc.*		1,141		14,171
Assisted Living Concepts, Inc. — Class A		835		13,869
Merge Healthcare, Inc.*		2,358		13,794
Raptor Pharmaceutical Corp.*		2,008		13,574
Lexicon Pharmaceuticals, Inc.*		7,284		13,548
ZIOPHARM Oncology, Inc.*		2,496		13,478
Ligand Pharmaceuticals, Inc. — Class B*		841		13,414
MAP Pharmaceuticals, Inc.*		933		13,398
Santarus, Inc.*		2,265		13,250
Navidea Biopharmaceuticals, Inc.*		4,030		13,218
AngioDynamics, Inc.*		1,054		12,912
Affymetrix, Inc.*		2,995		12,789
Vanguard Health Systems, Inc.*		1,297		12,788
LHC Group, Inc.*		674		12,489
Progenics Pharmaceuticals, Inc.*		1,247		12,345
ISTA Pharmaceuticals, Inc.*		1,357		12,227
Antares Pharma, Inc.*		3,736		12,067
BioScrip, Inc.*		1,729		11,740
US Physical Therapy, Inc.		503		11,594
Tornier N.V.*		449		11,539
Gentiva Health Services, Inc.*		1,299		11,353
Unilife Corp.*		2,709		10,999
Enzon Pharmaceuticals, Inc.*		1,605		10,978
Sangamo Biosciences, Inc.*		2,231		10,932
Symmetry Medical, Inc.*		1,544		10,916
Capital Senior Living Corp.*		1,170		10,811
Cell Therapeutics, Inc.*		8,258		10,735
Transcend Services, Inc.*		364		10,683
Healthways, Inc.*		1,449		10,665
Kensey Nash Corp.		361		10,563
Obagi Medical Products, Inc.*		786		10,532
Vical, Inc.*		3,075		10,455
Corvel Corp.*		262		10,451

	SHARES		VALUE
IRIS International, Inc.*		761	$	10,281
AMN Healthcare Services, Inc.*		1,685		10,211
Immunomedics, Inc.*		2,800		10,164
SurModics, Inc.*		654		10,052
Furiex Pharmaceuticals, Inc.*		418		9,877
Infinity Pharmaceuticals, Inc.*		817		9,771
Clovis Oncology, Inc.*		377		9,595
Celldex Therapeutics, Inc.*		1,879		9,564
Sciclone Pharmaceuticals, Inc.*		1,473		9,295
Geron Corp.*		5,493		9,283
Almost Family, Inc.*		347		9,025
AVI BioPharma, Inc.*		5,769		8,884
Cambrex Corp.*		1,253		8,758
RTI Biologics, Inc.*		2,336		8,643
Providence Service Corp.*		552		8,562
Array Biopharma, Inc.*		2,454		8,368
Cerus Corp.*		2,029		8,157
MannKind Corp.*		3,301		8,153
Solta Medical, Inc.*		2,585		7,833
Vascular Solutions, Inc.*		724		7,812
Oncothyreon, Inc.*		1,770		7,717
Cadence Pharmaceuticals, Inc.*		2,047		7,574
Palomar Medical Technologies, Inc.*		806		7,528
Young Innovations, Inc.		239		7,390
Sun Healthcare Group, Inc.*		1,068		7,305
Cynosure, Inc. — Class A*		400		7,144
Corcept Therapeutics, Inc.*		1,750		6,878
Maxygen, Inc.*		1,197		6,871
XenoPort, Inc.*		1,507		6,782
Pozen, Inc.*		1,128		6,768
Nymox Pharmaceutical Corp.*		823		6,617
Savient Pharmaceuticals, Inc.*		3,026		6,597
Dyax Corp.*		4,202		6,555
Rockwell Medical Technologies, Inc.*		687		6,499
Dusa Pharmaceuticals, Inc.*		1,028		6,435
Delcath Systems, Inc.*		2,047		6,428
Skilled Healthcare Group, Inc. — Class A*		825		6,320
CryoLife, Inc.*		1,188		6,261
Synergetics USA, Inc.*		943		6,130
Five Star Quality Care, Inc.*		1,781		6,073
Targacept, Inc.*		1,171		5,996
AtriCure, Inc.*		601		5,980
Hansen Medical, Inc.*		1,993		5,979
BioCryst Pharmaceuticals, Inc.*		1,232		5,951
Cross Country Healthcare, Inc.*		1,181		5,917
Chelsea Therapeutics International Ltd.*		2,292		5,868
Vanda Pharmaceuticals, Inc.*		1,197		5,734
Exactech, Inc.*		361		5,722
Orexigen Therapeutics, Inc.*		1,377		5,646
Cardiovascular Systems, Inc.*		610		5,643
Pain Therapeutics, Inc.*		1,568		5,629
Medtox Scientific, Inc.*		326		5,496
Aegerion Pharmaceuticals, Inc.*		393		5,435
Alphatec Holdings, Inc.*		2,293		5,434
Cytori Therapeutics, Inc.*		2,163		5,386
OncoGenex Pharmaceutical, Inc.*		404		5,369

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  119

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Novavax, Inc.*		4,092	$	5,156
Sagent Pharmaceuticals, Inc.*		280		5,004
Allos Therapeutics, Inc.*		3,351		4,959
Pacific Biosciences of California, Inc.*		1,448		4,952
SIGA Technologies, Inc.*		1,465		4,922
Biotime, Inc.*		1,056		4,657
Chindex International, Inc.*		480		4,560
Astex Pharmaceuticals*		2,405		4,473
Enzo Biochem, Inc.*		1,626		4,374
Synta Pharmaceuticals Corp.*		1,005		4,372
Fluidigm Corp.*		271		4,263
RadNet, Inc.*		1,301		4,137
Metabolix, Inc.*		1,448		4,098
Sucampo Pharmaceuticals, Inc. — Class A*		542		4,038
Medical Action Industries, Inc.*		701		4,010
Harvard Bioscience, Inc.*		977		3,830
Insmed, Inc.*		1,052		3,819
Zalicus, Inc.*		3,171		3,805
Codexis, Inc.*		1,035		3,778
Endocyte, Inc.*		729		3,630
Osiris Therapeutics, Inc.*		706		3,615
GTx, Inc.*		930		3,581
Amicus Therapeutics, Inc.*		674		3,559
Biolase Technology, Inc.*		1,302		3,529
Sunesis Pharmaceuticals, Inc.*		1,205		3,458
Nabi Biopharmaceuticals*		1,827		3,398
Pacira Pharmaceuticals, Inc.*		292		3,370
Biospecifics Technologies Corp.*		209		3,306
CardioNet, Inc.*		1,034		3,185
Biosante Pharmaceuticals, Inc.*		4,661		3,169
National Research Corp.		70		3,006
Cleveland Biolabs, Inc.*		1,203		2,959
Lannett Company, Inc.*		690		2,877
KV Pharmaceutical Co. — Class A*		2,179		2,876
Ampio Pharmaceuticals, Inc.*		842		2,871
Durect Corp.*		3,441		2,753
Anacor Pharmaceuticals, Inc.*		455		2,680
PharmAthene, Inc.*		1,512		2,676
Uroplasty, Inc.*		884		2,661
Albany Molecular Research, Inc.*		933		2,519
Bacterin International Holdings, Inc.*		1,016		2,459
Epocrates, Inc.*		273		2,342
Transcept Pharmaceuticals, Inc.*		216		2,272
Columbia Laboratories, Inc.*		3,105		2,205
BG Medicine, Inc.*		314		2,204
NewLink Genetics Corp.*		230		2,105
Cornerstone Therapeutics, Inc.*		345		2,056
BioMimetic Therapeutics, Inc.*		819		2,023
Anthera Pharmaceuticals, Inc.*		895		1,978
Peregrine Pharmaceuticals, Inc.*		3,381		1,826
Trius Therapeutics, Inc.*		321		1,717
Zogenix, Inc.*		835		1,670
Alimera Sciences, Inc.*		476		1,609
Zeltiq Aesthetics, Inc.*		258		1,592
Acura Pharmaceuticals, Inc.*		459		1,588
Alliance HealthCare Services, Inc.*		1,032		1,548

	SHARES		VALUE
Pernix Therapeutics Holdings*		154	$	1,386
Complete Genomics, Inc.*		443		1,249
DynaVox, Inc. — Class A*		398		1,226
Stereotaxis, Inc.*		1,879		1,221
Horizon Pharma, Inc.*		199		824
Neostem, Inc.*		2,092		790
Total Health Care				6,500,219
ENERGY— 4.6%
World Fuel Services Corp.		3,017		123,697
Energy XXI Bermuda Ltd.*		3,200		115,553
Rosetta Resources, Inc.*		2,257		110,051
Kodiak Oil & Gas Corp.*		10,686		106,433
Lufkin Industries, Inc.		1,295		104,441
Berry Petroleum Co. — Class A		2,188		103,120
CVR Energy, Inc.*		3,741		100,072
Dril-Quip, Inc.*		1,465		95,254
Key Energy Services, Inc.*		5,311		82,055
Helix Energy Solutions Group, Inc.*		4,519		80,438
Oasis Petroleum, Inc.*		2,534		78,123
Bristow Group, Inc.		1,546		73,791
Golar LNG Ltd.		1,697		64,570
Stone Energy Corp.*		2,083		59,553
Gulfport Energy Corp.*		1,921		55,940
Northern Oil and Gas, Inc.*		2,686		55,708
Hornbeck Offshore Services, Inc.*		1,279		53,756
Cheniere Energy, Inc.*		3,557		53,284
Swift Energy Co.*		1,805		52,399
Bill Barrett Corp.*		2,006		52,176
SemGroup Corp. — Class A*		1,768		51,520
Carrizo Oil & Gas, Inc.*		1,653		46,714
Gulfmark Offshore, Inc. — Class A*		1,006		46,236
Clean Energy Fuels Corp.*		2,110		44,901
McMoRan Exploration Co.*		4,179		44,715
Western Refining, Inc.		2,250		42,345
Cloud Peak Energy, Inc.*		2,593		41,306
Approach Resources, Inc.*		1,096		40,497
Petroleum Development Corp.*		993		36,830
ION Geophysical Corp.*		5,594		36,081
Exterran Holdings, Inc.*		2,718		35,850
Comstock Resources, Inc.*		2,029		32,119
Nordic American Tankers Ltd.		2,015		31,998
Targa Resources Corp.		695		31,588
Newpark Resources, Inc.*		3,845		31,491
W&T Offshore, Inc.		1,481		31,219
Tetra Technologies, Inc.*		3,269		30,794
Contango Oil & Gas Co.*		518		30,515
Magnum Hunter Resources Corp.*		4,741		30,390
Parker Drilling Co.*		4,968		29,659
Ship Finance International Ltd.		1,913		29,269
GeoResources, Inc.*		847		27,731
Apco Oil and Gas International, Inc.		385		26,245
Crosstex Energy, Inc.		1,733		24,505
Patriot Coal Corp.*		3,890		24,274
Hercules Offshore, Inc.*		4,903		23,191
Pioneer Drilling Co.*		2,624		23,091
Resolute Energy Corp.*		1,964		22,350

120  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Goodrich Petroleum Corp.*		1,102	$	20,960
Vaalco Energy, Inc.*		2,174		20,544
Energy Partners Ltd.*		1,231		20,447
Clayton Williams Energy, Inc.*		256		20,337
Rentech, Inc.*		9,489		19,737
OYO Geospace Corp.*		184		19,381
Endeavour International Corp.*		1,579		18,711
Heckmann Corp.*		4,240		18,274
Tesco Corp.*		1,287		18,263
Gulf Island Fabrication, Inc.		608		17,796
Basic Energy Services, Inc.*		1,022		17,732
BPZ Resources, Inc.*		4,350		17,531
Frontline Ltd.		2,198		16,903
Rex Energy Corp.*		1,498		15,999
Matrix Service Co.*		1,122		15,719
Petroquest Energy, Inc.*		2,382		14,625
Overseas Shipholding Group, Inc.		1,134		14,322
ATP Oil & Gas Corp.*		1,893		13,914
Venoco, Inc.*		1,260		13,658
Knightsbridge Tankers Ltd.		933		13,417
Cal Dive International, Inc.*		4,055		13,382
PHI, Inc.*		552		12,779
Triangle Petroleum Corp.*		1,834		12,655
Uranium Energy Corp.*		3,198		12,472
FX Energy, Inc.*		2,229		12,126
Vantage Drilling Co.*		7,438		11,901
Dawson Geophysical Co.*		333		11,439
Mitcham Industries, Inc.*		504		11,320
Teekay Tankers Ltd. — Class A		1,833		11,126
Abraxas Petroleum Corp.*		3,500		10,920
Callon Petroleum Co.*		1,665		10,473
Harvest Natural Resources, Inc.*		1,446		10,238
Warren Resources, Inc.*		3,044		9,923
Delek US Holdings, Inc.		608		9,430
C&J Energy Services, Inc.*		504		8,966
Penn Virginia Corp.		1,946		8,854
Scorpio Tankers, Inc.*		1,249		8,818
Hyperdynamics Corp.*		6,653		8,582
Green Plains Renewable Energy, Inc.*		794		8,567
Panhandle Oil and Gas, Inc. — Class A		289		8,520
Global Geophysical Services, Inc.*		772		8,191
James River Coal Co.*		1,518		7,772
Gastar Exploration Ltd.*		2,473		7,394
Uranerz Energy Corp.*		2,748		6,925
Natural Gas Services Group, Inc.*		518		6,838
Solazyme, Inc.*		467		6,832
Evolution Petroleum Corp.*		688		6,398
Miller Energy Resources, Inc.*		1,319		5,566
Willbros Group, Inc.*		1,660		5,378
Ur-Energy, Inc.*		4,403		5,372
USEC, Inc.*		4,947		5,244
KiOR, Inc. — Class A*		378		5,054
Voyager Oil & Gas, Inc.*		2,003		4,867
Westmoreland Coal Co.*		418		4,669
RigNet, Inc.*		248		4,347
Alon USA Energy, Inc.		474		4,290
Amyris, Inc.*		755		3,911

	SHARES		VALUE
Isramco, Inc.*		44	$	3,844
Crimson Exploration, Inc.*		925		3,839
Houston American Energy Corp.*		708		3,696
Syntroleum Corp.*		3,758		3,626
Uranium Resources, Inc.*		3,959		3,602
Union Drilling, Inc.*		638		3,547
Zion Oil & Gas, Inc.*		1,298		3,427
GMX Resources, Inc.*		2,540		3,226
DHT Holdings, Inc.		2,743		2,633
CAMAC Energy, Inc.*		2,499		2,499
L&L Energy, Inc.*		950		2,328
Gevo, Inc.*		250		2,298
Hallador Energy Co.		194		1,715
Geokinetics, Inc.*		478		841
Total Energy				3,268,768
MATERIALS—3.4%
Coeur d’Alene Mines Corp.*		3,817		90,615
Sensient Technologies Corp.		2,128		80,863
Olin Corp.		3,394		73,819
NewMarket Corp.		377		70,650
Chemtura Corp.*		4,104		69,686
HB Fuller Co.		2,106		69,140
Eagle Materials, Inc.		1,896		65,885
Stillwater Mining Co.*		4,851		61,317
Buckeye Technologies, Inc.		1,686		57,273
PolyOne Corp.		3,973		57,211
Hecla Mining Co.		11,885		54,909
Louisiana-Pacific Corp.*		5,630		52,640
Minerals Technologies, Inc.		780		51,020
Georgia Gulf Corp.*		1,449		50,541
Schweitzer-Mauduit International, Inc.		683		47,168
Innophos Holdings, Inc.		926		46,411
Thompson Creek Metals Company, Inc.*		6,504		43,967
Worthington Industries, Inc.		2,288		43,885
Globe Specialty Metals, Inc.		2,683		39,896
Graphic Packaging Holding Co.*		6,811		37,596
Calgon Carbon Corp.*		2,400		37,464
Balchem Corp.		1,228		37,147
SunCoke Energy, Inc.*		2,603		36,989
OM Group, Inc.*		1,319		36,286
Kraton Performance Polymers, Inc.*		1,357		36,055
A. Schulman, Inc.		1,311		35,423
Koppers Holdings, Inc.		882		34,010
Texas Industries, Inc.		967		33,855
Haynes International, Inc.		518		32,815
KapStone Paper and Packaging Corp.*		1,660		32,702
Kaiser Aluminum Corp.		685		32,373
Clearwater Paper Corp.*		974		32,347
Boise, Inc.		3,893		31,962
Innospec, Inc.*		998		30,319
LSB Industries, Inc.*		779		30,319
AMCOL International Corp.		1,028		30,316
Stepan Co.		345		30,291
RTI International Metals, Inc.*		1,287		29,678
Gold Resource Corp.		1,205		29,294
PH Glatfelter Co.		1,856		29,288

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  121

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Deltic Timber Corp.		461	$	29,177
Flotek Industries, Inc.*		2,128		25,579
TPC Group, Inc.*		558		24,669
Materion Corp.*		858		24,650
Ferro Corp.*		3,686		21,895
Quaker Chemical Corp.		537		21,185
Horsehead Holding Corp.*		1,859		21,174
American Vanguard Corp.		948		20,562
Golden Star Resources Ltd.*		11,008		20,474
McEwen Mining, Inc.*		4,489		19,931
Wausau Paper Corp.		2,093		19,632
Century Aluminum Co.*		2,195		19,492
Myers Industries, Inc.		1,271		18,748
Neenah Paper, Inc.		628		18,677
Jaguar Mining, Inc.*		3,592		16,775
Hawkins, Inc.		367		13,652
Zep, Inc.		931		13,406
Zoltek Companies, Inc.*		1,171		13,256
Omnova Solutions, Inc.*		1,930		13,028
Universal Stainless & Alloy*		303		12,944
Paramount Gold and Silver Corp.*		4,989		11,275
Headwaters, Inc.*		2,587		10,814
Golden Minerals Co.*		1,191		10,040
Zagg, Inc.*		942		10,013
Noranda Aluminum Holding Corp.		967		9,641
General Moly, Inc.*		2,873		9,625
Vista Gold Corp.*		3,029		9,511
Olympic Steel, Inc.		387		9,288
AM Castle & Co.*		714		9,032
FutureFuel Corp.		793		8,707
Landec Corp.*		1,129		7,372
Metals USA Holdings Corp.*		491		7,075
United States Lime & Minerals, Inc.*		110		6,588
AEP Industries, Inc.*		188		6,544
Spartech Corp.*		1,311		6,398
STR Holdings, Inc.*		1,287		6,229
KMG Chemicals, Inc.		302		5,451
Midway Gold Corp.*		3,650		5,220
Senomyx, Inc.*		1,671		4,579
Revett Minerals, Inc.*		1,067		4,460
NL Industries, Inc.		285		4,247
Handy & Harman Ltd.*		248		3,581
US Energy Corp.*		1,038		3,280
Verso Paper Corp.*		641		1,205
Total Materials				2,382,506
CONSUMER STAPLES—2.6%
Nu Skin Enterprises, Inc. — Class A		2,332		135,047
United Natural Foods, Inc.*		2,058		96,027
TreeHouse Foods, Inc.*		1,517		90,263
Casey’s General Stores, Inc.		1,617		89,680
Darling International, Inc.*		4,983		86,803
Harris Teeter Supermarkets, Inc.*		2,093		83,929
Hain Celestial Group, Inc.*		1,518		66,504
Fresh Market, Inc.*		1,197		57,396
Pricesmart, Inc.		761		55,408
Lancaster Colony Corp.		793		52,703

	SHARES		VALUE
Snyders-Lance, Inc.		2,009	$	51,933
Sanderson Farms, Inc.		946		50,166
B&G Foods, Inc. — Class A		2,044		46,010
Universal Corp.		984		45,855
Rite Aid Corp.*		25,095		43,665
Andersons, Inc.		796		38,757
Prestige Brands Holdings, Inc.*		2,140		37,407
Boston Beer Company, Inc. — Class A*		348		37,163
Vector Group Ltd.		2,050		36,326
Elizabeth Arden, Inc.*		1,038		36,309
Fresh Del Monte Produce, Inc.		1,551		35,425
J&J Snack Foods Corp.		609		31,948
WD-40 Co.		667		30,249
Spectrum Brands Holdings, Inc.*		714		24,961
Tootsie Roll Industries, Inc.		1,043		23,900
Cal-Maine Foods, Inc.		605		23,147
Diamond Foods, Inc.		933		21,291
Weis Markets, Inc.		467		20,361
Pilgrim’s Pride Corp.*		2,529		18,866
Spartan Stores, Inc.		964		17,468
Central Garden and Pet Co. — Class A*		1,781		17,151
Chiquita Brands International, Inc.*		1,933		16,991
Smart Balance, Inc.*		2,535		16,756
Central European Distribution Corp.*		3,097		15,826
Dole Food Company, Inc.*		1,519		15,160
Star Scientific, Inc.*		4,555		14,940
Nash Finch Co.		508		14,437
Alliance One International, Inc.*		3,705		13,968
Calavo Growers, Inc.		497		13,310
Pantry, Inc.*		984		12,802
Coca-Cola Bottling Company Consolidated		190		11,920
Inter Parfums, Inc.		681		10,685
Medifast, Inc.*		588		10,266
USANA Health Sciences, Inc.*		275		10,266
Seneca Foods Corp. — Class A*		389		10,246
Chefs’ Warehouse, Inc.*		438		10,135
Susser Holdings Corp.*		393		10,088
Ingles Markets, Inc. — Class A		541		9,543
Village Super Market, Inc. — Class A		268		8,466
Revlon, Inc. — Class A*		457		7,883
National Beverage Corp.*		473		7,587
Nature’s Sunshine Products, Inc.*		473		7,577
Omega Protein Corp.*		827		6,293
Schiff Nutrition International, Inc.*		510		6,268
Nutraceutical International Corp.*		385		5,606
Limoneira Co.		329		5,557
Oil-Dri Corporation of America		208		4,428
Synutra International, Inc.*		741		4,357
Female Health Co.		786		4,260
Arden Group, Inc. — Class A		40		3,636
Alico, Inc.		148		3,420
Craft Brew Alliance, Inc.*		439		3,363
Farmer Brothers Co.*		285		3,104
MGP Ingredients, Inc.		517		2,781
Griffin Land & Nurseries, Inc.		99		2,615
Imperial Sugar Co.		521		2,443

122  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
RUSSELL 2000® FUND

	SHARES		VALUE
Harbinger Group, Inc.*		387	$	2,005
Lifeway Foods, Inc.*		200		1,850
Primo Water Corp.*		623		1,215
Total Consumer Staples				1,814,171
UTILITIES—2.4%
Cleco Corp.		2,600		103,089
Piedmont Natural Gas Company, Inc.		3,054		94,887
WGL Holdings, Inc.		2,177		88,604
IDACORP, Inc.		2,114		86,927
Southwest Gas Corp.		1,954		83,514
Portland General Electric Co.		3,203		80,011
New Jersey Resources Corp.		1,758		78,354
UIL Holdings Corp.		2,154		74,873
Atlantic Power Corp.		4,627		64,038
South Jersey Industries, Inc.		1,274		63,751
Avista Corp.		2,458		62,876
PNM Resources, Inc.		3,393		62,092
El Paso Electric Co.		1,797		58,385
Unisource Energy Corp.		1,559		57,013
Black Hills Corp.		1,681		56,364
Allete, Inc.		1,350		56,012
NorthWestern Corp.		1,543		54,715
Northwest Natural Gas Co.		1,132		51,393
CH Energy Group, Inc.		666		44,442
MGE Energy, Inc.		982		43,591
Laclede Group, Inc.		957		37,342
Empire District Electric Co.		1,778		36,182
Otter Tail Corp.		1,533		33,266
California Water Service Group		1,778		32,377
American States Water Co.		792		28,623
Central Vermont Public Service Corp.		570		20,064
Chesapeake Utilities Corp.		398		16,366
Ormat Technologies, Inc.		766		15,435
SJW Corp.		599		14,448
Middlesex Water Co.		666		12,581
Unitil Corp.		459		12,315
Connecticut Water Service, Inc.		367		10,382
York Water Co.		540		9,342
Artesian Resources Corp. — Class A		311		5,844
Genie Energy Ltd. — Class B		591		5,715
Consolidated Water Company Ltd.		617		4,880
Cadiz, Inc.*		504		4,637
Dynegy, Inc. — Class A*		4,384		2,455
Total Utilities				1,667,185
TELECOMMUNICATION SERVICES—0.6%
AboveNet, Inc.*		990		81,973
Cogent Communications Group, Inc.*		1,954		37,282
Cincinnati Bell, Inc.*		8,465		34,028
Leap Wireless International, Inc.*		2,596		22,663
Consolidated Communications Holdings, Inc.		1,118		21,946
Premiere Global Services, Inc.*		2,221		20,078
Pendrell Corp.*		6,433		16,790
Neutral Tandem, Inc.*		1,340		16,335
Iridium Communications, Inc.*		1,853		16,232
General Communication, Inc. — Class A*		1,768		15,417
Atlantic Tele-Network, Inc.		402		14,617

	SHARES		VALUE
SureWest Communications		601	$	13,553
NTELOS Holdings Corp.		642		13,289
USA Mobility, Inc.		944		13,150
Vonage Holdings Corp.*		5,906		13,052
Shenandoah Telecommunications Co.		1,010		11,262
8x8, Inc.*		2,646		11,113
Cbeyond, Inc.*		1,189		9,512
Towerstream Corp.*		1,807		8,583
inContact, Inc.*		1,299		7,248
Lumos Networks Corp.		642		6,908
HickoryTech Corp.		573		5,925
Alaska Communications Systems Group, Inc.		1,922		5,920
ORBCOMM, Inc.*		1,473		5,671
IDT Corp. — Class B		591		5,520
Fairpoint Communications, Inc.*		914		3,437
Globalstar, Inc.*		4,322		3,025
Boingo Wireless, Inc.*		248		3,001
Total Telecommunication Services				437,530
Total Common Stocks (Cost $46,938,923)				51,571,939
WARRANTS††—0.0%
Magnum Hunter Resources Corp. $10.50, 10/14/13		17		—
Total Warrants (Cost $—)				—
RIGHTS††—0.0%
DHT Holdings, Inc. Expires 05/01/12		2,743		713
Total Rights (Cost $549)				713
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1—30.7%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	13,124,625		13,124,625
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		3,838,656		3,838,656
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		3,692,605		3,692,605
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		981,453		981,453
Total Repurchase Agreements (Cost $21,637,339)				21,637,339
Total Investments — 104.0% (Cost $68,576,811)			$	73,209,991
Other Assets & Liabilities, net — (4.0)%				(2,808,066	)
Total Net Assets — 100.0%			$	70,401,925

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  123

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
RUSSELL 2000® FUND

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $3,390,700)		41	$	34,348
	UNITS
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2012 Russell 2000 Index Swap, Terminating 04/27/123 (Notional Value $196,524)		237	$	(3,654	)
Morgan Stanley Capital Services, Inc. April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $489,111)		589		(5,453	)
Barclays Bank plc April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $3,152,692)		3,797		(7,190	)
Credit Suisse Capital, LLC April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $11,824,297)		14,241		(27,094	)
(Total Notional Value $15,662,624)			$	(43,391	)

* 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 31, 2012.

³  Total Return based on Russell 2000 Index +/- financing at a variable rate.

plc — Public Limited Company

REIT — Real Estate Investment Trust

124  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

RUSSELL 2000^® FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $46,939,472)	$	51,572,652
Repurchase agreements, at value (cost $21,637,339)		21,637,339
Total investments (cost $68,576,811)		73,209,991
Foreign currency, at value (cost $448)		448
Segregated cash with broker		304,072
Cash		1,185
Receivables:
Dividends		64,277
Fund shares sold		49,701
Interest		13
Total assets		73,629,687
LIABILITIES:
Unrealized depreciation on swap agreements		43,391
Payable for:
Fund shares redeemed		3,030,455
Management fees		46,622
Distribution and service fees		19,595
Transfer agent and administrative fees		15,541
Variation margin		15,029
Swap settlement		6,283
Portfolio accounting fees		6,216
Miscellaneous		44,630
Total liabilities		3,227,762
NETASSETS	$	70,401,925
NETASSETSCONSISTOF:
Paid in capital	$	70,011,239
Accumulated net investment loss		(153,610	)
Accumulated net realized loss on investments		(4,079,843	)
Net unrealized appreciation on investments		4,624,139
Net assets	$	70,401,925
A-CLASS:
Net assets	$	669,632
Capital shares outstanding		23,745
Net asset value per share	$	28.20
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.61
C-CLASS:
Net assets	$	6,285,177
Capital shares outstanding		233,669
Net asset value per share	$	26.90
H-CLASS:
Net assets	$	63,447,116
Capital shares outstanding		2,252,760
Net asset value per share	$	28.16

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $188)	$	308,659
Interest		9,902
Total investment income		318,561
EXPENSES:
Management fees		335,617
Transfer agent and administrative fees		111,873
Distribution and service fees:
A-Class		12,215
C-Class		61,116
H-Class		84,379
Portfolio accounting fees		44,749
Licensing fees		41,548
Custodian fees		11,662
Trustees’ fees*		2,038
Miscellaneous		46,883
Total expenses		752,080
Net investment loss		(433,519	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		563,240
Swap agreements		2,128,755
Futures contracts		3,611,956
Foreign currency		5
Realized gain distributions received from investment company shares		977
Net realized gain		6,304,933
Net change in unrealized appreciation (depreciation) on:
Investments		3,497,647
Swap agreements		(356,409	)
Futures contracts		(278,882	)
Foreign currency		2
Net change in unrealized appreciation (depreciation)		2,862,358
Net realized and unrealized gain		9,167,291
Net increase in net assets resulting from operations	$	8,733,772

* 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 SERIES FUNDS ANNUAL REPORT  |  125

RUSSELL 2000^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(433,519	)	$	(292,419	)
Net realized gain on investments		6,304,933			3,070,540
Net change in unrealized appreciation (depreciation) on investments		2,862,358			(810,396	)
Net increase in net assets resulting from operations		8,733,772			1,967,725
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		35,603,617			3,318,909
C-Class		83,457,886			92,851,121
H-Class		364,847,623			378,981,182
COSTOFSHARESREDEEMED
A-Class		(38,744,977	)		(4,088,188	)
C-Class		(84,349,313	)		(89,838,530	)
H-Class		(339,357,813	)		(379,943,686	)
Net increase from capital share transactions		21,457,023			1,280,808
Net increase in net assets		30,190,795			3,248,533
NETASSETS:
Beginning of year		40,211,130			36,962,597
End of year	$	70,401,925		$	40,211,130
Accumulated net investment loss at end of year	$	(153,610	)	$	(1,263	)
CAPITALSHAREACTIVITY:
Shares sold
A-Class		1,467,841			147,548
C-Class		3,373,536			4,000,710
H-Class		14,071,385			15,599,483
Shares redeemed
A-Class		(1,470,535	)		(178,309	)
C-Class		(3,397,242	)		(3,871,654	)
H-Class		(12,954,131	)		(15,893,726	)
Net increase (decrease) in shares		1,090,854			(195,948	)

126  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

RUSSELL 2000^® FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	28.54		$	22.96		$	14.31		$	23.57		$	27.64
Income (loss) from investment operations:
Net investment income (loss)a		(.23	)		(.24	)		(.15	)		(.02	)		.34
Net gain (loss) on investments (realized and unrealized)		(.11	)		5.82			8.80			(9.24	)		(4.21	)
Total from investment operations		(.34	)		5.58			8.65			(9.26	)		(3.87	)
Less distributions from:
Net investment income		—			—			—			—			(.20	)
Total distributions		—			—			—			—			(.20	)
Net asset value, end of period	$	28.20		$	28.54		$	22.96		$	14.31		$	23.57
Total Returnb		(1.19	)%		24.30	%		60.45	%		(39.29	)%		(14.08	)%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	670		$	755		$	1,313		$	2,309		$	909
Ratios to average net assets:
Net investment income (loss)		(0.89	%)		(1.01	%)		(0.81	%)		(0.13	%)		1.26	%
Total expenses		1.58	%		1.56	%		1.57	%		1.56	%		1.51	%
Portfolio turnover rate		121	%		284	%		370	%		485	%		535	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.46		$	22.29		$	14.00		$	23.28		$	27.48
Income (loss) from investment operations:
Net investment income (loss)a		(.46	)		(.47	)		(.34	)		(.15	)		.23
Net gain (loss) on investments (realized and unrealized)		(.10	)		5.64			8.63			(9.13	)		(4.23	)
Total from investment operations		(.56	)		5.17			8.29			(9.28	)		(4.00	)
Less distributions from:
Net investment income		—			—			—			—			(.20	)
Total distributions		—			—			—			—			(.20	)
Net asset value, end of period	$	26.90		$	27.46		$	22.29		$	14.00		$	23.28
Total Returnb		(2.04	)%		23.25	%		59.21	%		(39.86	)%		(14.63	)%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,285		$	7,068		$	2,860		$	2,123		$	678
Ratios to average net assets:
Net investment income (loss)		(1.83	)%		(1.87	)%		(1.56	)%		(0.82	)%		0.85	%
Total expenses		2.34	%		2.31	%		2.30	%		2.29	%		2.27	%
Portfolio turnover rate		121	%		284	%		370	%		485	%		535	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  127

RUSSELL 2000^® FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	28.52		$	22.93		$	14.31		$	23.57		$	27.64
Income (loss) from investment operations:
Net investment income (loss)a		(.22	)		(.27	)		(.16	)		(.02	)		.51
Net gain (loss) on investments (realized and unrealized)		(.14	)		5.86			8.78			(9.24	)		(4.38	)
Total from investment operations		(.36	)		5.59			8.62			(9.26	)		(3.87	)
Less distributions from:
Net investment income		—			—			—			—			(.20	)
Total distributions		—			—			—			—			(.20	)
Net asset value, end of period	$	28.16		$	28.52		$	22.93		$	14.31		$	23.57
Total Returnb		(1.26	)%		24.32	%		60.24	%		(39.29	)%		(14.08	)%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	63,447		$	32,389		$	32,790		$	19,847		$	4,327
Ratios to average net assets:
Net investment income (loss)		(0.83	)%		(1.09	)%		(0.83	)%		(0.09	)%		1.86	%
Total expenses		1.58	%		1.57	%		1.56	%		1.55	%		1.52	%
Portfolio turnover rate		121	%		284	%		370	%		485	%		535	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

128  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  129

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE RUSSELL 2000^® STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 -11.72% while the Russell 2000 Index* returned -0.18% over the same period.

The biggest performance contributors to the index during the period were the Financials and Health Care sectors. Energy and Information Technology provided the least performance to the index during the year.

Medivation, Inc., Nu Skin Enterprises, Inc. — Class A and Inhibitex, Inc. were among the stocks which provided the most performance to the index during the year. MF Global Holdings Ltd., InterMune, Inc. and Patriot Coal Corp. were among the stocks which provided the least performance to the index during the year.

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

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

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

*Russell 2000^® Index measures the performance of the small-cap value segment of the U.S. equity universe.

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.

130  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (03/31/04)
A-Class Shares		-11.68	%		-12.15	%		-10.81	%
A-Class Shares with sales charge‡		-15.90	%		-13.01	%		-11.35	%
Russell 2000 Index		-0.18	%		2.13	%		5.73	%
								(02/20/04	)
C-Class Shares		-12.29	%		-12.80	%		-11.59	%
C-Class Shares with CDSC†		-13.17	%		-12.80	%		-11.59	%
H-Class Shares		-11.72	%		-12.16	%		-10.93	%
Russell 2000 Index		-0.18	%		2.13	%		5.90	%

* 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 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 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 SERIES FUNDS ANNUAL REPORT  |  131

SCHEDULE OF INVESTMENTS	March 31, 2012
INVERSE RUSSELL 2000® STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 98.7%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	10,827,958	$	10,827,958
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		3,802,812		3,802,812
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		3,046,439		3,046,439
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		809,710		809,710
Total Repurchase Agreements (Cost $18,486,919)				18,486,919
Total Investments – 98.7% (Cost $18,486,919)			$	18,486,919
Other Assets & Liabilities, net – 1.3%				244,716
Total Net Assets – 100.0%			$	18,731,635

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS SOLD SHORT†
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $4,465,800)		54	$	(111,362	)
	UNITS
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Credit Suisse Capital, LLC April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $12,457,336)		15,003	$	28,571
Goldman Sachs International April 2012 Russell 2000 Index Swap, Terminating 04/27/123 (Notional Value $549,450)		662		10,205
Morgan Stanley Capital Services, Inc. April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $410,590)		495		4,557
Barclays Bank plc April 2012 Russell 2000 Index Swap, Terminating 04/30/123 (Notional Value $766,867)		924		1,775
(Total Notional Value $14,184,243)			$	45,108

^†  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 31, 2012.

³  Total Return based on Russell 2000 Index +/- financing at a variable rate.

plc —Public Limited Company

132  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $18,486,919)	$	18,486,919
Total investments (cost $18,486,919)		18,486,919
Segregated cash with broker		339,995
Unrealized appreciation on swap agreements		45,108
Receivable for swap settlement		231
Receivables:
Variation margin		19,440
Fund shares sold		11,824
Interest		10
Total assets		18,903,527
LIABILITIES:
Payable for:
Fund shares redeemed		146,408
Management fees		15,318
Distribution and service fees		4,779
Transfer agent and administrative fees		4,255
Portfolio accounting fees		1,702
Miscellaneous		(570	)
Total liabilities		171,892
NET ASSETS	$	18,731,635
NET ASSETS CONSIST OF:
Paid in capital	$	72,433,612
Accumulated net investment loss		(70,742	)
Accumulated net realized loss on investments		(53,564,981	)
Net unrealized depreciation on investments		(66,254	)
Net assets	$	18,731,635
A-CLASS:
Net assets	$	612,293
Capital shares outstanding		35,069
Net asset value per share	$	17.46
Maximum offering price per share (Net asset value divided by 95.25%)	$	18.33
C-CLASS:
Net assets	$	836,529
Capital shares outstanding		50,988
Net asset value per share	$	16.41
H-CLASS:
Net assets	$	17,282,813
Capital shares outstanding		989,057
Net asset value per share	$	17.47

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	13,923
Total investment income		13,923
EXPENSES:
Management fees		178,949
Transfer agent and administrative fees		49,708
Distribution and service fees:
A-Class		3,197
C-Class		10,310
H-Class		43,934
Portfolio accounting fees		19,883
Licensing fees		20,568
Custodian fees		6,752
Trustees’ fees*		1,621
Miscellaneous		23,346
Total expenses		358,268
Net investment loss		(344,345	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(1,284,144	)
Futures contracts		(1,201,924	)
Net realized loss		(2,486,068	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,616	)
Swap agreements		308,282
Futures contracts		(105,852	)
Net change in unrealized appreciation (depreciation)		198,814
Net realized and unrealized loss		(2,287,254	)
Net decrease in net assets resulting from operations	$	(2,631,599	)

* 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 SERIES FUNDS ANNUAL REPORT  |  133

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(344,345	)	$	(428,511	)
Net realized loss on investments		(2,486,068	)		(9,330,901	)
Net change in unrealized appreciation (depreciation) on investments		198,814			(192	)
Net decrease in net assets resulting from operations		(2,631,599	)		(9,759,604	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		7,173,118			7,959,272
C-Class		6,283,582			15,298,718
H-Class		201,994,386			454,278,543
COSTOFSHARESREDEEMED
A-Class		(7,494,667	)		(7,860,444	)
C-Class		(6,502,435	)		(15,531,833	)
H-Class		(191,935,153	)		(462,232,894	)
Net increase (decrease) from capital share transactions		9,518,831			(8,088,638	)
Net increase (decrease) in net assets		6,887,232			(17,848,242	)
NETASSETS:
Beginning of year		11,844,403			29,692,645
End of year	$	18,731,635		$	11,844,403
Accumulated net investment loss at end of year	$	(70,742	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		336,649			308,625
C-Class		310,758			580,595
H-Class		9,760,842			18,194,735
Shares redeemed
A-Class		(357,933	)		(317,626	)
C-Class		(321,668	)		(596,494	)
H-Class		(9,255,491	)		(18,670,803	)
Net increase (decrease) in shares		473,157			(500,968	)

134  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE RUSSELL 2000^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	19.77		$	27.00		$	48.02		$	39.05		$	35.00
Income (loss) from investment operations:
Net investment income (loss)a		(.34	)		(.38	)		(.54	)		(.21	)		1.06
Net gain (loss) on investments (realized and unrealized)		(1.97	)		(6.85	)		(20.48	)		9.57			4.40
Total from investment operations		(2.31	)		(7.23	)		(21.02	)		9.36			5.46
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)
Total distributions		—			—			—			(.39	)		(1.41	)
Net asset value, end of period	$	17.46		$	19.77		$	27.00		$	48.02		$	39.05
Total Returnb		(11.68	%)		(26.78	%)		(43.77	%)		23.91	%		16.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	612		$	1,114		$	1,765		$	2,299		$	6,816
Ratios to average net assets:
Net investment income (loss)		(1.66	%)		(1.53	%)		(1.58	%)		(0.50	%)		2.96	%
Total expenses		1.75	%		1.71	%		1.71	%		1.96	%		1.89	%
Operating expensesc		1.75	%		1.71	%		1.71	%		1.71	%		1.89	%
Portfolio turnover rate		—			—			—			214	%		—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	18.71		$	25.75		$	46.15		$	37.80		$	34.18
Income (loss) from investment operations:
Net investment income (loss)a		(.47	)		(.55	)		(.76	)		(.40	)		.76
Net gain (loss) on investments (realized and unrealized)		(1.83	)		(6.49	)		(19.64	)		9.14			4.27
Total from investment operations		(2.30	)		(7.04	)		(20.40	)		8.74			5.03
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)
Total distributions		—			—			—			(.39	)		(1.41	)
Net asset value, end of period	$	16.41		$	18.71		$	25.75		$	46.15		$	37.80
Total Returnb		(12.29	%)		(27.34	%)		(44.20	%)		23.06	%		15.22	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	837		$	1,158		$	2,003		$	2,199		$	6,136
Ratios to average net assets:
Net investment income (loss)		(2.43	%)		(2.28	%)		(2.34	%)		(1.03	%)		2.17	%
Total expenses		2.51	%		2.46	%		2.46	%		2.76	%		2.67	%
Operating expensesc		2.51	%		2.46	%		2.46	%		2.45	%		2.67	%
Portfolio turnover rate		—			—			—			214	%		—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  135

INVERSE RUSSELL 2000^® STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	19.79		$	27.01		$	48.05		$	39.07		$	35.02
Income (loss) from investment operations:
Net investment income (loss)a		(.35	)		(.38	)		(.53	)		(.19	)		1.05
Net gain (loss) on investments (realized and unrealized)		(1.97	)		(6.84	)		(20.51	)		9.56			4.41
Total from investment operations		(2.32	)		(7.22	)		(21.04	)		9.37			5.46
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)
Total distributions		—			—			—			(.39	)		(1.41	)
Net asset value, end of period	$	17.47		$	19.79		$	27.01		$	48.05		$	39.07
Total Returnb		(11.72	%)		(26.73	%)		(43.79	%)		23.93	%		16.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,283		$	9,572		$	25,924		$	30,131		$	42,554
Ratios to average net assets:
Net investment income (loss)		(1.70	%)		(1.53	%)		(1.58	%)		(0.45	%)		2.93	%
Total expenses		1.77	%		1.71	%		1.71	%		1.97	%		1.89	%
Operating expensesc		1.77	%		1.71	%		1.71	%		1.70	%		1.89	%
Portfolio turnover rate		—			—			—			214	%		—

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Operating expenses exclude dividend expense from securities sold short.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  137

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P 500 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Growth Index (the “underlying index”)

For the one-year period ended March 31, 2012, S&P 500 Pure Growth Fund H-Class returned 4.96%, compared with 6.88% for the S&P 500 Pure Growth Index*. S&P 500 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Large-cap growth stocks slightly outperformed large-cap value stocks during the period.

The Consumer Discretionary sector was the biggest contributor to returns, followed by the Health Care sector and Financials sector. Information Technology and Energy were the sectors detracting most from return.

The stocks contributing most to performance in the index were Apple, Inc., Ross Stores, Inc. and Intuitive Surgical, Inc. Those detracting the most from performance in the index were Netflix, Inc., First Solar, Inc. and Micron Technology, Inc.

*The 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).

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)

Apple, Inc.	1.8	%
Netflix, Inc.	1.7	%
Priceline.com, Inc.	1.5	%
Visa, Inc. — Class A	1.4	%
Medco Health Solutions, Inc.	1.3	%
Intuitive Surgical, Inc.	1.3	%
Celgene Corp.	1.3	%
Salesforce.com, Inc.	1.3	%
Chipotle Mexican Grill, Inc. — Class A	1.3	%
F5 Networks, Inc.	1.2	%
Top Ten Total	14.1	%

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

138  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		4.96	%		5.37	%		5.56	%
A-Class Shares with sales charge‡		-0.02	%		4.35	%		4.88	%
S&P 500 Pure Growth Index		6.88	%		7.12	%		8.90	%
								(02/20/04	)
C-Class Shares		4.15	%		4.55	%		3.57	%
C-Class Shares with CDSC†		3.15	%		4.55	%		3.57	%
H-Class Shares		4.96	%		5.36	%		4.35	%
S&P 500 Pure Growth Index		6.88	%		7.12	%		7.78	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  139

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P 500 PURE GROWTH FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
CONSUMER DISCRETIONARY - 23.4%
Netflix, Inc.*		7,635	$	878,329
Priceline.com, Inc.*		1,041		746,918
Chipotle Mexican Grill, Inc. — Class A*		1,539		643,302
Coach, Inc.		7,927		612,599
O’Reilly Automotive, Inc.*		6,681		610,309
Ross Stores, Inc.		10,433		606,158
AutoZone, Inc.*		1,628		605,290
Dollar Tree, Inc.*		6,106		576,956
Discovery Communications, Inc. — Class A*		11,203		566,872
Amazon.com, Inc.*		2,666		539,892
DIRECTV — Class A*		10,397		512,988
TJX Companies, Inc.		11,368		451,423
DeVry, Inc.		13,280		449,794
Scripps Networks Interactive, Inc. — Class A		9,184		447,169
Family Dollar Stores, Inc.		6,965		440,745
Apollo Group, Inc. — Class A*		10,502		405,797
Wynn Resorts Ltd.		2,871		358,530
Ralph Lauren Corp. — Class A		2,045		356,505
Bed Bath & Beyond, Inc.*		5,363		352,725
Yum! Brands, Inc.		4,747		337,891
McDonald’s Corp.		3,019		296,164
NIKE, Inc. — Class B		2,570		278,691
Viacom, Inc. — Class B		5,698		270,427
Tiffany & Co.		3,166		218,866
Starbucks Corp.		3,726		208,246
VF Corp.		1,390		202,912
Total Consumer Discretionary				11,975,498
HEALTH CARE—23.1%
Medco Health Solutions, Inc.*		9,524		669,537
Intuitive Surgical, Inc.*		1,231		666,895
Celgene Corp.*		8,571		664,424
Biogen Idec, Inc.*		4,689		590,673
Express Scripts Holding Co.		10,620		575,392
Mylan, Inc.*		24,280		569,366
Gilead Sciences, Inc.*		11,069		540,721
Perrigo Co.		4,900		506,219
UnitedHealth Group, Inc.		7,980		470,341
CR Bard, Inc.		4,370		431,406
Laboratory Corporation of America Holdings*		4,612		422,182
Abbott Laboratories		6,680		409,417
Edwards Lifesciences Corp.*		5,500		400,015
Varian Medical Systems, Inc.*		5,740		395,830
DaVita, Inc.*		4,170		376,009
Amgen, Inc.		5,240		356,268
Zimmer Holdings, Inc.		5,410		347,755
Life Technologies Corp.*		7,093		346,281
Waters Corp.*		3,737		346,270
Baxter International, Inc.		5,710		341,344
Cerner Corp.*		4,332		329,925
Stryker Corp.		5,840		324,003
Quest Diagnostics, Inc.		5,150		314,923
St. Jude Medical, Inc.		6,991		309,771

	SHARES		VALUE
Becton Dickinson and Co.		3,860	$	299,729
Allergan, Inc.		3,056		291,634
Watson Pharmaceuticals, Inc.*		4,200		281,652
Johnson & Johnson		3,170		209,093
Total Health Care				11,787,075
INFORMATION TECHNOLOGY—21.8%
Apple, Inc.*		1,530		917,189
Visa, Inc. — Class A		5,877		693,485
Salesforce.com, Inc.*		4,165		643,534
F5 Networks, Inc.*		4,608		621,896
Red Hat, Inc.*		9,918		593,989
Cognizant Technology Solutions Corp. — Class A*		7,565		582,127
Google, Inc. — Class A*		849		544,413
Broadcom Corp. — Class A*		11,733		461,107
Altera Corp.		11,527		459,005
KLA-Tencor Corp.		8,129		442,380
Mastercard, Inc. — Class A		1,025		431,054
QUALCOMM, Inc.		6,069		412,813
SanDisk Corp.*		8,153		404,308
Intuit, Inc.		6,713		403,653
Teradata Corp.*		5,685		387,433
NetApp, Inc.*		8,433		377,545
Citrix Systems, Inc.*		4,566		360,303
Microchip Technology, Inc.		9,586		356,599
Amphenol Corp. — Class A		5,948		355,512
Fiserv, Inc.*		4,590		318,500
International Business Machines Corp.		1,357		283,138
Oracle Corp.		9,582		279,411
Automatic Data Processing, Inc.		5,050		278,710
Xilinx, Inc.		7,439		271,003
Akamai Technologies, Inc.*		6,889		252,826
Total Information Technology				11,131,933
INDUSTRIALS—8.1%
Stericycle, Inc.*		6,399		535,212
WW Grainger, Inc.		1,765		379,140
First Solar, Inc.*		13,895		348,070
Lockheed Martin Corp.		3,690		331,583
Dun & Bradstreet Corp.		3,800		321,974
CH Robinson Worldwide, Inc.		4,780		313,042
Deere & Co.		3,632		293,829
United Parcel Service, Inc. — Class B		3,460		279,291
Pall Corp.		4,470		266,546
Union Pacific Corp.		2,340		251,503
Roper Industries, Inc.		2,280		226,085
Rockwell Automation, Inc.		2,757		219,733
Goodrich Corp.		1,624		203,715
Joy Global, Inc.		2,250		165,375
Total Industrials				4,135,098
MATERIALS—6.8%
Newmont Mining Corp.		9,485		486,296
Cliffs Natural Resources, Inc.		5,500		380,930
FMC Corp.		3,459		366,170
International Flavors & Fragrances, Inc.		5,595		327,867
CF Industries Holdings, Inc.		1,750		319,638
Sigma-Aldrich Corp.		4,264		311,528

140  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P 500 PURE GROWTH FUND

	SHARES		VALUE
Ecolab, Inc.		4,670	$	288,232
Sherwin-Williams Co.		2,620		284,715
PPG Industries, Inc.		2,970		284,526
Praxair, Inc.		2,090		239,598
Monsanto Co.		2,290		182,650
Total Materials				3,472,150
CONSUMER STAPLES—5.9%
PepsiCo, Inc.		6,740		447,199
Philip Morris International, Inc.		4,982		441,455
Coca-Cola Co.		4,990		369,310
Colgate-Palmolive Co.		2,940		287,474
Mead Johnson Nutrition Co. — Class A		3,430		282,907
Hershey Co.		4,580		280,891
Kimberly-Clark Corp.		3,460		255,659
Estee Lauder Companies, Inc. — Class A		3,764		233,142
Kellogg Co.		4,010		215,056
Brown-Forman Corp. — Class B		2,401		200,219
Total Consumer Staples				3,013,312
FINANCIALS—4.9%
IntercontinentalExchange, Inc.*		4,304		591,455
American Tower Corp. — Class A		6,681		421,037
Franklin Resources, Inc.		3,090		383,252
Aflac, Inc.		7,940		365,161
BlackRock, Inc. — Class A		1,610		329,889
T. Rowe Price Group, Inc.		3,400		222,020
Ventas, Inc.		3,156		180,208
Total Financials				2,493,022
ENERGY—4.6%
Diamond Offshore Drilling, Inc.		5,359		357,713
Southwestern Energy Co.*		10,798		330,418
EOG Resources, Inc.		2,900		322,190
Pioneer Natural Resources Co.		2,428		270,941
Peabody Energy Corp.		9,003		260,727
Cameron International Corp.*		4,701		248,354
Helmerich & Payne, Inc.		4,370		235,762
Schlumberger Ltd.		2,510		175,524
Cabot Oil & Gas Corp.		4,290		133,719
Total Energy				2,335,348
TELECOMMUNICATION SERVICES—0.9%
Crown Castle International Corp.*		9,010		480,593
Total Common Stocks (Cost $38,374,065)				50,824,029

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 -  0.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	312,036	$	312,036
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		87,791		87,791
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		40,284		40,284
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		23,334		23,334
Total Repurchase Agreements (Cost $463,445)				463,445
Total Investments – 100.4% (Cost $38,837,510)			$	51,287,474
Other Assets & Liabilities, net – (0.4)%				(191,654	)
Total Net Assets – 100.0%			$	51,095,820

^*  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  141

S&P 500 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES STATEMENT OF OPERATIONS

March 31, 2012
ASSETS:
Investments, at value (cost $38,374,065)	$	50,824,029
Repurchase agreements, at value (cost $463,445)		463,445
Total investments (cost $38,837,510)		51,287,474
Receivables:
Fund shares sold		6,751,848
Dividends		32,706
Total assets		58,072,028
LIABILITIES:
Payable for:
Securities purchased		6,801,912
Fund shares redeemed		86,461
Management fees		28,363
Distribution and service fees		16,789
Transfer agent and administrative fees		9,454
Portfolio accounting fees		3,782
Miscellaneous		29,447
Total liabilities		6,976,208
NETASSETS	$	51,095,820
NETASSETSCONSISTOF:
Paid in capital	$	48,847,454
Accumulated net investment loss		(82,706	)
Accumulated net realized loss on investments		(10,118,892	)
Net unrealized appreciation on investments		12,449,964
Net assets	$	51,095,820
A-CLASS:
Net assets	$	2,845,508
Capital shares outstanding		82,383
Net asset value per share	$	34.54
Maximum offering price per share (Net asset value divided by 95.25%)	$	36.26
C-CLASS:
Net assets	$	11,622,983
Capital shares outstanding		357,894
Net asset value per share	$	32.48
H-CLASS:
Net assets	$	36,627,329
Capital shares outstanding		1,060,969
Net asset value per share	$	34.52

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	482,510
Interest		140
Total investment income		482,650
EXPENSES:
Management fees		394,976
Transfer agent and administrative fees		131,659
Distribution and service fees:
A-Class		13,278
C-Class		90,338
H-Class		95,796
Portfolio accounting fees		52,663
Custodian fees		14,280
Trustees’ fees*		5,393
Miscellaneous		63,596
Total expenses		861,979
Net investment loss		(379,329	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(3,533,260	)
Net realized loss		(3,533,260	)
Net change in unrealized appreciation (depreciation) on:
Investments		151,421
Net change in unrealized appreciation (depreciation)		151,421
Net realized and unrealized loss		(3,381,839	)
Net decrease in net assets resulting from operations	$	(3,761,168	)

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

142  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(379,329	)	$	(476,960	)
Net realized gain (loss) on investments		(3,533,260	)		6,110,300
Net change in unrealized appreciation (depreciation) on investments		151,421			7,095,188
Net increase (decrease) in net assets resulting from operations		(3,761,168	)		12,728,528
DISTRIBUTIONSTOSHAREHOLDERSFROM:
Net realized gains
A-Class		(25,990	)		—
C-Class		(71,516	)		—
H-Class		(538,834	)		—
Total distributions to shareholders		(636,340	)		—
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		29,481,857			23,075,207
C-Class		8,753,921			8,392,407
H-Class		317,543,098			452,894,846
DISTRIBUTIONSREINVESTED
A-Class		24,625			—
C-Class		69,727			—
H-Class		519,152			—
COSTOFSHARESREDEEMED
A-Class		(28,735,214	)		(23,684,382	)
C-Class		(6,108,124	)		(8,275,738	)
H-Class		(315,975,426	)		(439,353,112	)
Net increase from capital share transactions		5,573,616			13,049,228
Net increase in net assets		1,176,108			25,777,756
NETASSETS:
Beginning of year		49,919,712			24,141,956
End of year	$	51,095,820		$	49,919,712
Accumulated net investment loss at end of year	$	(82,706	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		902,644			830,903
C-Class		293,533			313,215
H-Class		9,949,737			16,228,786
Shares issued from reinvestment of distributions
A-Class		794			—
C-Class		2,385			—
H-Class		16,752			—
Shares redeemed
A-Class		(902,622	)		(816,244	)
C-Class		(204,848	)		(302,875	)
H-Class		(10,077,462	)		(15,655,887	)
Net increase (decrease) in shares		(19,087	)		597,898

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  143

S&P 500 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	33.15		$	26.51		$	15.82		$	25.11		$	27.17
Income (loss) from investment operations:
Net investment lossa		(.20	)		(.18	)		(.18	)		(.11	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		1.82			6.82			10.87			(9.18	)		(1.52	)
Total from investment operations		1.62			6.64			10.69			(9.29	)		(1.67	)
Less distributions from:
Net realized gains		(.23	)		—			—			—			(.39	)
Total distributions		(.23	)		—			—			—			(.39	)
Net asset value, end of period	$	34.54		$	33.15		$	26.51		$	15.82		$	25.11
Total Returnb		4.96	%		25.05	%		67.57	%		(37.00	%)		(6.28	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,846		$	2,704		$	1,774		$	2,346		$	5,443
Ratios to average net assets:
Net investment loss		(0.62	%)		(0.65	%)		(0.81	%)		(0.46	%)		(0.53	%)
Total expenses		1.52	%		1.53	%		1.52	%		1.53	%		1.51	%
Portfolio turnover rate		586	%		808	%		699	%		573	%		450	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	31.42		$	25.32		$	15.23		$	24.35		$	26.57
Income (loss) from investment operations:
Net investment lossa		(.41	)		(.41	)		(.30	)		(.23	)		(.32	)
Net gain (loss) on investments (realized and unrealized)		1.70			6.51			10.39			(8.89	)		(1.51	)
Total from investment operations		1.29			6.10			10.09			(9.12	)		(1.83	)
Less distributions from:
Net realized gains		(.23	)		—			—			—			(.39	)
Total distributions		(.23	)		—			—			—			(.39	)
Net asset value, end of period	$	32.48		$	31.42		$	25.32		$	15.23		$	24.35
Total Returnb		4.15	%		24.09	%		66.25	%		(37.45	%)		(7.02	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,623		$	8,384		$	6,494		$	2,111		$	4,453
Ratios to average net assets:
Net investment loss		(1.35	%)		(1.53	%)		(1.40	%)		(1.13	%)		(1.21	%)
Total expenses		2.26	%		2.29	%		2.28	%		2.29	%		2.27	%
Portfolio turnover rate		586	%		808	%		699	%		573	%		450	%

144  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	33.13		$	26.50		$	15.81		$	25.10		$	27.16
Income (loss) from investment operations:
Net investment lossa		(.19	)		(.26	)		(.14	)		(.09	)		(.17	)
Net gain (loss) on investments (realized and unrealized)		1.81			6.89			10.83			(9.20	)		(1.50	)
Total from investment operations		1.62			6.63			10.69			(9.29	)		(1.67	)
Less distributions from:
Net realized gains		(.23	)		—			—			—			(.39	)
Total distributions		(.23	)		—			—			—			(.39	)
Net asset value, end of period	$	34.52		$	33.13		$	26.50		$	15.81		$	25.10
Total Returnb		4.96	%		25.02	%		67.62	%		(37.01	%)		(6.28	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,627		$	38,831		$	15,874		$	12,512		$	11,937
Ratios to average net assets:
Net investment loss		(0.59	%)		(0.89	%)		(0.60	%)		(0.41	%)		(0.62	%)
Total expenses		1.51	%		1.55	%		1.53	%		1.53	%		1.53	%
Portfolio turnover rate		586	%		808	%		699	%		573	%		450	%

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

^b Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  145

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P 500 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Value Index (the “underlying index”).

For the one-year period ended March 31, 2012, S&P 500 Pure Value Fund H-Class returned 3.65%, compared with 6.45% for the S&P 500 Pure Value Index*. S&P 500 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Large-cap growth stocks slightly outperformed large-cap value stocks during the period.

The Financials, Utilities and Health Care sectors provided the greatest contribution to return. Telecommunication Services, Energy and Industrials were the largest detractors from return.

The strongest contributors to index performance for the period were American International Group, Inc., Constellation Energy Group and Whirlpool Corp. The stocks detracting most from return were Sears Holdings Corp., NRG Energy, Inc. and Sprint Nextel Corp.

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

* The 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).

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)
American International Group, Inc.	2.6	%
Whirlpool Corp.	2.5	%
Computer Sciences Corp.	2.4	%
Hartford Financial Services Group, Inc.	2.0	%
Genworth Financial, Inc. — Class A	2.0	%
Valero Energy Corp.	1.8	%
Lincoln National Corp.	1.7	%
Bank of America Corp.	1.7	%
Marathon Oil Corp.	1.7	%
Morgan Stanley	1.6	%
Top Ten Total	20.0	%

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

146  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		3.64	%		-1.59	%		3.37	%
A-Class Shares with sales charge‡		-1.29	%		-2.55	%		2.71	%
S&P 500 Pure Value Index		6.45	%		1.36	%		7.61	%
								(02/20/04	)
C-Class Shares		2.88	%		-2.26	%		2.26	%
C-Class Shares with CDSC†		1.88	%		-2.26	%		2.26	%
H-Class Shares		3.65	%		-1.53	%		3.02	%
S&P 500 Pure Value Index		6.45	%		1.36	%		7.82	%

^*  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 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 SERIES FUNDS ANNUAL REPORT  |  147

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P 500 PURE VALUE FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
FINANCIALS - 39.4%
American International Group, Inc.*		61,670	$	1,901,286
Hartford Financial Services Group, Inc.		68,820		1,450,726
Genworth Financial, Inc. — Class A*		171,149		1,423,960
Lincoln National Corp.		48,118		1,268,391
Bank of America Corp.		131,950		1,262,762
Morgan Stanley		60,286		1,184,017
Citigroup, Inc.		31,468		1,150,155
MetLife, Inc.		28,466		1,063,206
Hudson City Bancorp, Inc.		142,500		1,041,675
Allstate Corp.		29,193		961,034
Prudential Financial, Inc.		15,092		956,682
JPMorgan Chase & Co.		19,159		880,931
Goldman Sachs Group, Inc.		6,414		797,710
SunTrust Banks, Inc.		32,130		776,582
Unum Group		30,611		749,357
XL Group plc — Class A		33,548		727,656
Capital One Financial Corp.		13,027		726,125
E*Trade Financial Corp.*		65,552		717,794
Assurant, Inc.		16,655		674,528
Principal Financial Group, Inc.		22,440		662,204
Bank of New York Mellon Corp.		26,950		650,304
Regions Financial Corp.		88,977		586,358
KeyCorp		63,450		539,325
Legg Mason, Inc.		19,098		533,407
Loews Corp.		11,320		451,328
Leucadia National Corp.		16,520		431,172
Comerica, Inc.		12,670		410,001
Ameriprise Financial, Inc.		7,100		405,623
Cincinnati Financial Corp.		11,636		401,558
PNC Financial Services Group, Inc.		6,043		389,713
ACE Ltd.		5,220		382,104
Fifth Third Bancorp		23,625		331,931
BB&T Corp.		10,276		322,564
Wells Fargo & Co.		9,050		308,967
Huntington Bancshares, Inc.		46,050		297,023
Weyerhaeuser Co.		13,532		296,621
First Horizon National Corp.		28,330		294,065
CME Group, Inc. — Class A		1,010		292,223
NASDAQ OMX Group, Inc.*		10,932		283,139
Torchmark Corp.		5,202		259,320
SLM Corp.		16,186		255,091
NYSE Euronext		8,199		246,052
Total Financials				28,744,670
CONSUMER DISCRETIONARY—11.2%
Whirlpool Corp.		23,979		1,843,026
Sears Holdings Corp.*		17,698		1,172,492
Best Buy Company, Inc.		32,190		762,259
GameStop Corp. — Class A		32,675		713,622
Gannett Company, Inc.		45,554		698,343
Ford Motor Co.		51,090		638,114
Staples, Inc.		35,630		576,493

	SHARES		VALUE
Washington Post Co. — Class B		1,516	$	566,332
JC Penney Company, Inc.		13,920		493,186
Johnson Controls, Inc.		9,710		315,381
AutoNation, Inc.*		6,285		215,638
Goodyear Tire & Rubber Co.*		17,862		200,412
Total Consumer Discretionary				8,195,298
ENERGY—10.0%
Valero Energy Corp.		51,113		1,317,182
Marathon Oil Corp.		39,466		1,251,072
Marathon Petroleum Corp.		23,323		1,011,285
Tesoro Corp.*		35,256		946,271
Sunoco, Inc.		24,325		927,999
Murphy Oil Corp.		9,190		517,121
Hess Corp.		8,545		503,728
ConocoPhillips		5,736		435,993
Nabors Industries Ltd.*		11,848		207,222
Alpha Natural Resources, Inc.*		12,490		189,973
Total Energy				7,307,846
INFORMATION TECHNOLOGY—9.4%
Computer Sciences Corp.		59,070		1,768,556
Jabil Circuit, Inc.		36,342		912,911
Micron Technology, Inc.*		100,640		815,184
SAIC, Inc.*		44,180		583,176
Western Digital Corp.*		13,710		567,457
Xerox Corp.		69,526		561,770
Hewlett-Packard Co.		18,940		451,341
Harris Corp.		8,140		366,951
Lexmark International, Inc. — Class A		10,050		334,062
Corning, Inc.		18,240		256,819
Dell, Inc.*		13,684		227,154
Total Information Technology				6,845,381
CONSUMER STAPLES—8.2%
Archer-Daniels-Midland Co.		35,800		1,133,428
Dean Foods Co.*		79,973		968,474
Tyson Foods, Inc. — Class A		46,923		898,575
Safeway, Inc.		41,538		839,483
Kroger Co.		28,700		695,401
CVS Caremark Corp.		9,733		436,038
Walgreen Co.		12,504		418,759
Molson Coors Brewing Co. — Class B		6,648		300,822
Sysco Corp.		9,172		273,876
Total Consumer Staples				5,964,856
HEALTH CARE—6.3%
Tenet Healthcare Corp.*		200,860		1,066,567
Coventry Health Care, Inc.		21,404		761,340
Cardinal Health, Inc.		16,000		689,759
AmerisourceBergen Corp.		17,170		681,305
McKesson Corp.		7,663		672,582
Cigna Corp.		8,850		435,863
PerkinElmer, Inc.		10,930		302,324
Total Health Care				4,609,740

148  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P 500 PURE VALUE FUND

	SHARES		VALUE
INDUSTRIALS - 6.0%
L-3 Communications Holdings, Inc.		10,038	$	710,389
Northrop Grumman Corp.		10,587		646,654
RR Donnelley & Sons Co.		49,199		609,576
Avery Dennison Corp.		19,630		591,452
Southwest Airlines Co.		67,590		556,942
Jacobs Engineering Group, Inc.*		8,485		376,479
Ingersoll-Rand plc		8,320		344,032
Textron, Inc.		11,270		313,644
Ryder System, Inc.		4,553		240,398
Total Industrials				4,389,566
MATERIALS—4.3%
Alcoa, Inc.		68,131		682,673
United States Steel Corp.		19,527		573,508
Sealed Air Corp.		24,947		481,726
Owens-Illinois, Inc.*		18,840		439,726
International Paper Co.		10,970		385,047
Dow Chemical Co.		9,259		320,732
Bemis Company, Inc.		7,679		247,954
Total Materials				3,131,366
UTILITIES—2.7%
NRG Energy, Inc.*		49,000		767,830
Pepco Holdings, Inc.		18,872		356,492
Edison International		8,000		340,080
Integrys Energy Group, Inc.		4,687		248,364
DTE Energy Co.		4,026		221,551
Total Utilities				1,934,317
TELECOMMUNICATION SERVICES—2.0%
Sprint Nextel Corp.*		228,715		651,837
MetroPCS Communications, Inc.*		40,330		363,777
CenturyLink, Inc.		5,740		221,851
Frontier Communications Corp.		44,500		185,565
Total Telecommunication Services				1,423,030
Total Common Stocks (Cost $69,446,872)				72,546,070
			��

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 0.7%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	323,699	$	323,699
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		91,073		91,073
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		41,790		41,790
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		24,206		24,206
Total Repurchase Agreements (Cost $480,768)				480,768
Total Investments – 100.2% (Cost $69,927,640)			$	73,026,838
Other Assets & Liabilities, net – (0.2)%				(166,472	)
Total Net Assets – 100.0%			$	72,860,366

^*  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

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  149

S&P 500 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $69,446,872)	$	72,546,070
Repurchase agreements, at value (cost $480,768)		480,768
Total investments (cost $69,927,640)		73,026,838
Cash		417
Receivables:
Securities sold		6,721,637
Fund shares sold		174,150
Dividends		53,188
Total assets		79,976,230
LIABILITIES:
Payable for:
Fund shares redeemed		7,048,511
Management fees		26,531
Distribution and service fees		10,155
Transfer agent and administrative fees		8,844
Portfolio accounting fees		3,537
Miscellaneous		18,286
Total liabilities		7,115,864
NET ASSETS	$	72,860,366
NET ASSETS CONSISTOF:
Paid in capital	$	75,600,944
Undistributed net investment income		81,734
Accumulated net realized loss on investments		(5,921,510	)
Net unrealized appreciation on investments		3,099,198
Net assets	$	72,860,366
A-CLASS:
Net assets	$	1,846,252
Capital shares outstanding		19,748
Net asset value per share	$	93.49
Maximum offering price per share
(Net asset value divided by 95.25%)	$	98.15
C-CLASS:
Net assets	$	2,128,362
Capital shares outstanding		24,628
Net asset value per share	$	86.42
H-CLASS:
Net assets	$	68,885,752
Capital shares outstanding		734,360
Net asset value per share	$	93.80

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	554,131
Interest		86
Total investment income		554,217
EXPENSES:
Management fees		221,111
Transfer agent and administrative fees		73,704
Distribution and service fees:
A-Class		3,590
C-Class		36,772
H-Class		60,921
Portfolio accounting fees		29,481
Custodian fees		8,233
Trustees’ fees*		2,944
Miscellaneous		35,727
Total expenses		472,483
Net investment income		81,734
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		238,143
Net realized gain		238,143
Net change in unrealized appreciation (depreciation) on:
Investments		(2,958,416	)
Net change in unrealized appreciation (depreciation)		(2,958,416	)
Net realized and unrealized loss		(2,720,273	)
Net decrease in net assets resulting from operations	$	(2,638,539	)

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

150  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	81,734		$	(32,522	)
Net realized gain on investments		238,143			8,480,016
Net change in unrealized appreciation (depreciation) on investments		(2,958,416	)		(8,294,860	)
Net increase (decrease) in net assets resulting from operations		(2,638,539	)		152,634
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A-Class		—			(16,831	)
C-Class		—			(38,161	)
H-Class		—			(168,310	)
Total distributions to shareholders		—			(223,302	)
CAPITALSHARETRANSACTIONS: PROCEEDSFROMSALEOFSHARES
A-Class		9,200,693			20,577,766
C-Class		4,609,920			12,317,081
H-Class		315,392,630			446,114,591
DISTRIBUTIONSREINVESTED
A-Class		—			11,816
C- Class		—			32,218
H-Class		—			165,705
COSTOFSHARESREDEEMED
A-Class		(9,753,404	)		(26,189,401	)
C-Class		(7,654,634	)		(11,762,447	)
H-Class		(271,168,176	)		(567,934,046	)
Net increase (decrease) from capital share transactions		40,627,029			(126,666,717	)
Net increase (decrease) in net assets		37,988,490			(126,737,385	)
NETASSETS:
Beginning of year		34,871,876			161,609,261
End of year	$	72,860,366		$	34,871,876
Undistributed net investment income at end of year	$	81,734		$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		99,586			251,530
C-Class		56,030			160,280
H-Class		3,557,929			5,470,210
Shares issued from reinvestment of distributions
A-Class		—			149
C-Class		—			436
H-Class		—			2,086
Shares redeemed
A-Class		(105,660	)		(328,246	)
C-Class		(99,149	)		(158,144	)
H-Class		(3,120,293	)		(7,034,879	)
Net increase (decrease) in shares		388,443			(1,636,578	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  151

S&P 500 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	90.21		$	79.66		$	35.58		$	100.00		$	167.30
Income (loss) from investment operations:
Net investment incomea		.30			.01			.26			1.95			2.45
Net gain (loss) on investments (realized and unrealized)		2.98			11.87			44.60			(57.52	)		(30.50	)
Total from investment operations		3.28			11.88			44.86			(55.57	)		(28.05	)
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)
Net realized gains		—			—			—			(7.80	)		(29.30	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)
Net asset value, end of period	$	93.49		$	90.21		$	79.66		$	35.58		$	100.00
Total Returnb		3.64	%		15.14	%		126.37	%		(57.28	%)		(19.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,846		$	2,329		$	8,156		$	203		$	4,269
Ratios to average net assets:
Net investment income		0.34	%		0.01	%		0.39	%		2.16	%		1.67	%
Total expenses		1.51	%		1.54	%		1.52	%		1.53	%		1.52	%
Portfolio turnover rate		762	%		820	%		673	%		1,448	%		289	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	83.99		$	74.81		$	33.66		$	96.00		$	163.40
Income (loss) from investment operations:
Net investment income (loss)a		(.36	)		(.51	)		(.02	)		1.40			.70
Net gain (loss) on investments (realized and unrealized)		2.79			11.02			41.95			(54.89	)		(28.85	)
Total from investment operations		2.43			10.51			41.93			(53.49	)		(28.15	)
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)
Net realized gains		—			—			—			(7.80	)		(29.30	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)
Net asset value, end of period	$	86.42		$	83.99		$	74.81		$	33.66		$	96.00
Total Returnb		2.88	%		14.28	%		124.86	%		(57.55	%)		(20.57	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,128		$	5,690		$	4,876		$	1,129		$	1,838
Ratios to average net assets:
Net investment income (loss)		(0.45	%)		(0.68	%)		(0.03	%)		2.44	%		0.48	%
Total expenses		2.27	%		2.29	%		2.27	%		2.29	%		2.29	%
Portfolio turnover rate		762	%		820	%		673	%		1,448	%		289	%

152  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P 500 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	90.50		$	79.91		$	35.67		$	100.00		$	167.30
Income (loss) from investment operations:
Net investment income (loss)a		.33			(.02	)		.32			1.40			1.80
Net gain (loss) on investments (realized and unrealized)		2.97			11.94			44.70			(56.88	)		(29.85	)
Total from investment operations		3.30			11.92			45.02			(55.48	)		(28.05	)
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)
Net realized gains		—			—			—			(7.80	)		(29.30	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)
Net asset value, end of period	$	93.80		$	90.50		$	79.91		$	35.67		$	100.00
Total Returnb		3.65	%		15.14	%		126.50	%		(57.23	%)		(19.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	68,886		$	26,852		$	148,578		$	4,558		$	18,459
Ratios to average net assets:
Net investment income (loss)		0.38	%		(0.03	%)		0.47	%		2.36	%		1.11	%
Total expenses		1.51	%		1.54	%		1.54	%		1.53	%		1.53	%
Portfolio turnover rate		762	%		820	%		673	%		1,448	%		289	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Reverse share split — Per share amounts for the period March 31, 2007 through April 19, 2009 have been restated to reflect a 1:5 reverse share split effective April 20, 2009.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  153

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P MIDCAP 400 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Growth Index (the “underlying index”).

For the one-year period ended March 31, 2012, S&P MidCap 400 Pure Growth Fund H-Class returned 3.11%, compared with 4.25% for the S&P MidCap 400 Pure Growth Index*. S&P MidCap 400 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Mid-cap growth stocks significantly outperformed mid-cap value stocks during the period.

Health Care, Consumer Discretionary and Industrials holdings contributed the most to Fund return. Information Technology, Energy and Financials detracted from return.

Regeneron Pharmaceuticals, Inc. Monster Beverage Corp. and Equinix, Inc. were among the stocks which added the most to the index during the year. Cree, Inc., Skyworks Solutions, Inc. and Green Mountain Coffee Roasters were among the stocks which provided the least performance to the index during the year.

* The 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.

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)
Regeneron Pharmaceuticals, Inc.	3.0	%
ITT Educational Services, Inc.	2.2	%
Equinix, Inc.	2.1	%
Fossil, Inc.	1.8	%
Catalyst Health Solutions, Inc.	1.7	%
AMERIGROUP Corp.	1.7	%
Alliance Data Systems Corp.	1.7	%
Advance Auto Parts, Inc.	1.6	%
Under Armour, Inc. — Class A	1.5	%
Monster Beverage Corp.	1.5	%
Top Ten Total	18.8	%

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

154  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		3.16	%		9.18	%		10.36	%
A-Class Shares with sales charge‡		-1.74	%		8.13	%		9.65	%
S&P MidCap 400 Pure Growth Index		4.25	%		11.18	%		12.49	%
								(02/20/04)
C- Class Shares		2.35	%		8.37	%		8.25	%
C- Class Shares with CDSC†		1.35	%		8.37	%		8.25	%
H- Class Shares		3.11	%		9.18	%		9.05	%
S&P MidCap 400 Pure Growth Index		4.25	%		11.18	%		11.37	%

^*  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 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 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 SERIES FUNDS ANNUAL REPORT  |  155

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P MIDCAP 400 PURE GROWTH FUND

	SHARES		VALUE
COMMON STOCKS†—99.5%
INFORMATION TECHNOLOGY—23.5%
Equinix, Inc.*		49,380	$	7,774,881
Alliance Data Systems Corp.*		49,539		6,239,932
Rackspace Hosting, Inc.*		96,835		5,596,095
Informatica Corp.*		96,730		5,117,016
Wright Express Corp.*		68,500		4,434,005
Silicon Laboratories, Inc.*		101,844		4,379,292
VeriFone Systems, Inc.*		80,700		4,185,909
Rovi Corp.*		124,969		4,067,741
Global Payments, Inc.		81,594		3,875,715
Factset Research Systems, Inc.		38,224		3,785,705
ANSYS, Inc.*		55,638		3,617,583
Lam Research Corp.*		78,700		3,511,594
Concur Technologies, Inc.*		56,915		3,265,783
Semtech Corp.*		107,045		3,046,501
Solera Holdings, Inc.		60,855		2,792,636
Riverbed Technology, Inc.*		97,475		2,737,098
Zebra Technologies Corp. — Class A*		56,642		2,332,518
MICROS Systems, Inc.*		41,346		2,286,020
ADTRAN, Inc.		68,603		2,139,728
ACI Worldwide, Inc.*		52,579		2,117,356
Jack Henry & Associates, Inc.		56,758		1,936,583
NeuStar, Inc. — Class A*		44,900		1,672,525
Gartner, Inc.*		39,208		1,671,829
Trimble Navigation Ltd.*		29,000		1,578,180
Advent Software, Inc.*		48,348		1,237,709
Total Information Technology				85,399,934
HEALTH CARE—22.2%
Regeneron Pharmaceuticals, Inc.*		93,400		10,892,308
Catalyst Health Solutions, Inc.*		99,382		6,333,615
AMERIGROUP Corp.*		93,900		6,317,592
Mednax, Inc.*		74,604		5,548,299
United Therapeutics Corp.*		107,600		5,071,188
Gen-Probe, Inc.*		73,734		4,896,675
Bio-Rad Laboratories, Inc. — Class A*		39,800		4,126,862
IDEXX Laboratories, Inc.*		45,239		3,956,151
Endo Pharmaceuticals Holdings, Inc.*		101,316		3,923,969
Henry Schein, Inc.*		51,200		3,874,816
Mettler-Toledo International, Inc.*		19,728		3,644,748
Cooper Companies, Inc.		41,894		3,423,159
Medicis Pharmaceutical Corp. — Class A		80,092		3,010,658
Techne Corp.		42,900		3,007,290
Thoratec Corp.*		89,033		3,001,302
HMS Holdings Corp.*		95,200		2,971,192
ResMed, Inc.*		92,108		2,847,058
Covance, Inc.*		45,300		2,157,639
Allscripts Healthcare Solutions, Inc.*		104,260		1,730,716
Total Health Care				80,735,237

	SHARES		VALUE
CONSUMER DISCRETIONARY—21.1%
ITT Educational Services, Inc.*		120,757	$	7,986,868
Fossil, Inc.*		50,675		6,688,086
Advance Auto Parts, Inc.		64,458		5,709,045
Under Armour, Inc. — Class A*		60,003		5,640,282
Strayer Education, Inc.		57,970		5,465,412
PVH Corp.		60,252		5,382,311
Tractor Supply Co.		57,481		5,205,480
Panera Bread Co. — Class A*		31,538		5,075,095
Carter’s, Inc.*		101,500		5,051,655
PetSmart, Inc.		67,933		3,887,126
Warnaco Group, Inc.*		64,317		3,756,113
Polaris Industries, Inc.		47,988		3,462,334
Deckers Outdoor Corp.*		51,424		3,242,283
Tupperware Brands Corp.		50,932		3,234,182
LKQ Corp.*		102,675		3,200,380
Life Time Fitness, Inc.*		61,333		3,101,610
Gentex Corp.		42,866		1,050,217
Total Consumer Discretionary				77,138,479
INDUSTRIALS—12.3%
Triumph Group, Inc.		89,446		5,604,686
Valmont Industries, Inc.		37,800		4,438,099
Clean Harbors, Inc.*		65,600		4,416,848
Watsco, Inc.		57,800		4,279,512
Alaska Air Group, Inc.*		106,400		3,811,248
MSC Industrial Direct Co., Inc. — Class A		39,200		3,264,576
Copart, Inc.*		121,300		3,162,291
Wabtec Corp.		37,000		2,788,690
Woodward, Inc.		60,516		2,591,900
J.B. Hunt Transport Services, Inc.		47,400		2,577,138
Donaldson Company, Inc.		65,800		2,351,034
AMETEK, Inc.		44,500		2,158,695
FTI Consulting, Inc.*		57,300		2,149,896
Gardner Denver, Inc.		23,000		1,449,460
Total Industrials				45,044,073
ENERGY—6.2%
CARBO Ceramics, Inc.		31,725		3,345,401
Cimarex Energy Co.		40,100		3,026,348
Bill Barrett Corp.*		109,529		2,848,849
Dresser-Rand Group, Inc.*		58,319		2,705,418
Oil States International, Inc.*		30,900		2,412,054
Dril-Quip, Inc.*		36,448		2,369,849
Oceaneering International, Inc.		42,864		2,309,941
Northern Oil and Gas, Inc.*		97,449		2,021,092
SM Energy Co.		19,900		1,408,323
Total Energy				22,447,275
MATERIALS—5.6%
Rock-Tenn Co. — Class A		69,900		4,722,444
NewMarket Corp.		24,187		4,532,644
Compass Minerals International, Inc.		46,017		3,301,260
Albemarle Corp.		43,958		2,809,795
Aptargroup, Inc.		50,600		2,771,362
Intrepid Potash, Inc.*		100,500		2,445,165
Total Materials				20,582,670

156  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P MIDCAP 400 PURE GROWTH FUND

	SHARES		VALUE
CONSUMER STAPLES - 5.0%
Monster Beverage Corp.*		90,416	$	5,613,929
Green Mountain Coffee Roasters, Inc.*		90,932		4,259,255
Corn Products International, Inc.		58,300		3,360,995
Lancaster Colony Corp.		45,600		3,030,576
Church & Dwight Company, Inc.		38,300		1,883,977
Total Consumer Staples				18,148,732
FINANCIALS—3.6%
Signature Bank*		53,900		3,397,856
MSCI, Inc. — Class A*		62,209		2,289,913
Taubman Centers, Inc.		30,800		2,246,860
Federal Realty Investment Trust		22,300		2,158,417
Home Properties, Inc.		25,800		1,574,058
Essex Property Trust, Inc.		10,300		1,560,553
Total Financials				13,227,657
Total Common Stocks (Cost $292,004,771)				362,724,057

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 0.7%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	1,789,548	$	1,789,548
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		503,489		503,489
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		231,032		231,032
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		133,822		133,822
Total Repurchase Agreements (Cost $2,657,891)				2,657,891
Total Investments – 100.2% (Cost $294,662,662)			$	365,381,948
Other Assets & Liabilities, net – (0.2)%				(592,259	)
Total Net Assets – 100.0%			$	364,789,689

^*  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  157

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $292,004,771)	$	362,724,057
Repurchase agreements, at value (cost $2,657,891)		2,657,891
Total investments (cost $294,662,662)		365,381,948
Receivables:
Fund shares sold		514,142
Dividends		102,151
Total assets		365,998,241
LIABILITIES:
Payable for:
Fund shares redeemed		636,618
Management fees		230,601
Distribution and service fees		86,954
Transfer agent and administrative fees		76,867
Portfolio accounting fees		28,354
Miscellaneous		149,158
Total liabilities		1,208,552
NETASSETS	$	364,789,689
NET ASSETS CONSIST OF:
Paid in capital	$	335,648,011
Accumulated net investment loss		(889,323	)
Accumulated net realized loss on investments		(40,688,285	)
Net unrealized appreciation on investments		70,719,286
Net assets	$	364,789,689
A-CLASS:
Net assets	$	36,052,045
Capital shares outstanding		817,362
Net asset value per share	$	44.11
Maximum offering price per share (Net asset value divided by 95.25%)	$	46.31
C-CLASS:
Net assets	$	16,227,581
Capital shares outstanding		391,717
Net asset value per share	$	41.43
H-CLASS:
Net assets	$	312,510,063
Capital shares outstanding		7,079,265
Net asset value per share	$	44.14

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	1,167,201
Interest		739
Total investment income		1,167,940
EXPENSES:
Management fees		2,068,762
Transfer agent and administrative fees		689,587
Distribution and service fees:
A-Class		73,913
C-Class		123,488
H-Class		584,802
Portfolio accounting fees		266,801
Custodian fees		71,730
Trustees’ fees*		21,805
Miscellaneous		326,053
Total expenses		4,226,941
Net investment loss		(3,059,001	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(31,284,272	)
Net realized loss		(31,284,272	)
Net change in unrealized appreciation (depreciation) on:
Investments		33,096,261
Net change in unrealized appreciation (depreciation)		33,096,261
Net realized and unrealized gain		1,811,989
Net decrease in net assets resulting from operations	$	(1,247,012	)

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

158  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(3,059,001	)	$	(1,206,546	)
Net realized gain (loss) on investments		(31,284,272	)		11,940,557
Net change in unrealized appreciation (depreciation) on investments		33,096,261			25,095,377
Net increase (decrease) in net assets resulting from operations		(1,247,012	)		35,829,388
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		97,480,590			48,413,965
C-Class		17,194,237			16,223,181
H-Class		771,690,633			621,590,504
COSTOFSHARESREDEEMED
A-Class		(84,908,346	)		(27,798,637	)
C-Class		(11,282,635	)		(11,666,481	)
H-Class		(672,131,177	)		(505,069,223	)
Net increase from capital share transactions		118,043,302			141,693,309
Net increase in net assets		116,796,290			177,522,697
NETASSETS:
Beginning of year		247,993,399			70,470,702
End of year	$	364,789,689		$	247,993,399
Accumulated net investment loss at end of year	$	(889,323	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		2,352,695			1,303,426
C-Class		436,239			465,724
H-Class		18,455,166			17,350,447
Shares redeemed
A-Class		(2,125,511	)		(782,853	)
C-Class		(294,141	)		(339,178	)
H-Class		(16,343,786	)		(14,381,054	)
Net increase in shares		2,480,662			3,616,512

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  159

S&P MIDCAP 400 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	42.76		$	32.21		$	18.19		$	26.65		$	30.72
Income (loss) from investment operations:
Net investment lossa		(.45	)		(.38	)		(.28	)		(.24	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		1.80			10.93			14.30			(8.22	)		(1.42	)
Total from investment operations		1.35			10.55			14.02			(8.46	)		(1.69	)
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)
Total distributions		—			—			—			—			(2.38	)
Net asset value, end of period	$	44.11		$	42.76		$	32.21		$	18.19		$	26.65
Total Returnb		3.16	%		32.75	%		77.08	%		(31.74	%)		(6.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,052		$	25,237		$	2,242		$	723		$	3,863
Ratios to average net assets:
Net investment loss		(1.09	%)		(1.04	%)		(1.03	%)		(0.93	%)		(0.88	%)
Total expenses		1.50	%		1.54	%		1.53	%		1.58	%		1.52	%
Portfolio turnover rate		226	%		448	%		626	%		1,281	%		736	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	40.47		$	30.71		$	17.48		$	25.79		$	30.01
Income (loss) from investment operations:
Net investment lossa		(.71	)		(.63	)		(.44	)		(.42	)		(.50	)
Net gain (loss) on investments (realized and unrealized)		1.67			10.39			13.67			(7.89	)		(1.34	)
Total from investment operations		.96			9.76			13.23			(8.31	)		(1.84	)
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)
Total distributions		—			—			—			—			(2.38	)
Net asset value, end of period	$	41.43		$	40.47		$	30.71		$	17.48		$	25.79
Total Returnb		2.35	%		31.78	%		75.69	%		(32.22	%)		(6.92	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,228		$	10,102		$	3,780		$	3,477		$	1,426
Ratios to average net assets:
Net investment loss		(1.83	%)		(1.83	%)		(1.77	%)		(1.72	%)		(1.69	%)
Total expenses		2.25	%		2.29	%		2.28	%		2.32	%		2.28	%
Portfolio turnover rate		226	%		448	%		626	%		1,281	%		736	%

160  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P MIDCAP 400 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	42.81		$	32.25		$	18.21		$	26.68		$	30.75
Income (loss) from investment operations:
Net investment lossa		(.44	)		(.38	)		(.26	)		(.22	)		(.28	)
Net gain (loss) on investments (realized and unrealized)		1.77			10.94			14.30			(8.25	)		(1.41	)
Total from investment operations		1.33			10.56			14.04			(8.47	)		(1.69	)
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)
Total distributions		—			—			—			—			(2.38	)
Net asset value, end of period	$	44.14		$	42.81		$	32.25		$	18.21		$	26.68
Total Returnb		3.11	%		32.74	%		77.10	%		(31.75	%)		(6.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	312,510		$	212,654		$	64,449		$	15,591		$	14,158
Ratios to average net assets:
Net investment loss		(1.08	%)		(1.02	%)		(0.99	%)		(0.95	%)		(0.92	%)
Total expenses		1.50	%		1.55	%		1.54	%		1.55	%		1.51	%
Portfolio turnover rate		226	%		448	%		626	%		1,281	%		736	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  161

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P MIDCAP 400 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Value Index (the “underlying index”).

For the one-year period ended March 31, 2012, S&P MidCap 400 Pure Value Fund H-Class returned -1.78%, compared with 1.41% for the S&P MidCap 400 Pure Value Index*. S&P MidCap 400 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Mid-cap growth stocks significantly outperformed mid-cap value stocks during the period.

Financials, Utilities and Consumer Discretionary were the sectors contributing most to return. Health Care and Energy were the largest detractors from return.

The best-performing holdings included Excelis, Inc., PNM Resources, Inc. and Jeffries Group, Inc., while CoreLogic, Inc., Overseas Shipholding Group, Inc. and Kindred Healthcare, Inc. were among the stocks providing the least performance to the index during the year.

*The 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.

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)
Exelis, Inc.	3.1	%
ITT Corp.	2.8	%
First American Financial Corp.	2.8	%
Collective Brands, Inc.	2.3	%
Community Health Systems, Inc.	2.3	%
URS Corp.	2.1	%
Protective Life Corp.	2.0	%
Avnet, Inc.	2.0	%
Ingram Micro, Inc. — Class A	2.0	%
Huntington Ingalls Industries, Inc.	1.9	%
Top Ten.Total	23.3	%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

162  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-1.75	%		-0.97	%		4.91	%
A-Class Shares with sales charge‡		-6.42	%		-1.93	%		4.24	%
S&P MidCap 400 Pure Value Index		1.41	%		2.34	%		7.92	%
							(02/20/04)
C-Class Shares		-2.54	%		-1.79	%		3.55	%
C-Class Shares with CDSC†		-3.51	%		-1.79	%		3.55	%
H-Class Shares		-1.78	%		-0.98	%		4.36	%
S&P MidCap 400 Pure Value Index		1.41	%		2.34	%		7.54	%

^*  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 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 SERIES FUNDS ANNUAL REPORT  |  163

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P MIDCAP 400 PURE VALUE FUND

	SHARES		VALUE
COMMON STOCKS† - 99.3%
FINANCIALS - 28.7%
First American Financial Corp.		47,368	$	787,730
Protective Life Corp.		19,264		570,600
Astoria Financial Corp.		49,129		484,411
Reinsurance Group of America, Inc. — Class A		7,908		470,289
Hanover Insurance Group, Inc.		11,432		470,084
Old Republic International Corp.		42,402		447,341
Jefferies Group, Inc.		21,340		402,046
Aspen Insurance Holdings Ltd.		14,350		400,939
StanCorp Financial Group, Inc.		8,451		345,984
Kemper Corp.		11,337		343,285
BancorpSouth, Inc.		22,898		308,436
Everest Re Group Ltd.		3,168		293,103
Fidelity National Financial, Inc. — Class A		15,074		271,784
American Financial Group, Inc.		7,016		270,677
First Niagara Financial Group, Inc.		27,034		266,015
TCF Financial Corp.		19,590		232,925
Washington Federal, Inc.		13,834		232,688
Janus Capital Group, Inc.		25,500		227,205
HCC Insurance Holdings, Inc.		6,826		212,766
Apollo Investment Corp.		29,188		209,278
Associated Banc-Corp.		12,680		177,013
New York Community Bancorp, Inc.		11,790		163,999
International Bancshares Corp.		7,621		161,184
WR Berkley Corp.		3,173		114,609
Fulton Financial Corp.		9,930		104,265
Total Financials				7,968,656
INDUSTRIALS—22.6%
Exelis, Inc.		69,450		869,514
ITT Corp.		34,450		790,283
URS Corp.		13,995		595,067
Huntington Ingalls Industries, Inc.*		12,940		520,706
Oshkosh Corp.*		21,850		506,265
JetBlue Airways Corp.*		103,346		505,362
General Cable Corp.*		16,000		465,280
AECOM Technology Corp.*		15,096		337,698
Manpower, Inc.		6,248		295,968
UTI Worldwide, Inc.		15,580		268,443
Con-way, Inc.		7,376		240,531
Terex Corp.*		10,670		240,075
KBR, Inc.		5,759		204,732
Brink’s Co.		6,476		154,582
Harsco Corp.		6,444		151,176
AGCO Corp.*		2,300		108,583
Total Industrials				6,254,265
INFORMATION TECHNOLOGY—13.9%
Avnet, Inc.*		15,043		547,414
Ingram Micro, Inc. — Class A*		29,414		545,924
Arrow Electronics, Inc.*		11,911		499,905
Tech Data Corp.*		8,955		485,898

	SHARES		VALUE
MEMC Electronic Materials, Inc.*		104,540	$	377,388
Vishay Intertechnology, Inc.*		23,800		289,408
Tellabs, Inc.		69,593		281,852
Itron, Inc.*		5,880		267,011
International Rectifier Corp.*		7,540		173,948
CoreLogic, Inc.*		9,327		152,217
Monster Worldwide, Inc.*		14,450		140,888
Fairchild Semiconductor International, Inc. — Class A*		8,290		121,863
Total Information Technology				3,883,716
CONSUMER DISCRETIONARY—13.7%
Collective Brands, Inc.*		32,791		644,671
Office Depot, Inc.*		108,880		375,636
American Greetings Corp. — Class A		20,731		318,014
Regis Corp.		15,827		291,692
Scholastic Corp.		8,198		289,225
Valassis Communications, Inc.*		11,240		258,520
Thor Industries, Inc.		7,490		236,384
Barnes & Noble, Inc.*		16,233		215,087
RadioShack Corp.		31,686		197,087
New York Times Co. — Class A*		28,200		191,478
KB Home		20,759		184,755
Saks, Inc.*		15,170		176,124
Mohawk Industries, Inc.*		2,475		164,612
Wendy’s Co.		28,055		140,555
Bob Evans Farms, Inc.		3,566		134,510
Total Consumer Discretionary				3,818,350
HEALTH CARE—6.7%
Community Health Systems, Inc.*		28,967		644,226
Health Net, Inc.*		11,275		447,843
Owens & Minor, Inc.		10,195		310,030
LifePoint Hospitals, Inc.*		5,257		207,336
Omnicare, Inc.		3,620		128,763
Health Management Associates, Inc. — Class A*		17,530		117,802
Total Health Care				1,856,000
MATERIALS—5.4%
Commercial Metals Co.		15,386		228,020
Steel Dynamics, Inc.		14,140		205,596
Ashland, Inc.		2,895		176,769
Reliance Steel & Aluminum Co.		3,083		174,128
Greif, Inc. — Class A		2,920		163,286
Worthington Industries, Inc.		8,346		160,076
Louisiana-Pacific Corp.*		15,360		143,616
Cabot Corp.		2,985		127,400
Cytec Industries, Inc.		2,070		125,835
Total Materials				1,504,726
CONSUMER STAPLES—2.8%
Smithfield Foods, Inc.*		15,210		335,077
Universal Corp.		6,954		324,056
Harris Teeter Supermarkets, Inc.*		3,338		133,854
Total Consumer Staples				792,987

164  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P MIDCAP 400 PURE VALUE FUND

	SHARES		VALUE
ENERGY - 2.7%
World Fuel Services Corp.		6,710	$	275,111
HollyFrontier Corp.		8,335		267,970
Arch Coal, Inc.		7,700		82,467
Patriot Coal Corp.*		11,610		72,446
Quicksilver Resources, Inc.*		12,760		64,310
Total Energy				762,304
UTILITIES—1.8%
Great Plains Energy, Inc.		6,446		130,661
UGI Corp.		4,777		130,173
N.V. Energy, Inc.		7,608		122,641
Atmos Energy Corp.		3,676		115,647
Total Utilities				499,122
TELECOMMUNICATION SERVICES—1.0%
Telephone & Data Systems, Inc.		12,565		290,880
Total Common Stocks (Cost $24,782,937)				27,631,006

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 0.6%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	120,750	$	120,750
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01%due 04/02/12		33,973		33,973
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		15,589		15,589
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		9,030		9,030
Total Repurchase Agreements (Cost $179,342)				179,342
Total Investments – 99.9% (Cost $24,962,279)			$	27,810,348
Other Assets & Liabilities, net – 0.1%				38,422
Total Net Assets – 100.0%			$	27,848,770

^*  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  165

S&P MIDCAP 400 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value
(cost $24,782,937)	$	27,631,006
Repurchase agreements, at value
(cost $179,342)		179,342
Total investments
(cost $24,962,279)		27,810,348
Receivables:
Fund shares sold		57,927
Dividends		33,039
Total assets		27,901,314
LIABILITIES:
Payable for:
Management fees		14,885
Distribution and service fees		6,298
Fund shares redeemed		5,723
Transfer agent and administrative fees		4,962
Portfolio accounting fees		1,984
Miscellaneous		18,692
Total liabilities		52,544
NET ASSETS	$	27,848,770
NET ASSETS CONSIST OF:
Paid in capital	$	35,129,551
Undistributed net investment income		—
Accumulated net realized loss on investments		(10,128,850	)
Net unrealized appreciation on investments		2,848,069
Net assets	$	27,848,770
A-CLASS:
Net assets	$	6,817,203
Capital shares outstanding		220,737
Net asset value per share	$	30.88
Maximum offering price per share
(Net asset value divided by 95.25%)	$	32.42
C-CLASS:
Net assets	$	2,193,966
Capital shares outstanding		76,221
Net asset value per share	$	28.78
H-CLASS:
Net assets	$	18,837,601
Capital shares outstanding		610,350
Net asset value per share	$	30.86

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	470,381
Interest		87
Total investment income		470,468
EXPENSES:
Management fees		228,734
Transfer agent and administrative fees		76,244
Distribution and service fees:
A-Class		2,740
C-Class		17,055
H-Class		69,241
Portfolio accounting fees		30,498
Custodian fees		7,828
Trustees’ fees*		3,467
Miscellaneous		37,589
Total expenses		473,396
Net investment loss		(2,928	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(4,788,943	)
Net realized loss		(4,788,943	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,979,874	)
Net change in unrealized appreciation (depreciation)		(3,979,874	)
Net realized and unrealized loss		(8,768,817	)
Net decrease in net assets resulting from operations	$	(8,771,745	)

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

166  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P MIDCAP 400 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(2,928	)	$	(129,387	)
Net realized loss on investments		(4,788,943	)		(606,918	)
Net change in unrealized appreciation (depreciation) on investments		(3,979,874	)		(15,191,426	)
Net decrease in net assets resulting from operations		(8,771,745	)		(15,927,731	)
DISTRIBUTIONSTOSHAREHOLDERSFROM:
Net investment income
A-Class		—			(4,094	)
C-Class		—			(10,678	)
H-Class		—			(217,178	)
Net realized gains
A-Class		—			(62,048	)
C-Class		—			(161,851	)
H-Class		—			(3,291,876	)
Total distributions to shareholders		—			(3,747,725	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		16,598,230			47,393,406
C-Class		4,792,154			3,405,437
H-Class		201,968,886			300,937,705
DISTRIBUTIONSREINVESTED
A-Class		—			59,087
C-Class		—			169,667
H-Class		—			3,493,240
COSTOFSHARESREDEEMED
A-Class		(10,504,241	)		(54,039,897	)
C-Class		(4,830,228	)		(3,799,622	)
H-Class		(228,706,063	)		(433,465,765	)
Net decrease from capital share transactions		(20,681,262	)		(135,846,742	)
Net decrease in net assets		(29,453,007	)		(155,522,198	)
NETASSETS:
Beginning of year		57,301,777			212,823,975
End of year	$	27,848,770		$	57,301,777
Undistributed net investment income at end of year	$	—		$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		542,524			1,703,485
C-Class		184,166			120,225
H-Class		7,008,305			10,052,190
Shares issued from reinvestment of distributions
A-Class		—			2,048
C-Class		—			6,245
H-Class		—			121,125
Shares redeemed
A-Class		(346,750	)		(2,038,144	)
C-Class		(186,183	)		(133,794	)
H-Class		(8,123,063	)		(15,002,876	)
Net decrease in shares		(921,001	)		(5,169,496	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  167

S&P MIDCAP 400 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	31.43		$	30.45		$	13.68		$	29.72		$	36.58
Income (loss) from investment operations:
Net investment incomea		.06			.02			.12			.47			.44
Net gain (loss) on investments (realized and unrealized)		(.61	)		3.64			16.75			(16.51	)		(6.37	)
Total from investment operations		(.55	)		3.66			16.87			(16.04	)		(5.93	)
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)
Net realized gains		—			(2.51	)		—			—			—
Total distributions		—			(2.68	)		(.10	)		—			(.93	)
Net asset value, end of period	$	30.88		$	31.43		$	30.45		$	13.68		$	29.72
Total Returnb		(1.75	%)		12.81	%		123.41	%		(53.97	%)		(16.45	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,817		$	785		$	10,888		$	100		$	2,797
Ratios to average net assets:
Net investment income		0.22	%		0.08	%		0.43	%		1.66	%		1.25	%
Total expenses		1.49	%		1.53	%		1.52	%		1.54	%		1.53	%
Portfolio turnover rate		619	%		407	%		443	%		977	%		297	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	29.53		$	28.96		$	13.12		$	28.78		$	35.75
Income (loss) from investment operations:
Net investment income (loss)a		(.16	)		(.23	)		(.06	)		.39			.30
Net gain (loss) on investments (realized and unrealized)		(.59	)		3.48			16.00			(16.05	)		(6.34	)
Total from investment operations		(.75	)		3.25			15.94			(15.66	)		(6.04	)
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)
Net realized gains		—			(2.51	)		—			—			—
Total distributions		—			(2.68	)		(.10	)		—			(.93	)
Net asset value, end of period	$	28.78		$	29.53		$	28.96		$	13.12		$	28.78
Total Returnb		(2.54	%)		12.03	%		121.59	%		(54.41	%)		(17.15	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,194		$	2,311		$	2,478		$	627		$	1,082
Ratios to average net assets:
Net investment income (loss)		(0.60	%)		(0.83	%)		(0.24	%)		1.58	%		0.88	%
Total expenses		2.26	%		2.30	%		2.29	%		2.29	%		2.28	%
Portfolio turnover rate		619	%		407	%		443	%		977	%		297	%

168  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P MIDCAP 400 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	31.42		$	30.43		$	13.67		$	29.71		$	36.58
Income (loss) from investment operations:
Net investment income (loss)a		.01			(.06	)		.10			.47			.35
Net gain (loss) on investments (realized and unrealized)		(.57	)		3.73			16.76			(16.51	)		(6.29	)
Total from investment operations		(.56	)		3.67			16.86			(16.04	)		(5.94	)
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)
Net realized gains		—			(2.51	)		—			—			—
Total distributions		—			(2.68	)		(.10	)		—			(.93	)
Net asset value, end of period	$	30.86		$	31.42		$	30.43		$	13.67		$	29.71
Total Returnb		(1.78	%)		12.85	%		123.43	%		(53.99	%)		(16.48	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,838		$	54,206		$	199,458		$	3,985		$	6,512
Ratios to average net assets:
Net investment income (loss)		0.02	%		(0.19	%)		0.37	%		2.01	%		0.96	%
Total expenses		1.51	%		1.54	%		1.53	%		1.54	%		1.54	%
Portfolio turnover rate		619	%		407	%		443	%		977	%		297	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  169

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P SMALLCAP 600 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Growth Index (the “underlying index”).

For the one-year period ended March 31, 2012, S&P SmallCap 600 Pure Growth Fund H-Class returned 5.27%, compared with 7.24% for the S&P SmallCap 600 Pure Growth Index*. S&P SmallCap 600 Pure Growth Fund maintained a daily correlation of over 99% to its benchmark. Small-cap growth stocks significantly outperformed small-cap value stocks during the period.

Health Care stocks, which make up about 21% of the index, contributed most to return, followed by Consumer Discretionary. Detracting from return were the Telecommunication Services and Industrials sectors.

The best-performing stocks in the S&P SmallCap 600 Pure Growth Index were Questcor Pharmaceuticals, Inc., Sturm Ruger & Co. and Hi-Tech Pharmacal Co., Inc. The leading detractors from return were Smith Micro Software, Inc., Interactive Intelligence Group, Inc. and TriQuint Semiconductor, Inc.

*The 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.

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)
Buffalo Wild Wings, Inc.	1.4	%
Coinstar, Inc.	1.4	%
MWI Veterinary Supply, Inc.	1.3	%
Cirrus Logic, Inc.	1.2	%
Veeco Instruments, Inc.	1.2	%
Zoll Medical Corp.	1.1	%
Sourcefire, Inc.	1.1	%
SEACOR Holdings, Inc.	1.1	%
Allegiant Travel Co. — Class A	1.1	%
Sturm Ruger & Company, Inc.	1.0	%
Top Ten Total	11.9	%

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

170  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

							Since
							Inception
	1 Year			5 Year			(09/01/04)
A-Class Shares		5.30	%		3.96	%		7.08	%
A-Class Shares with sales charge‡		0.29	%		2.95	%		6.39	%
S&P SmallCap 600 Pure
Growth Index		7.24	%		6.28	%		9.54	%
								(02/20/04	)
C-Class Shares		4.50	%		3.19	%		5.55	%
C-Class Shares with CDSC†		3.50	%		3.19	%		5.55	%
H-Class Shares		5.27	%		3.95	%		6.30	%
S&P SmallCap 600 Pure
Growth Index		7.24	%		6.28	%		9.24	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  171

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P SMALLCAP 600 PURE GROWTH FUND

	SHARES		VALUE
COMMON STOCKS†—99.2%
INFORMATION TECHNOLOGY—27.8%
Cirrus Logic, Inc.*		16,621	$	395,580
Veeco Instruments, Inc.*		13,292		380,151
Sourcefire, Inc.*		7,439		358,039
Kulicke & Soffa Industries, Inc.*		26,654		331,309
Hittite Microwave Corp.*		6,032		327,598
CACI International, Inc. — Class A*		5,240		326,399
CommVault Systems, Inc.*		6,066		301,116
Exar Corp.*		34,925		293,370
Volterra Semiconductor Corp.*		8,453		290,910
MicroStrategy, Inc. — Class A*		2,045		286,301
Synaptics, Inc.*		7,140		260,681
Power Integrations, Inc.		6,914		256,648
Littelfuse, Inc.		4,085		256,129
InfoSpace, Inc.*		19,465		249,346
LogMeIn, Inc.*		6,550		230,757
Cognex Corp.		5,345		226,415
MAXIMUS, Inc.		5,477		222,750
Entropic Communications, Inc.*		37,961		221,313
Rubicon Technology, Inc.*		21,181		220,918
Tyler Technologies, Inc.*		5,713		219,436
DTS, Inc.*		7,240		218,793
Ebix, Inc.		9,231		213,790
MTS Systems Corp.		3,405		180,771
Cymer, Inc.*		3,530		176,500
OSI Systems, Inc.*		2,780		170,414
Interactive Intelligence Group, Inc.*		5,458		166,524
Websense, Inc.*		7,668		161,718
Cabot Microelectronics Corp.		3,766		146,422
Netscout Systems, Inc.*		7,116		144,739
LivePerson, Inc.*		8,596		144,155
Stamps.com, Inc.*		4,927		137,365
Manhattan Associates, Inc.*		2,890		137,362
Netgear, Inc.*		3,554		135,763
Opnet Technologies, Inc.		4,668		135,372
Viasat, Inc.*		2,799		134,940
comScore, Inc.*		6,033		129,046
FARO Technologies, Inc.*		2,162		126,109
Blackbaud, Inc.		3,657		121,522
j2 Global, Inc.		4,090		117,301
Synchronoss Technologies, Inc.*		3,585		114,433
JDA Software Group, Inc.*		4,025		110,607
Liquidity Services, Inc.*		2,266		101,517
Forrester Research, Inc.		3,127		101,315
Taleo Corp. — Class A*		2,072		95,167
Ceva, Inc.*		3,740		84,935
Total Information Technology				9,161,746
HEALTH CARE—22.2%
MWI Veterinary Supply, Inc.*		4,814		423,632
Zoll Medical Corp.*		3,883		359,683
Medidata Solutions, Inc.*		12,070		321,545
Magellan Health Services, Inc.*		6,460		315,313

	SHARES		VALUE
Hi-Tech Pharmacal Company, Inc.*		8,622	$	309,787
ICU Medical, Inc.*		6,230		306,267
Haemonetics Corp.*		4,360		303,805
NuVasive, Inc.*		17,854		300,661
Momenta Pharmaceuticals, Inc.*		19,569		299,797
Cubist Pharmaceuticals, Inc.*		6,900		298,425
Quality Systems, Inc.		6,533		285,688
Chemed Corp.		4,555		285,506
Computer Programs & Systems, Inc.		4,875		275,535
Air Methods Corp.*		3,078		268,556
Cyberonics, Inc.*		6,845		261,000
Neogen Corp.*		6,562		256,377
IPC The Hospitalist Company, Inc.*		6,658		245,747
Medicines Co.*		12,185		244,553
Analogic Corp.		3,510		237,065
Questcor Pharmaceuticals, Inc.*		6,180		232,492
Corvel Corp.*		5,676		226,416
Viropharma, Inc.*		7,353		221,105
Landauer, Inc.		4,145		219,768
Ensign Group, Inc.		7,476		203,048
Arqule, Inc.*		27,982		196,154
Abaxis, Inc.*		4,430		129,046
Salix Pharmaceuticals Ltd.*		2,443		128,258
Akorn, Inc.*		10,520		123,084
Total Health Care				7,278,313
CONSUMER DISCRETIONARY—19.9%
Buffalo Wild Wings, Inc.*		5,173		469,138
Coinstar, Inc.*		7,215		458,513
Sturm Ruger & Company, Inc.		6,826		335,157
Peet’s Coffee & Tea, Inc.*		4,445		327,597
Steven Madden Ltd.*		7,094		303,269
BJ’s Restaurants, Inc.*		5,969		300,539
Buckle, Inc.		6,140		294,105
Capella Education Co.*		8,123		292,022
Biglari Holdings, Inc.*		718		289,246
DineEquity, Inc.*		5,735		284,456
Jos A. Bank Clothiers, Inc.*		5,449		274,684
Hibbett Sports, Inc.*		4,979		271,604
American Public Education, Inc.*		7,035		267,330
Genesco, Inc.*		3,638		260,663
Rue21, Inc.*		8,356		245,165
CEC Entertainment, Inc.		6,198		234,966
Monro Muffler Brake, Inc.		5,550		230,270
Vitamin Shoppe, Inc.*		4,593		203,057
True Religion Apparel, Inc.*		6,687		183,224
iRobot Corp.*		6,342		172,883
National Presto Industries, Inc.		2,249		170,609
Children’s Place Retail Stores, Inc.*		3,182		164,414
Arbitron, Inc.		4,068		150,435
Papa John’s International, Inc.*		3,775		142,167
Wolverine World Wide, Inc.		2,990		111,168
Blue Nile, Inc.*		3,043		100,358
Total Consumer Discretionary				6,537,039

172  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P SMALLCAP 600 PURE GROWTH FUND

	SHARES		VALUE
INDUSTRIALS—9.0%
Allegiant Travel Co. — Class A*		6,431	$	350,490
American Science & Engineering, Inc.		4,790		321,169
Cubic Corp.		5,895		278,715
Dolan Co.*		26,718		243,401
Exponent, Inc.*		4,305		208,879
Toro Co.		2,655		188,797
Franklin Electric Company, Inc.		3,825		187,693
GT Advanced Technologies, Inc.*		21,812		180,385
AZZ, Inc.		3,345		172,736
Teledyne Technologies, Inc.*		2,696		169,983
Lindsay Corp.		2,393		158,584
II-VI, Inc.*		6,680		157,982
Higher One Holdings, Inc.*		8,483		126,821
Forward Air Corp.		3,030		111,110
Aerovironment, Inc.*		3,456		92,655
Total Industrials				2,949,400
FINANCIALS—7.3%
Portfolio Recovery Associates, Inc.*		4,517		323,959
World Acceptance Corp.*		4,584		280,770
Cash America International, Inc.		5,166		247,606
Infinity Property & Casualty Corp.		4,501		235,537
Ezcorp, Inc. — Class A*		7,210		234,001
Financial Engines, Inc.*		8,805		196,880
ProAssurance Corp.		2,180		192,080
First Cash Financial Services, Inc.*		3,514		150,715
PS Business Parks, Inc.		2,205		144,516
Mid-America Apartment Communities, Inc.		2,079		139,355
RLI Corp.		1,915		137,191
EastGroup Properties, Inc.		2,239		112,443
Total Financials				2,395,053
CONSUMER STAPLES—5.1%
Casey’s General Stores, Inc.		5,225		289,779
Sanderson Farms, Inc.		5,368		284,664
Boston Beer Company, Inc. — Class A*		2,659		283,955
TreeHouse Foods, Inc.*		4,152		247,044
Medifast, Inc.*		12,592		219,856
J&J Snack Foods Corp.		4,080		214,037
WD-40 Co.		2,766		125,438
Total Consumer Staples				1,664,773
ENERGY—4.2%
SEACOR Holdings, Inc.*		3,719		356,205
Contango Oil & Gas Co.*		4,778		281,472
GeoResources, Inc.*		7,820		256,027
Lufkin Industries, Inc.		2,191		176,704
Approach Resources, Inc.*		4,185		154,636
OYO Geospace Corp.*		1,450		152,729
Total Energy				1,377,773

	SHARES		VALUE
MATERIALS—2.2%
Hawkins, Inc.		6,026	$	224,167
Deltic Timber Corp.		2,895		183,225
Schweitzer-Mauduit International, Inc.		2,464		170,164
Balchem Corp.		4,896		148,104
Total Materials				725,660
UTILITIES—0.8%
American States Water Co.		3,485		125,948
South Jersey Industries, Inc.		2,500		125,100
Total Utilities				251,048
TELECOMMUNICATION SERVICES—0.7%
Atlantic Tele-Network, Inc.		6,140		223,250
Total Common Stocks (Cost $27,288,679)				32,564,055
	FACE
	AMOUNT
REPURCHASE AGREEMENTS††,1—1.5%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	321,827		321,827
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		90,546		90,546
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		41,548		41,548
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		24,066		24,066
Total Repurchase Agreements (Cost $477,987)				477,987
Total Investments – 100.7% (Cost $27,766,666)			$	33,042,042
Other Assets & Liabilities, net – (0.7)%				(242,196	)
Total Net Assets – 100.0%			$	32,799,846

* 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.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  173

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $27,288,679)	$	32,564,055
Repurchase agreements, at value (cost $477,987)		477,987
Total investments (cost $27,766,666)		33,042,042
Receivables:
Fund shares sold		66,296
Dividends		12,832
Total assets		33,121,170
LIABILITIES:
Payable for:
Fund shares redeemed		249,649
Management fees		20,593
Distribution and service fees		8,386
Transfer agent and administrative fees		6,864
Portfolio accounting fees		2,746
Miscellaneous		33,086
Total liabilities		321,324
NET ASSETS	$	32,799,846
NET ASSETS CONSIST OF:
Paid in capital	$	41,326,264
Accumulated net investment loss		(9,714	)
Accumulated net realized loss on investments		(13,792,080	)
Net unrealized appreciation on investments		5,275,376
Net assets	$	32,799,846
A-CLASS:
Net assets	$	1,017,900
Capital shares outstanding		26,807
Net asset value per share	$	37.97
Maximum offering price per share (Net asset value divided by 95.25%)	$	39.86
C-CLASS:
Net assets	$	2,567,900
Capital shares outstanding		71,744
Net asset value per share	$	35.79
H-CLASS:
Net assets	$	29,214,046
Capital shares outstanding		769,352
Net asset value per share	$	37.97

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	236,479
Interest		125
Total investment income		236,604
EXPENSES:
Management fees		417,528
Transfer agent and administrative fees		139,176
Distribution and service fees:
A-Class		5,308
C-Class		27,095
H-Class		127,094
Portfolio accounting fees		55,670
Custodian fees		14,221
Trustees’ fees*		7,131
Miscellaneous		70,371
Total expenses		863,594
Net investment loss		(626,990	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(3,318,234	)
Net realized loss		(3,318,234	)
Net change in unrealized appreciation (depreciation) on:
Investments		(9,577,483	)
Net change in unrealized appreciation (depreciation)		(9,577,483	)
Net realized and unrealized loss		(12,895,717	)
Net decrease in net assets resulting from operations	$	(13,522,707	)

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

174  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(626,990	)	$	(524,500	)
Net realized loss on investments		(3,318,234	)		(2,358,973	)
Net change in unrealized appreciation (depreciation) on investments		(9,577,483	)		11,640,140
Net increase (decrease) in net assets resulting from operations		(13,522,707	)		8,756,667
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		29,768,714			22,007,416
C-Class		6,213,193			5,904,587
H-Class		307,332,512			414,097,385
COSTOFSHARESREDEEMED
A-Class		(31,305,259	)		(20,788,528	)
C-Class		(6,576,491	)		(4,935,070	)
H-Class		(356,380,909	)		(340,251,324	)
Net increase (decrease) from capital share transactions		(50,948,240	)		76,034,466
Net increase (decrease) in net assets		(64,470,947	)		84,791,133
NETASSETS:
Beginning of year		97,270,793			12,479,660
End of year	$	32,799,846		$	97,270,793
Accumulated net investment loss at end of year	$	(9,714	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		911,948			759,208
C-Class		183,065			197,736
H-Class		8,576,270			13,305,001
Shares redeemed
A-Class		(943,812	)		(726,863	)
C-Class		(201,004	)		(168,877	)
H-Class		(10,359,949	)		(11,105,623	)
Net increase (decrease) in shares		(1,833,482	)		2,260,582

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  175

S&P SMALLCAP 600 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	36.06		$	28.49		$	16.93		$	27.43		$	32.61
Income (loss) from investment operations:
Net investment lossa		(.35	)		(.34	)		(.28	)		(.19	)		(.13	)
Net gain (loss) on investments (realized and unrealized)		2.26			7.91			11.84			(10.31	)		(3.72	)
Total from investment operations		1.91			7.57			11.56			(10.50	)		(3.85	)
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)
Total distributions		—			—			—			—			(1.33	)
Net asset value, end of period	$	37.97		$	36.06		$	28.49		$	16.93		$	27.43
Total Returnb		5.30	%		26.57	%		68.28	%		(33.28	%)		(12.27	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,018		$	2,115		$	750		$	117		$	1,938
Ratios to average net assets:
Net investment loss		(1.00	%)		(1.15	%)		(1.15	%)		(0.73	%)		(0.40	%)
Total expenses		1.52	%		1.54	%		1.54	%		1.54	%		1.52	%
Portfolio turnover rate		500	%		732	%		1,476	%		1,066	%		834	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	34.25		$	27.25		$	16.32		$	26.65		$	31.94
Income (loss) from investment operations:
Net investment lossa		(.57	)		(.54	)		(.42	)		(.32	)		(.51	)
Net gain (loss) on investments (realized and unrealized)		2.11			7.54			11.35			(10.01	)		(3.45	)
Total from investment operations		1.54			7.00			10.93			(10.33	)		(3.96	)
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)
Total distributions		—			—			—			—			(1.33	)
Net asset value, end of period	$	35.79		$	34.25		$	27.25		$	16.32		$	26.65
Total Returnb		4.50	%		25.69	%		66.97	%		(38.76	%)		(12.88	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,568		$	3,072		$	1,658		$	369		$	1,980
Ratios to average net assets:
Net investment loss		(1.71	%)		(1.80	%)		(1.82	%)		(1.28	%)		(1.57	%)
Total expenses		2.26	%		2.29	%		2.28	%		2.29	%		2.29	%
Portfolio turnover rate		500	%		732	%		1,476	%		1,066	%		834	%

176  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P SMALLCAP 600 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	36.07		$	28.48		$	16.94		$	27.45		$	32.62
Income (loss) from investment operations:
Net investment lossa		(.39	)		(.34	)		(.25	)		(.13	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		2.29			7.93			11.79			(10.38	)		(3.58	)
Total from investment operations		1.90			7.59			11.54			(10.51	)		(3.84	)
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)
Total distributions		—			—			—			—			(1.33	)
Net asset value, end of period	$	37.97		$	36.07		$	28.48		$	16.94		$	27.45
Total Returnb		5.27	%		26.65	%		68.12	%		(38.29	%)		(12.23	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	29,214		$	92,084		$	10,072		$	9,795		$	6,259
Ratios to average net assets:
Net investment loss		(1.10	%)		(1.07	%)		(1.05	%)		(0.55	%)		(0.79	%)
Total expenses		1.52	%		1.55	%		1.53	%		1.56	%		1.53	%
Portfolio turnover rate		500	%		732	%		1,476	%		1,066	%		834	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  177

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

S&P SMALLCAP 600 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Value Index (the “underlying index”).

For the one-year period ended March 31, 2012, S&P SmallCap 600 Pure Value Fund H-Class returned -2.19%, compared with 1.35% for the S&P SmallCap 600 Pure Value Index*. S&P SmallCap 600 Pure Value Fund maintained a daily correlation of over 99% to its benchmark. Small-cap growth stocks significantly outperformed small-cap value stocks during the period.

Consumer Discretionary sector contributed the most to return, followed by the Health Care and Materials sectors. Sectors detracting the most from return were Information Technology, Industrials and Consumer Staples.

The stocks contributing the most to return in the S&P SmallCap 600 Pure Value Index were VOXX International Corp., Lithia Motors, Inc., Class A and Kendle International, Inc. The largest detractors from return were Christopher & Banks Corp., CIBER, Inc. and School Specialty, Inc.

*The 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.

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Ten Largest Holdings (% of Total Net Assets)
VOXX International Corp. — Class A	2.3	%
Gentiva Health Services, Inc.	1.9	%
Marriott Vacations Worldwide Corp.	1.8	%
Amedisys, Inc.	1.7	%
Perry Ellis International, Inc.	1.6	%
Tuesday Morning Corp.	1.6	%
Almost Family, Inc.	1.5	%
Career Education Corp.	1.4	%
Healthways, Inc.	1.4	%
OfficeMax, Inc.	1.3	%
Top Ten Total	16.5	%

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

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

178  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-2.01	%		-3.28	%		2.62	%
A-Class Shares with sales charge‡		-6.67	%		-4.21	%		1.97	%
S&P SmallCap 600 Pure Value Index		1.35	%		0.70	%		7.19	%
								(02/20/04	)
C-Class Shares		-2.84	%		-4.06	%		1.77	%
C-Class Shares with CDSC†		-3.81	%		-4.06	%		1.77	%
H-Class Shares		-2.19	%		-3.32	%		2.55	%
S&P SmallCap 600 Pure Value Index		1.35	%		0.70	%		6.90	%

* 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 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 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 SERIES FUNDS ANNUAL REPORT  |  179

SCHEDULE OF INVESTMENTS	March 31, 2012
S&P SMALLCAP 600 PURE VALUE FUND

	SHARES		VALUE
COMMON STOCKS† — 99.5%
CONSUMER DISCRETIONARY — 34.3%
VOXX International Corp. — Class A*		45,348	$	614,919
Marriott Vacations Worldwide Corp.*		17,546		500,236
Perry Ellis International, Inc.*		23,208		433,293
Tuesday Morning Corp.*		110,385		423,878
Career Education Corp.*		48,136		387,976
OfficeMax, Inc.*		64,451		368,659
Boyd Gaming Corp.*		45,259		354,831
Lincoln Educational Services Corp.		41,924		331,619
MarineMax, Inc.*		39,991		329,126
Ruby Tuesday, Inc.*		31,383		286,527
Brown Shoe Company, Inc.		30,685		283,222
Skechers U.S.A., Inc. — Class A*		21,919		278,810
Quiksilver, Inc.*		65,542		264,790
Stage Stores, Inc.		15,719		255,277
PEP Boys-Manny Moe & Jack		16,303		243,241
Sonic Automotive, Inc. — Class A		13,460		241,069
Stein Mart, Inc.*		36,438		240,491
Corinthian Colleges, Inc.*		53,914		223,204
Callaway Golf Co.		32,081		216,867
Fred’s, Inc. — Class A		13,598		198,667
Group 1 Automotive, Inc.		3,487		195,865
Spartan Motors, Inc.		36,533		193,259
O’Charleys, Inc.*		18,551		182,542
Big 5 Sporting Goods Corp.		22,938		179,834
Standard Pacific Corp.*		35,925		160,225
M/I Homes, Inc.*		12,683		156,762
Lithia Motors, Inc. — Class A		5,872		153,846
Winnebago Industries, Inc.*		15,267		149,617
Coldwater Creek, Inc.*		127,244		147,603
Superior Industries International, Inc.		7,390		144,401
EW Scripps Co. — Class A*		12,397		122,358
La-Z-Boy, Inc.*		7,382		110,435
Haverty Furniture Companies, Inc.		9,841		109,235
Zale Corp.*		32,623		100,805
Ruth’s Hospitality Group, Inc.*		13,263		100,666
Christopher & Banks Corp.		53,408		99,339
Universal Electronics, Inc.*		4,574		91,389
Cabela’s, Inc.*		2,222		84,769
Red Robin Gourmet Burgers, Inc.*		2,162		80,405
Live Nation Entertainment, Inc.*		8,132		76,441
Harte-Hanks, Inc.		7,745		70,092
Jakks Pacific, Inc.		3,917		68,352
Jack in the Box, Inc.*		2,758		66,109
Total Consumer Discretionary				9,321,051
INDUSTRIALS—13.8%
SkyWest, Inc.		29,378		324,627
Kelly Services, Inc. — Class A		18,208		291,146
Orion Marine Group, Inc.*		40,093		289,873
Universal Forest Products, Inc.		6,972		240,395
CDI Corp.		13,130		235,421
AAR Corp.		11,488		209,656
Griffon Corp.		18,739		200,507
Briggs & Stratton Corp.		9,603		172,181

	SHARES		VALUE
ABM Industries, Inc.		6,363	$	154,621
Lawson Products, Inc.		10,103		152,656
Aegion Corp. — Class A*		7,633		136,096
Lydall, Inc.*		12,903		131,482
EnerSys*		3,712		128,621
Arkansas Best Corp.		6,788		127,682
Comfort Systems USA, Inc.		11,487		125,323
United Stationers, Inc.		3,774		117,107
Viad Corp.		5,634		109,469
G&K Services, Inc. — Class A		2,711		92,716
Standard Register Co.		71,413		89,266
Apogee Enterprises, Inc.		6,093		78,904
EMCOR Group, Inc.		2,693		74,650
Standex International Corp.		1,788		73,648
Insperity, Inc.		2,371		72,647
Geo Group, Inc.*		3,652		69,425
Powell Industries, Inc.*		1,963		67,233
Total Industrials				3,765,352
INFORMATION TECHNOLOGY—13.7%
SYNNEX Corp.*		8,663		330,406
Insight Enterprises, Inc.*		14,851		325,681
Benchmark Electronics, Inc.*		17,501		288,592
Radisys Corp.*		36,851		272,697
Black Box Corp.		8,035		204,972
Intevac, Inc.*		19,717		167,595
United Online, Inc.		28,922		141,429
Sigma Designs, Inc.*		26,788		138,761
Scansource, Inc.*		3,683		137,450
CTS Corp.		12,967		136,413
Cohu, Inc.		11,430		129,959
Digital Generation, Inc.*		12,508		127,707
NCI, Inc. — Class A*		19,801		126,529
Checkpoint Systems, Inc.*		11,086		125,050
Avid Technology, Inc.*		10,748		118,228
Novatel Wireless, Inc.*		32,646		109,364
Plexus Corp.*		3,109		108,784
Brightpoint, Inc.*		13,351		107,476
Pericom Semiconductor Corp.*		12,363		100,017
Advanced Energy Industries, Inc.*		7,448		97,718
CIBER, Inc.*		21,918		92,932
Anixter International, Inc.*		1,269		92,041
TTM Technologies, Inc.*		7,621		87,565
Bel Fuse, Inc. — Class B		4,655		82,254
DSP Group, Inc.*		10,169		67,726
Total Information Technology				3,717,346
FINANCIALS—12.4%
Stewart Information Services Corp.		24,062		341,922
Horace Mann Educators Corp.		19,398		341,793
Piper Jaffray Cos.*		9,589		255,259
Investment Technology Group, Inc.*		15,265		182,569
Presidential Life Corp.		15,905		181,794
Delphi Financial Group, Inc. — Class A		3,886		173,976
Tower Group, Inc.		7,747		173,766
Selective Insurance Group, Inc.		8,830		155,496
Susquehanna Bancshares, Inc.		15,393		152,083
First Commonwealth Financial Corp.		23,970		146,696

180  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
S&P SMALLCAP 600 PURE VALUE FUND

	SHARES		VALUE
First BanCorp*		32,050	$	141,020
Wintrust Financial Corp.		3,539		126,661
United Fire Group, Inc.		6,998		125,194
Cedar Realty Trust, Inc.		20,812		106,557
PrivateBancorp, Inc.		6,946		105,371
United Community Banks, Inc.*		10,569		103,048
Meadowbrook Insurance Group, Inc.		10,666		99,514
Parkway Properties, Inc.		8,662		90,778
SWS Group, Inc.		15,347		87,785
Safety Insurance Group, Inc.		1,983		82,572
Calamos Asset Management, Inc. — Class A		5,687		74,556
Prospect Capital Corp.		6,314		69,328
National Financial Partners Corp.*		4,452		67,403
Total Financials				3,385,141
HEALTH CARE—11.8%
Gentiva Health Services, Inc.*		59,693		521,718
Amedisys, Inc.*		32,274		466,682
Almost Family, Inc.*		15,378		399,982
Healthways, Inc.*		50,373		370,745
Molina Healthcare, Inc.*		8,960		301,325
LHC Group, Inc.*		14,055		260,439
Kindred Healthcare, Inc.*		28,916		249,834
Cross Country Healthcare, Inc.*		41,544		208,135
PharMerica Corp.*		12,752		158,507
Invacare Corp.		6,901		114,349
Natus Medical, Inc.*		7,515		89,654
Symmetry Medical, Inc.*		10,481		74,101
Total Health Care				3,215,471
MATERIALS—6.2%
OM Group, Inc.*		10,523		289,489
A. Schulman, Inc.		8,909		240,721
Wausau Paper Corp.		18,240		171,091
Materion Corp.*		5,901		169,536
PolyOne Corp.		10,923		157,291
Neenah Paper, Inc.		5,149		153,131
Olympic Steel, Inc.		6,270		150,480
AM Castle & Co.*		11,016		139,352
Century Aluminum Co.*		11,821		104,970
SunCoke Energy, Inc.*		4,405		62,595
AK Steel Holding Corp.		7,726		58,409
Total Materials				1,697,065
CONSUMER STAPLES—4.9%
Seneca Foods Corp. — Class A*		12,264		323,034
Nash Finch Co.		9,765		277,521
Central Garden and Pet Co. — Class A*		23,059		222,058
Spartan Stores, Inc.		11,488		208,163
Andersons, Inc.		4,232		206,056
Alliance One International, Inc.*		22,883		86,269
Total Consumer Staples				1,323,101

	SHARES		VALUE
ENERGY - 2.2%
Exterran Holdings, Inc.*		18,927	$	249,646
Matrix Service Co.*		15,359		215,180
Overseas Shipholding Group, Inc.		9,825		124,090
Total Energy				588,916
UTILITIES—0.2%
Laclede Group, Inc.		1,600		62,432
Total Common Stocks (Cost $20,754,485)				27,075,875
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1—0.3%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	62,639		62,639
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		17,624		17,624
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		8,087		8,087
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		4,684		4,684
Total Repurchase Agreements (Cost $93,034)				93,034
Total Investments – 99.8% (Cost $20,847,519)			$	27,168,909
Other Assets & Liabilities, net – 0.2%				44,594
Total Net Assets – 100.0%			$	27,213,503

^*  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.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  181

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $20,754,485)	$	27,075,875
Repurchase agreements, at value (cost $93,034)		93,034
Total investments (cost $20,847,519)		27,168,909
Receivables:
Securities sold		144,883
Dividends		18,091
Fund shares sold		2,838
Total assets		27,334,721
LIABILITIES:
Payable for:
Fund shares redeemed		60,364
Management fees		24,286
Distribution and service fees		9,323
Transfer agent and administrative fees		8,095
Portfolio accounting fees		3,238
Miscellaneous		15,912
Total liabilities		121,218
NET ASSETS	$	27,213,503
NET ASSETS CONSIST OF:
Paid in capital	$	57,287,166
Accumulated net investment loss		(124,123	)
Accumulated net realized loss on investments		(36,270,930	)
Net unrealized appreciation on investments		6,321,390
Net assets	$	27,213,503
A-CLASS:
Net assets	$	961,295
Capital shares outstanding		56,326
Net asset value per share	$	17.07
Maximum offering price per share
(Net asset value divided by 95.25%)	$	17.92
C-CLASS:
Net assets	$	1,954,543
Capital shares outstanding		126,910
Net asset value per share	$	15.40
H-CLASS:
Net assets	$	24,297,665
Capital shares outstanding		1,429,186
Net asset value per share	$	17.00

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	235,878
Interest		128
Total investment income		236,006
EXPENSES:
Management fees		218,124
Transfer agent and administrative fees		72,708
Distribution and service fees:
A-Class		4,505
C-Class		17,677
H-Class		63,783
Portfolio accounting fees		29,083
Custodian fees		8,469
Trustees’ fees*		2,291
Miscellaneous		31,316
Total expenses		447,956
Net investment loss		(211,950	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		738,781
Futures contracts		63,018
Net realized gain		801,799
Net change in unrealized appreciation (depreciation) on: Investments		1,398,357
Net change in unrealized appreciation (depreciation)		1,398,357
Net realized and unrealized gain		2,200,156
Net increase in net assets resulting from operations	$	1,988,206

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

182  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(211,950	)	$	(496,202	)
Net realized gain (loss) on investments		801,799			(32,740,838	)
Net change in unrealized appreciation (depreciation) on investments		1,398,357			(23,416,369	)
Net increase (decrease) in net assets resulting from operations		1,988,206			(56,653,409	)
DISTRIBUTIONS To SHAREHOLDERS FROM:
Net realized gains
A-Class		—			(259,417	)
C-Class		—			(594,105	)
H-Class		—			(3,228,330	)
Total distributions to shareholders		—			(4,081,852	)
CAPITAL SHARE TRANSACTIONS:
PROCEEDS FROM SALE OF SHARES
A-Class		1,607,485			87,881,068
C-Class		3,511,546			10,097,253
H-Class		235,758,088			544,333,378
DISTRIBUTIONS REINVESTED
A-Class		—			249,100
C-Class		—			532,082
H-Class		—			3,141,985
COST OF SHARES REDEEMED
A-Class		(8,919,019	)		(75,909,416	)
C-Class		(3,810,568	)		(15,728,991	)
H-Class		(229,990,161	)		(697,821,686	)
Net decrease from capital share transactions		(1,842,629	)		(143,225,227	)
Net increase (decrease) in net assets		145,577			(203,960,488	)
NET ASSETS:
Beginning of year		27,067,926			231,028,414
End of year	$	27,213,503		$	27,067,926
Accumulated net investment loss at end of year	$	(124,123	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		93,288			4,918,837
C-Class		248,404			565,219
H-Class		15,003,556			29,253,756
Shares issued from reinvestment of distributions
A-Class		—			15,637
C-Class		—			36,594
H-Class		—			197,609
Shares redeemed
A-Class		(544,754	)		(4,708,722	)
C-Class		(262,957	)		(952,937	)
H- Class		(14,494,039	)		(39,594,125	)
Net increase (decrease) in shares		43,498			(10,268,132	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  183

S&P SMALLCAP 600 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	17.42		$	19.60		$	11.08		$	26.56		$	35.54
Income (loss) from investment operations:
Net investment income (loss)a		(.12	)		(.13	)		(.13	)		.50			.26
Net gain (loss) on investments (realized and unrealized)		(.23	)		1.20			15.44			(15.61	)		(8.97	)
Total from investment operations		(.35	)		1.07			15.31			(15.11	)		(8.71	)
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)
Net realized gains		—			(3.25	)		(6.76	)		—			—
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)
Net asset value, end of period	$	17.07		$	17.42		$	19.60		$	11.08		$	26.56
Total Returnb		(2.01	%)		6.98	%		150.09	%		(57.21	%)		(24.54	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	961		$	8,845		$	5,529		$	78		$	2,945
Ratios to average net assets:
Net investment income (loss)		(0.71	%)		(0.73	%)		(0.62	%)		2.04	%		0.82	%
Total expenses		1.53	%		1.53	%		1.53	%		1.54	%		1.53	%
Portfolio turnover rate		744	%		692	%		443	%		878	%		566	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2012			2011			2010			2009			2008
Per Share Data
Net asset value, beginning of period	$	15.85		$	18.27		$	10.62		$	25.71		$	34.68
Income (loss) from investment operations:
Net investment income (loss)a		(.20	)		(.23	)		(.27	)		.04			.28
Net gain (loss) on investments (realized and unrealized)		(.25	)		1.06			14.71			(14.76	)		(8.98	)
Total from investment operations		(.45	)		.83			14.44			(14.72	)		(8.70	)
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)
Net realized gains		—			(3.25	)		(6.76	)		—			—
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)
Net asset value, end of period	$	15.40		$	15.85		$	18.27		$	10.62		$	25.71
Total Returnb		(2.84	%)		6.12	%		148.23	%		(57.59	%)		(25.12	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,955		$	2,243		$	8,999		$	691		$	14,040
Ratios to average net assets:
Net investment income (loss)		(1.39	%)		(1.37	%)		(1.39	%)		0.21	%		0.99	%
Total expenses		2.26	%		2.28	%		2.28	%		2.32	%		2.26	%
Portfolio turnover rate		744	%		692	%		443	%		878	%		566	%

184  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

S&P SMALLCAP 600 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	17.38		$	19.57		$	11.07		$	26.53		$	35.51
Income (loss) from investment operations:
Net investment income (loss)a		(.11	)		(.11	)		(.12	)		.27			.33
Net gain (loss) on investments (realized and unrealized)		(.27	)		1.17			15.41			(15.36	)		(9.04	)
Total from investment operations		(.38	)		1.06			15.29			(15.09	)		(8.71	)
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)
Net realized gains		—			(3.25	)		(6.76	)		—			—
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)
Net asset value, end of period	$	17.00		$	17.38		$	19.57		$	11.07		$	26.53
Total Returnb		(2.19	%)		6.94	%		150.07	%		(57.20	%)		(24.56	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24,298		$	15,980		$	216,500		$	21,489		$	51,563
Ratios to average net assets:
Net investment income (loss)		(0.69	%)		(0.56	%)		0.62	%		1.40	%		1.04	%
Total expenses		1.49	%		1.54	%		1.54	%		1.55	%		1.48	%
Portfolio turnover rate		744	%		692	%		443	%		878	%		566	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  185

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

EUROPE 1.25x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX 50^® Index (the “underlying index”).

For the one-year period ended March 31, 2012, Europe 1.25x Strategy Fund maintained a daily correlation of over 97% to its benchmark of 125% of the daily price movement of the STOXX 50 Index. Europe 1.25x Strategy Fund H-Class returned -10.46% while the STOXX 50 Index* returned -7.29% over the same period.

Consumer Staples was the sector contributing most to return of the index, followed by Health Care. Smaller contributions were recorded from the Energy and Consumer Discretionary sectors. Financials was the leading detractor from return of the index, followed by Materials and Telecommunications Services.

Among the stocks contributing the most to return of the index were British American Tobacco plc ADR, GlaxoSmithKline plc ADR and Roche Holding AG ADR. The stocks detracting most from performance of the index for the period were Telefonica S.A. ADR, Societe Generale S.A. ADR and Siemens AG ADR.

The European sovereign debt crisis continued to weigh on the continent’s stocks over the past 12 months. Equities have done better in early 2012, helped by the monetary easing from the European Central Bank in December, the restructuring of Greece’s debt and the establishment of a global financial emergency fund to fight the debt crisis that now tops $1 trillion.

Germany’s stock market has been the strongest on the continent, although the potential for slowing growth in emerging markets, which could hurt the country’s large exporters, has pared gains recently. Indeed, 53% of European company earnings come from outside the continent, according to some analysts. Although equity valuations are compelling in many instances compared with other major markets, stocks will continue to face headwinds, especially sluggish growth, as countries struggle with debt reduction efforts and austerity measures.

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.

*The STOXX 50^® Index provides a blue-chip representation of supersector leaders in the eurozone. The index covers 50 stocks from 12 eurozone countries:

Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.

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	4.6	%
HSBC Holdings plc ADR	3.7	%
BP plc ADR	3.6	%
Novartis AG ADR	3.6	%
Vodafone Group plc ADR	3.5	%
Royal Dutch Shell plc ADR	2.9	%
Total S.A. ADR	2.8	%
GlaxoSmithKline plc ADR	2.8	%
British American Tobacco plc ADR	2.7	%
Sanofi ADR	2.3	%
Top Ten Total	32.5	%
“Ten Largest Holdings” exclude any temporary cash or derivative investments.

186  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*,††

Average Annual Returns*,††
Periods Ended 03/31/12
	1 Year			5 Year			10 Year
C-Class Shares		-11.10	%		-12.26	%		-1.43	%
C-Class Shares with CDSC†		-11.99	%		-12.26	%		-1.43	%
H-Class Shares		-10.46	%		-11.61	%		-0.65	%
STOXX 50 Index (Total Return/Dollars)		-7.29	%		-4.66	%		3.30	%
							Since Inception (03/31/04)
A-Class Shares		-10.60	%		-11.63	%		-1.14	%
A-Class Shares with sales charge‡		-14.84	%		-12.48	%		-1.74	%
STOXX 50 Index (Total Return/Dollars)		-7.29	%		-4.66	%		3.26	%

* 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 STOXX 50 Index (Total Return/Dollars) 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 include a CDSC of 1% if redeemed within 12 months of purchase.

†† The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish.

‡ Fund returns are calculated using the maximum sales charge of 4.75%.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  187

SCHEDULE OF INVESTMENTS	March 31, 2012
EUROPE 1.25x STRATEGY FUND

	SHARES		VALUE
COMMON STOCKS† — 66.8%
FINANCIALS - 13.2%
HSBC Holdings plc ADR		7,322	$	325,023
Banco Santander S.A. ADR		19,479		149,403
UBS AG*		9,440		132,349
Deutsche Bank AG		2,375		118,251
Barclays plc ADR		6,419		97,248
Banco Bilbao Vizcaya Argentaria S.A. ADR		11,399		91,078
Credit Suisse Group AG ADR		2,855		81,396
ING Groep N.V. ADR*		9,416		78,341
Allianz SE ADR		5,961		70,757
Societe Generale S.A. ADR		4,716		27,353
Total Financials				1,171,199
HEALTH CARE—12.2%
Novartis AG ADR		5,787		320,658
GlaxoSmithKline plc ADR		5,608		251,855
Sanofi ADR		5,298		205,298
AstraZeneca plc ADR		3,894		173,244
Roche Holding AG ADR		2,971		129,654
Total Health Care				1,080,709
CONSUMER STAPLES—11.6%
Nestle S.A. ADR		6,454		406,602
British American Tobacco plc ADR		2,357		238,576
Diageo plc ADR		1,542		148,803
Unilever N.V.		3,802		129,382
Anheuser-Busch InBev N.V. ADR		1,511		109,880
Total Consumer Staples				1,033,243
ENERGY—11.2%
BP plc ADR		7,181		323,146
Royal Dutch Shell plc ADR		3,726		261,304
Total S.A. ADR		4,936		252,328
ENI SpA ADR		3,314		155,161
Total Energy				991,939
TELECOMMUNICATION SERVICES—6.8%
Vodafone Group plc ADR		11,096		307,026
Telefonica S.A. ADR		8,686		142,537
Deutsche Telekom AG ADR		7,618		91,797
France Telecom S.A. ADR		4,123		61,227
Total Telecommunication Services				602,587
MATERIALS—4.5%
Rio Tinto plc ADR		3,189		177,277
BHP Billiton Ltd. ADR		2,132		154,357
Anglo American plc ADR		3,641		68,487
Total Materials				400,121
INDUSTRIALS—3.4%
Siemens AG ADR		1,816		183,126
ABB Ltd. ADR*		5,710		116,541
Total Industrials				299,667

	SHARES		VALUE
INFORMATION TECHNOLOGY — 2.2%
SAP AG ADR		2,289	$	159,818
Nokia Oyj ADR		7,245		39,775
Total Information Technology				199,593
CONSUMER DISCRETIONARY—1.7%
Daimler AG		2,528		152,969
Total Common Stocks (Cost $5,858,137)				5,932,027
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1—51.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	3,110,363		3,110,363
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		875,098		875,098
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		401,549		401,549
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		232,591		232,591
Total Repurchase Agreements (Cost $4,619,601)				4,619,601
Total Investments – 118.7% (Cost $10,477,738)			$	10,551,628
Other Assets & Liabilities, net – (18.7)%				(1,659,173	)
Total Net Assets – 100.0%			$	8,892,455

188  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
EUROPE 1.25x STRATEGY FUND

	CONTRACTS		UNREALIZED GAIN (LOSS)
CURRENCY FUTURE CONTRACTS PURCHASED†
June 2012 Euro Currency Futures Contracts (Aggregate Value of Contracts $5,170,025)		31	$	26,181
FUTURE CONTRACTS PURCHASED†
June 2012 Euro STOXX 50 Index Futures Contracts (Aggregate Value of Contracts $1,318,453)		41	$	(22,114	)
June 2012 STOXX 50 Index Futures Contracts (Aggregate Value of Contracts $3,794,571)		118		(129,009	)
(Total Aggregate Value of Contracts $5,113,024)			$	(151,123	)

Country Diversification

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

* Non-income producing security.

† Value determined based on Level 1 inputs — See Note 4.

†† Value determined based on Level 2 inputs — See Note 4.

1 Repurchase Agreements — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  189

EUROPE 1.25x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $5,858,137)	$	5,932,027
Repurchase agreements, at value (cost $4,619,601)		4,619,601
Total investments (cost $10,477,738)		10,551,628
Segregated cash with broker		763,722
Due from broker		230,185
Receivables:
Fund shares sold		204,839
Variation margin		105,740
Dividends		15,461
Foreign taxes reclaim		5,832
Total assets		11,877,407
LIABILITIES:
Foreign currency due to broker, at value (cost $230,595)		230,976
Payable for:
Fund shares redeemed		2,482,741
Securities purchased		249,670
Management fees		7,589
Distribution and service fees		2,352
Transfer agent and administrative fees		2,108
Portfolio accounting fees		843
Miscellaneous		8,673
Total liabilities		2,984,952
NET ASSETS	$	8,892,455
NET ASSETS CONSIST OF:
Paid in capital	$	25,739,015
Undistributed net investment income		121,348
Accumulated net realized loss on investments		(16,916,477	)
Net unrealized depreciation on investments		(51,431	)
Net assets	$	8,892,455
A-CLASS:
Net assets	$	694,126
Capital shares outstanding		55,239
Net asset value per share	$	12.57
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.20
C-CLASS:
Net assets	$	439,052
Capital shares outstanding		38,090
Net asset value per share	$	11.53
H-CLASS:
Net assets	$	7,759,277
Capital shares outstanding		616,439
Net asset value per share	$	12.59

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $3,283)	$	386,096
Interest		1,521
Total investment income		387,617
EXPENSES:
Management fees		122,158
Transfer agent and administrative fees		33,933
Distribution and service fees:
A-Class		1,329
C-Class		4,790
H-Class		31,406
Portfolio accounting fees		13,573
Custodian fees		3,377
Trustees’ fees*		1,622
Miscellaneous		18,454
Total expenses		230,642
Net investment income		156,975
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		692,847
Futures contracts		(75,897	)
Foreign currency		(16,852	)
Net realized gain		600,098
Net change in unrealized appreciation (depreciation) on:
Investments		(2,256,173	)
Futures contracts		(258,934	)
Foreign currency		(769	)
Net change in unrealized appreciation (depreciation)		(2,515,876	)
Net realized and unrealized loss		(1,915,778	)
Net decrease in net assets resulting from operations	$	(1,758,803	)

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

190  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

EUROPE 1.25x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	156,975		$	139,166
Net realized gain (loss) on investments		600,098			(2,967,256	)
Net change in unrealized appreciation (depreciation) on investments		(2,515,876	)		1,903,749
Net decrease in net assets resulting from operations		(1,758,803	)		(924,341	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		9,432,391			24,294,825
C-Class		14,386,018			51,477,462
H-Class		171,570,269			282,350,914
COSTOFSHARESREDEEMED
A-Class		(8,804,569	)		(23,420,946	)
C-Class		(14,574,700	)		(52,874,691	)
H-Class		(185,689,568	)		(266,134,416	)
Net increase (decrease) from capital share transactions		(13,680,159	)		15,693,148
Net increase (decrease) in net assets		(15,438,962	)		14,768,807
NETASSETS:
Beginning of year		24,331,417			9,562,610
End of year	$	8,892,455		$	24,331,417
Undistributed/(Accumulated) net investment income/(loss) at end of year	$	121,348		$	(18,775	)
CAPITALSHAREACTIVITY:
Shares sold
A-Class		714,987			1,938,982
C-Class		1,264,090			4,392,090
H-Class		13,533,222			21,984,676
Shares redeemed
A-Class		(692,132	)		(1,939,280	)
C-Class		(1,275,181	)		(4,503,196	)
H-Class		(14,569,374	)		(20,824,312	)
Net increase (decrease) in shares		(1,024,388	)		1,048,960

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  191

EUROPE 1.25x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.06		$	14.18		$	8.36		$	22.25		$	24.13
Income (loss) from investment operations:
Net investment incomea		.10			.08			.04			.18			.62
Net gain (loss) on investments (realized and unrealized)		(1.59	)		(.20	)		5.78			(14.07	)		(1.57	)
Total from investment operations		(1.49	)		(.12	)		5.82			(13.89	)		(.95	)
Less distributions from:
Net investment income		—			—			—			��			(.23	)
Net realized gains		—			—			—			—			(.70	)
Total distributions		—			—			—			—			(.93	)
Net asset value, end of period	$	12.57		$	14.06		$	14.18		$	8.36		$	22.25
Total Returnb		(10.60	%)		(0.85	%)		69.62	%		(62.43	%)		(4.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	694		$	455		$	463		$	316		$	1,750
Ratios to average net assets:
Net investment income		0.77	%		0.66	%		0.33	%		1.05	%		2.42	%
Total expenses		1.67	%		1.69	%		1.66	%		1.68	%		1.69	%
Portfolio turnover rate		318	%		515	%		1,353	%		384	%		320	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	12.97		$	13.17		$	7.83		$	21.00		$	22.98
Income (loss) from investment operations:
Net investment income (loss)a		—	c		.03			(.04	)		.07			.31
Net gain (loss) on investments (realized and unrealized)		(1.44	)		(.23	)		5.38			(13.24	)		(1.36	)
Total from investment operations		(1.44	)		(.20	)		5.34			(13.17	)		(1.05	)
Less distributions from:
Net investment income		—			—			—			—			(.23	)
Net realized gains		—			—			—			—			(.70	)
Total distributions		—			—			—			—			(.93	)
Net asset value, end of period	$	11.53		$	12.97		$	13.17		$	7.83		$	21.00
Total Returnb		(11.10	%)		(1.52	%)		68.20	%		(62.71	%)		(5.28	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	439		$	638		$	2,111		$	754		$	6,149
Ratios to average net assets:
Net investment income (loss)		0.03	%		0.22	%		(0.36	%)		0.42	%		1.27	%
Total expenses		2.43	%		2.43	%		2.42	%		2.43	%		2.40	%
Portfolio turnover rate		318	%		515	%		1,353	%		384	%		320	%

192  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

EUROPE 1.25x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.06		$	14.20		$	8.36		$	22.26		$	24.14
Income (loss) from investment operations:
Net investment incomea		.16			.09			.03			.21			.57
Net gain (loss) on investments (realized and unrealized)		(1.63	)		(.23	)		5.81			(14.11	)		(1.52	)
Total from investment operations		(1.47	)		(.14	)		5.84			(13.90	)		(.95	)
Less distributions from:
Net investment income		—			—			—			—			(.23	)
Net realized gains		—			—			—			—			(.70	)
Total distributions		—			—			—			—			(.93	)
Net asset value, end of period	$	12.59		$	14.06		$	14.20		$	8.36		$	22.26
Total Returnb		(10.46	%)		(0.99	%)		69.86	%		(62.44	%)		(4.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,759		$	23,238		$	6,989		$	4,739		$	21,670
Ratios to average net assets:
Net investment income		1.22	%		0.70	%		0.21	%		1.22	%		2.20	%
Total expenses		1.68	%		1.69	%		1.70	%		1.71	%		1.67	%
Portfolio turnover rate		318	%		515	%		1,353	%		384	%		320	%

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

b Total return does not reflect the impact of any applicable sales charges and has not been annualized.

c Net investment income is less than $0.01 per share.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  193

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

JAPAN 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).

For the one-year period ended March 31, 2012, Japan 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the fair value of the Nikkei-225 Stock Average Index. Japan 2x Strategy Fund H-Class returned 3.40% while the Nikkei-225 Stock Average Index* returned 3.62% over the same time period.

The Consumer Discretionary sector contributed most to return of the index, followed by Consumer Staples and Industrials. Telecommunication Services was the sector detracting most from performance of the index.

Among stocks contributing the most to return of the index were Fast Retailing Co. Ltd. and Fanuc Corp. SoftBank Corp., Olympus Corp. and Sony Corp. were the leading detractors from return of the index.

The Japanese equity market has been dealing with the aftermath of the earthquake and tsunami, the country’s worst natural disaster in 90 years. However, manufacturers have repaired much of the damage to supply chains, and the central bank has steered down the value of the yen from last year’s highs, a boon for the country’s exporters but which reduces returns for dollar-based investors. The economy, which fell in 2011, is expected to deliver 2% growth in 2012, higher than Europe’s and on par with the forecast U.S. increase.

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.

*The Nikkei-225 Stock Average Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	February 22, 2008
C-Class	February 22, 2008
H-Class	February 22, 2008

The Fund invests principally in derivative

investments such as futures contracts.

194  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*,††

Average Annual Returns*,††
Periods Ended 03/31/12
	1 Year			Since Inception (02/22/08)
A-Class Shares		3.34	%		-11.05	%
A-Class Shares with sales charge‡		-1.59	%		-12.10	%
C-Class Shares		2.67	%		-11.70	%
C-Class Shares with CDSC†		1.67	%		-11.70	%
H-Class Shares		3.40	%		-10.99	%
Nikkei-225 Stock Average Index		3.62	%		-0.84	%

* 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 include a CDSC of 1% if redeemed within 12 months of purchase.

†† The effects of compounding and currency exchange rates may cause the longer-term correlation of the Fund to its benchmark to diminish.

‡ Fund returns are calculated using the maximum sales charge of 4.75%.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  195

SCHEDULE OF INVESTMENTS	March 31, 2012
JAPAN 2x STRATEGY FUND

	FACE AMOUNT
			VALUE
REPURCHASE AGREEMENTS††,1 -  74.1%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	3,065,154	$	3,065,154
Mizuho Financial Group, Inc.issued 03/30/12 at 0.01% due 04/02/12		862,379		862,379
Credit Suisse Group issued 03/30/12 at 0. 01% due 04/02/12		395,713		395,713
Deutsche Bank issued 03/30/12 at 0. 01% due 04/02/12		229,211		229,211
Total Repurchase Agreements (Cost $4,552,457)				4,552,457
Total Investments – 74.1% (Cost $4,552,457)			$	4,552,457
Other Assets & Liabilities, net – 25.9%				1,590,209
Total Net Assets – 100.0%			$	6,142,666

			UNREALIZED GAIN
	CONTRACTS
FUTURES CONTRACTS PURCHASED†
June 2012 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $12,234,000)		240	$	679,097
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 Japanese Yen Currency Futures Contracts (Aggregate Value of Contracts $12,239,100)		81	$	13,605

† 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.

196  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

JAPAN 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $4,552,457)	$	4,552,457
Total investments (cost $4,552,457)		4,552,457
Segregated cash with broker		907,200
Receivables:
Fund shares sold		702,857
Variation margin		35,286
Total assets		6,197,800
LIABILITIES:
Payable for:
Fund shares redeemed		45,492
Management fees		3,376
Distribution and service fees		1,250
Transfer agent and administrative fees		1,125
Portfolio accounting fees		450
Miscellaneous		3,441
Total liabilities		55,134
NET ASSETS	$	6,142,666
NET ASSETS CONSIST OF:
Paid in capital	$	8,292,270
Accumulated net investment loss		(13,890	)
Accumulated net realized loss on investments		(2,828,416	)
Net unrealized appreciation on investments		692,702
Net assets	$	6,142,666
A-CLASS:
Net assets	$	1,428,036
Capital shares outstanding		92,442
Net asset value per share	$	15.45
Maximum offering price per share
(Net asset value divided by 95.25%)	$	16.22
C-CLASS:
Net assets	$	140,134
Capital shares outstanding		9,350
Net asset value per share	$	14.99
H-CLASS:
Net assets	$	4,574,496
Capital shares outstanding		295,334
Net asset value per share	$	15.49

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	1,820
Total investment income		1,820
EXPENSES:
Management fees		52,865
Transfer agent and administrative fees		17,622
Distribution and service fees:
A-Class		6,151
C-Class		1,934
H-Class		10,987
Portfolio accounting fees		7,049
Custodian fees		1,780
Trustees’ fees*		902
Miscellaneous		8,478
Total expenses		107,768
Net investment loss		(105,948	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Futures contracts		(1,311,288	)
Net realized loss		(1,311,288	)
Net change in unrealized appreciation (depreciation) on:
Futures contracts		149,144
Net change in unrealized appreciation (depreciation)		149,144
Net realized and unrealized loss		(1,162,144	)
Net decrease in net assets resulting from operations	$	(1,268,092	)

* 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 SERIES FUNDS ANNUAL REPORT  |  197

JAPAN 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(105,948	)	$	(96,087	)
Net realized loss on investments		(1,311,288	)		(372,576	)
Net change in unrealized appreciation (depreciation) on investments		149,144			380,066
Net decrease in net assets resulting from operations		(1,268,092	)		(88,597	)
CAPITALSHARETRANSACTIONS:
Proceeds from sale of shares
A-Class		6,900,436			17,011,157
C-Class		1,962,446			26,730,136
H-Class		59,130,720			76,584,589
COSTOFSHARESREDEEMED
A-Class		(11,634,483	)		(13,470,349	)
C-Class		(1,938,876	)		(26,785,624	)
H-Class		(58,485,850	)		(76,584,721	)
Net increase (decrease) from capital share transactions		(4,065,607	)		3,485,188
Net increase (decrease) in net assets		(5,333,699	)		3,396,591
NETASSETS:
Beginning of year		11,476,365			8,079,774
End of year	$	6,142,666		$	11,476,365
Accumulated net investment loss at end of year	$	(13,890	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		480,177			1,106,525
C-Class		143,517			1,765,492
H-Class		3,972,584			4,903,823
Shares redeemed
A-Class		(784,460	)		(845,237	)
C-Class		(147,120	)		(1,779,134	)
H-Class		(4,034,878	)		(4,874,700	)
Net increase (decrease) in shares		(370,180	)		276,769

198  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

JAPAN 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2012			2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.95		$	16.49		$	9.01		$	25.12		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.22	)		(.24	)		(.19	)		(.06	)		—	c
Net gain (loss) on investments (realized and unrealized)		.72			(1.30	)		7.67			(16.24	)		.12
Total from investment operations		.50			(1.54	)		7.48			(16.30	)		.12
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	d		—
Net asset value, end of period	$	15.45		$	14.95		$	16.49		$	9.01		$	25.12
Total Returne		3.34	%		(9.34	%)		83.02	%		(64.10	%)d		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,428		$	5,931		$	2,234		$	299		$	636
Ratios to average net assets:
Net investment loss		(1.49	%)		(1.45	%)		(1.42	%)		(0.42	%)		(0.12	%)
Total expenses		1.51	%		1.55	%		1.53	%		1.53	%		1.25	%
Portfolio turnover rate		—			—			—			—			—

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2012			2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.60		$	16.23		$	8.94		$	25.10		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.31	)		(.31	)		(.31	)		(.17	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		.70			(1.32	)		7.60			(16.18	)		.12
Total from investment operations		.39			(1.63	)		7.29			(16.35	)		.10
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	d		—
Net asset value, end of period	$	14.99		$	14.60		$	16.23		$	8.94		$	25.10
Total Returne		2.67	%		(10.04	%)		81.54	%		(64.35	%)d		0.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	140		$	189		$	432		$	879		$	240
Ratios to average net assets:
Net investment loss		(2.23	%)		(2.18	%)		(2.20	%)		(0.98	%)		(0.74	%)
Total expenses		2.26	%		2.29	%		2.28	%		2.26	%		2.21	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |   199

JAPAN 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2012			2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.98		$	16.48		$	9.01		$	25.12		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.22	)		(.23	)		(.21	)		(.08	)		—	c
Net gain (loss) on investments (realized and unrealized)		.73			(1.27	)		7.68			(16.22	)		.12
Total from investment operations		.51			(1.50	)		7.47			(16.30	)		.12
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	d		—
Net asset value, end of period	$	15.49		$	14.98		$	16.48		$	9.01		$	25.12
Total Returne		3.40	%		(9.10	%)		82.91	%		(64.10	%)d		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,574		$	5,356		$	5,414		$	6,531		$	5,243
Ratios to average net assets:
Net investment income (loss)		(1.48	%)		(1.44	%)		(1.44	%)		(0.55	%)		0.17	%
Total expenses		1.51	%		1.54	%		1.53	%		1.52	%		1.44	%
Portfolio turnover rate		—			—			—			—			—

^a  Since commencement of operations: February 22, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b  Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c  Net investment income is less than $0.01 per share.

^d  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.

^e  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

200  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  201

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

STRENGTHENING DOLLAR 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 -0.07%, compared with 4.14% gain for its benchmark, the U.S. Dollar Index*.

The U.S. Dollar Index was its low point for the past 12 months in late April 2011, when it appeared the global economy was strengthening. It traded in a narrow range until August, when S&P lowered the U.S. triple-A debt rating and Europe was overcome by sovereign debt woes. As the year progressed, the negative effects of the European debt crisis and possible collapse of the euro currency bloc drove investors to the dollar in waves of safe-haven buying—a situation that reversed itself in the first quarter of 2012, as Europe’s crisis eased and the outlook for global economic growth improved.

Strategists say the dollar is being buoyed by improving U.S. economic conditions and a diminishing chance for more Fed easing. But they point out that the government debt situation may eventually weigh on the currency. The dollar/euro rate has moved in a surprisingly tight range in the last year ($1.48 to $1.26, ending at around $1.30), given that, at different times, investors feared that the U.S. might default on government debt and the euro currency union might break apart. The yen, which was at a historic high against the dollar for most of the period, began losing value against the dollar in February, as the Bank of Japan increased its quantitative easing.

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

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

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

*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%.

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.

202  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year	5 Year	Since Inception (05/25/05)
A-Class Shares	-0.07%	-6.88%	-4.81%
A-Class Shares with sales charge‡	-4.81%	-7.78%	-5.49%
C-Class Shares	-0.94%	-7.50%	-5.47%
C-Class Shares with CDSC†	-1.93%	-7.50%	-5.47%
H-Class Shares	-0.07%	-6.94%	-4.87%
U.S. Dollar Index	4.14%	-0.97%	-1.29%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  203

SCHEDULE OF INVESTMENTS	March 31, 2012
STRENGTHENING DOLLAR 2x STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 95.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	20,256,776	$	20,256,776
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		5,699,231		5,699,231
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		4,120,219		4,120,219
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		1,514,792		1,514,792
Total Repurchase Agreements
(Cost $31,591,018)				31,591,018
Total Investments – 95.9%
(Cost $31,591,018)			$	31,591,018
Other Assets & Liabilities, net – 4.1%				1,355,814
Total Net Assets – 100.0%			$	32,946,832

	CONTRACTS		UNREALIZED LOSS
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Dollar Index Futures Contracts (Aggregate Value of Contracts $50,412,180)		637	$	(694,853	)
	UNITS
CURRENCY INDEX SWAP AGREEMENTS††
Goldman Sachs International May 2012 U.S. Dollar Index Swap, Terminating 05/29/123 (Notional Value $15,827,084)		200,207	$	(50,971	)

^†  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 31, 2012.

³ Total Return based on U.S. Dollar Index +/- financing at a variable rate.

204  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES STATEMENT OF OPERATIONS

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $31,591,018)	$	31,591,018
Total investments (cost $31,591,018)		31,591,018
Segregated cash with broker		730,800
Receivables:
Fund shares sold		1,273,573
Interest		18
Total assets		33,595,409
LIABILITIES:
Unrealized depreciation on swap agreements		50,971
Payable for:
Swap settlement		235,735
Variation margin		132,183
Fund shares redeemed		121,178
Management fees		32,787
Distribution and service fees		11,607
Transfer agent and administrative fees		9,108
Portfolio accounting fees		3,643
Miscellaneous		51,365
Total liabilities		648,577
NETASSETS	$	32,946,832
NETASSETS CONSIST OF:
Paid in capital	$	57,028,360
Accumulated net investment loss		(260,588	)
Accumulated net realized loss on investments		(23,075,116	)
Net unrealized depreciation on investments		(745,824	)
Net assets	$	32,946,832
A-CLASS:
Net assets	$	6,874,632
Capital shares outstanding		511,118
Net asset value per share	$	13.45
Maximum offering price per share
(Net asset value divided by 95.25%)	$	14.12
C-CLASS:
Net assets	$	4,090,686
Capital shares outstanding		321,787
Net asset value per share	$	12.71
H-CLASS:
Net assets	$	21,981,514
Capital shares outstanding		1,641,542
Net asset value per share	$	13.39

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	38,674
Total investment income		38,674
EXPENSES:
Management fees		527,518
Transfer agent and administrative fees		146,532
Distribution and service fees:
A-Class		36,458
C-Class		33,194
H-Class		101,776
Portfolio accounting fees		58,612
Custodian fees		15,282
Trustees’ fees*		4,093
Miscellaneous		88,726
Total expenses		1,012,191
Net investment loss		(973,517	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(338,923	)
Futures contracts		(773,286	)
Net realized loss		(1,112,209	)
Net change in unrealized appreciation (depreciation) on:
Investments		(7,753	)
Swap agreements		124,713
Futures contracts		(378,078	)
Net change in unrealized appreciation (depreciation)		(261,118	)
Net realized and unrealized loss		(1,373,327	)
Net decrease in net assets resulting from operations	$	(2,346,844	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  205

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(973,517	)	$	(753,122	)
Net realized loss on investments		(1,112,209	)		(5,041,903	)
Net change in unrealized appreciation (depreciation) on investments		(261,118	)		(1,296,163	)
Net decrease in net assets resulting from operations		(2,346,844	)		(7,091,188	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		111,171,758			17,727,633
C-Class		55,468,750			108,147,406
H-Class		392,571,353			305,686,505
COSTOFSHARESREDEEMED
A-Class		(109,893,869	)		(27,399,277	)
C-Class		(55,198,150	)		(113,295,488	)
H-Class		(389,702,612	)		(341,270,791	)
Net increase (decrease) from capital share transactions		4,417,230			(50,404,012	)
Net increase (decrease) in net assets		2,070,386			(57,495,200	)
NETASSETS:
Beginning of year		30,876,446			88,371,646
End of year	$	32,946,832		$	30,876,446
Accumulated net investment loss at end of year	$	(260,588	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		8,200,309			1,056,533
C-Class		4,391,001			7,130,889
H-Class		29,359,395			19,388,467
Shares redeemed
A-Class		(8,143,418	)		(1,629,766	)
C-Class		(4,383,207	)		(7,490,156	)
H-Class		(29,265,128	)		(21,578,685	)
Net increase (decrease) in shares		158,952			(3,122,718	)

206  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

STRENGTHENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.46		$	16.38		$	19.64		$	19.85		$	25.35
Income (loss) from investment operations:
Net investment income (loss)a		(.22	)		(.25	)		(.25	)		.02			.39
Net gain (loss) on investments (realized and unrealized)		.21			(2.67	)		(3.01	)		6.50			(5.89	)
Total from investment operations		(.01	)		(2.92	)		(3.26	)		6.52			(5.50	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—
Total distributions		—			—			—			(6.73	)		—
Net asset value, end of period	$	13.45		$	13.46		$	16.38		$	19.64		$	19.85
Total Returnb		(0.07	%)		(17.83	%)		(16.60	%)		30.59	%		(21.70	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,875		$	6,115		$	16,833		$	7,314		$	2,795
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.55	%)		(1.57	%)		0.07	%		1.73	%
Total expenses		1.68	%		1.71	%		1.67	%		1.69	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	12.83		$	15.74		$	19.01		$	19.42		$	24.99
Income (loss) from investment operations:
Net investment income (loss)a		(.30	)		(.35	)		(.36	)		(.14	)		.42
Net gain (loss) on investments (realized and unrealized)		.18			(2.56	)		(2.91	)		6.46			(5.99	)
Total from investment operations		(.12	)		(2.91	)		(3.27	)		6.32			(5.57	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—
Total distributions		—			—			—			(6.73	)		—
Net asset value, end of period	$	12.71		$	12.83		$	15.74		$	19.01		$	19.42
Total Returnb		(0.94	%)		(18.49	%)		(17.20	%)		30.36	%		(22.29	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,091		$	4,028		$	10,594		$	5,728		$	6,131
Ratios to average net assets:
Net investment income (loss)		(2.36	%)		(2.29	%)		(2.31	%)		(0.66	%)		1.84	%
Total expenses		2.44	%		2.46	%		2.42	%		2.44	%		2.40	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  207

STRENGTHENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.40		$	16.31		$	19.56		$	19.83		$	25.33
Income (loss) from investment operations:
Net investment income (loss)a		(.22	)		(.25	)		(.25	)		.02			.57
Net gain (loss) on investments (realized and unrealized)		.21			(2.66	)		(3.00	)		6.44			(6.07	)
Total from investment operations		(.01	)		(2.91	)		(3.25	)		6.46			(5.50	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—
Total distributions		—			—			—			(6.73	)		—
Net asset value, end of period	$	13.39		$	13.40		$	16.31		$	19.56		$	19.83
Total Returnb		(0.07	%)		(17.84	%)		(16.62	%)		30.25	%		(21.71	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	21,982		$	20,733		$	60,944		$	22,147		$	29,011
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.55	%)		(1.57	%)		0.08	%		2.44	%
Total expenses		1.69	%		1.72	%		1.67	%		1.69	%		1.66	%
Portfolio turnover rate		—			—			—			—			—

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

208  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  209

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

WEAKENING DOLLAR 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

For the one-year period ended March 31, 2012, 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 -6.84%, compared with a 4.14% gain for its benchmark, the U.S. Dollar Index*.

The U.S. Dollar Index was its low point for the past 12 months in late April 2011, when it appeared the global economy was strengthening. It traded in a narrow range until August, when S&P lowered the U.S. triple-A debt rating and Europe was overcome by sovereign debt woes. As the year progressed, the negative effects of the European debt crisis and possible collapse of the euro currency bloc drove investors to the dollar in waves of safe-haven buying—a situation that reversed itself in the first quarter of 2012, as Europe’s crisis eased and the outlook for global economic growth improved.

Strategists say the dollar is being buoyed by improving U.S. economic conditions and a diminishing chance for more Fed easing. But they point out that the government debt situation may eventually weigh on the currency. The dollar/euro rate has moved in a surprisingly tight range in the last year ($1.48 to $1.26, ending at around $1.30), given that, at different times, investors feared that the U.S. might default on government debt and the euro currency union might break apart. The yen, which was at a historic high against the dollar for most of the period, began losing value against the dollar in February, as the Bank of Japan increased its quantitative easing.

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

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

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

*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%.

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.

210  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (05/25/05)
A-Class Shares		-6.83	%		1.45	%		1.83	%
A-Class Shares with sales charge‡		-11.24	%		0.47	%		1.11	%
C-Class Shares		-7.49	%		0.70	%		1.07	%
C-Class Shares with CDSC†		-8.41	%		0.70	%		1.07	%
H-Class Shares		-6.84	%		1.44	%		1.82	%
U.S. Dollar Index		4.14	%		-0.97	%		-1.29	%

* 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 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 SERIES FUNDS ANNUAL REPORT  |  211

SCHEDULE OF INVESTMENTS	March 31, 2012
WEAKENING DOLLAR 2x STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 99.6%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	12,220,187	$	12,220,187
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		3,438,142		3,438,142
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		2,600,590		2,600,590
Deutsche Bank issued 03/30/12 at 0.01%     due 04/02/12		913,820		913,820
Total Repurchase Agreements
(Cost $19,172,739)				19,172,739
Total Investments – 99.6%
(Cost $19,172,739)			$	19,172,739
Other Assets & Liabilities, net – 0.4%				85,352
Total Net Assets – 100.0%			$	19,258,091

	CONTRACTS		UNREALIZED GAIN
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2012 U.S. Dollar Index Futures Contracts (Aggregate Value of Contracts $24,137,700)		305	$	350,304
	UNITS
CURRENCY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International May 2012 U.S. Dollar Index Swap, Terminating 05/29/123 (Notional Value $14,532,028)		183,825	$	126,199

^† 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 31, 2012.

³ Total Return based on U.S. Dollar Index +/- financing at a variable rate.

212  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES STATEMENT OF OPERATIONS

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $19,172,739)	$	19,172,739
Total investments (cost $19,172,739)		19,172,739
Segregated cash with broker		372,000
Unrealized appreciation on swap agreements		126,199
Receivables:
Fund shares sold		432,339
Variation margin		67,265
Interest		11
Total assets		20,170,553
LIABILITIES:
Payable for:
Fund shares redeemed		796,072
Swap settlement		61,780
Management fees		15,579
Distribution and service fees		5,982
Transfer agent and administrative fees		4,328
Portfolio accounting fees		1,731
Miscellaneous		26,990
Total liabilities		912,462
NET ASSETS	$	19,258,091
NETASSETSCONSISTOF:
Paid in capital	$	33,088,538
Accumulated net investment loss		(90,469	)
Accumulated net realized loss on investments		(14,216,481	)
Net unrealized appreciation on investments		476,503
Net assets	$	19,258,091
A-CLASS:
Net assets	$	2,880,597
Capital shares outstanding		151,973
Net asset value per share	$	18.95
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.90
C-CLASS:
Net assets	$	2,826,211
Capital shares outstanding		158,868
Net asset value per share	$	17.79
H-CLASS:
Net assets	$	13,551,283
Capital shares outstanding		715,788
Net asset value per share	$	18.93

Year Ended March 31, 2012
INVESTMENTINCOME:
Interest	$	24,481
Total investment income		24,481
EXPENSES:
Management fees		274,804
Transfer agent and administrative fees		76,334
Distribution and service fees:
A-Class		13,088
C-Class		29,611
H-Class		55,844
Portfolio accounting fees		30,534
Custodian fees		7,773
Trustees’ fees*		3,112
Miscellaneous		47,282
Total expenses		538,382
Net investment loss		(513,901	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(96,916	)
Futures contracts		(2,948,203	)
Net realized loss		(3,045,119	)
Net change in unrealized appreciation (depreciation) on:
Investments		(5,846	)
Swap agreements		(13,148	)
Futures contracts		(57,401	)
Net change in unrealized appreciation (depreciation)		(76,395	)
Net realized and unrealized loss		(3,121,514	)
Net decrease in net assets resulting from operations	$	(3,635,415	)

* 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 SERIES FUNDS ANNUAL REPORT  |  213

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(513,901	)	$	(583,526	)
Net realized gain (loss) on investments		(3,045,119	)		2,498,240
Net change in unrealized appreciation (depreciation) on investments		(76,395	)		1,064,893
Net increase (decrease) in net assets resulting from operations		(3,635,415	)		2,979,607
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		16,758,536			4,356,031
C-Class		10,391,984			12,924,698
H-Class		130,852,185			111,744,031
COSTOFSHARESREDEEMED
A-Class		(18,584,771	)		(6,022,901	)
C-Class		(11,302,405	)		(14,644,735	)
H-Class		(138,192,645	)		(120,468,235	)
Net decrease from capital share transactions		(10,077,116	)		(12,111,111	)
Net decrease in net assets		(13,712,531	)		(9,131,504	)
NETASSETS:
Beginning of year		32,970,622			42,102,126
End of year	$	19,258,091		$	32,970,622
Accumulated net investment loss at end of year	$	(90,469	)	$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		825,070			238,396
C-Class		540,579			721,312
H-Class		6,509,852			6,176,809
Shares redeemed
A-Class		(947,230	)		(339,920	)
C-Class		(587,844	)		(825,578	)
H-Class		(6,947,445	)		(6,696,001	)
Net decrease in shares		(607,018	)		(724,982	)

214  |  THE RYDEX SERIES 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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	20.34		$	17.98		$	16.38		$	29.27		$	26.18
Income (loss) from investment operations:
Net investment income (loss)a		(.33	)		(.28	)		(.30	)		(.07	)		.70
Net gain (loss) on investments (realized and unrealized)		(1.06	)		2.64			1.90			(8.77	)		7.17
Total from investment operations		(1.39	)		2.36			1.60			(8.84	)		7.87
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)
Net realized gains		—			—			—			(2.77	)		(—	)b
Total distributions		—			—			—			(4.05	)		(4.78	)
Net asset value, end of period	$	18.95		$	20.34		$	17.98		$	16.38		$	29.27
Total Returnc		(6.83	%)		13.13	%		9.77	%		(29.87	%)		32.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,881		$	5,576		$	6,753		$	17,642		$	22,148
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.54	%)		(1.57	%)		(0.30	%)		2.51	%
Total expenses		1.70	%		1.71	%		1.68	%		1.69	%		1.67	%
Portfolio turnover rate		—			—			—			—			—

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	19.23		$	17.12		$	15.73		$	28.53		$	25.81
Income (loss) from investment operations:
Net investment income (loss)a		(.44	)		(.39	)		(.43	)		(.21	)		.43
Net gain (loss) on investments (realized and unrealized)		(1.00	)		2.50			1.82			(8.54	)		7.07
Total from investment operations		(1.44	)		2.11			1.39			(8.75	)		7.50
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)
Net realized gains		—			—			—			(2.77	)		(—	)b
Total distributions		—			—			—			(4.05	)		(4.78	)
Net asset value, end of period	$	17.79		$	19.23		$	17.12		$	15.73		$	28.53
Total Returnc		(7.49	%)		12.32	%		8.84	%		(30.37	%)		31.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,826		$	3,963		$	5,314		$	8,687		$	21,604
Ratios to average net assets:
Net investment income (loss)		(2.36	%)		(2.29	%)		(2.32	%)		(0.93	%)		1.57	%
Total expenses		2.44	%		2.46	%		2.43	%		2.45	%		2.41	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  215

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.

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	20.32		$	17.96		$	16.37		$	29.25		$	26.18
Income (loss) from investment operations:
Net investment income (loss)a		(.32	)		(.28	)		(.30	)		(.03	)		.68
Net gain (loss) on investments (realized and unrealized)		(1.07	)		2.64			1.89			(8.80	)		7.17
Total from investment operations		(1.39	)		2.36			1.59			(8.83	)		7.85
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)
Net realized gains		—			—			—			(2.77	)		(—	)b
Total distributions		—			—			—			(4.05	)		(4.78	)
Net asset value, end of period	$	18.93		$	20.32		$	17.96		$	16.37		$	29.25
Total Returnc		(6.84	%)		13.14	%		9.71	%		(29.86	%)		32.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,551		$	23,432		$	30,036		$	60,249		$	103,867
Ratios to average net assets:
Net investment income (loss)		(1.61	%)		(1.54	%)		(1.57	%)		(0.13	%)		2.45	%
Total expenses		1.69	%		1.71	%		1.68	%		1.70	%		1.67	%
Portfolio turnover rate		—			—			—			—			—

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

^b  Distributions from realized gains 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.

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PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

REAL ESTATE FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).

Real Estate Fund H-Class returned 5.42%, compared to a return of 13.02% for the MSCI U.S. REIT Index*.

Within the sector, Real Estate Investment Trusts (REITs), which compose 92% of the portfolio, was the main contributor to return. Real Estate Management & Development segment detracted from performance.

REIT performance was driven by an improving economy and low interest rates that made their dividends attractive by comparison. Better fundamentals included lower commercial mortgage delinquency rates and higher rates of occupancy growth, which helped income growth. Self storage, apartments, health care and retail were among the better-performing segments. Lodging, industrial, office and mortgage REITs were the weaker segments.

The strongest-performing stocks included Simon Property Group, Inc., Public Storage and Digital Realty Trust, Inc. Pennsylvania Real Estate Investment Trust, Corporate Office Properties Trust and CBRE Group, Inc. detracted from performance for the year.

*MSCI U.S. REIT Index is a free float-adjusted market capitalization weighted index that is comprised of equity REITs that are included in the MSCI U.S. Investable Market 2500 Index, with the exception of specialty equity REITs that do not generate a majority of their revenue and income from real estate rental and leasing operations. The index represents approximately 85% of the US REIT universe.

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

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

Ten Largest Holdings (% of Total Net Assets)
Simon Property Group, Inc.	3.5	%
American Tower Corp. — Class A	2.6	%
Public Storage	2.6	%
Equity Residential	2.3	%
ProLogis, Inc.	2.1	%
Ventas, Inc.	2.1	%
HCP, Inc.	2.1	%
General Growth Properties, Inc.	2.1	%
Boston Properties, Inc.	2.1	%
Vornado Realty Trust	2.1	%
Top Ten Total	23.6	%

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

218  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		5.42	%		-4.37	%		3.40	%
A-Class Shares with sales charge‡		0.41	%		-5.29	%		2.74	%
S&P 500 Index		8.54	%		2.01	%		5.39	%
MSCI U.S. REIT Index		13.02	%		-0.16	%		8.11	%
								(02/20/04	)
C-Class Shares		4.57	%		-5.13	%		3.20	%
C-Class Shares with CDSC†		3.57	%		-5.13	%		3.20	%
H-Class Shares		5.42	%		-4.38	%		3.98	%
S&P 500 Index		8.54	%		2.01	%		4.71	%
MSCI U.S. REIT Index		13.02	%		-0.16	%		8.63	%

^*  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 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 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 SERIES FUNDS ANNUAL REPORT  |  219

SCHEDULE OF INVESTMENTS	March 31, 2012
REAL ESTATE FUND

	SHARES		VALUE
COMMON STOCKS† — 99.6%
REAL ESTATE INVESTMENT TRUSTS (REITS) - 93.3%
SPECIALIZED REIT’S — 23.1%
Public Storage		3,343	$	461,902
Ventas, Inc.		6,568		375,033
HCP, Inc.		9,298		366,899
Health Care REIT, Inc.		5,780		317,669
Host Hotels & Resorts, Inc.		19,173		314,821
Plum Creek Timber Company, Inc.		5,765		239,593
Rayonier, Inc.		4,863		214,410
Senior Housing Properties Trust		7,941		175,099
Hospitality Properties Trust		6,382		168,932
Extra Space Storage, Inc.		5,416		155,927
LaSalle Hotel Properties		5,046		141,994
Omega Healthcare Investors, Inc.		6,492		138,020
Entertainment Properties Trust		2,926		135,708
DiamondRock Hospitality Co.		11,923		122,688
Healthcare Realty Trust, Inc.		5,493		120,846
CubeSmart		9,422		112,122
Sovran Self Storage, Inc.		2,250		112,118
Potlatch Corp.		3,319		104,017
Medical Properties Trust, Inc.		11,017		102,238
Sunstone Hotel Investors, Inc.*		10,261		99,942
Pebblebrook Hotel Trust		4,350		98,223
Total Specialized Reit’s				4,078,201
RETAIL REIT’S—18.6%
Simon Property Group, Inc.		4,277		623,072
General Growth Properties, Inc.		21,594		366,882
Kimco Realty Corp.		13,414		258,354
Macerich Co.		4,470		258,143
Federal Realty Investment Trust		2,364		228,812
Realty Income Corp.		5,471		211,892
Taubman Centers, Inc.		2,629		191,786
Regency Centers Corp.		4,147		184,459
DDR Corp.		12,607		184,062
Weingarten Realty Investors		6,300		166,509
National Retail Properties, Inc.		5,808		157,920
CBL & Associates Properties, Inc.		8,221		155,541
Tanger Factory Outlet Centers		5,107		151,831
Equity One, Inc.		7,103		143,623
Total Retail Reit’s				3,282,886
OFFICE REIT’S—14.9%
Boston Properties, Inc.		3,476		364,944
Digital Realty Trust, Inc.		3,537		261,632
SL Green Realty Corp.		3,089		239,552
Alexandria Real Estate Equities, Inc.		2,681		196,062
Duke Realty Corp.		12,333		176,855
Kilroy Realty Corp.		3,576		166,677
Douglas Emmett, Inc.		7,280		166,057
Piedmont Office Realty Trust, Inc. — Class A		9,066		160,922
BioMed Realty Trust, Inc.		8,280		157,154

	SHARES		VALUE
Mack-Cali Realty Corp.		5,074	$	146,233
Highwoods Properties, Inc.		4,355		145,109
Brandywine Realty Trust		10,384		119,208
Corporate Office Properties Trust		5,046		117,118
CommonWealth REIT		6,182		115,109
Lexington Realty Trust		12,003		107,907
Total Office Reit’s				2,640,539
RESIDENTIAL REIT’S—14.4%
Equity Residential		6,497		406,841
AvalonBay Communities, Inc.		2,423		342,491
UDR, Inc.		8,545		228,237
Essex Property Trust, Inc.		1,411		213,781
Camden Property Trust		3,238		212,899
BRE Properties, Inc.		3,595		181,727
American Campus Communities, Inc.		3,793		169,623
Apartment Investment & Management Co. — Class A		6,314		166,753
Home Properties, Inc.		2,629		160,395
Equity Lifestyle Properties, Inc.		2,263		157,822
Mid-America Apartment Communities, Inc.		2,312		154,973
Post Properties, Inc.		3,172		148,640
Total Residential Reit’s				2,544,182
MORTGAGE REIT’S—9.2%
Annaly Capital Management, Inc.		22,704		359,178
American Capital Agency Corp.		9,336		275,785
MFA Financial, Inc.		20,287		151,544
Hatteras Financial Corp.		4,867		135,789
Two Harbors Investment Corp.		13,165		133,493
Invesco Mortgage Capital, Inc.		7,349		129,710
Starwood Property Trust, Inc.		6,092		128,054
CYS Investments, Inc.		8,336		109,118
ARMOUR Residential REIT, Inc.		15,120		102,060
Capstead Mortgage Corp.		7,575		99,308
Total Mortgage Reit’s				1,624,039
DIVERSIFIED REIT’S—4.6%
Vornado Realty Trust		4,317		363,491
Liberty Property Trust		5,378		192,102
Colonial Properties Trust		5,981		129,967
Washington Real Estate Investment Trust		4,364		129,611
Total Diversified Reit’s				815,171
INDUSTRIAL REIT’S—4.1%
ProLogis, Inc.		10,531		379,326
DuPont Fabros Technology, Inc.		4,739		115,869
DCT Industrial Trust, Inc.		19,170		113,103
EastGroup Properties, Inc.		2,190		109,982
Total Industrial Reit’s				718,280
WIRELESS TELECOMMUNICATION SERVICES—2.6%
American Tower Corp. — Class A		7,330		461,937
FOREST PRODUCTS—1.8%
Weyerhaeuser Co.		14,319		313,872
Total Real Estate Investment Trusts (REITs)				16,479,107

220  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
REAL ESTATE FUND

	SHARES		VALUE
REAL ESTATE MANAGEMENT & DEVELOPMENT — 6.3%
REAL ESTATE OPERATING COMPANIES — 2.4%
Brookfield Office Properties, Inc.		15,726	$	274,418
Forest City Enterprises, Inc. — Class A*		9,795		153,390
Total Real Estate Operating Companies				427,808
REAL ESTATE SERVICES — 2.3%
CBRE Group, Inc. — Class A*		11,580		231,137
Jones Lang LaSalle, Inc.		2,088		173,951
Total Real Estate Services				405,088
DIVERSIFIED REAL ESTATE ACTIVITIES—1.6%
Brookfield Asset Management, Inc. — Class A		4,990		157,534
St. Joe Co.*		6,308		119,915
Total Diversified Real Estate Activities				277,449
Total Real Estate Management & Development				1,110,345
Total Common Stocks (Cost $11,442,045)				17,589,452

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 — 0.2%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	38,743	$	38,743
Total Repurchase Agreement (Cost $38,743)				38,743
Total Investments – 99.8% (Cost $11,480,788)			$	17,628,195
Other Assets & Liabilities, net – 0.2%				43,716
Total Net Assets – 100.0%			$	17,671,911

^*  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.

REIT — Real Estate Investment Trust

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  221

REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $11,442,045)	$	17,589,452
Repurchase agreements, at value (cost $38,743)		38,743
Total investments (cost $11,480,788)		17,628,195
Cash		1,923
Receivables:
Fund shares sold		1,041,331
Securities sold		648,433
Dividends		83,338
Total assets		19,403,220
LIABILITIES:
Payable for:
Fund shares redeemed		1,699,917
Management fees		12,181
Distribution and service fees		4,876
Transfer agent and administrative fees		3,583
Portfolio accounting fees		1,433
Miscellaneous		9,319
Total liabilities		1,731,309
NET ASSETS	$	17,671,911
NET ASSETS CONSIST OF:
Paid in capital	$	30,644,339
Undistributed net investment income		156,672
Accumulated net realized loss on investments		(19,276,507	)
Net unrealized appreciation on investments		6,147,407
Net assets	$	17,671,911
A-CLASS:
NET ASSETS	$	2,363,720
Capital shares outstanding		78,099
Net asset value per share	$	30.27
Maximum offering price per share (Net asset value divided by 95.25%)	$	31.78
C-CLASS:
Net assets	$	1,797,500
Capital shares outstanding		63,541
Net asset value per share	$	28.29
H-CLASS:
Net assets	$	13,510,691
Capital shares outstanding		446,959
Net asset value per share	$	30.23

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,417)	$	579,943
Interest		45
Total investment income		579,988
EXPENSES:
Management fees		158,343
Transfer agent and administrative fees		46,571
Distribution and service fees:
A-Class		8,157
C-Class		21,304
H-Class		33,088
Portfolio accounting fees		18,628
Custodian fees		4,970
Trustees’ fees*		1,957
Tax expense		2,143
Miscellaneous		19,683
Total expenses		314,844
Net investment income		265,144
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(6,951,187	)
Net realized loss		(6,951,187	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,024,497	)
Net change in unrealized appreciation (depreciation)		(2,024,497	)
Net realized and unrealized loss		(8,975,684	)
Net decrease in net assets resulting from operations	$	(8,710,540	)

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

222  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	265,144		$	450,481
Net realized gain (loss) on investments		(6,951,187	)		5,516,376
Net change in unrealized appreciation (depreciation) on investments		(2,024,497	)		(1,134,604	)
Net increase (decrease) in net assets resulting from operations		(8,710,540	)		4,832,253
DISTRIBUTIONSTOSHAREHOLDERSFROM:
Net investment income
A-Class		(13,842	)		(110,657	)
C-Class		(19,533	)		(51,561	)
H-Class		(77,240	)		(717,890	)
Total distributions to shareholders		(110,615	)		(880,108	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		13,167,117			17,712,810
C-Class		67,554,814			85,507,957
H-Class		222,385,631			224,118,250
DISTRIBUTIONSREINVESTED
A-Class		13,078			99,290
C-Class		18,741			47,000
H-Class		76,349			713,980
COSTOFSHARESREDEEMED
A-Class		(14,286,238	)		(18,942,704	)
C-Class		(68,113,410	)		(85,940,210	)
H-Class		(222,715,004	)		(240,249,139	)
Net decrease from capital share transactions		(1,898,922	)		(16,932,766	)
Net decrease in net assets		(10,720,077	)		(12,980,621	)
NETASSETS:
Beginning of year		28,391,988			41,372,609
End of year	$	17,671,911		$	28,391,988
Undistributed net investment income at end of year	$	156,672		$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		458,395			695,632
C-Class		2,537,675			3,424,767
H-Class		7,867,436			8,635,622
Shares issued from reinvestment of distributions
A-Class		521			3,804
C-Class		797			1,904
H-Class		3,047			27,377
Shares redeemed
A-Class		(518,172	)		(739,617	)
C-Class		(2,560,890	)		(3,433,471	)
H-Class		(8,183,044	)		(9,345,781	)
Net decrease in shares		(394,235	)		(729,763	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  223

REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	29.06		$	24.24		$	12.83		$	32.42		$	42.16
Income (loss) from investment operations:
Net investment incomea		.45			.27			.44			.74			.54
Net gain (loss) on investments (realized and unrealized)		1.07			5.17			11.11			(19.43	)		(10.05	)
Total from investment operations		1.52			5.44			11.55			(18.69	)		(9.51	)
Less distributions from:
Net investment income		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Total distributions		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Net asset value, end of period	$	30.27		$	29.06		$	24.24		$	12.83		$	32.42
Total Returnb		5.42	%		22.72	%		90.16	%		(58.00	%)		(22.59	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,364		$	3,991		$	4,303		$	1,554		$	2,866
Ratios to average net assets:
Net investment income		1.59	%		1.07	%		2.15	%		2.81	%		1.45	%
Total expenses		1.61	%		1.63	%		1.65	%		1.68	%		1.64	%
Portfolio turnover rate		974	%		485	%		1,520	%		780	%		832	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.41		$	23.11		$	12.33		$	31.44		$	41.22
Income (loss) from investment operations:
Net investment incomea		.22			.10			.40			.66			.29
Net gain (loss) on investments (realized and unrealized)		.97			4.82			10.52			(18.87	)		(9.84	)
Total from investment operations		1.19			4.92			10.92			(18.21	)		(9.55	)
Less distributions from:
Net investment income		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Total distributions		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Net asset value, end of period	$	28.29		$	27.41		$	23.11		$	12.33		$	31.44
Total Returnb		4.57	%		21.58	%		88.70	%		(58.28	%)		(23.21	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,798		$	2,356		$	2,143		$	1,075		$	2,290
Ratios to average net assets:
Net investment income		0.83	%		0.42	%		2.06	%		2.62	%		0.78	%
Total expenses		2.36	%		2.39	%		2.41	%		2.42	%		2.39	%
Portfolio turnover rate		974	%		485	%		1,520	%		780	%		832	%

224  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	29.02		$	24.22		$	12.82		$	32.40		$	42.14
Income (loss) from investment operations:
Net investment incomea		.42			.29			.50			.61			.53
Net gain (loss) on investments (realized and unrealized)		1.10			5.13			11.04			(19.29	)		(10.04	)
Total from investment operations		1.52			5.42			11.54			(18.68	)		(9.51	)
Less distributions from:
Net investment income		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Total distributions		(.31	)		(.62	)		(.14	)		(.90	)		(.23	)
Net asset value, end of period	$	30.23		$	29.02		$	24.22		$	12.82		$	32.40
Total Returnb		5.42	%		22.70	%		90.15	%		(58.01	%)		(22.60	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,511		$	22,045		$	34,926		$	1,757		$	14,140
Ratios to average net assets:
Net investment income		1.48	%		1.13	%		2.41	%		2.14	%		1.43	%
Total expenses		1.61	%		1.63	%		1.68	%		1.64	%		1.64	%
Portfolio turnover rate		974	%		485	%		1,520	%		780	%		832	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  225

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

The 30-year bond ended the 12-month period ended March 31, 2012, with a yield of 3.27%, compared with a yield of about 4.51% at the start of the period. Treasury yields have been under pressure due to safe-haven buying amid recurring concerns about the European debt crisis, although the situation was seen as less urgent as the first quarter of 2012 progressed and U.S. economic data grew stronger. Yields actually rose in the final month of the period out of the range that had persisted for months, due to interpretation of a Fed policy statement that it might step back from its bond purchases through quantitative easing. But even that situation reversed itself, with yields falling to close the period, as Fed comments turned more dovish. The stable performance of Treasuries throughout the year helped the Government Long Bond 1.2x Strategy Fund Investor Class return 33.38% for the 12 months ended March 31, 2012, compared with a return of -7.92% for the daily price movement of the Long Treasury Bond. The Fund maintained a daily correlation of over 99% to its benchmark of 120% of the daily price movement of the Long Treasury Bond.

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

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

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

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

Holdings Diversification [Market Exposure as % of Net Assets]

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

Inception Dates:

Investor Class	January 3, 1994
Advisor Class	August 1, 2003
A-Class	March 31, 2004
C-Class	May 2, 2001

The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.

226  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 3/31/2012

	1 Year			5 Year			10 Year
Investor Class Shares		33.38	%		10.34	%		8.70	%
C-Class Shares		32.01	%		9.22	%		7.61	%
C-Class Shares with CDSC†		31.01	%		9.22	%		7.61	%
Daily Price Movement of Long Treasury Bond**		-7.92	%		-0.60	%		0.18	%
Barclays Long Treasury Bond Index		23.65	%		9.46	%		8.48	%

					Since
					Inception
					(08/01/03)
Advisor Class Shares	32.56	%	9.74	%		7.66	%
Daily Price Movement of Long Treasury Bond**	-7.92	%	-0.60	%		-0.59	%
Barclays Long Treasury Bond
Index	23.65	%	9.46	%		8.04	%
						(03/31/04	)
A-Class Shares	33.00	%	10.07	%		7.05	%
A-Class Shares withsales charge‡	26.69	%	9.01	%		6.40	%
Daily Price Movement of Long Treasury Bond**	-7.92	%	-0.60	%		-1.62	%
Barclays Long Treasury Bond Index	23.65	%	9.46	%		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.

† 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%.

** Does not reflect any interest.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  227

SCHEDULE OF INVESTMENTS March 31, 2012

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

	FACE
	AMOUNT		VALUE
U.S. GOVERNMENT SECURITIES† - 81.5%
U.S. Treasury Bond 3.13% due 02/15/42	$	60,192,000	$	57,539,790
Total U.S. Government Securities (Cost $57,396,165)				57,539,790
REPURCHASE AGREEMENTS††,1—59.5%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		28,304,480		28,304,480
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		7,963,447		7,963,447
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		3,654,123		3,654,123
Deutsche Bank issued 03/30/12 at 0.01%due 04/02/12		2,116,596		2,116,596
Total Repurchase Agreements (Cost $42,038,646)				42,038,646
Total Investments – 141.0%
(Cost $99,434,811)			$	99,578,436
Other Assets & Liabilities, net – (41.0)%				(28,933,838	)
Total Net Assets – 100.0%			$	70,644,598

			UNREALIZED
	CONTRACTS		GAIN
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 Ultra Long-Term U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $30,388,375)		202	$	212,724

^†  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.

228  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $57,396,165)	$	57,539,790
Repurchase agreements, at value (cost $42,038,646)		42,038,646
Total investments (cost $99,434,811)		99,578,436
Segregated cash with broker		2,346,000
Cash		18
Receivables:
Securities sold		38,237,500
Fund shares sold		2,172,035
Interest		395,700
Total assets		142,729,689
LIABILITIES:
Payable for:
Fund shares redeemed		70,764,939
Variation margin		1,149,808
Management fees		47,202
Transfer agent and administrative fees		18,881
Distribution and service fees		15,750
Portfolio accounting fees		9,440
Miscellaneous		79,071
Total liabilities		72,085,091
NET ASSETS	$	70,644,598
NET ASSETS CONSIST OF:
Paid in capital	$	101,094,540
Undistributed net investment income		164,097
Accumulated net realized loss on investments		(30,970,388	)
Net unrealized appreciation on investments		356,349
Net assets	$	70,644,598
INVESTOR CLASS:
Net assets	$	43,709,431
Capital shares outstanding		2,931,379
Net asset value per share	$	14.91
ADVISOR CLASS:
Net assets	$	11,599,527
Capital shares outstanding		784,917
Net asset value per share	$	14.78
A-CLASS:
Net assets	$	10,885,023
Capital shares outstanding		729,436
Net asset value per share	$	14.92
Maximum offering price per share (Net asset value divided by 95.25%)	$	15.66
C-CLASS:
Net assets	$	4,450,617
Capital shares outstanding		299,162
Net asset value per share	$	14.88

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	5,716,314
Total investment income		5,716,314
EXPENSES:
Management fees		893,656
Transfer agent and administrative fees		357,466
Distribution and service fees:
Advisor Class		428,411
A-Class		14,127
C-Class		59,634
Portfolio accounting fees		177,706
Custodian fees		46,554
Trustees’ fees*		19,019
Miscellaneous		201,446
Total expenses		2,198,019
Net investment income		3,518,295
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		27,758,576
Futures contracts		9,863,660
Net realized gain		37,622,236
Net change in unrealized appreciation (depreciation) on:
Investments		(1,140,890	)
Futures contracts		(33,261	)
Net change in unrealized appreciation (depreciation)		(1,174,151	)
Net realized and unrealized gain		36,448,085
Net increase in net assets resulting from operations	$	39,966,380

* 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 SERIES FUNDS ANNUAL REPORT  |  229

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	3,518,295		$	4,528,442
Net realized gain (loss) on investments		37,622,236			(30,533,013	)
Net change in unrealized appreciation (depreciation) on investments		(1,174,151	)		4,044,342
Net increase (decrease) in net assets resulting from operations		39,966,380			(21,960,229	)
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
Investor Class		(1,811,096	)		(3,465,913	)
Advisor Class		(1,508,473	)		(768,221	)
A-Class		(113,166	)		(106,843	)
C-Class		(78,463	)		(211,765	)
Total distributions to shareholders		(3,511,198	)		(4,552,742	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
Investor Class		1,675,880,698			1,801,417,431
Advisor Class		2,528,532,134			1,632,214,111
A-Class		51,950,833			18,572,361
C-Class		81,980,435			70,381,488
DISTRIBUTIONSREINVESTED
Investor Class		1,774,830			3,373,033
Advisor Class		1,506,029			753,317
A-Class		75,151			89,641
C-Class		71,194			199,586
COSTOFSHARESREDEEMED
Investor Class		(1,691,477,174	)		(2,011,038,348	)
Advisor Class		(2,570,913,999	)		(1,633,935,780	)
A-Class		(45,216,771	)		(21,725,044	)
C-Class		(84,944,406	)		(78,468,284	)
Net decrease from capital share transactions		(50,781,046	)		(218,166,488	)
Net decrease in net assets		(14,325,864	)		(244,679,459	)
NETASSETS:
Beginning of year		84,970,462			329,649,921
End of year	$	70,644,598		$	84,970,462
Undistributed net investment income at end of year	$	164,097		$	157,000
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		113,773,929			150,851,651
Advisor Class		180,330,851			137,028,703
A-Class		3,367,899			1,510,564
C-Class		5,659,684			5,832,353
Shares issued from reinvestment of distributions
Investor Class		124,695			286,286
Advisor Class		107,513			62,194
A-Class		5,334			7,372
C-Class		5,263			16,077
Shares redeemed
Investor Class		(114,879,517	)		(172,993,989	)
Advisor Class		(182,419,554	)		(136,988,367	)
A-Class		(2,884,296	)		(1,786,069	)
C-Class		(5,899,279	)		(6,475,524	)
Net decrease in shares		(2,707,478	)		(22,648,749	)

230  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.43		$	10.96		$	13.74		$	11.78		$	10.59
Income (loss) from investment operations:
Net investment incomea		.32			.36			.36			.36			.40
Net gain (loss) on investments (realized and unrealized)		3.48			.47			(2.78	)		1.97			1.19
Total from investment operations		3.80			.83			(2.42	)		2.33			1.59
Less distributions from:
Net investment income		(.32	)		(.36	)		(.36	)		(.37	)		(.40	)
Total distributions		(.32	)		(.36	)		(.36	)		(.37	)		(.40	)
Net asset value, end of period	$	14.91		$	11.43		$	10.96		$	13.74		$	11.78
Total Returnb		33.38	%		7.42	%		(17.71	%)		20.17	%		15.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,709		$	44,707		$	282,388		$	43,237		$	30,695
Ratios to average net assets:
Net investment income		2.24	%		3.03	%		3.16	%		2.79	%		3.75	%
Total expenses		0.95	%		0.98	%		0.98	%		0.98	%		0.97	%
Portfolio turnover rate		2,322	%		1,930	%		1,503	%		1,794	%		1,142	%

Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.36		$	10.88		$	13.66		$	11.72		$	10.54
Income (loss) from investment operations:
Net investment incomea		.25			.31			.32			.31			.34
Net gain (loss) on investments (realized and unrealized)		3.42			.47			(2.80	)		1.93			1.19
Total from investment operations		3.67			.78			(2.48	)		2.24			1.53
Less distributions from:
Net investment income		(.25	)		(.30	)		(.30	)		(.30	)		(.35	)
Total distributions		(.25	)		(.30	)		(.30	)		(.30	)		(.35	)
Net asset value, end of period	$	14.78		$	11.36		$	10.88		$	13.66		$	11.72
Total Returnb		32.56	%		7.03	%		(18.18	%)		19.49	%		14.82	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,600		$	31,420		$	28,990		$	7,867		$	25,181
Ratios to average net assets:
Net investment income		1.77	%		2.46	%		2.76	%		2.49	%		3.13	%
Total expenses		1.45	%		1.48	%		1.48	%		1.48	%		1.47	%
Portfolio turnover rate		2,322	%		1,930	%		1,503	%		1,794	%		1,142	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  231

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.45		$	10.96		$	13.75		$	11.79		$	10.60
Income (loss) from investment operations:
Net investment incomea		.29			.33			.33			.34			.38
Net gain (loss) on investments (realized and unrealized)		3.47			.49			(2.79	)		1.95			1.19
Total from investment operations		3.76			.82			(2.46	)		2.29			1.57
Less distributions from:
Net investment income		(.29	)		(.33	)		(.33	)		(.33	)		(.38	)
Total distributions		(.29	)		(.33	)		(.33	)		(.33	)		(.38	)
Net asset value, end of period	$	14.92		$	11.45		$	10.96		$	13.75		$	11.79
Total Returnb		33.00	%		7.35	%		(17.98	%)		19.84	%		15.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,885		$	2,753		$	5,576		$	11,119		$	20,374
Ratios to average net assets:
Net investment income		2.02	%		2.75	%		2.84	%		2.74	%		3.44	%
Total expenses		1.20	%		1.23	%		1.24	%		1.23	%		1.22	%
Portfolio turnover rate		2,322	%		1,930	%		1,503	%		1,794	%		1,142	%

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	11.42		$	10.94		$	13.72		$	11.77		$	10.59
Income (loss) from investment operations:
Net investment incomea		.19			.24			.25			.25			.30
Net gain (loss) on investments (realized and unrealized)		3.45			.48			(2.78	)		1.94			1.18
Total from investment operations		3.64			.72			(2.53	)		2.19			1.48
Less distributions from:
Net investment income		(.18	)		(.24	)		(.25	)		(.24	)		(.30	)
Total distributions		(.18	)		(.24	)		(.25	)		(.24	)		(.30	)
Net asset value, end of period	$	14.88		$	11.42		$	10.94		$	13.72		$	11.77
Total Returnb		32.01	%		6.47	%		(18.56	%)		18.90	%		14.20	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,451		$	6,091		$	12,695		$	5,502		$	6,239
Ratios to average net assets:
Net investment income		1.32	%		1.93	%		2.17	%		2.00	%		2.80	%
Total expenses		1.95	%		1.97	%		2.00	%		1.97	%		1.98	%
Portfolio turnover rate		2,322	%		1,930	%		1,503	%		1,794	%		1,142	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

232  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  233

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

The 30-year bond ended the 12-month period ended March 31, 2012, with a yield of 3.27%, compared with a yield of about 4.51% at the start of the period. Treasury yields have been under pressure due to safe-haven buying amid recurring concerns about the European debt crisis, although the situation was seen as less urgent as the first quarter of 2012 progressed and U.S. economic data grew stronger. Yields actually rose in the final month of the period out of the range that had persisted for months, due to interpretation of a Fed policy statement that it might step back from its bond purchases through quantitative easing. But even that situation reversed itself, with yields falling to close the period, as Fed comments turned more dovish. The Inverse Government Long Bond Strategy Fund Investor Class returned -26.07% for the 12 months ended March 31, 2012, compared with a return of -7.92% for the daily price movement of the Long Treasury Bond. The fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Long Treasury Bond.

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

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

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

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
Investor Class	March 3, 1995
Advisor Class	August 1, 2003
A-Class	March 31, 2004
C-Class	March 28, 2001

The Fund invests principally in short sales and derivative investments such as futures contracts.

234  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-26.07	%		-12.33	%		-8.92	%
C-Class Shares		-26.82	%		-13.20	%		-9.81	%
C-Class Shares with CDSC†		-27.55	%		-13.20	%		-9.81	%
Daily Price Movement of Long Treasury Bond**		-7.92	%		-0.60	%		0.18	%
Barclays Long Treasury Bond Index		23.65	%		9.46	%		8.48	%
							Since Inception (08/01/03)
Advisor Class Shares		-26.75	%		-12.80	%		-8.99	%
Daily Price Movement of Long Treasury Bond**		-7.92	%		-0.60	%		-0.59	%
Barclays Long Treasury Bond Index		23.65	%		9.46	%		8.04	%
							(03/31/01)
A-Class Shares		-26.25	%		-12.55	%		-7.99	%
A-Class Shares with sales charge‡		-29.76	%		-13.41	%		-8.54	%
Daily Price Movement of Long Treasury Bond**		-7.92	%		-0.60	%		-1.62	%
Barclays Long Treasury Bond Index		23.65	%		9.46	%		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.

^†  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%.

^**  Does not reflect any interest.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  235

SCHEDULE OF INVESTMENTS	March 31, 2012
INVERSE GOVERNMENT LONG BOND STRATEGY FUND

	FACE AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES††—53.3%
Federal Farm Credit Bank1
0.05% due 04/25/12	$	100,000,000	$	99,996,667
0.19% due 05/31/12		25,000,000		24,998,775
Total Federal Farm Credit Bank				124,995,442
Federal Home Loan Bank1
0.03% due 04/02/12		100,000,000		99,999,916
0.10% due 05/11/12		20,000,000		19,997,778
Total Federal Home Loan Bank				119,997,694
Freddie Mac2
0.19% due 05/15/12		25,000,000		24,999,100
0.06% due 05/29/12		15,000,000		14,999,280
Total Freddie Mac				39,998,380
Farmer Mac1
0.14% due 08/10/12		10,000,000		9,997,830
Total Federal Agency Discount Notes (Cost $294,973,974)				294,989,346
FEDERAL AGENCY NOTES††—18.1%
Federal Home Loan Bank1
0.25% due 07/02/12		25,000,000		25,005,625
0.25% due 06/21/12		25,000,000		25,005,475
0.23% due 06/28/12		25,000,000		25,003,575
0.20% due 06/15/12		25,000,000		25,002,525
Total Federal Home Loan Bank				100,017,200
Total Federal Agency Notes (Cost $99,998,556)				100,017,200
REPURCHASE AGREEMENTS††—74.3%
Individual Repurchase Agreement4
Barclays Capital issued
03/30/12 at (0.05)%due 04/02/12 (secured by a U.S. Treasury Bond, at a rate of 3.13% and maturing 02/15/42 as collateral, with a value of $331,303,050) to be repurchased at $324,805,558		324,806,912		324,806,912

	FACE AMOUNT		VALUE
Joint Repurchase Agreements3
HSBC Group
issued 03/30/12 at 0.01% due 04/02/12	$	58,462,716	$	58,462,716
Mizuho Financial Group, Inc.
issued 03/30/12 at 0.01% due 04/02/12		16,448,446		16,448,446
Credit Suisse Group
issued 03/30/12 at 0.01% due 04/02/12		7,547,568		7,547,568
Deutsche Bank
issued 03/30/12 at 0.01% due 04/02/12		4,371,815		4,371,815
Total Repurchase Agreements (Cost $411,637,457)				411,637,457
Total Long Investments—145.7% (Cost $806,609,987)			$	806,644,003
U.S. GOVERNMENT SECURITIES SOLD SHORT†—(65.6)%
U.S. Treasury Bond
3.13% due 02/15/42		379,798,000	$	(363,063,151	)
Total U.S. Government Securities Sold Short (Proceeds $379,556,210)				(363,063,151	)
Other Assets & Liabilities, net—19.9%				110,089,630
Total Net Assets—100.0%			$	553,670,482
	CONTRACTS		UNREALIZED GAIN
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†
June 2012 Ultra Long-Term U.S. Treasury
Bond Futures Contracts (Aggregate Value of Contracts $219,638,750)		1,460	$	6,471,548

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.

²  On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

³  Repurchase Agreements — See Note 5.

⁴  All or portion of this security is pledged as short collateral at March 31, 2012.

236  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $394,972,530)	$	395,006,546
Repurchase agreements, at value (cost $411,637,457)		411,637,457
Total investments (cost $806,609,987)		806,644,003
Segregated cash with broker		4,717,500
Receivables:
Fund shares sold		67,841,629
Securities sold		38,237,500
Variation margin		2,589,692
Interest		61,696
Total assets		920,092,020
LIABILITIES:
Securities sold short, at value (proceeds $379,556,210)		363,063,151
Payable for:
Fund shares redeemed		1,110,524
Management fees		381,395
Distribution and service fees		140,586
Transfer agent and administrative fees		105,943
Portfolio accounting fees		36,824
Accrued interest		1,341,922
Miscellaneous		241,193
Total liabilities		366,421,538
NET ASSETS	$	553,670,482
NET ASSETS CONSIST OF:
Paid in capital	$	1,035,236,162
Accumulated net investment loss		(4,115,790	)
Accumulated net realized loss on investments		(500,448,513	)
Net unrealized appreciation on investments		22,998,623
Net assets	$	553,670,482
INVESTOR CLASS:
Net assets	$	247,454,245
Capital shares outstanding		25,598,696
Net asset value per share	$	9.67
ADVISOR CLASS:
Net assets	$	199,136,738
Capital shares outstanding		21,567,664
Net asset value per share	$	9.23
A-CLASS:
Net assets	$	37,607,364
Capital shares outstanding		3,985,127
Net asset value per share	$	9.44
Maximum offering price per share (Net asset value divided by 95.25%)	$	9.91
C-CLASS:
Net assets	$	69,472,135
Capital shares outstanding		8,032,324
Net asset value per share	$	8.65

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	692,133
Total investment income		692,133
EXPENSES:
Management fees		4,294,234
Transfer agent and administrative fees		1,192,841
Distribution and service fees:
Advisor Class		312,580
A-Class		132,599
C-Class		875,778
Portfolio accounting fees		411,375
Interest expense		12,883,387
Trustees’ fees*		154,391
Custodian fees		124,966
Miscellaneous		448,249
Total expenses		20,830,400
Net investment loss		(20,138,267	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		3,875
Futures contracts		(52,969,697	)
Securities sold short		(119,272,136	)
Net realized loss		(172,237,958	)
Net change in unrealized appreciation (depreciation) on:
Investments		(88,670	)
Securities sold short		26,481,648
Futures contracts		6,801,936
Net change in unrealized appreciation (depreciation)		33,194,914
Net realized and unrealized loss		(139,043,044	)
Net decrease in net assets resulting from operations	$	(159,181,311	)

* 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 SERIES FUNDS ANNUAL REPORT  |  237

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(20,138,267	)	$	(30,208,843	)
Net realized loss on investments		(172,237,958	)		(28,164,676	)
Net change in unrealized appreciation (depreciation) on investments		33,194,914			(13,957,821	)
Net decrease in net assets resulting from operations		(159,181,311	)		(72,331,340	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
Investor Class		1,308,403,784			1,015,107,588
Advisor Class		2,192,757,950			1,581,298,508
A-Class		22,252,450			55,076,811
C-Class		43,128,478			53,771,581
COSTOFSHARESREDEEMED
Investor Class		(1,366,228,209	)		(942,202,484	)
Advisor Class		(2,029,756,332	)		(1,599,920,603	)
A-Class		(39,208,507	)		(52,462,669	)
C-Class		(57,271,653	)		(63,407,171	)
Net increase from capital share transactions		74,077,961			47,261,561
Net decrease in net assets		(85,103,350	)		(25,069,779	)
NETASSETS:
Beginning of year		638,773,832			663,843,611
End of year	$	553,670,482		$	638,773,832
Accumulated net investment loss at end of year	$	(4,115,790	)		—
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		131,857,730			77,699,043
Advisor Class		224,370,362			126,977,398
A-Class		2,217,179			4,274,325
C-Class		4,392,197			4,548,281
Shares redeemed
Investor Class		(137,294,023	)		(72,375,726	)
Advisor Class		(206,359,255	)		(128,126,460	)
A-Class		(3,972,717	)		(4,113,451	)
C-Class		(6,045,734	)		(5,373,749	)
Net increase in shares		9,165,739			3,509,661

238  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	13.08		$	14.65		$	13.32		$	16.81		$	19.37
Income (loss) from investment operations:
Net investment income (loss)a		(.43	)		(.62	)		(.33	)		(.11	)		.49
Net gain (loss) on investments (realized and unrealized)		(2.98	)		(.95	)		1.66			(3.38	)		(2.39	)
Total from investment operations		(3.41	)		(1.57	)		1.33			(3.49	)		(1.90	)
Less distributions from:
Net investment income		—			—			—			—			(.66	)
Total distributions		—			—			—			—			(.66	)
Net asset value, end of period	$	9.67		$	13.08		$	14.65		$	13.32		$	16.81
Total Returnb		(26.07	%)		(10.72	%)		9.98	%		(20.76	%)		(9.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	247,454		$	406,031		$	376,574		$	269,155		$	237,900
Ratios to average net assets:
Net investment income (loss)		(3.99	%)		(4.78	%)		(2.23	%)		(0.72	%)		2.56	%
Total expenses		4.13	%		5.06	%		2.53	%		2.80	%		3.45	%
Operating expensesc		1.39	%		1.42	%		1.41	%		1.41	%		1.40	%
Portfolio turnover rate		1,107	%		771	%		985	%		584	%		550	%

Advisor Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	12.60		$	14.17		$	12.95		$	16.41		$	19.01
Income (loss) from investment operations:
Net investment income (loss)a		(.41	)		(.66	)		(.39	)		(.18	)		.34
Net gain (loss) on investments (realized and unrealized)		(2.96	)		(.91	)		1.61			(3.28	)		(2.28	)
Total from investment operations		(3.37	)		(1.57	)		1.22			(3.46	)		(1.94	)
Less distributions from:
Net investment income		—			—			—			—			(.66	)
Total distributions		—			—			—			—			(.66	)
Net asset value, end of period	$	9.23		$	12.60		$	14.17		$	12.95		$	16.41
Total Returnb		(26.75	%)		(11.08	%)		9.42	%		(21.08	%)		(10.39	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	199,137		$	44,798		$	66,668		$	35,153		$	24,891
Ratios to average net assets:
Net investment income (loss)		(4.22	%)		(5.28	%)		(2.79	%)		(1.19	%)		1.84	%
Total expenses		4.38	%		5.56	%		3.09	%		3.36	%		4.10	%
Operating expensesc		1.87	%		1.91	%		1.91	%		1.91	%		1.90	%
Portfolio turnover rate		1,107	%		771	%		985	%		584	%		550	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  239

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	12.80		$	14.36		$	13.10		$	16.57		$	19.16
Income (loss) from investment operations:
Net investment income (loss)a		(.45	)		(.64	)		(.35	)		(.15	)		.44
Net gain (loss) on investments (realized and unrealized)		(2.91	)		(.92	)		1.61			(3.32	)		(2.37	)
Total from investment operations		(3.36	)		(1.56	)		1.26			(3.47	)		(1.93	)
Less distributions from:
Net investment income		—			—			—			—			(.66	)
Total distributions		—			—			—			—			(.66	)
Net asset value, end of period	$	9.44		$	12.80		$	14.36		$	13.10		$	16.57
Total Returnb		(26.25	%)		(10.86	%)		9.62	%		(20.94	%)		(10.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,607		$	73,475		$	80,151		$	54,574		$	37,256
Ratios to average net assets:
Net investment income (loss)		(4.24	%)		(5.03	%)		(2.47	%)		(0.94	%)		2.37	%
Total expenses		4.38	%		5.31	%		2.77	%		3.00	%		3.86	%
Operating expensesc		1.65	%		1.67	%		1.66	%		1.65	%		1.65	%
Portfolio turnover rate		1,107	%		771	%		985	%		584	%		550	%
C-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	11.82		$	13.36		$	12.28		$	15.65		$	18.26
Income (loss) from investment operations:
Net investment income (loss)a		(.48	)		(.68	)		(.43	)		(.25	)		.29
Net gain (loss) on investments (realized and unrealized)		(2.69	)		(.86	)		1.51			(3.12	)		(2.24	)
Total from investment operations		(3.17	)		(1.54	)		1.08			(3.37	)		(1.95	)
Less distributions from:
Net investment income		—			—			—			—			(.66	)
Total distributions		—			—			—			—			(.66	)
Net asset value, end of period	$	8.65		$	11.82		$	13.36		$	12.28		$	15.65
Total Returnb		(26.82	%)		(11.53	%)		8.79	%		(21.53	%)		(10.87	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	69,472		$	114,470		$	140,451		$	123,413		$	124,572
Ratios to average net assets:
Net investment income (loss)		(4.98	%)		(5.78	%)		(3.17	%)		(1.70	%)		1.62	%
Total expenses		5.12	%		6.06	%		3.47	%		3.81	%		4.44	%
Operating expensesc		2.40	%		2.42	%		2.41	%		2.41	%		2.40	%
Portfolio turnover rate		1,107	%		771	%		985	%		584	%		550	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Operating expenses exclude interest expense from securities sold short.

240  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  241

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.

High-yield bonds continued to rally through the year ended March 31, 2012, as investor appetite for income and yield remains strong in a low interest rate environment, and the U.S. Federal Reserve has signaled its intention to keep interest rates low for well beyond 2012. Moreover, companies with so-called “junk” credit ratings are stampeding the debt markets at a record pace, taking advantage of ultra-low borrowing costs and solid demand from investors seeking higher yields. Thomson Reuters said the $75 billion in junk bond issuance in the first quarter of 2012 was the highest in any quarter since 1980, when it began keeping records, and that the average rate on bonds sold in the first quarter was 7.98%.

The economy appears to be continuing its slow but gradual recovery, avoiding the outright recession that is infecting Europe. Despite volatility in the high-yield sector that will be around as long as the European situation persists, investors will be attracted to the sector’s low default rate and relatively better yields compared with other fixed-income investments.

High Yield Strategy Fund H-Class returned 6.95% for the year ended March 31, 2012, as opposed to its index, the Barclays U.S. High Yield Index*, which returned 6.45%.

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.

*Barclays U.S. High Yield Index – an index that 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.

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

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	April 16, 2007
C-Class	April 16, 2007
H-Class	April 16, 2007

The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts.

242  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			Since Inception (04/16/07)
A-Class Shares		6.94	%		5.76	%
A-Class Shares with sales charge‡		1.85	%		4.73	%
C-Class Shares		6.16	%		4.97	%
C-Class Shares with CDSC†		5.16	%		4.97	%
H-Class Shares		6.95	%		5.75	%
S&P 500 Index		8.54	%		1.34	%
Barclays U.S. High Yield Index		6.45	%		8.06	%

* 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 other 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 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 SERIES FUNDS ANNUAL REPORT  |  243

SCHEDULE OF INVESTMENTS	March 31, 2012
HIGH YIELD STRATEGY FUND

	SHARES		VALUE
EXCHANGE TRADED FUNDS† — 6.3%
iShares iBoxx $ High Yield Corporate Bond Fund		199,758	$	18,146,016
Total Exchange Traded Funds (Cost $17,848,526)				18,146,016
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1—72.5%
HSBC Group issued 03/30/12 at 0.01%due 04/02/12	$	128,174,986		128,174,986
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		36,061,947		36,061,947
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		33,678,576		33,678,576
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		9,584,867		9,584,867
Total Repurchase Agreements (Cost $207,500,376)				207,500,376
Total Investments – 78.8% (Cost $225,348,902)			$	225,646,392
Other Assets & Liabilities, net – 21.2%				60,535,445
Total Net Assets – 100.0%			$	286,181,837

	CONTRACTS		UNREALIZED LOSS
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $198,817,500)		1,623	$	(805,607	)

CREDIT DEFAULT SWAP AGREEMENT PROTECTION SOLD††,³

INDEX	COUNTERPARTY	PROTECTION PREMIUM RATE			MATURITY DATE		NOTIONAL PRINCIPAL		NOTIONAL VALUE			UPFRONT PAYMENTS RECEIVED			UNREALIZED DEPRECIATION
CDX.NA.HY-18 Index	Goldman Sachs International		5.00	%		06/20/17	$	3,800,000	$	(3,686,000	)	$	(90,061	)	$	(23,939	)
CDX.NA.HY-18 Index	Credit Suisse International		5.00	%		06/20/17		121,000,000		(117,370,000	)		(2,867,732	)		(762,268	)
CDX.NA.HY-18 Index	Barclays Bank plc		5.00	%		06/20/17		151,600,000		(147,052,000	)		(3,788,666	)		(759,334	)

^†  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 31, 2012.

³  Credit Default Swaps — See Note 6.

244  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $17,848,526)	$	18,146,016
Repurchase agreements, at value (cost $207,500,376)		207,500,376
Total investments (cost $225,348,902)		225,646,392
Cash		50,574,692
Segregated cash with broker		19,044,950
Receivables:
Fund shares sold		3,129,011
Protection fees on credit default swaps		460,782
Credit default swaps settlement		41,910
Total assets		298,897,737
LIABILITIES:
Unamortized upfront payments received on credit default swaps		6,746,459
Unrealized depreciation on swap agreements		1,545,541
Payable for:
Fund shares redeemed		3,735,410
Variation margin		266,266
Management fees		171,817
Distribution and service fees		62,340
Transfer agent and administrative fees		57,272
Portfolio accounting fees		22,443
Miscellaneous		108,352
Total liabilities		12,715,900
NET ASSETS	$	286,181,837
NETASSETSCONSISTOF:
Paid in capital	$	283,349,094
Accumulated net investment loss		(296,427	)
Accumulated net realized gain on investments		5,182,828
Net unrealized depreciation on investments		(2,053,658	)
Net assets	$	286,181,837
A-CLASS:
Net assets	$	11,889,805
Capital shares outstanding		518,562
Net asset value per share	$	22.93
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.07
C-CLASS:
Net assets	$	7,342,511
Capital shares outstanding		334,945
Net asset value per share	$	21.92
H-CLASS:
Net assets	$	266,949,521
Capital shares outstanding		11,657,238
Net asset value per share	$	22.90

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	416,241
Interest		83,645
Total investment income		499,886
EXPENSES:
Management fees		1,653,121
Transfer agent and administrative fees		551,040
Distribution and service fees:
A-Class		34,219
C-Class		70,841
H-Class		499,111
Portfolio accounting fees		210,301
Custodian fees		56,328
Trustees’ fees*		15,624
Tax expense		47,623
Miscellaneous		196,030
Total expenses		3,334,238
Net investment loss		(2,834,352	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(2,043,734	)
Swap agreements		5,086,478
Futures contracts		14,878,983
Net realized gain		17,921,727
Net change in unrealized appreciation (depreciation) on:
Investments		297,490
Swap agreements		(1,547,014	)
Futures contracts		(782,652	)
Net change in unrealized appreciation (depreciation)		(2,032,176	)
Net realized and unrealized gain		15,889,551
Net increase in net assets resulting from operations	$	13,055,199

* 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 SERIES FUNDS ANNUAL REPORT  |  245

HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(2,834,352	)	$	(2,645,405	)
Net realized gain on investments		17,921,727			17,982,503
Net change in unrealized appreciation (depreciation) on investments		(2,032,176	)		(10,835	)
Net increase in net assets resulting from operations		13,055,199			15,326,263
DISTRIBUTIONSTOSHAREHOLDERSFROM:
Net investment income
A-Class		(547,032	)		(1,422,631	)
C-Class		(168,804	)		(626,512	)
H-Class		(6,784,948	)		(2,761,602	)
Total distributions to shareholders		(7,500,784	)		(4,810,745	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		125,538,758			102,263,958
C-Class		77,987,615			68,379,959
H-Class		1,220,509,361			1,145,448,113
DISTRIBUTIONSREINVESTED
A-Class		131,423			942,150
C-Class		153,755			577,687
H-Class		6,728,875			2,516,782
COSTOFSHARESREDEEMED
A-Class		(127,439,479	)		(92,522,654	)
C-Class		(77,109,524	)		(66,540,825	)
H-Class		(1,082,668,489	)		(1,059,304,080	)
Net increase from capital share transactions		143,832,295			101,761,090
Net increase in net assets		149,386,710			112,276,608
NETASSETS:
Beginning of year		136,795,127			24,518,519
End of year	$	286,181,837		$	136,795,127
(Accumulated)/Undistributed net investment income/(loss) at end of year	$	(296,427	)	$	2,754,226
CAPITALSHAREACTIVITY:
Shares sold
A-Class		5,627,710			4,689,630
C-Class		3,669,955			3,271,747
H-Class		54,935,323			53,236,425
Shares issued from reinvestment of distributions
A-Class		6,020			43,801
C-Class		7,350			27,800
H-Class		308,664			117,169
Shares redeemed
A-Class		(5,777,601	)		(4,306,080	)
C-Class		(3,631,647	)		(3,178,877	)
H-Class		(48,876,797	)		(48,866,599	)
Net increase in shares		6,268,977			5,035,016

246  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	21.98		$	20.42		$	16.64		$	24.31		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		(.27	)		(.30	)		(.26	)		(.16	)		.69
Net gain (loss) on investments (realized and unrealized)		1.77			3.37			5.39			(3.51	)		(1.31	)
Total from investment operations		1.50			3.07			5.13			(3.67	)		(.62	)
Less distributions from:
Net investment income		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	22.93		$	21.98		$	20.42		$	16.64		$	24.31
Total Returnc		6.94	%		15.21	%		31.07	%		(16.15	%)		(2.49	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,890		$	14,561		$	4,800		$	5,748		$	10,530
Ratios to average net assets:
Net investment income (loss)		(1.21	%)		(1.40	%)		(1.37	%)		(0.71	%)		2.79	%
Total expenses		1.49	%		1.54	%		1.54	%		1.57	%		1.50	%
Portfolio turnover rate		583	%		—			—			—			—

C-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	21.19		$	19.87		$	16.33		$	24.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		(.45	)		(.45	)		(.40	)		(.25	)		.46
Net gain (loss) on investments (realized and unrealized)		1.73			3.28			5.29			(3.54	)		(1.27	)
Total from investment operations		1.28			2.83			4.89			(3.79	)		(.81	)
Less distributions from:
Net investment income		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	21.92		$	21.19		$	19.87		$	16.33		$	24.12
Total Returnc		6.16	%		14.40	%		30.17	%		(16.83	%)		(3.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,343		$	6,129		$	3,351		$	1,773		$	1,001
Ratios to average net assets:
Net investment income (loss)		(2.10	%)		(2.13	%)		(2.13	%)		(1.21	%)		1.90	%
Total expenses		2.25	%		2.28	%		2.29	%		2.32	%		2.22	%
Portfolio turnover rate		583	%		—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  247

HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	21.95		$	20.38		$	16.61		$	24.28		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		(.28	)		(.30	)		(.26	)		(.04	)		.62
Net gain (loss) on investments (realized and unrealized)		1.78			3.38			5.38			(3.63	)		(1.27	)
Total from investment operations		1.50			3.08			5.12			(3.67	)		(.65	)
Less distributions from:
Net investment income		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		(.55	)		(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	22.90		$	21.95		$	20.38		$	16.61		$	24.28
Total Returnc		6.95	%		15.29	%		31.07	%		(16.16	%)		(2.61	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	266,950		$	116,106		$	16,368		$	239,528		$	64,290
Ratios to average net assets:
Net investment income (loss)		(1.26	%)		(1.38	%)		(1.37	%)		(0.20	%)		2.55	%
Total expenses		1.49	%		1.53	%		1.53	%		1.56	%		1.49	%
Portfolio turnover rate		583	%		—			—			—			—

^a  Since commencement of operations: April 16, 2007. 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.

248  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  249

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that inversely correlate, before fees and expenses, to the performance of the high yield bond market.

High-yield bonds continued to rally through the year ended March 31, 2012, as investor appetite for income and yield remains strong in a low interest rate environment, and the U.S. Federal Reserve has signaled its intention to keep interest rates low for well beyond 2012. Moreover, companies with so-called “junk” credit ratings are stampeding the debt markets at a record pace, taking advantage of ultra-low borrowing costs and solid demand from investors seeking higher yields. Thomson Reuters said the $75 billion in junk bond issuance in the first quarter of 2012 was the highest in any quarter since 1980, when it began keeping records, and that the average rate on bonds sold in the first quarter was 7.98%.

The economy appears to be continuing its slow but gradual recovery, avoiding the outright recession that is infecting Europe. Despite volatility in the high-yield sector that will be around as long as the European situation persists, investors will be attracted to the sector’s low default rate and relatively better yields compared with other fixed-income investments.

Inverse High Yield Strategy Fund H-Class returned -11.92% for the year ended March 31, 2012, as opposed to its index, the Barclays U.S. High Yield Index*, which returned 6.45%.

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 4 of this report.

*Barclays U.S. High Yield Index – an index that 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.

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.

250  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			Since Inception (04/16/07)
A-Class Shares		-11.98	%	-10.33%
A-Class Shares with sales charge‡		-16.15	%	-11.20%
C-Class Shares		-12.60	%	-10.94%
C-Class Shares with CDSC†		-13.47	%	-10.94%
H-Class Shares		-11.92	%	-10.29%
S&P 500 Index		8.54	%	1.34%
Barclays U.S. High Yield Index		6.45	%	8.06%

* 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 other 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 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 SERIES FUNDS ANNUAL REPORT  |  251

SCHEDULE OF INVESTMENTS	March 31, 2012
INVERSE HIGH YIELD STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 107.6%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	10,260,874	$	10,260,874
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		2,886,890		2,886,890
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		1,801,550		1,801,550
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		767,303		767,303
Total Repurchase Agreements (Cost $15,716,617)				15,716,617
Total Investments – 107.6% (Cost $15,716,617)			$	15,716,617
Other Assets & Liabilities, net – (7.6)%				(1,110,720	)
Total Net Assets – 100.0%			$	14,605,897

	CONTRACTS		UNREALIZED GAIN (LOSS)
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $12,495,000)		102	$	(625	)

CREDIT DEFAULT SWAP AGREEMENTS PROTECTION PURCHASED^††

INDEX	COUNTERPARTY	PROTECTION PREMIUM RATE			MATURITY DATE		NOTIONAL PRINCIPAL		NOTIONAL VALUE		UPFRONT PAYMENTS PAID		UNREALIZED APPRECIATION
CDX.NA.HY-18 Index	Barclays Bank plc		5.00	%		06/20/17	$	13,100,000	$	12,707,000	$	328,381	$	64,619
CDX.NA.HY-18 Index	Credit Suisse International		5.00	%		06/20/17		1,000,000		970,000		23,700		6,300
CDX.NA.HY-18 Index	Goldman Sachs International		5.00	%		06/20/17		800,000		776,000		18,960		5,040

^†  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 31, 2012.

252  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $15,716,617)	$	15,716,617
Total investments (cost $15,716,617)		15,716,617
Segregated cash with broker		1,496,050
Unamortized upfront payments paid on credit default swaps		371,041
Unrealized appreciation on swap agreements		75,959
Receivables:
Credit default swaps settlement		85,417
Variation margin		19,056
Fund shares sold		8,714
Interest		9
Total assets		17,772,863
LIABILITIES:
Payable for:
Fund shares redeemed		3,025,473
Credit default swaps settlement		94,063
Management fees		6,505
Distribution and service fees		2,563
Transfer agent and administrative fees		2,168
Portfolio accounting fees		867
Protection fees on credit default swaps		24,833
Miscellaneous		10,494
Total liabilities		3,166,966
NET ASSETS	$	14,605,897
NETASSETSCONSISTOF:
Paid in capital	$	25,938,116
Undistributed net investment income		—
Accumulated net realized loss on investments		(11,407,553	)
Net unrealized appreciation on investments		75,334
Net assets	$	14,605,897
A-CLASS:
Net assets	$	555,999
Capital shares outstanding		19,750
Net asset value per share	$	28.15
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.55
C-CLASS:
Net assets	$	692,868
Capital shares outstanding		25,465
Net asset value per share	$	27.21
H-CLASS:
Net assets	$	13,357,030
Capital shares outstanding		473,304
Net asset value per share	$	28.22

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	6,309
Total investment income		6,309
EXPENSES:
Management fees		157,593
Transfer agent and administrative fees		52,531
Distribution and service fees:
A-Class		7,459
C-Class		8,472
H-Class		42,954
Portfolio accounting fees		21,012
Custodian fees		5,375
Trustees’ fees*		1,705
Miscellaneous		25,448
Total expenses		322,549
Net investment loss		(316,240	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(2,735,299	)
Futures contracts		(859,497	)
Net realized loss		(3,594,796	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		76,123
Futures contracts		(180,153	)
Net change in unrealized appreciation (depreciation)		(104,030	)
Net realized and unrealized loss		(3,698,826	)
Net decrease in net assets resulting from operations	$	(4,015,066	)

* 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 SERIES FUNDS ANNUAL REPORT  |  253

INVERSE HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(316,240	)	$	(276,545	)
Net realized loss on investments		(3,594,796	)		(4,368,493	)
Net change in unrealized appreciation (depreciation) on investments		(104,030	)		152,532
Net decrease in net assets resulting from operations		(4,015,066	)		(4,492,506	)
CAPITALSHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
A-Class		71,981,360			40,028,327
C-Class		8,812,685			5,760,752
H-Class		333,685,614			230,820,350
COSTOFSHARESREDEEMED
A-Class		(72,478,567	)		(39,859,655	)
C-Class		(10,566,693	)		(4,931,877	)
H-Class		(326,559,879	)		(245,856,867	)
Net increase (decrease) from capital share transactions		4,874,520			(14,038,970	)
Net increase (decrease) in net assets		859,454			(18,531,476	)
NETASSETS:
Beginning of year		13,746,443			32,277,919
End of year	$	14,605,897		$	13,746,443
Undistributed net investment income at end of year	$	—		$	—
CAPITALSHAREACTIVITY:
Shares sold
A-Class		2,353,360			1,182,246
C-Class		299,399			179,518
H-Class		10,932,156			6,507,282
Shares redeemed
A-Class		(2,380,877	)		(1,193,892	)
C-Class		(355,403	)		(152,460	)
H-Class		(10,761,580	)		(6,928,732	)
Net increase (decrease) in shares		87,055			(406,038	)

254  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Period Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	31.99		$	38.51		$	55.13		$	51.26		$	50.00
Income (loss) from investment operations:
Net investment income (loss)b		(.43	)		(.47	)		(.63	)		(.10	)		.54
Net gain (loss) on investments (realized and unrealized)		(3.41	)		(6.05	)		(15.60	)		5.29			.72
Total from investment operations		(3.84	)		(6.52	)		(16.23	)		5.19			1.26
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	28.15		$	31.99		$	38.51		$	55.13		$	51.26
Total Returnc		(11.98	%)		(16.96	%)		29.47	%		10.17	%		2.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	556		$	1,512		$	2,269		$	2,278		$	1,673
Ratios to average net assets:
Net investment income (loss)		(1.39	%)		(1.39	%)		(1.43	%)		(0.19	%)		1.09	%
Total expenses		1.51	%		1.53	%		1.54	%		1.52	%		1.52	%
Portfolio turnover rate		—			—			—			—			—
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Period Ended March 31, 2008a
Per Share Data
Net asset value, beginning of period	$	31.12		$	37.77		$	54.49		$	51.06		$	50.00
Income (loss) from investment operations:
Net investment lossb		(.55	)		(.72	)		(.95	)		(.52	)		(.62	)
Net gain (loss) on investments (realized and unrealized)		(3.36	)		(5.93	)		(15.38	)		5.27			1.68
Total from investment operations		(3.91	)		(6.65	)		(16.33	)		4.75			1.06
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	27.21		$	31.12		$	37.77		$	54.49		$	51.06
Total Returnc		(12.60	%)		(17.61	%)		(30.00	%)		9.34	%		2.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	693		$	2,535		$	2,055		$	869		$	2,958
Ratios to average net assets:
Net investment loss		(1.87	%)		(2.13	%)		(2.18	%)		(1.00	%)		(1.25	%)
Total expenses		2.26	%		2.28	%		2.29	%		2.28	%		2.26	%
Portfolio turnover rate		—			—			—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  255

INVERSE HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Period Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	32.04		$	38.60		$	55.26		$	51.38		$	50.00
Income (loss) from investment operations:
Net investment income (loss)b		(.47	)		(.50	)		(.61	)		(.29	)		1.44
Net gain (loss) on investments (realized and unrealized)		(3.35	)		(6.06	)		(15.66	)		5.49			(.06	)
Total from investment operations		(3.82	)		(6.56	)		(16.27	)		5.20			1.38
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	28.22		$	32.04		$	38.60		$	55.26		$	51.38
Total Returnc		(11.92	%)		(16.99	%)		(29.47	%)		10.17	%		2.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,357		$	9,699		$	27,954		$	13,799		$	6,536
Ratios to average net assets:
Net investment income (loss)		(1.51	%)		(1.38	%)		(1.43	%)		(0.55	%)		2.84	%
Total expenses		1.51	%		1.53	%		1.53	%		1.53	%		1.52	%
Portfolio turnover rate		—			—			—			—			—

^a  Since commencement of operations: April 16, 2007. 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.

256  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX SERIES FUNDS ANNUAL REPORT  |  257

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

U.S. GOVERNMENT MONEY MARKET FUND

OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.

For the year ended March 31, 2012, U.S. Government Money Market Fund returned 0.00%. Money market yields continued to languish in the near-zero short-term interest-rate environment maintained by the Fed. Regulatory issues have been at the forefront of the industry: all money market funds have already been subjected to rules to help reduce risk and improve liquidity and transparency, which are considered to be working well. More regulations have been discussed, including capital requirements and a net asset value that could float, in contrast to the current practice of rounding off the share price to a dollar.

Short-term debt, affirmed at A-1, remains a top-tier approved credit for this Fund.

Uncertainty surrounding sovereign credit risk led us to halt investment in counterparties with major exposure to Greece, Italy, Portugal and Spain.

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.

This 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.

Holdings Diversification (Market Exposure as % of Net Assets)

FAN – Federal Agency Notes.

FADN – Federal Agency Discount Notes.

Inception Dates:
Investor Class	December 1, 1993
Investor2 Class	July 10, 2009
Advisor Class	April 1, 1998
A-Class	March 31, 2004
C-Class	October 19, 2000

The Fund invests principally in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and enters into repurchase agreements fully collateralized by U.S. government securities.

258  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded)

Average Annual Returns

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		0.00	%		0.96	%		1.35	%
Advisor Class Shares		0.00	%		0.77	%		1.06	%
C-Class Shares		0.00	%		0.60	%		0.82	%
C-Class Shares with CDSC†		-1.00	%		0.60	%		0.82	%
	1 Year			5 Year			Since Inception (03/31/04)
A-Class Shares		0.00	%		0.87	%		1.43	%
					1 Year			(07/10/09)
Investor2 Class Shares					0.00	%		0.01	%

† Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  259

SCHEDULE OF INVESTMENTS	March 31, 2012
U.S. GOVERNMENT MONEY MARKET FUND

	FACE AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES† - 24.6%
Farmer Mac1
0.01% due 04/03/12	$	100,000,000	$	99,999,944
0.15% due 11/29/12		25,000,000		24,974,791
0.18% due 11/27/12		25,000,000		24,970,000
0.20% due 05/15/12		15,000,000		14,996,333
0.17% due 07/24/12		15,000,000		14,991,925
0.12% due 06/22/12		10,000,000		9,997,267
Total Farmer Mac				189,930,260
Federal Home Loan Bank1
0.18% due 10/01/12		25,000,000		24,977,125
0.18% due 02/11/13		15,000,000		14,976,300
0.12% due 08/03/12		10,000,000		9,995,867
Total Federal Home Loan Bank				49,949,292
Federal Farm Credit Bank1
0.18% due 04/18/12		20,000,000		19,998,300
0.13% due 05/09/12		10,000,000		9,998,628
0.14% due 05/15/12		10,000,000		9,998,289
Total Federal Farm Credit Bank				39,995,217
Freddie Mac2
0.12% due 04/10/12		25,000,000		24,999,219
Fannie Mae2
0.20% due 06/01/12		25,000,000		24,991,528
Total Federal Agency Discount Notes (Cost $329,865,516)				329,865,516
FEDERAL AGENCY NOTES†—7.6%
Federal Home Loan Bank1
0.18% due 12/28/12		30,000,000		29,998,707
0.16% due 04/02/12		15,000,000		14,999,997
0.15% due 06/07/12		15,000,000		14,999,229
0.20% due 01/11/13		10,000,000		10,000,000
0.20% due 12/28/12		10,000,000		9,999,718
Total Federal Home Loan Bank				79,997,651
Federal Farm Credit Bank1
0.40% due 11/02/12		11,400,000		11,415,114
Fannie Mae2
0.75% due 02/26/13		10,000,000		10,048,190
Total Federal Agency Notes (Cost $101,460,955)				101,460,955
WORLD BANK DISCOUNT NOTE†—7.4%
World Bank
0.04% due 04/02/12		100,000,000		99,999,861
Total World Bank Discount Note (Cost $99,999,861)				99,999,861

	FACE AMOUNT		VALUE
COMMERCIAL PAPER† - 11.2%
Jupiter Securitization Company LLC
0.15% due 04/19/12	$	10,000,000	$	9,999,250
Caterpillar Inc.
0.12% due 04/26/12		10,000,000		9,999,167
General Reinsurance Corp.
0.12% due 05/07/12		10,000,000		9,998,800
Societe Generale
0.32% due 04/19/12		10,000,000		9,998,150
American Honda Finance
0.13% due 06/05/12		10,000,000		9,997,653
ING U.S. Funding, LLC
0.47% due 04/30/12		10,000,000		9,996,214
Coca-Cola Co.
0.13% due 06/05/12		5,000,000		4,998,826
0.21% due 08/01/12		5,000,000		4,996,442
Total Coca-Cola Co.				9,995,268
General Electric Capital Corp.
0.30% due 06/01/12		10,000,000		9,994,917
Nestle Capital Corp.
0.21% due 04/03/12		5,000,000		4,999,941
0.21% due 10/12/12		5,000,000		4,994,342
Total Nestle Capital Corp.				9,994,283
Danske Corp.
0.52% due 05/21/12		10,000,000		9,992,778
Westpack Banking Corp.
0.27% due 09/21/12		10,000,000		9,987,025
Toyota Motor Credit Co.
0.36% due 08/27/12		10,000,000		9,985,200
Prudential plc
0.75% due 07/30/12		10,000,000		9,975,000
Barclays US Funding, LLC
0.79% due 08/15/12		10,000,000		9,970,155
UBS Finance Delaware LLC
0.71% due 09/20/12		10,000,000		9,966,078
Total Commercial Paper (Cost $149,849,938)				149,849,938

260  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
U.S. GOVERNMENT MONEY MARKET FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS† - 43.9%
Individual Repurchase Agreement
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12 secured by: U.S. Treasury Notes, 0.625%—2.500% 07/31/12—03/31/13 with a value of $99,572,539 and U.S. Treasury Bills, 0.000% 09/06/12 – 09/13/12 with a value of $23,724,032, to be repurchased at $123,941,152	$	121,514,943	$	121,514,943
Joint Repurchase Agreements3
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		315,892,908		315,892,908
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		88,876,260		88,876,260
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		40,781,942		40,781,942
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		23,622,327		23,622,327
Total Repurchase Agreements (Cost $590,688,380)				590,688,380
Total Investments – 94.7% (Cost $1,271,864,650)			$	1,271,864,650
Other Assets & Liabilities, net – 5.3%				71,495,241
Total Net Assets – 100.0%			$	1,343,359,891

^†  Value determined based on Level 2 inputs — See Note 4.

¹  The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.

²  On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

³  Repurchase Agreements — See Note 5.

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  261

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $681,176,270)	$	681,176,270
Repurchase agreements, at value (cost $590,688,380)		590,688,380
Total investments (cost $1,271,864,650)		1,271,864,650
Receivables:
Fund shares sold		103,425,178
Interest		69,119
Total assets		1,375,358,947
LIABILITIES:
Payable for:
Fund shares redeemed		31,374,084
Portfolio accounting fees		48,065
Transfer agent and administrative fees		4,023
Miscellaneous		572,884
Total liabilities		31,999,056
NET ASSETS	$	1,343,359,891
NET ASSETS CONSIST OF:
Paid in capital	$	1,343,325,100
Undistributed net investment income		977
Accumulated net realized gain on investments		33,814
Net unrealized appreciation on investments		—
Net assets	$	1,343,359,891
INVESTOR CLASS:
Net assets	$	607,565,400
Capital shares outstanding		607,966,245
Net asset value per share	$	1.00
INVESTOR2 CLASS:
Net assets	$	37,885,964
Capital shares outstanding		37,882,580
Net asset value per share	$	1.00
ADVISOR CLASS:
Net assets	$	623,763,503
Capital shares outstanding		623,875,453
Net asset value per share	$	1.00
A-CLASS:
Net assets	$	38,383,814
Capital shares outstanding		38,400,415
Net asset value per share	$	1.00
C-CLASS:
Net assets	$	35,761,210
Capital shares outstanding		35,811,377
Net asset value per share	$	1.00

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	1,218,030
Total investment income		1,218,030
EXPENSES:
Management fees		5,824,442
Transfer agent and administrative fees		2,329,799
Distribution and service fees:
Advisor Class		1,249,668
C-Class		508,555
Portfolio accounting fees		687,669
Custodian fees		299,265
Trustees’ fees*		99,188
Miscellaneous		1,358,163
Total expenses		12,356,749
LESS:
Expenses waived by service company		(2,927,723	)
Expenses waived by distributor		(1,758,223	)
Expenses waived by advisor		(6,456,927	)
Total waived expenses		(11,142,873	)
Net expenses		1,213,876
Net investment income		4,154
NET REALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		33,814
Net realized gain		33,814
Net Increase In Net Assets Resulting From Operations	$	37,968

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

262  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	4,154		$	66,580
Net realized gain on investments		33,814			22,225
Net increase in net assets resulting from operations		37,968			88,805
DISTRIBUTIONSTO sHAREHOLDERSFROM:
Net investment income
Investor Class		(2,991	)		(44,307	)
Investor2 Class		(169	)		(2,773	)
Advisor Class		(613	)		(13,727	)
A-Class		(155	)		(2,159	)
C-Class		(195	)		(3,616	)
Net realized gains
Investor Class		(14,115	)		(22,699	)
Investor2 Class		(524	)		(1,157	)
Advisor Class		(3,382	)		(4,482	)
A-Class		(517	)		(1,101	)
C-Class		(803	)		(1,385	)
Total distributions to shareholders		(23,464	)		(97,406	)
CAPITAL sHARETRANSACTIONS:
PROCEEDSFROMSALEOFSHARES
Investor Class		8,520,351,901			9,630,003,112
Investor2 Class		38,434,174			48,377,228
Advisor Class		5,981,133,747			5,264,379,210
A-Class		140,249,344			151,697,120
C-Class		332,253,713			322,812,213
DISTRIBUTIONSREINVESTED
Investor Class		17,010			66,874
Investor2 Class		677			3,178
Advisor Class		3,962			18,140
A-Class		627			3,160
C-Class		968			4,826
COSTOFSHARESREDEEMED
Investor Class		(8,746,713,127	)		(9,668,927,624	)
Investor2 Class		(45,998,905	)		(54,121,061	)
Advisor Class		(5,497,279,690	)		(5,248,363,560	)
A-Class		(142,707,495	)		(141,499,697	)
C-Class		(345,516,973	)		(350,392,231	)
Net increase (decrease) from capital share transactions		234,229,933			(45,939,112	)
Net increase (decrease) in net assets		234,244,437			(45,947,713	)
NETASSETS:
Beginning of year		1,109,115,454			1,155,063,167
End of year	$	1,343,359,891		$	1,109,115,454
Undistributed net investment income at end of year	$	977		$	679

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  263

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Year Ended March 31, 2012			Year Ended March 31, 2011
CAPITALSHAREACTIVITY:
Shares sold
Investor Class		8,520,351,901			9,630,003,112
Investor2 Class		38,434,174			48,377,228
Advisor Class		5,981,133,747			5,264,379,210
A-Class		140,249,345			151,697,119
C-Class		332,253,713			322,812,212
Shares issued from reinvestment of distributions
Investor Class		17,013			66,868
Investor2 Class		677			3,179
Advisor Class		3,962			18,140
A-Class		627			3,161
C-Class		969			4,825
Shares redeemed
Investor Class		(8,746,713,127	)		(9,668,927,624	)
Investor2 Class		(45,998,904	)		(54,121,059	)
Advisor Class		(5,497,279,690	)		(5,248,363,560	)
A-Class		(142,707,495	)		(141,499,697	)
C-Class		(345,516,973	)		(350,392,230	)
Net increase (decrease) in shares		234,229,939			(45,939,116	)

264  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

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.

Investor Class	Year Ended March  31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		—	a		.01			.04
Net gain on investments (realized and unrealized)		—	a		—	a		—			—			—
Total from investment operations		—	a		—	a		—	a		.01			.04
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a		(.01	)		(.04	)
Net realized gains		(—	)a		(—	)a		—			—			—
Total distributions		(—	)a		(—	)a		(—	)a		(.01	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.00	%		0.01	%		0.01	%		1.06	%		3.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	607,565		$	833,899		$	872,765		$	1,114,286		$	978,584
Ratios to average net assets:
Net investment income		0.00	%e		0.01	%		0.01	%		1.02	%		3.71	%
Total expenses		0.91	%		0.94	%		0.93	%		0.95	%		0.93	%
Net expensesc		0.11	%		0.22	%		0.37	%		0.90	%		0.93	%
Portfolio turnover rate		—			—			—			—			—

Investor2 Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010d
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		—	a
Net gain on investments (realized and unrealized)		—	a		—	a		—
Total from investment operations		—	a		—	a		—	a
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a
Net realized gains		(—	)a		(—	)a		—
Total distributions		(—	)a		(—	)a		(—	)a
Net asset value, end of period	$	1.00		$	1.00		$	1.00
Total Returnb		0.00	%		0.01	%		0.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,886		$	45,449		$	51,190
Ratios to average net assets:
Net investment income		0.00	%e		0.01	%		0.01	%
Total expenses		0.91	%		0.94	%		0.94	%
Net expensesc		0.11	%		0.22	%		0.29	%
Portfolio turnover rate		—			—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  265

U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (continued)

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

Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		—	a		.01			.03
Net gain on investments (realized and unrealized)		—	a		—	a		—			—			—
Total from investment operations		—	a		—	a		—	a		.01			.03
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a		(.01	)		(.03	)
Net realized gains		(—	)a		(—	)a		—			—			—
Total distributions		(—	)a		(—	)a		(—	)a		(.01	)		(.03	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.00	%		0.01	%		0.01	%		0.65	%		3.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	623,764		$	139,904		$	123,870		$	341,425		$	159,111
Ratios to average net assets:
Net investment income		0.00	%e		0.01	%		0.03	%		0.55	%		3.25	%
Total expenses		1.41	%		1.44	%		1.43	%		1.45	%		1.43	%
Net expensesc		0.10	%		0.22	%		0.37	%		1.26	%		1.43	%
Portfolio turnover rate		—			—			—			—			—
A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		(—	)a		.01			.03
Net gain on investments (realized and unrealized)		—	a		—	a		—			—			—
Total from investment operations		—	a		—	a		(—	)a		.01			.03
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a		(.01	)		(.03	)
Net realized gains		(—	)a		(—	)a		—			—			—
Total distributions		(—	)a		(—	)a		(—	)a		(.01	)		(.03	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.00	%		0.01	%		0.01	%		0.85	%		3.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	38,384		$	40,841		$	30,640		$	49,072		$	21,174
Ratios to average net assets:
Net investment income (loss)		0.00	%e		0.01	%		(0.04	%)		0.74	%		3.45	%
Total expenses		0.91	%		1.13	%		1.18	%		1.20	%		1.18	%
Net expensesc		0.11	%		0.21	%		0.38	%		1.09	%		1.18	%
Portfolio turnover rate		—			—			—			—			—

266  |  THE RYDEX SERIES FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (concluded)

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

C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment income		—	a		—	a		(—	)a		—	a		.03
Net gain on investments (realized and unrealized)		—	a		—	a		—			—			—
Total from investment operations		—	a		—	a		(—	)a		—			.03
Less distributions from:
Net investment income		(—	)a		(—	)a		(—	)a		(—	)a		(.03	)
Net realized gains		(—	)a		(—	)a		—			—			—
Total distributions		(—	)a		(—	)a		(—	)a		(—	)a		(.03	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returnb		0.00	%		0.01	%		0.01	%		0.26	%		2.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,761		$	49,023		$	76,598		$	135,384		$	121,436
Ratios to average net assets:
Net investment income (loss)		0.00	%e		0.01	%		(0.05	%)		0.24	%		2.69	%
Total expenses		1.92	%		1.94	%		1.93	%		1.95	%		1.93	%
Net expensesc		0.10	%		0.22	%		0.39	%		1.70	%		1.93	%
Portfolio turnover rate		—			—			—			—			—

^a Less than $0.01 per share.

^b Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Net expense information reflects the expense ratios after voluntary expense waivers.

^d  Since commencement of operations: July 10, 2009. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^e  Less than 0.01%.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX SERIES FUNDS ANNUAL REPORT  |  267

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies Organization

The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the”1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. 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 31, 2012, the Trust consisted of fifty-seven separate funds. This report covers the Target Beta Funds and the Money Market Fund (the “Funds”), while the other funds are contained in separate reports. Only Investor Class, Investor2 Class, Advisor Class, A-Class, C-Class, and H-Class had been issued in the Funds.

Guggenheim Investments (“GI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. GI, RFS and RDL are affiliated entities.

The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles 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 31, 2012, afternoon NAV.

Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

The value of futures contracts purchased and sold by the Funds are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value.

With the exception of the U.S. Government Money Market Fund, non-U.S. government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business. Other debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury yields, yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.

The value of equity index and credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap

268  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

The value of currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the broker quote.

Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) using general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.

B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

C. Dividends from net investment income are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

D. When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.

The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

E. Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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.

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 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.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  269

NOTES TO FINANCIAL STATEMENTS (continued)

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 or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A 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 at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

270  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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:

Fund	Management Fees (as a % of Net Assets)
Nova Fund		0.75	%
S&P 500 Fund		0.75	%
Inverse S&P 500 Strategy Fund		0.90	%
Nasdaq-100® Fund		0.75	%
Inverse Nasdaq-100® Strategy Fund		0.90	%
Mid-Cap 1.5x Strategy Fund		0.90	%
Inverse Mid-Cap Strategy Fund		0.90	%
Russell 2000® 1.5x Strategy Fund		0.90	%
Russell 2000® Fund		0.75	%
Inverse Russell 2000® Strategy Fund		0.90	%
S&P 500 Pure Growth Fund		0.75	%
S&P 500 Pure Value Fund		0.75	%
S&P MidCap 400 Pure Growth Fund		0.75	%
S&P MidCap 400 Pure Value Fund		0.75	%
S&P SmallCap 600 Pure Growth Fund		0.75	%
S&P SmallCap 600 Pure Value Fund		0.75	%
Europe 1.25x Strategy Fund		0.90	%
Japan 2x Strategy Fund		0.75	%
Strengthening Dollar 2x Strategy Fund		0.90	%
Weakening Dollar 2x Strategy Fund		0.90	%
Real Estate Fund		0.85	%
Government Long Bond 1.2x Strategy Fund		0.50	%
Inverse Government Long Bond Strategy Fund		0.90	%
High Yield Strategy Fund		0.75	%
Inverse High Yield Strategy Fund		0.75	%
U.S. Government Money Market Fund		0.50	%

RFS provides transfer agent and administrative services to the Trust for fees calculated at the annualized rates based on the average daily net assets of the Funds. For these services, RFS receives the following:

Fund	Transfer Agent and Administrative Fees (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	(as a % of net assets)
On the first $250 million		0.10	%
On the next $250 million		0.075	%
On the next $250 million		0.05	%
Over $750 million		0.03	%

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Trust has adopted a Distribution and Shareholder Services Plan applicable to its Advisor Class shares and a Distribution Plan applicable to A-Class shares for which RDL and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class shares only, if a Service Provider provides shareholders services, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs.

The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder 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 31, 2012, RDL retained sales charges of $404,264 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  271

NOTES TO FINANCIAL STATEMENTS (continued)

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2012:

	Level 1 Investments In Securities		Level 1 Other Financial Instruments*		Level 2 Investments In Securities		Level 2 Other Financial Instruments*		Level 3 Investments In Securities		Total
Assets
Nova Fund	$	42,278,202	$	53,298	$	26,336,313	$	99,503	$	—	$	68,767,316
S&P 500 Fund		219,950,857		47,561		39,937,004		80,195		—		260,015,617
Inverse S&P 500 Strategy Fund		—		—		132,755,042		154,690		—		132,909,732
NASDAQ-100® Fund		789,802,282		727,499		75,902,377		—		—		866,432,158
Inverse NASDAQ-100® Strategy Fund		—		—		9,178,123		41,119		—		9,219,242
Mid-Cap 1.5x Strategy Fund		19,941,131		195,103		3,804,635		—		—		23,940,869
Inverse Mid-Cap Strategy Fund		—		1,297		1,697,691		3,715		—		1,702,703
Russell 2000® 1.5x Strategy Fund		15,186,856		54,724		3,265,344		—		—		18,506,924
Russell 2000® Fund		51,571,939		34,348		21,638,052		—		—		73,244,339
Inverse Russell 2000® Strategy Fund		—		—		18,486,919		45,108		—		18,532,027
S&P 500 Pure Growth Fund		50,824,029		—		463,445		—		—		51,287,474
S&P 500 Pure Value Fund		72,546,070		—		480,768		—		—		73,026,838
S&P MidCap 400 Pure Growth Fund		362,724,057		—		2,657,891		—		—		365,381,948
S&P MidCap 400 Pure Value Fund		27,631,006		—		179,342		—		—		27,810,348
S&P SmallCap 600 Pure Growth Fund		32,564,055		—		477,987		—		—		33,042,042
S&P SmallCap 600 Pure Value Fund		27,075,875		—		93,034		—		—		27,168,909
Europe 1.25x Strategy Fund		5,932,027		26,181		4,619,601		—		—		10,577,809
Japan 2x Strategy Fund		—		692,702		4,552,457		—		—		5,245,159
Strengthening Dollar 2x Strategy Fund		—		—		31,591,018		—		—		31,591,018
Weakening Dollar 2x Strategy Fund		—		350,304		19,172,739		126,199		—		19,649,242
Real Estate Fund		17,589,452		—		38,743		—		—		17,628,195
Government Long Bond 1.2x Strategy Fund		57,539,790		212,724		42,038,646		—		—		99,791,160
Inverse Government Long Bond Strategy Fund		—		6,471,548		806,644,003		—		—		813,115,551
High Yield Strategy Fund		18,146,016		—		207,500,376		—		—		225,646,392
Inverse High Yield Strategy Fund		—		—		15,716,617		75,959		—		15,792,576
U.S. Government Money Market Fund		—		—		1,271,864,650		—		—		1,271,864,650
Liabilities
Nova Fund	$	—	$	—	$	—	$	103,632	$	—	$	103,632
S&P 500 Fund		—		—		—		16,316		—		16,316
Inverse S&P 500 Strategy Fund		—		59,708		—		352,860		—		412,568
NASDAQ-100® Fund		—		—		—		132,144		—		132,144
Mid-Cap 1.5x Strategy Fund		—		—		—		26,133		—		26,133
Russell 2000® 1.5x Strategy Fund		—		—		—		38,699		—		38,699
Russell 2000® Fund		—		—		—		43,391		—		43,391
Inverse Russell 2000® Strategy Fund		—		111,362		—		—		—		111,362
Europe 1.25x Strategy Fund		—		151,123		—		—		—		151,123
Strengthening Dollar 2x Strategy Fund		—		694,853		—		50,971		—		745,824
Inverse Government Long Bond Strategy Fund		363,063,151		—		—		—		—		363,063,151
High Yield Strategy Fund		—		805,607		—		1,545,541		—		2,351,148
Inverse High Yield Strategy Fund		—		625		—		—		—		625

* Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.

272  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

During the year ended March 31, 2012, there were no investments that transferred between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended March 31, 2012:

	Securities
Russell 2000® Strategy Fund
Assets:
Beginning Balance	$	25
Total realized gains or losses included in earnings		(101	)
Total change in unrealized gains or losses included in earnings		306
Sales		(230	)
Ending Balance	$	—
	Securities
Russell 2000® 1.5x Strategy Fund
Assets:
Beginning Balance	$	20
Total realized gains or losses included in earnings		(43	)
Total change in unrealized gains or losses included in earnings		207
Sales		(184	)
Ending Balance	$	—

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 31, 2012, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral		Par Value		Fair Value
HSBC Group						U.S. Treasury STRIPS
0.01%						0.00%
Due 04/02/12	$	945,000,000	$	945,000,788		02/15/13 – 02/15/22	$	1,040,731,200	$	963,900,029
Mizuho Financial Group, Inc.						U.S. Treasury Bills
0.01%						0.00%
Due 04/02/12		265,875,123		265,875,345		08/23/12 – 02/07/13		231,055,000		230,868,945
						U.S. Treasury Notes
						2.50% – 2.63%
						03/31/13 – 11/15/20		37,530,300		40,323,785
Credit Suisse Group						U.S. Treasury Notes
0.01%						1.38% – 2.13%
Due 04/02/12		235,771,833		235,772,030		11/30/15 – 08/15/21		235,636,900		240,487,393
Deutsche Bank						U.S. Treasury Note
0.01%						1.25%
Due 04/02/12		70,666,667		70,666,726		03/15/14		70,800,000		72,080,016

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.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  273

NOTES TO FINANCIAL STATEMENTS (continued)

6. Disclosures about Credit Derivatives

In accordance with its principal investment strategy, the High Yield Strategy Fund enters into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs. As the seller of protection, the Fund receives periodic premium payments from the counterparty and may also receive or pay an upfront premium adjustment to the stated periodic premium. In the event a credit event occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per credit event.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The table on page 244 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of March 31, 2012.

7. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

The following Funds utilized derivatives for the following purposes:

Fund Name	Index Exposure	Liquidity
Nova Fund	X	X
S&P 500 Fund	X	X
Inverse S&P 500 Strategy Fund	X	X
NASDAQ-100® Fund	X	X
Inverse NASDAQ-100® Strategy Fund	X	X
Mid-Cap 1.5x Strategy Fund	X	X
Inverse Mid-Cap Strategy Fund	X	X
Russell 2000® 1.5x Strategy Fund	X	X
Russell 2000® Fund	X	X
Inverse Russell 2000® Strategy Fund	X	X
Europe 1.25x Strategy Fund	X	X
Japan 2x Strategy Fund	X	X
Strengthening Dollar 2x Strategy Fund	X	X
Weakening Dollar 2x Strategy Fund	X	X
Government Long Bond 1.2x Strategy Fund	X	X
Inverse Government Long Bond Strategy Fund	X	X
High Yield Strategy Fund	X	X
Inverse High Yield Strategy Fund	X	X

274  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage of Fund’s
	net assets on a daily basis
Fund	Long			Short
Nova Fund		95	%		—
S&P 500 Fund		15	%		—
Inverse S&P 500 Strategy Fund		—			100	%
NASDAQ-100® Fund		10	%		—
Inverse NASDAQ-100® Strategy Fund		—			100	%
Mid-Cap 1.5x Strategy Fund		65	%		—
Inverse Mid-Cap Strategy Fund		—			100	%
Russell 2000® 1.5x Strategy Fund		65	%		—
Russell 2000® Fund		25	%		—
Inverse Russell 2000® Strategy Fund		—			100	%
Europe 1.25x Strategy Fund*		55	%		—
Japan 2x Strategy Fund*		200	%		—
Strengthening Dollar 2x Strategy Fund		200	%		—
Weakening Dollar 2x Strategy Fund		—			200	%
Government Long Bond 1.2x Strategy Fund		45	%		—
Inverse Government Long Bond Strategy Fund		—			40	%
High Yield Strategy Fund		165	%		—
Inverse High Yield Strategy Fund		—			165	%

* These Funds utilize a combination of currency and/or financial-linked derivatives to obtain exposure to their benchmarks. The net derivative instrument exposure to the benchmark is 115% and 400% for the Europe 1.25x Strategy Fund and Japan 2x Strategy Fund, respectively.

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2012:

Derivative	Location on the Statements of Assets and Liabilities
Investments Type	Asset Derivatives	Liability Derivatives
Equity, currency, interest rate and credit contracts	Variation margin Unrealized appreciation on swap agreements	Variation margin Unrealized depreciation on swap agreements

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2012:

	Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Swaps Currency Contracts		Futures Interest Rate Contracts*		Credit Default Contracts		Total Value at March  31, 2012
Nova Fund	$	53,298	$	99,503	$	—	$	—	$	—	$	—	$	152,801
S&P 500 Fund		47,561		80,195		—		—		—		—		127,756
Inverse S&P 500 Strategy Fund		—		154,690		—		—		—		—		154,690
NASDAQ-100® Fund		727,499		—		—		—		—		—		727,499
Inverse NASDAQ-100® Strategy Fund		—		41,119		—		—		—		—		41,119
Mid-Cap 1.5x Strategy Fund		195,103		—		—		—		—		—		195,103
Inverse Mid-Cap Strategy Fund		1,297		3,715		—		—		—		—		5,012
Russell 2000® 1.5x Strategy Fund		54,724		—		—		—		—		—		54,724
Russell 2000® Fund		34,348		—		—		—		—		—		34,348
Inverse Russell 2000® Strategy Fund		—		45,108		—		—		—		—		45,108
Europe 1.25x Strategy Fund		—		—		26,181		—		—		—		26,181
Japan 2x Strategy Fund		679,097		—		13,605		—		—		—		692,702
Strengthening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		350,304		126,199		—		—		476,503
Government Long Bond 1.2x Strategy Fund		—		—		—		—		212,724		—		212,724
Inverse Government Long Bond Strategy Fund		—		—		—		—		6,471,548		—		6,471,548
High Yield Strategy Fund		—		—		—		—		—		—		—
Inverse High Yield Strategy Fund		—		—		—		—		—		75,959		75,959

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  275

NOTES TO FINANCIAL STATEMENTS (continued)

	Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Swaps Equity Contracts		Futures Currency Contracts*		Swaps Currency Contracts		Futures Interest Rate Contracts*		Credit Default Contracts		Total Value at March 31, 2012
Nova Fund	$	—	$	103,632	$	—	$	—	$	—	$	—	$	103,632
S&P 500 Fund		—		16,316		—		—		—		—		16,316
Inverse S&P 500 Strategy Fund		59,708		352,860		—		—		—		—		412,568
NASDAQ-100® Fund		—		132,144		—		—		—		—		132,144
Inverse NASDAQ-100® Strategy Fund		—		—		—		—		—		—		—
Mid-Cap 1.5x Strategy Fund		—		26,133		—		—		—		—		26,133
Inverse Mid-Cap Strategy Fund		—		—		—		—		—		—		—
Russell 2000® 1.5x Strategy Fund		—		38,699		—		—		—		—		38,699
Russell 2000® Fund		—		43,391		—		—		—		—		43,391
Inverse Russell 2000® Strategy Fund		111,362		—		—		—		—		—		111,362
Europe 1.25x Strategy Fund		151,123		—		—		—		—		—		151,123
Japan 2x Strategy Fund		—		—		—		—		—		—		—
Strengthening Dollar 2x Strategy Fund		—		—		694,853		50,971		—		—		745,824
Weakening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Government Long Bond 1.2x Strategy Fund		—		—		—		—		—		—		—
Inverse Government Long Bond Strategy Fund		—		—		—		—		—		—		—
High Yield Strategy Fund		—		—		—		—		805,607		1,545,541		2,351,148
Inverse High Yield Strategy Fund		—		—		—		—		625		—		625

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2012:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/currency contracts	Net realized gain (loss) on futures contracts and swap agreements
	Net change in unrealized appreciation (depreciation) on futures contracts and swap agreements
Interest Rate contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Credit contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2012:

	Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations
Fund	Futures Equity Contracts			Swaps Equity Contracts			Futures Currency Contracts			Swaps Currency Contracts			Futures Interest Rate Contracts			Credit Default Contracts			Total
Nova Fund	$	1,233,041		$	1,972,026		$	—		$	—		$	—		$	—		$	3,205,067
S&P 500 Fund		1,895,681			4,408,817			—			—			—			—			6,304,498
Inverse S&P 500 Strategy Fund		(12,216,510	)		(36,690,513	)		—			—			—			—			(48,907,023	)
NASDAQ-100® Fund		(7,886,916	)		8,087,908			—			—			—			—			200,992
Inverse NASDAQ-100® Strategy Fund		(1,333,742	)		(6,494,251	)		—			—			—			—			(7,827,993	)
Mid-Cap 1.5x Strategy Fund		(1,806,429	)		588,413			—			—			—			—			(1,218,016	)
Inverse Mid-Cap Strategy Fund		(491,657	)		(1,297,632	)		—			—			—			—			(1,789,289	)
Russell 2000® 1.5x Strategy Fund		(5,424	)		(2,610,267	)		—			—			—			—			(2,615,691	)
Russell 2000® Fund		3,611,956			2,128,755			—			—			—			—			5,740,711
Inverse Russell 2000® Strategy Fund		(1,201,924	)		(1,284,144	)		—			—			—			—			(2,486,068	)
S&P SmallCap 600 Pure Value Fund		63,018			—			—			—			—			—			63,018
Europe 1.25x Strategy Fund		(207,846	)		—			131,949			—			—			—			(75,897	)
Japan 2x Strategy Fund		(1,801,231	)		—			489,943			—			—			—			(1,311,288	)
Strengthening Dollar 2x Strategy Fund		—			—			(773,286	)		(338,923	)		—			—			(1,112,209	)
Weakening Dollar 2x Strategy Fund		—			—			(2,948,203	)		(96,916	)		—			—			(3,045,119	)
Government Long Bond 1.2x Strategy Fund		—			—			—			—			9,863,660			—			9,863,660
Inverse Government Long Bond Strategy Fund		—			—			—			—			(52,969,697	)		—			(52,969,697	)
High Yield Strategy Fund		—			—			—			—			14,878,983			5,086,478			19,965,461
Inverse High Yield Strategy Fund		—			—			—			—			(859,497	)		(2,735,299	)		(3,594,796	)

276  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations

Fund	Futures Equity Contracts			Swaps Equity Contracts			Futures Currency Contracts			Swaps Currency Contracts			Futures Interest Rate Contracts			Credit Default Contracts			Total
Nova Fund	$	(60,934	)	$	(601,139	)	$	—		$	—		$	—		$	—		$	(662,073	)
S&P 500 Fund		(363,115	)		(467,242	)		—			—			—			—			(830,357	)
Inverse S&P 500 Strategy Fund		309,223			812,255			—			—			—			—			1,121,478
NASDAQ-100® Fund		718,676			(902,680	)		—			—			—			—			(184,004	)
Inverse NASDAQ-100® Strategy Fund		173,780			377,447			—			—			—			—			551,227
Mid-Cap 1.5x Strategy Fund		194,958			(890,840	)		—			—			—			—			(695,882	)
Inverse Mid-Cap Strategy Fund		1,404			49,519			—			—			—			—			50,923
Russell 2000® 1.5x Strategy Fund		(59,916	)		(1,452,305	)		—			—			—			—			(1,512,221	)
Russell 2000® Fund		(278,882	)		(356,409	)		—			—			—			—			(635,291	)
Inverse Russell 2000® Strategy Fund		(105,852	)		308,282			—			—			—			—			202,430
Europe 1.25x Strategy Fund		(148,516	)		—			(110,418	)		—			—			—			(258,934	)
Japan 2x Strategy Fund		(87,584	)		—			236,728			—			—			—			149,144
Strengthening Dollar 2x Strategy Fund		—			—			(378,078	)		124,713			—			—			(253,365	)
Weakening Dollar 2x Strategy Fund		—			—			(57,401	)		(13,148	)		—			—			(70,549	)
Government Long Bond 1.2x Strategy Fund		—			—			—			—			(33,261	)		—			(33,261	)
Inverse Government Long Bond Strategy Fund		—			—			—			—			6,801,936			—			6,801,936
High Yield Strategy Fund		—	��		—			—			—			(782,652	)		(1,547,014	)		(2,329,666	)
Inverse High Yield Strategy Fund		—			—			—			—			(180,153	)		76,123			(104,030	)

8. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009-2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2012, the following capital loss carryforward amounts were expired or used:

Fund	Amount
Nova Fund	$	5,983,755
S&P 500 Fund		3,233,374
Inverse S&P 500 Strategy Fund		5,725,764
NASDAQ-100® Fund		87,722,029
Inverse NASDAQ-100® Strategy Fund		19,380,747
Russell 2000® Fund		6,873,582
S&P 500 Pure Growth Fund		1,012,190
S&P 500 Pure Value Fund		1,037,708

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  277

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Amount
S&P SmallCap 600 Pure Value Fund	$	2,196,704
Inverse Government Long Bond Strategy Fund		16,998,940
High Yield Strategy Fund		5,151,003

The tax character of distributions paid during the year ended March 31, 2012 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total 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

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Nova Fund	$	78,732	$	—	$	78,732
S&P 500 Fund		1,990		—		1,990
Inverse S&P 500 Strategy Fund		—		—		—
NASDAQ-100® Fund		—		—		—
Inverse NASDAQ-100® Strategy Fund		—		—		—
Mid-Cap 1.5x Strategy Fund		—		—		—
Inverse Mid-Cap Strategy Fund		—		—		—
Russell 2000® 1.5x Strategy Fund		—		—		—
Russell 2000® Fund		—		—		—
Inverse Russell 2000® Strategy Fund		—		—		—
S&P 500 Pure Growth Fund		—		—		—
S&P 500 Pure Value Fund		223,302		—		223,302
S&P MidCap 400 Pure Growth Fund		—		—		—
S&P MidCap 400 Pure Value Fund		3,747,725		—		3,747,725
S&P SmallCap 600 Pure Growth Fund		—		—		—
S&P SmallCap 600 Pure Value Fund		4,081,852		—		4,081,852
Europe 1.25x Strategy Fund		—		—		—
Japan 2x Strategy Fund		—		—		—
Strengthening Dollar 2x Strategy Fund		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		—
Real Estate Fund		880,108		—		880,108
Government Long Bond 1.2x Strategy Fund		4,552,742		—		4,552,742
Inverse Government Long Bond Strategy Fund		—		—		—
High Yield Strategy Fund		4,810,745		—		4,810,745
Inverse High Yield Strategy Fund		—		—		—
U.S. Government Money Market Fund		97,406		—		97,406
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

278  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributable earnings/(accumulated losses) at March 31, 2012 was as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation/ (Depreciation)			Capital Loss Carryforward1
Nova Fund	$	72,406	$	—	$	14,717,970		$	(44,668,893	)
S&P 500 Fund		—		—		24,549,825			(21,343,240	)
Inverse S&P 500 Strategy Fund		—		—		(191,303	)		(380,632,954	)
NASDAQ-100® Fund		—		—		355,626,867			(39,977,153	)
Inverse NASDAQ-100® Strategy Fund		—		—		41,119			(78,427,449	)
Mid-Cap 1.5x Strategy Fund		—		—		2,211,521			(15,831,452	)
Inverse Mid-Cap Strategy Fund		—		—		3,715			(14,606,381	)
Russell 2000® 1.5x Strategy Fund		—		—		1,087,430			(10,432,158	)
Russell 2000® Fund		—		—		3,036,272			(2,495,832	)
Inverse Russell 2000® Strategy Fund		—		—		45,108			(50,555,846	)
S&P 500 Pure Growth Fund		—		—		7,216,346			—
S&P 500 Pure Value Fund		81,734		—		(12,611	)		(1,438,842	)
S&P MidCap 400 Pure Growth Fund		—		—		53,925,222			(10,721,429	)
S&P MidCap 400 Pure Value Fund		—		—		(490,192	)		(6,790,589	)
S&P SmallCap 600 Pure Growth Fund		—		—		2,167,609			(10,684,313	)
S&P SmallCap 600 Pure Value Fund		—		—		2,478,726			(32,428,267	)
Europe 1.25x Strategy Fund		121,349		—		(596,414	)		(16,371,495	)
Japan 2x Strategy Fund		—		—		—			(2,135,714	)
Strengthening Dollar 2x Strategy Fund		—		—		—			(23,820,939	)
Weakening Dollar 2x Strategy Fund		—		—		—			(12,505,248	)
Real Estate Fund		156,672		—		517,375			(13,616,153	)
Government Long Bond 1.2x Strategy Fund		164,097		—		(5,471,118	)		(25,142,921	)
Inverse Government Long Bond Strategy Fund		—		—		15,446,044			(457,620,479	)
High Yield Strategy Fund		—		4,377,221		(1,248,051	)		—
Inverse High Yield Strategy Fund		—		—		75,959			(9,100,726	)
U.S. Government Money Market Fund		34,797		—		—			—

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹ A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

	Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Expires in			Unlimited						Total Capital Loss
Fund	2013			2014			2015			2016			2017			2018			2019			Short-Term			Long-Term			Carryforward
Nova Fund	$	—		$	—		$	—		$	—		$	(42,453,023	)	$	(2,215,870	)	$	—		$	—		$	—		$	(44,668,893	)
S&P 500 Fund		—			—			—			—			(16,393,041	)		(4,950,199	)		—			—			—			(21,343,240	)
Inverse S&P 500
Strategy Fund		(65,527,919	)		(37,877,636	)		(59,724,340	)		—			—			(107,667,355	)		(64,265,070	)		(39,020,260	)		(6,550,374	)		(380,632,954	)
NASDAQ-100® Fund		(17,809,338	)		—			—			—			(22,167,815	)		—			—			—			—			(39,977,153	)
Inverse NASDAQ-100®
Strategy Fund		(3,723,075	)		(17,351,209	)		(15,380,081	)		(8,534,020	)		—			(16,105,314	)		(9,266,829	)		(7,245,987	)		(820,934	)		(78,427,449	)
Mid-Cap 1.5x Strategy Fund		—			—			—			—			(9,080,922	)		(4,124,009	)		—			(1,664,112	)		(962,409	)		(15,831,452	)
Inverse Mid-Cap
Strategy Fund		—			—			(3,855,787	)		(850,800	)		—			(6,411,872	)		(1,499,847	)		(1,655,894	)		(332,181	)		(14,606,381	)
Russell 2000® 1.5x
Strategy Fund		—			—			—			—			(8,885,709	)		—			—			(1,546,449	)		—			(10,432,158	)
Russell 2000® Fund		—			—			—			—			—			(2,495,832	)		—			—			—			(2,495,832	)
Inverse Russell 2000®
Strategy Fund		—			—			(13,474,576	)		(7,459,340	)		—			(15,938,452	)		(10,451,551	)		(1,493,569	)		(1,738,358	)		(50,555,846	)
S&P 500 Pure Growth Fund		—			—			—			—			—			—			—			—			—			—
S&P 500 Pure Value Fund		—			—			—			—			—			(1,438,842	)		—			—			—			(1,438,842	)
S&P MidCap 400
Pure Growth Fund		—			—			—			—			—			(3,166,543	)		—			(4,689,466	)		(2,865,420	)		(10,721,429	)
S&P MidCap 400 Pure
Value Fund		—			—			—			—			—			—			(1,769,395	)		(5,021,194	)		—			(6,790,589	)
S&P SmallCap 600
Pure Growth Fund		—			—			—			—			(5,316,867	)		(56,524	)		—			(5,310,922	)		—			(10,684,313	)
S&P SmallCap 600
Pure Value Fund		—			—			—			—			—			—			(32,428,267	)		—			—			(32,428,267	)
Europe 1.25x Strategy Fund		—			—			—			—			(13,511,526	)		—			(2,098,062	)		(512,522	)		(249,385	)		(16,371,495	)
Japan 2x Strategy Fund		—			—			—			—			(973,570	)		—			—			(464,857	)		(697,287	)		(2,135,714	)

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  279

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Expires in 2013			Expires in 2014			Expires in 2015			Expires in 2016			Expires in 2017			Expires in 2018			Expires in 2019			Short-Term			Unlimited Long-Term			Total Capital Loss Carryforward
Strengthening Dollar 2x
Strategy Fund	$	—		$	—		$	—		$	—		$	—		$	(16,109,547	)	$	(4,395,594	)		$(1,326,319) $(1,989,479)					$	(23,820,939	)
Weakening Dollar
2x Strategy Fund		—			—			—			—			(6,635,880	)		—			(3,988,430	)		(752,375	)		(1,128,563	)		(12,505,248	)
Real Estate Fund		—			—			—			—			(2,247,435	)		(4,305,317	)		—			(7,063,401	)		—			(13,616,153	)
Government Long Bond
1.2x Strategy Fund		—			—			—			—			—			(19,633,290	)		—			(5,509,631	)		—			(25,142,921	)
Inverse Government
Long Bond Strategy Fund		(63,759,468	)		(82,212,943	)		(60,731,802	)		(2,188,094	)		(24,167,315	)		(68,305,233	)		(23,242,075	)		(105,312,893	)		(27,700,656	)		(457,620,479	)
High Yield Strategy Fund		—			—			—			—			—			—			—			—			—			—
Inverse High Yield
Strategy Fund		—			—			—			—			—			(3,356,295	)		(4,361,182	)		(1,090,660	)		(292,589	)		(9,100,726	)
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 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 reclassifications were made for permanent book/tax differences:

Fund	Paid In Capital			Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss)
Nova Fund	$	(1,410	)	$	—		$	1,410
S&P 500 Fund		(208,837	)		205,786			3,051
Inverse S&P 500 Strategy Fund		(8,177,920	)		2,452,156			5,725,764
NASDAQ-100® Fund		(1,715,587	)		1,715,587			—
Inverse NASDAQ-100® Strategy Fund		(19,632,927	)		252,180			19,380,747
Mid-Cap 1.5x Strategy Fund		(193,078	)		181,524			11,554
Inverse Mid-Cap Strategy Fund		(68,468	)		68,468			—
Russell 2000® 1.5x Strategy Fund		325,740			249,030			(574,770	)
Russell 2000® Fund		(286,713	)		281,172			5,541
Inverse Russell 2000® Strategy Fund		(273,603	)		273,603			—
S&P 500 Pure Growth Fund		943,690			296,623			(1,240,313	)
S&P 500 Pure Value Fund		—			—			—
S&P MidCap 400 Pure Growth Fund		(2,233,795	)		2,169,678			64,117
S&P MidCap 400 Pure Value Fund		(2,927	)		2,928			(1	)
S&P SmallCap 600 Pure Growth Fund		(617,397	)		617,276			121
S&P SmallCap 600 Pure Value Fund		(97,532	)		87,827			9,705
Europe 1.25x Strategy Fund		1			(16,852	)		16,851
Japan 2x Strategy Fund		(92,058	)		92,058			—
Strengthening Dollar 2x Strategy Fund		(712,929	)		712,929			—
Weakening Dollar 2x Strategy Fund		(423,432	)		423,432			—
Real Estate Fund		(167,305	)		2,143			165,162
Government Long Bond 1.2x Strategy Fund		—			—			—
Inverse Government Long Bond Strategy Fund		(33,021,416	)		16,022,477			16,998,939
High Yield Strategy Fund		(47,623	)		7,284,483			(7,236,860	)
Inverse High Yield Strategy Fund		(1,245,985	)		316,240			929,745
U.S. Government Money Market Fund		—			267			(267	)

280  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2012, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
Nova Fund	$	53,892,416	$	14,770,514	$	(48,415	)	$	14,722,099
S&P 500 Fund		235,401,915		25,620,777		(1,134,831	)		24,485,946
Inverse S&P 500 Strategy Fund		132,748,175		6,867		—			6,867
NASDAQ-100® Fund		509,945,648		361,746,475		(5,987,464	)		355,759,011
Inverse NASDAQ-100® Strategy Fund		9,178,123		—		—			—
Mid-Cap 1.5x Strategy Fund		21,508,112		2,507,107		(269,453	)		2,237,654
Inverse Mid-Cap Strategy Fund		1,697,691		—		—			—
Russell 2000® 1.5x Strategy Fund		17,326,071		1,359,069		(232,940	)		1,126,129
Russell 2000® Fund		70,130,328		4,103,758		(1,024,095	)		3,079,663
Inverse Russell 2000® Strategy Fund		18,486,919		—		—			—
S&P 500 Pure Growth Fund		44,071,128		7,593,933		(377,587	)		7,216,346
S&P 500 Pure Value Fund		73,039,449		2,076,387		(2,088,998	)		(12,611	)
S&P MidCap 400 Pure Growth Fund		311,456,726		57,771,613		(3,846,391	)		53,925,222
S&P MidCap 400 Pure Value Fund		28,300,540		94,599		(584,791	)		(490,192	)
S&P SmallCap 600 Pure Growth Fund		30,874,433		2,667,165		(499,556	)		2,167,609
S&P SmallCap 600 Pure Value Fund		24,690,183		2,757,274		(278,548	)		2,478,726
Europe 1.25x Strategy Fund		10,996,538		—		(444,910	)		(444,910	)
Japan 2x Strategy Fund		4,552,457		—		—			—
Strengthening Dollar 2x Strategy Fund		31,591,018		—		—			—
Weakening Dollar 2x Strategy Fund		19,172,739		—		—			—
Real Estate Fund		17,110,820		536,147		(18,772	)		517,375
Government Long Bond 1.2x Strategy Fund		105,049,554		—		(5,471,118	)		(5,471,118	)
Inverse Government Long Bond Strategy Fund		806,609,987		34,016		—			34,016
High Yield Strategy Fund		225,348,902		341,759		(44,269	)		297,490
Inverse High Yield Strategy Fund		15,716,617		—		—			—
U.S. Government Money Market Fund		1,271,864,650		—		—			—

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 31, 2012, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2012:

Fund	Ordinary			Capital
Nova Fund	$	—		$	(80,026	)
Inverse S&P 500 Strategy Fund		(592,068	)		(26,354,533	)
NASDAQ-100® Fund		(1,097,969	)		(1,967,888	)
Inverse NASDAQ-100® Strategy Fund		(46,095	)		(2,157,864	)
Mid-Cap 1.5x Strategy Fund		(67,408	)		—
Inverse Mid-Cap Strategy Fund		(9,051	)		(410,062	)
Russell 2000® 1.5x Strategy Fund		(41,926	)		—
Russell 2000® Fund		(149,756	)		—
Inverse Russell 2000® Strategy Fund		(70,741	)		(3,120,497	)
S&P 500 Pure Growth Fund		(82,706	)		(4,885,274	)
S&P 500 Pure Value Fund		—			(1,370,859	)
S&P MidCap 400 Pure Growth Fund		(889,323	)		(13,172,792	)
S&P SmallCap 600 Pure Growth Fund		(9,714	)		—
S&P SmallCap 600 Pure Value Fund		(124,122	)		—
Japan 2x Strategy Fund		(13,890	)		—
Strengthening Dollar 2x Strategy Fund		(260,587	)		—
Weakening Dollar 2x Strategy Fund		(90,469	)		(1,234,730	)

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  281

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Ordinary			Capital
Real Estate Fund	$	—		$	(30,322	)
Inverse Government Long Bond Strategy Fund		(4,115,790	)		(35,275,455	)
High Yield Strategy Fund		(296,427	)		—
Inverse High Yield Strategy Fund		—			(2,307,452	)

9. Securities Transactions

For the year ended March 31, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:

	Purchases		Sales
Nova Fund	$	55,268,493	$	71,185,151
S&P 500 Fund		305,438,548		286,389,476
Inverse S&P 500 Strategy Fund		—		—
NASDAQ-100® Fund		619,354,271		588,284,827
Inverse NASDAQ-100® Strategy Fund		—		—
Mid-Cap 1.5x Strategy Fund		32,313,394		47,017,907
Inverse Mid-Cap Strategy Fund		—		—
Russell 2000® 1.5x Strategy Fund		22,607,357		12,316,503
Russell 2000® Fund		67,214,051		23,834,344
Inverse Russell 2000® Strategy Fund		—		—
S&P 500 Pure Growth Fund		319,362,846		314,509,698
S&P 500 Pure Value Fund		301,223,748		260,643,412
S&P MidCap 400 Pure Growth Fund		756,554,204		641,724,265
S&P MidCap 400 Pure Value Fund		200,326,656		220,808,085
S&P SmallCap 600 Pure Growth Fund		294,078,986		344,433,896
S&P SmallCap 600 Pure Value Fund		217,397,120		219,202,402
Europe 1.25x Strategy Fund		27,446,492		38,619,332
Japan 2x Strategy Fund		—		—
Strengthening Dollar 2x Strategy Fund		—		—
Weakening Dollar 2x Strategy Fund		—		—
Real Estate Fund		182,884,841		184,302,911
Government Long Bond 1.2x Strategy Fund		—		—
Inverse Government Long Bond Strategy Fund		25,000,000		25,000,000
High Yield Strategy Fund		59,593,377		39,701,116
Inverse High Yield Strategy Fund		—		—
U.S. Government Money Market Fund		—		—

For the year ended March 31, 2012, the cost of purchases and proceeds from sales of government securities were:

Purchases	Purchases		Sales
Government Long Bond 1.2x Strategy Fund	$	3,327,896,088	$	3,372,499,579
Inverse Government Long Bond Strategy Fund		3,523,413,273		3,713,387,100

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, 2012. 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 31, 2012. The Funds did not have any borrowings under this agreement at March 31, 2012.

The following table illustrates the average daily balance borrowed for the year ended March 31, 2012:

Fund	Average Daily Balance
Nova Fund	$	14,445
S&P 500 Fund		97,180
NASDAQ-100® Fund		915,268
Mid-Cap 1.5x Strategy Fund		25,391
Russell 2000 1.5x Strategy Fund		566
Inverse Russell 2000 Strategy Fund		126,044
S&P 500 Pure Growth Fund		61,724
S&P 500 Pure Value Fund		63,221
S&P MidCap 400 Pure Growth Fund		54,467

282  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Average Daily Balance
S&P MidCap 400 Pure Value Fund	$	17,180
S&P SmallCap 600 Pure Growth Fund		29,016
S&P SmallCap 600 Pure Value Fund		69,325
Strengthening Dollar 2x Strategy Fund		7,918
Real Estate Fund		18,866
Government Long Bond 1.2x Strategy Fund		26,601
Inverse Government Long Bond Strategy Fund		234,101

11. Legal Proceedings

Tribune Company

Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons (In re Tribune Co.), Adv. Pro. No. 10-54010 (Bankr. D. Del.), 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 major 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, major shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding in the Bankruptcy Court has been stayed pending further order of the Bankruptcy Court.

In June 2011, a group of Tribune creditors, not including the UCC, filed multiple actions involving state law constructive fraudulent conveyance claims against former Tribune shareholders. Rydex Series Funds also has been named as a defendant in one or more of these suits. These cases have been consolidated in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York and have been stayed pending further order of that court or of the Bankruptcy Court.

None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

Litigation

In March, 2010, an action was filed against PADCO Advisors, Inc. (hereinafter, the “Manager”), Rydex Distributors, Inc. (hereinafter, the “Distributor”), Rydex Series Funds (hereinafter, the “Trust”) and certain trustees and officers of the Trust in federal district court in San Francisco, California. The action sought class action status on behalf of purchasers of shares in a series of the Trust, the Rydex Inverse Government Long Bond Strategy Fund (the “Fund”) during a particular time period. The action asserted claims under provisions of the federal securities laws, alleging that certain registration statements of the Trust contained negligent misrepresentations and omissions with respect to certain risks associated with investment in the Fund, the suitability of the Fund and differences between performance of the Fund’s shares over time and that of its reference benchmark. The action also asserted a claim seeking to hold the Manager and the individual trustee defendants liable as control persons of the Trust. The action sought unspecified damages and interest thereon as well as an award to the plaintiffs and putative class of attorney’s fees and litigation expenses. Following the commencement of discovery, the parties reached an agreement to settle the case in its entirety. The terms of the settlement were negotiated and, on February 9, 2012, the Court entered a final order approving the settlement and the plan of allocation, certifying the class for purposes of the settlement, approving an award of fees and expenses to plaintiffs’ counsel and to lead plaintiffs, and dismissing the action with prejudice. Neither the Manager, the Distributor nor the Trust were required to fund any of the settlement amount, which totaled $5.5 million and was covered by insurance. To our knowledge, no member of the plaintiff class has filed a notice of appeal with respect to the February 9 final order.

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.).

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  283

NOTES TO FINANCIAL STATEMENTS (concluded)

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.

This lawsuit does not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund—$ 1,725,168; U.S. Long Short Momentum Fund—$2,193,600; Global 130/30 Strategy Fund—$37,920; Hedged Equity Fund—$1,440; and Multi-Hedge Strategies Fund—$1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

12. Subsequent Event

Effective following the close of business on June 15, 2012, the Rydex Series Funds U.S. Government Money Market Fund (the “Fund”) will no longer offer Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares, and Investor2 Class shares, and all outstanding shares of the Fund will be converted to the Fund’s new share class, the Money Market Class shares, based on the existing class NAVs. Money Market Class shares of the Fund will be eligible for exchange with shares of any other fund in the same fund family regardless of class subject to the purchaser eligibility requirements of such class. The Fund will no longer be subject to Rule 12b-1 distribution, shareholder service fees, or contingent deferred sales charges. There will be no account privilege restrictions if held directly through Rydex Fund Services, LLC, or tax consequences associated with the conversion.

284  |  THE RYDEX SERIES 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 31, 2012, and the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2012, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2012, 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, 2012

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  285

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2012, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
S&P 500 Pure Growth Fund		93.65	%
High Yield Strategy Fund		2.45	%

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
S&P 500 Pure Growth Fund		79.66	%
High Yield Strategy Fund		1.12	%

With respect to the taxable year ended March 31, 2012, 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 500
	Pure Growth
	Fund
From long-term capital gains, subject to the 15% rate gains category:	$	241,421
From long-term capital gains, using proceeds from shareholder redemptions:		943,691

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.

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Security Investors, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
Nova Fund		834,436		28,139		49,303
S&P 500 Fund		3,004,072		63,660		45,228
Inverse S&P 500 Strategy Fund		4,737,821		118,613		133,037
NASDAQ-100® Fund		15,160,761		517,125		532,056
Inverse NASDAQ-100® Strategy Fund		767,107		37,131		28,970
Mid-Cap 1.5x Strategy Fund		283,002		8,301		7,056
Inverse Mid-Cap Strategy Fund		248,180		7,502		2,551
Russell 2000® Fund		145,797		1,914		1,608
Russell 2000® 1.5x Strategy Fund		175,680		10,548		2,187
Inverse Russell 2000® Strategy Fund		1,028,865		13,780		9,623
S&P 500 Pure Growth Fund		1,088,197		38,832		38,383
S&P 500 Pure Value Fund		115,208		4,705		4,854
S&P MidCap 400 Pure Growth Fund		2,862,290		77,012		64,980
S&P MidCap 400 Pure Value Fund		93,373		3,301		2,615

286  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited) (continued)

Fund	Shares For		Shares Against		Shares Abstained
S&P SmallCap 600 Pure Growth Fund		231,817		3,322		8,757
S&P SmallCap 600 Pure Value Fund		236,061		3,959		9,752
Europe 1.25x Strategy Fund		263,205		5,707		2,533
Japan 2x Strategy Fund		108,125		7,608		213
Strengthening Dollar 2x Strategy Fund		2,809,315		31,957		46,498
Weakening Dollar 2x Strategy Fund		667,249		68,054		32,371
Real Estate Fund		201,371		8,984		12,852
Government Long Bond 1.2x Strategy Fund		5,865,399		164,170		198,733
Inverse Government Long Bond Strategy Fund		16,333,001		705,210		549,708
High Yield Strategy Fund		580,938		17,533		10,900
Inverse High Yield Strategy Fund		551,047		7,996		19,689
U.S. Government Money Market Fund		916,413,122		7,792,221		11,435,070

At a special meeting of shareholders held on November 22, 2011, the shareholders of the Funds also voted on whether to approve the election of nominees to the Board of Trustees. A description of the number of shares voted is as follows:

Donald C. Cacciapaglia		Corey A. Colehour			J. Kenneth Dalton
For	1,443,600,903		For	1,444,213,017		For	1,444,422,997
Withhold	23,402,732		Withhold	22,790,618		Withhold	22,580,638
Total	1,467,003,635		Total	1,467,003,635		Total	1,467,003,635

John O. Demaret		Richard M. Goldman			Werner E. Keller
For	1,445,255,754		For	1,443,668,595		For	1,445,494,273
Withhold	21,747,881		Withhold	23,335,040		Withhold	21,509,362
Total	1,467,003,635		Total	1,467,003,635		Total	1,467,003,635

Thomas F. Lydon		Patrick T. McCarville			Roger Somers
For	1,444,219,448		For	1,445,357,773		For	1,443,486,735
Withhold	22,784,187		Withhold	21,645,862		Withhold	23,516,900
Total	1,467,003,635		Total	1,467,003,635		Total	1,467,003,635

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds also voted on whether to approve a “manager of managers” arrangement for each of the Funds. Although shareholder votes were placed, not enough votes were received to meet the minimum requirements to constitute a majority vote. As such, the matter was closed.

At a special meeting of shareholders held on December 13, 2011, the shareholders of the Funds also voted on whether to approve the

Elimination of the Fundamental Investment Policy on Investing in Other Investment Companies. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
U.S. Government Money Market Fund		905,094,161		18,684,699		11,861,553

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.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  287

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

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Fund’s investment manager (the “Investment Manager”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals. The Transaction closed on February 29, 2012.

The Transaction should not result in material changes to the day-to-day management and operation of the Fund or any increase in fees.

In anticipation of the Transaction, the Board of Trustees of the Fund (the “Board”) called a special meeting of shareholders (the “Meeting”), at which shareholders of the Fund of record as of October 3, 2011 were asked to consider the approval of a new investment management agreement between the Fund and the Investment Manager (the “New Agreement”). This approval was necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Fund’s current investment management agreement with the Investment Manager (the “Current Agreement”). The Fund’s shareholders approved the New Agreement, the terms of which are substantially identical to the corresponding Current Agreement, except with respect to the date of execution.

Election of Board Members

The Board also approved a proposal to elect nine individuals to the Board. The Board proposed the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Board believes that expanding the Board to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Guggenheim Investments family of funds, would be appropriate. The Trusts’ shareholders ultimately approved the aforementioned proposal.

288  |  THE RYDEX SERIES FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of 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
Name, Position and	as Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
––––––––––––––––––––––––––––––	–––––––––––––––––––––––––––––––––––	––––––––––––––––––––––––
Donald C. Cacciapaglia*	Rydex Series Funds – 2012	148
Trustee, President (1951)	Rydex Variable Trust – 2012
	Rydex Dynamic Funds –2012
	Rydex ETF Trust – 2012

Principal Occupations During Past Five Years: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010.

INDEPENDENT TRUSTEES
	Length of Service
Name, Position and	as Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
––––––––––––––––––––––––––––––	–––––––––––––––––––––––––––––––––––	––––––––––––––––––––––––
Corey A. Colehour	Rydex Series Funds – 1993	148
Trustee (1945)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds –1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the audit,Governance and Nominating Committees(1995 to present)

J. Kenneth Dalton	Rydex Series Funds – 1995	148
Trustee (1941)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

John O. Demaret	Rydex Series Funds – 1997	148
Trustee, Chairman of the	Rydex Variable Trust – 1998
Board (1941)	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

Werner E. Keller	Rydex Series Funds – 2005	148
Trustee (1940)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)

Thomas F. Lydon, Jr.	Rydex Series Funds – 2005	148
Trustee (1960)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  289

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

INDEPENDENT TRUSTEES — concluded

	Length of Service
Name, Position and	as Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
––––––––––––––––––––––––––––––	–––––––––––––––––––––––––––––––––––	––––––––––––––––––––––––
Patrick T. McCarville	Rydex Series Funds – 1997	148
Trustee (1942)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds –1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)

Roger Somers	Rydex Series Funds –1993	148
Trustee (1944)	Rydex Variable Trust –1998
	Rydex Dynamic Funds –1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (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 and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002- 2010), Executive Vice President (2002- 2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, President and 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); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; 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); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Elisabeth Miller* Chief Compliance Officer (1968)	Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC
	Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS —concluded
Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
–––––––––––––––––––––––	–––––––––––––––––––––––––––––––––––
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and 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 Security Global Investors.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  291

GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.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.

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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 www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

THE RYDEX SERIES FUNDS ANNUAL REPORT  |  293

805 King Farm Boulevard, Suite 600

Rockville, MD 20850

www.rydex-sgi.com

800.820.0888

RBENF-ANN-2-0312x0313

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

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 notification 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 Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
BANKING FUND	10
BASIC MATERIALS FUND	18
BIOTECHNOLOGY FUND	26
CONSUMER PRODUCTS FUND	34
ELECTRONICS FUND	42
ENERGY FUND	50
ENERGY SERVICES FUND	58
FINANCIAL SERVICES FUND	66
HEALTH CARE FUND	74
INTERNET FUND	82
LEISURE FUND	90
PRECIOUS METALS FUND	98
RETAILING FUND	106
TECHNOLOGY FUND	114
TELECOMMUNICATIONS FUND	122
TRANSPORTATION FUND	130
UTILITIES FUND	138
NOTES TO FINANCIAL STATEMENTS	145
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	154
OTHER INFORMATION	155
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	158
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	161

THE RYDEX FUNDSANNUALREPORT      1

LETTER TO OUR SHAREHOLDERS

TO OUR SHAREHOLDERS:

A restructuring of Greece’s massive debt, continued accommodation by the world’s major central banks and better news on the U.S. economy helped support financial markets over the fiscal year ended March 31, 2012, with the S&P 500^® Index* rising about 9%. Market optimism peaked in early 2012, when several major equity indices pushed to the highest levels in four years or more. But the mood grew more cautious late in the period after the Federal Reserve (“the Fed”) expressed views that continued weakness in housing and employment may pose a risk to the strength of the recovery.

U.S. equities experienced big intra-year swings. Markets swooned by nearly 20% last summer amid the loss of the U.S. AAA credit rating, the end of the Federal Reserve’s second round of quantitative easing and rising oil prices. But after touching the year’s low in early October, improving U.S. economic data and European Central Bank’s injections of three-year loans into the continent’s banking system helped markets make up lost ground, which carried over into a strong first quarter of 2012.

Among the upbeat U.S. economic reports in recent months: more than 600,000 jobs have been added since the beginning of 2012; house prices have fallen enough to start to spur demand, lifting sales and new construction; and the U.S. GDP expanded at an annual rate of 3% in the fourth quarter of 2011, its strongest rate in a year and a half. Consumer confidence climbed in March to its highest level in a year.

While acknowledging the good news, the Fed warned that policymakers cannot be sure the recent pace of improvement will be sustained unless growth picks up. To foster growth, the Fed has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers. Consumer spending remains sluggish, and lackluster forecasts for first-quarter corporate profits were a reminder that the economic recovery remains fragile.

The world’s leading central bankers have continued to take steps to recharge the global economy. Greece’s debt restructuring enabled a new international bailout, while an injection of liquidity from the European Central Bank lessened financial stresses across the continent and contributed to improvement in global financial markets. However, March manufacturing gauges indicated that the eurozone has entered a period of economic contraction, meaning that policy makers may need to do more to revive economic growth across the region. The Bank of England and the Bank of Japan have also increased asset-buying programs. In China, recent strong factory data eased fears that a hard landing could wreak havoc on the global economy. The country cut its annual growth target to 7.5%, as its policymakers are trying to shift the country away from investment and exports and to greater domestic consumption.

Improvement in the U.S. economy is luring investors from ultra-safe, but often low-yielding assets. Falling U.S. Treasury bond prices, for example, boosted yields from a 70-year low last fall to a recent range of around 2% for the 10-year note. After outperforming equities for much of the past decade, and drawing heavy asset flows, many analysts are cautious about certain fixed-income sectors, particularly government debt, as the economy improves and the potential grows for a rise in interest rates. Investment-grade and higher-yielding corporates, however, are expected to continue to outperform.

Likewise, commodities, which had been slumping since mid-2011 due to slowing economic activity and the European debt crisis, rebounded in early 2012 on stronger macroeconomic data, with the price of a barrel of oil surging from last October’s $77 to a peak of $113 in late February. Investors also have been shifting out of gold to assets with greater return potential; after peaking at nearly $2,000 last summer, the price per ounce has fallen back to around $1,600.

2     THE RYDEX FUNDSANNUALREPORT

LETTER TO OUR SHAREHOLDERS (concluded)

The U.S. economy seems to be decoupling from slowing growth in the rest of the world and from ongoing uncertainty in the European debt crisis, as well as the domestic debate over tax and spending policy. In this resiliency, we see potential in U.S. investments, including equities, high yield bonds, bank loans and other risk assets. It appears that the U.S. may have entered a period of self-sustaining, if modest, economic expansion, driven primarily by the aggressive monetary policy of the Fed and reinforced by the ECB, and is increasingly becoming the economic locomotive of the global economy.

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Donald C. Cacciapaglia

President

*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).

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

The referenced funds are distributed by Rydex Distributors, LLC. Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC, which includes Security Investors, LLC, the investment advisor to the referenced funds. Rydex Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.

THE RYDEX FUNDSANNUALREPORT      3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2011 and ending March 31, 2012.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S.

Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

4     THE RYDEX FUNDSANNUALREPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 1. Based on actual Fund return3
Banking Fund
Investor Class		1.32	%		35.23	%	$	1,000.00	$	1,352.30	$	7.76
Advisor Class		1.82	%		34.86	%		1,000.00		1,348.60		10.69
A-Class		1.58	%		35.03	%		1,000.00		1,350.30		9.28
C-Class		2.33	%		34.55	%		1,000.00		1,345.50		13.66
Basic Materials Fund
Investor Class		1.33	%		18.86	%		1,000.00		1,188.60		7.28
Advisor Class		1.84	%		18.58	%		1,000.00		1,185.80		10.05
A-Class		1.58	%		18.71	%		1,000.00		1,187.10		8.64
C-Class		2.33	%		18.31	%		1,000.00		1,183.10		12.72
Biotechnology Fund
Investor Class		1.33	%		34.48	%		1,000.00		1,344.80		7.80
Advisor Class		1.83	%		34.13	%		1,000.00		1,341.30		10.71
A-Class		1.59	%		34.31	%		1,000.00		1,343.10		9.31
C-Class		2.33	%		33.77	%		1,000.00		1,337.70		13.62
Consumer Products Fund
Investor Class		1.33	%		14.52	%		1,000.00		1,145.20		7.13
Advisor Class		1.83	%		14.25	%		1,000.00		1,142.50		9.80
A-Class		1.58	%		14.37	%		1,000.00		1,143.70		8.47
C-Class		2.33	%		13.98	%		1,000.00		1,139.80		12.46
Electronics Fund
Investor Class		1.33	%		23.49	%		1,000.00		1,234.90		7.43
Advisor Class		1.84	%		23.20	%		1,000.00		1,232.00		10.27
A-Class		1.58	%		23.30	%		1,000.00		1,233.00		8.82
C-Class		2.34	%		22.82	%		1,000.00		1,228.20		13.03
Energy Fund
Investor Class		1.33	%		24.59	%		1,000.00		1,245.90		7.47
Advisor Class		1.83	%		24.39	%		1,000.00		1,243.90		10.27
A-Class		1.59	%		24.36	%		1,000.00		1,243.60		8.92
C-Class		2.33	%		24.01	%		1,000.00		1,240.10		13.05
Energy Services Fund
Investor Class		1.33	%		25.73	%		1,000.00		1,257.30		7.51
Advisor Class		1.83	%		25.43	%		1,000.00		1,254.30		10.31
A-Class		1.58	%		25.56	%		1,000.00		1,255.60		8.91
C-Class		2.33	%		25.13	%		1,000.00		1,251.30		13.11
Financial Services Fund
Investor Class		1.33	%		29.91	%		1,000.00		1,299.10		7.64
Advisor Class		1.83	%		29.58	%		1,000.00		1,295.80		10.50
A-Class		1.58	%		29.76	%		1,000.00		1,297.60		9.08
C-Class		2.33	%		29.31	%		1,000.00		1,293.10		13.36

THE RYDEX FUNDSANNUALREPORT      5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Health Care Fund
Investor Class		1.33	%		21.56	%	$	1,000.00	$	1,215.60	$	7.37
Advisor Class		1.83	%		21.37	%		1,000.00		1,213.70		10.13
A-Class		1.58	%		21.48	%		1,000.00		1,214.80		8.75
C-Class		2.33	%		21.03	%		1,000.00		1,210.30		12.87
Internet Fund
Investor Class		1.33	%		27.74	%		1,000.00		1,277.40		7.57
Advisor Class		1.84	%		27.42	%		1,000.00		1,274.20		10.46
A-Class		1.59	%		27.55	%		1,000.00		1,275.50		9.05
C-Class		2.34	%		27.12	%		1,000.00		1,271.20		13.29
Leisure Fund
Investor Class		1.32	%		30.76	%		1,000.00		1,307.60		7.62
Advisor Class		1.83	%		30.43	%		1,000.00		1,304.30		10.54
A-Class		1.58	%		30.60	%		1,000.00		1,306.00		9.11
C-Class		2.32	%		30.10	%		1,000.00		1,301.00		13.35
Precious Metals Fund
Investor Class		1.23	%		(3.93	%)		1,000.00		960.70		6.03
Advisor Class		1.74	%		(4.15	%)		1,000.00		958.50		8.52
A-Class		1.48	%		(4.06	%)		1,000.00		959.40		7.25
C-Class		2.24	%		(4.40	%)		1,000.00		956.00		10.95
Retailing Fund
Investor Class		1.33	%		27.03	%		1,000.00		1,270.30		7.55
Advisor Class		1.83	%		26.56	%		1,000.00		1,265.60		10.37
A-Class		1.57	%		26.88	%		1,000.00		1,268.80		8.91
C-Class		2.34	%		26.30	%		1,000.00		1,263.00		13.24
Technology Fund
Investor Class		1.33	%		27.31	%		1,000.00		1,273.10		7.56
Advisor Class		1.83	%		26.87	%		1,000.00		1,268.70		10.38
A-Class		1.57	%		27.13	%		1,000.00		1,271.30		8.91
C-Class		2.34	%		26.52	%		1,000.00		1,265.20		13.25
Telecommunications Fund
Investor Class		1.33	%		16.33	%		1,000.00		1,163.30		7.19
Advisor Class		1.83	%		16.14	%		1,000.00		1,161.40		9.89
A-Class		1.58	%		16.28	%		1,000.00		1,162.80		8.54
C-Class		2.33	%		15.99	%		1,000.00		1,159.90		12.58
Transportation Fund
Investor Class		1.33	%		27.35	%		1,000.00		1,273.50		7.56
Advisor Class		1.83	%		26.97	%		1,000.00		1,269.70		10.38
A-Class		1.59	%		27.15	%		1,000.00		1,271.50		9.03
C-Class		2.33	%		26.64	%		1,000.00		1,266.40		13.20
Utilities Fund
Investor Class		1.34	%		7.65	%		1,000.00		1,076.50		6.96
Advisor Class		1.83	%		7.37	%		1,000.00		1,073.70		9.49
A-Class		1.58	%		7.49	%		1,000.00		1,074.90		8.20
C-Class		2.34	%		7.11	%		1,000.00		1,071.10		12.12

6     THE RYDEX FUNDSANNUALREPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 2. Based on hypothetical 5% return (before expenses)
Banking Fund
Investor Class		1.32	%		5.00	%	$	1,000.00	$	1,018.40	$	6.66
Advisor Class		1.82	%		5.00	%		1,000.00		1,015.90		9.17
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Basic Materials Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.84	%		5.00	%		1,000.00		1,015.80		9.27
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Biotechnology Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.59	%		5.00	%		1,000.00		1,017.05		8.02
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Consumer Products Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Electronics Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.84	%		5.00	%		1,000.00		1,015.80		9.27
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.34	%		5.00	%		1,000.00		1,013.30		11.78
Energy Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.59	%		5.00	%		1,000.00		1,017.05		8.02
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Energy Services Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Financial Services Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73
Health Care Fund
Investor Class		1.33	%		5.00	%		1,000.00		1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00		1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00		1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00		1,013.35		11.73

THE RYDEX FUNDSANNUALREPORT       7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011			Ending Account Value March 31, 2012		Expenses Paid  During Period2
Internet Fund
Investor Class		1.33	%		5.00	%	$	1,000.00		$	1,018.35	$	6.71
Advisor Class		1.84	%		5.00	%		1,000.00			1,015.80		9.27
A-Class		1.59	%		5.00	%		1,000.00			1,017.05		8.02
C-Class		2.34	%		5.00	%		1,000.00			1,013.30		11.78
Leisure Fund
Investor Class		1.32	%		5.00	%		1,000.00			1,018.40		6.66
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00			1,017.10		7.97
C-Class		2.32	%		5.00	%		1,000.00			1,013.40		11.68
Precious Metals Fund
Investor Class		1.23	%		5.00	%		1,000.00			1,018.85		6.21
Advisor Class		1.74	%		5.00	%		1,000.00			1,016.30		8.77
A-Class		1.48	%		5.00	%		1,000.00			1,017.60		7.47
C-Class		2.24	%		5.00	%		1,000.00			1,013.80		11.28
Retailing Fund
Investor Class		1.33	%		5.00	%		1,000.00			1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.57	%		5.00	%		1,000.00			1,017.15		7.92
C-Class		2.34	%		5.00	%		1,000.00	��		1,013.30		11.78
Technology Fund
Investor Class		1.33	%		5.00	%		1,000.00			1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.57	%		5.00	%		1,000.00			1,017.15		7.92
C-Class		2.34	%		5.00	%		1,000.00			1,013.30		11.78
Telecommunications Fund
Investor Class		1.33	%		5.00	%		1,000.00			1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00			1,017.10		7.97
C-Class		2.33	%		5.00	%		1,000.00			1,013.35		11.73
Transportation Fund
Investor Class		1.33	%		5.00	%		1,000.00			1,018.35		6.71
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.59	%		5.00	%		1,000.00			1,017.05		8.02
C-Class		2.33	%		5.00	%		1,000.00			1,013.35		11.73
Utilities Fund
Investor Class		1.34	%		5.00	%		1,000.00			1,018.30		6.76
Advisor Class		1.83	%		5.00	%		1,000.00			1,015.85		9.22
A-Class		1.58	%		5.00	%		1,000.00			1,017.10		7.97
C-Class		2.34	%		5.00	%		1,000.00			1,013.30		11.78

¹  Annualized.

²  Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

³  Actual cumulative return at net asset value for the period September 30, 2011 to March 31, 2012.

8     THE RYDEX FUNDSANNUALREPORT

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THE RYDEX FUNDSANNUALREPORT       9

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

BANKING FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).

Improving credit conditions and greater stability in banks and diversified financial services has helped performance in this sector in the past few months, and exposure to European banks does not appear to be an immediate threat. Banks are being hampered by weak loan demand due to the underperforming economy, and are confronting new regulations that restrict the fees they can charge consumers. But they offer high capital ratios, good asset quality and adequate deposits, and the recent mortgage settlement with 49 state attorneys general is helping banks address the backlog of foreclosures. Within the sector, all industries that compose the fund detracted from return; commercial banks and diversified financial services are the fund’s two largest components, at 74% and 11%, respectively, but were the smallest detractors from return.

For the one-year period ended March 31, 2012, Banking Fund Investor Class returned -5.89% compared with the S&P 500^® Financials Index*, which returned -1.76%.

U.S. Bancorp, Wells Fargo & Co. and Credicorp Ltd. were among the best-performing stocks in the Fund for the year. The worst-performing holdings for the period were Regions Financial Corp., Bank of America Corp. and Bank of New York Mellon Corp.

*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.

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)
JPMorgan Chase & Co.	4.1	%
U.S. Bancorp	4.0	%
Wells Fargo & Co.	4.0	%
Bank of America Corp.	3.9	%
Citigroup, Inc.	3.9	%
PNC Financial Services Group, Inc.	3.2	%
Bank of New York Mellon Corp.	2.9	%
BB&T Corp.	2.5	%
SunTrust Banks, Inc.	1.9	%
Fifth Third Bancorp	1.9	%
Top Ten Total	32.3	%

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

10     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-5.89	%		-14.19	%		-4.31	%
Advisor Class Shares		-6.43	%		-14.63	%		-4.84	%
C-Class Shares		-6.88	%		-15.01	%		-5.31	%
C-Class Shares with CDSC†		-7.81	%		-15.01	%		-5.31	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Financials Index		-1.76	%		-13.02	%		-3.02	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-6.19	%		-14.45	%		-8.74	%
A-Class Shares with sales charge‡		-10.64	%		-15.28	%		-9.32	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Financials Index		-1.76	%		-13.02	%		-5.39	%

* 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 Financial 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 FUNDSANNUALREPORT       11

SCHEDULE OF INVESTMENTS	March 31, 2012
BANKING FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Regional Banks - 45.4%
PNC Financial Services Group, Inc.		18,217	$	1,174,814
BB&T Corp.		29,889		938,216
SunTrust Banks, Inc.		29,622		715,964
Fifth Third Bancorp		50,326		707,080
M&T Bank Corp.		7,688		667,933
Regions Financial Corp.		93,080		613,397
KeyCorp		66,177		562,505
CIT Group, Inc.*		13,597		560,740
Huntington Bancshares, Inc.		72,906		470,244
First Republic Bank*		13,145		432,996
Zions Bancorporation		18,166		389,842
Commerce Bancshares, Inc.		9,311		377,282
Cullen/Frost Bankers, Inc.		6,403		372,591
First Niagara Financial Group, Inc.		37,221		366,255
East West Bancorp, Inc.		15,772		364,175
Hancock Holding Co.		9,623		341,713
Signature Bank*		5,305		334,427
SVB Financial Group*		5,088		327,362
City National Corp.		6,215		326,101
First Horizon National Corp.		30,857		320,296
Valley National Bancorp		23,991		310,683
Associated Banc-Corp.		21,786		304,133
Bank of Hawaii Corp.		6,101		294,983
Fulton Financial Corp.		27,675		290,588
Prosperity Bancshares, Inc.		6,293		288,219
Webster Financial Corp.		12,154		275,531
TCF Financial Corp.		22,873		271,960
FirstMerit Corp.		16,005		269,844
UMB Financial Corp.		5,925		265,055
FNB Corp.		21,352		257,932
Trustmark Corp.		10,019		250,275
Umpqua Holdings Corp.		18,362		248,989
Susquehanna Bancshares, Inc.		24,986		246,862
Iberiabank Corp.		4,600		245,962
United Bankshares, Inc.		8,090		233,477
Cathay General Bancorp		13,071		231,357
Westamerica Bancorporation		4,771		229,008
National Penn Bancshares, Inc.		25,850		228,773
CVB Financial Corp.		19,250		225,995
Old National Bancorp		17,171		225,627
Wintrust Financial Corp.		6,296		225,334
Texas Capital Bancshares, Inc.*		6,470		223,991
BancorpSouth, Inc.		16,507		222,349
Community Bank System, Inc.		7,400		212,972
PrivateBancorp, Inc.		13,620		206,615
Bank of the Ozarks, Inc.		6,540		204,440
Total Regional Banks				16,854,887
Diversified Banks - 29.7%
U.S. Bancorp		46,963		1,487,788
Wells Fargo & Co.		43,375		1,480,823
Itau Unibanco Holding S.A. ADR		26,648		511,375
Banco Bradesco S.A. ADR		28,801		504,018
Comerica, Inc.		15,414		498,797
New York Community Bancorp, Inc.		35,837		498,493

	SHARES		VALUE
ICICI Bank Ltd. ADR		13,635	$	475,452
HSBC Holdings plc ADR		10,332		458,637
HDFC Bank Ltd. ADR		13,000		443,300
Toronto-Dominion Bank		5,205		442,165
Credicorp Ltd.		3,325		438,302
Barclays plc ADR		28,849		437,062
Royal Bank of Canada		7,418		430,615
Bank of Montreal		7,236		429,963
Banco Santander Chile ADR		4,910		422,702
Bank of Nova Scotia		7,530		421,981
BanColombia S.A. ADR		6,510		420,937
Canadian Imperial Bank of Commerce		5,280		403,867
Banco Santander Brasil S.A. ADR		44,025		403,709
Banco Santander S.A. ADR		51,302		393,486
Total Diversified Banks				11,003,472
Other Diversified Financial Services - 12.9%
JPMorgan Chase & Co.		32,805		1,508,374
Bank of America Corp.		151,733		1,452,085
Citigroup, Inc.		39,088		1,428,666
ING Groep N.V. ADR*		45,600		379,392
Total Other Diversified Financial Services				4,768,517
Thrifts & Mortgage Finance - 5.6%
People’s United Financial, Inc.		32,865		435,132
Hudson City Bancorp, Inc.		52,984		387,313
Ocwen Financial Corp.*		18,020		281,653
Capitol Federal Financial, Inc.		23,671		280,738
Washington Federal, Inc.		15,807		265,874
Northwest Bancshares, Inc.		17,361		220,485
Astoria Financial Corp.		19,816		195,386
Total Thrifts & Mortgage Finance				2,066,581
Asset Management & Custody Banks - 2.9%
Bank of New York Mellon Corp.		44,546		1,074,895
Diversified Capital Markets - 2.3%
Deutsche Bank AG		8,938		445,023
UBS AG*		30,356		425,591
Total Diversified Capital Markets				870,614
Mortgage REITs - 0.7%
CapitalSource, Inc.		36,770		242,682
Total Common Stocks (Cost $32,443,110)				36,881,648
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.8%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	314,021		314,021
Total Repurchase Agreement (Cost $314,021)				314,021
Total Investments - 100.3% (Cost $32,757,131)			$	37,195,669
Other Assets & Liabilities, net - (0.3)%				(100,865	)
Total Net Assets - 100.0%			$	37,094,804

* 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

12     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BANKING FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $32,443,110)	$	36,881,648
Repurchase agreements, at value (cost $314,021)		314,021
Total investments (cost $32,757,131)		37,195,669
Receivables:
Fund shares sold		343,249
Dividends		47,206
Foreign taxes reclaim		237
Total assets		37,586,361
LIABILITIES:
Payable for:
Securities purchased		227,614
Fund shares redeemed		222,319
Management fees		23,210
Transfer agent and administrative fees		6,827
Distribution and service fees		3,398
Portfolio accounting fees		2,730
Miscellaneous		5,459
Total liabilities		491,557
NET ASSETS	$	37,094,804
NET ASSETS CONSISTOF:
Paid in capital	$	58,182,481
Undistributed net investment income		82,877
Accumulated net realized loss on investments		(25,609,092	)
Net unrealized appreciation on investments		4,438,538
Net assets	$	37,094,804
INVESTOR CLASS:
Net assets	$	29,061,185
Capital shares outstanding		621,669
Net asset value per share	$	46.75
ADVISOR CLASS:
Net assets	$	1,104,824
Capital shares outstanding		25,918
Net asset value per share	$	42.63
A-CLASS:
Net assets	$	3,087,554
Capital shares outstanding		71,068
Net asset value per share	$	43.45
Maximum offering price per share (Net asset value divided by 95.25%)	$	45.62
C-CLASS:
Net assets	$	3,841,241
Capital shares outstanding		93,481
Net asset value per share	$	41.09

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,358)	$	264,517
Interest		41
Total investment income		264,558
EXPENSES:
Management fees		96,564
Transfer agent and administrative fees		28,401
Distribution and service fees:
Advisor Class		4,001
A-Class		2,865
C-Class		22,631
Portfolio accounting fees		11,360
Custodian fees		3,018
Trustees’ fees*		1,027
Miscellaneous		11,815
Total expenses		181,682
Net investment income		82,876
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(308,256	)
Net realized loss		(308,256	)
Net change in unrealized appreciation (depreciation) on:
Investments		985,526
Net change in unrealized appreciation (depreciation)		985,526
Net realized and unrealized gain		677,270
Net increase in net assets resulting from operations	$	760,146

* 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 FUNDSANNUALREPORT      13

BANKING FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	82,876		$	8,682
Net realized loss on investments		(308,256	)		(187,828	)
Net change in unrealized appreciation (depreciation) on investments		985,526			(1,197,289	)
Net increase (decrease) in net assets resulting from operations		760,146			(1,376,435	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
Investor Class		(4,887	)		(35,313	)
Advisor Class		(312	)		(5,190	)
A-Class		(1,058	)		(2,945	)
C-Class		(2,425	)		(10,322	)
Total distributions to shareholders		(8,682	)		(53,770	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		74,194,636			164,957,214
Advisor Class		8,893,776			24,430,833
A-Class		7,556,286			5,916,707
C-Class		21,091,736			62,239,417
Distributions reinvested
Investor Class		4,793			21,325
Advisor Class		310			4,972
A-Class		941			2,723
C-Class		2,128			8,842
Cost of shares redeemed
Investor Class		(54,909,089	)		(182,816,064	)
Advisor Class		(8,436,847	)		(24,348,034	)
A-Class		(5,211,904	)		(10,663,178	)
C-Class		(19,941,025	)		(64,846,218	)
Net increase (decrease) from capital share transactions		23,245,741			(25,091,461	)
Net increase (decrease) in net assets		23,997,205			(26,521,666	)
NET ASSETS:
Beginning of year		13,097,599			39,619,265
End of year	$	37,094,804		$	13,097,599
Undistributed net investment income at end of year	$	82,877		$	8,683
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		1,701,638			3,520,121
Advisor Class		227,380			551,252
A-Class		176,291			125,988
C-Class		543,253			1,462,060
Shares issued from reinvestment of distributions
Investor Class		135			484
Advisor Class		10			123
A-Class		28			66
C-Class		68			225
Shares redeemed
Investor Class		(1,255,178	)		(3,864,747	)
Advisor Class		(215,262	)		(565,185	)
A-Class		(124,945	)		(240,955	)
C-Class		(514,199	)		(1,521,121	)
Net increase (decrease) in shares		539,219			(531,689	)

14     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BANKING FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	49.75		$	50.73		$	32.62		$	75.60		$	110.30
Income (loss) from investment operations:
Net investment incomea		.44			.13			.28			1.30			2.50
Net gain (loss) on investments (realized and unrealized)		(3.39	)		(.99	)		20.05			(42.98	)		(36.20	)
Total from investment operations		(2.95	)		(.86	)		20.33			(41.68	)		(33.70	)
Less distributions from:
Net investment income		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Total distributions		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Net asset value, end of period	$	46.75		$	49.75		$	50.73		$	32.62		$	75.60
Total Returnb		(5.89	%)		(1.66	%)		63.48	%		(55.66	%)		(30.69	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	29,061		$	8,711		$	26,340		$	23,804		$	7,035
Ratios to average net assets:
Net investment income		1.02	%		0.27	%		0.67	%		2.42	%		2.59	%
Total expenses		1.34	%		1.39	%		1.38	%		1.37	%		1.37	%
Portfolio turnover rate		544	%		1,130	%		986	%		1,055	%		1,417	%
Advisor Class	Year Ended March  31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010c			Year Ended March 31, 2009c			Year Ended March 31, 2008c
Per Share Data
Net asset value, beginning of period	$	45.63		$	46.79		$	30.36		$	70.70		$	103.90
Income (loss) from investment operations:
Net investment income (loss)a		.12			(.08	)		.06			1.20			2.00
Net gain (loss) on investments (realized and unrealized)		(3.07	)		(.96	)		18.59			(40.24	)		(34.20	)
Total from investment operations		(2.95	)		(1.04	)		18.65			(39.04	)		(32.20	)
Less distributions from:
Net investment income		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Total distributions		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Net asset value, end of period	$	42.63		$	45.63		$	46.79		$	30.36		$	70.70
Total Returnb		(6.43	%)		(2.19	%)		62.66	%		(55.70	%)		(31.14	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,105		$	629		$	1,291		$	2,509		$	1,449
Ratios to average net assets:
Net investment income (loss)		0.30	%		(0.18	%)		0.17	%		2.42	%		2.32	%
Total expenses		1.83	%		1.89	%		1.88	%		1.88	%		1.85	%
Portfolio turnover rate		544	%		1,130	%		986	%		1,055	%		1,417	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      15

BANKING FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	46.38		$	47.41		$	30.67		$	71.50		$	104.70
Income (loss) from investment operations:
Net investment incomea		.30			.04			.02			1.30			2.00
Net gain (loss) on investments (realized and unrealized)		(3.18	)		(.95	)		18.94			(40.83	)		(34.20	)
Total from investment operations		(2.88	)		(.91	)		18.96			(39.53	)		(32.20	)
Less distributions from:
Net investment income		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Total distributions		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Net asset value, end of period	$	43.45		$	46.38		$	47.41		$	30.67		$	71.50
Total Returnb		(6.19	%)		(1.89	%)		63.04	%		(55.77	%)		(30.90	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,088		$	913		$	6,381		$	851		$	547
Ratios to average net assets:
Net investment income		0.73	%		0.09	%		0.06	%		2.71	%		2.33	%
Total expenses		1.61	%		1.64	%		1.63	%		1.62	%		1.55	%
Portfolio turnover rate		544	%		1,130	%		986	%		1,055	%		1,417	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010c			Year Ended March 31, 2009c			Year Ended March 31, 2008c
Per Share Data
Net asset value, beginning of period	$	44.20		$	45.51		$	29.90		$	69.50		$	102.70
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		(.29	)		(.16	)		.90			1.60
Net gain (loss) on investments (realized and unrealized)		(3.05	)		(.90	)		17.99			(39.20	)		(33.80	)
Total from investment operations		(3.06	)		(1.19	)		17.83			(38.30	)		(32.20	)
Less distributions from:
Net investment income		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Total distributions		(.05	)		(.12	)		(2.22	)		(1.30	)		(1.00	)
Net asset value, end of period	$	41.09		$	44.20		$	45.51		$	29.90		$	69.50
Total Returnb		(6.88	%)		(2.58	%)		60.86	%		(55.64	%)		(31.51	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,841		$	2,844		$	5,607		$	2,114		$	3,408
Ratios to average net assets:
Net investment income (loss)		(0.03	%)		(0.67	%)		(0.42	%)		1.82	%		1.89	%
Total expenses		2.35	%		2.38	%		2.38	%		2.40	%		2.35	%
Portfolio turnover rate		544	%		1,130	%		986	%		1,055	%		1,417	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Per share amounts for the period March 31, 2007-April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009.

16     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT       17

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

BASIC MATERIALS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).

For the one-year period ended March 31, 2012, Basic Materials Fund Investor Class returned -11.66% compared with -4.01% for the S&P 500^® Materials Index*.

Materials sector performance shadowed sentiment about the economy over the past 12 months, with weak results last summer aligning with worries about renewed recession. Falling commodity prices and a strengthening dollar also presented headwinds in the last part of 2011, as did weak economic growth in Europe and slowing growth in China.

The Fund is composed largely of two industries—chemicals (37% of the weight) and metals & mining (49% of the weight). Chemicals was the largest contributor to performance, followed by paper and forest products. But their positive showing could not offset poor results for holdings in the metals & mining industry, which as a group had a return of -24% for the year.

The top-performing holdings were Monsanto Co., LyondellBasell Industries N.V. Class A and Sherwin-Williams Co. The worst-performing holdings included Alcoa, Inc., Agnico-Eagle Mines Ltd. and Mechel OAO ADS.

*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.

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)
EI du Pont de Nemours & Co.	2.9	%
Monsanto Co.	2.7	%
Barrick Gold Corp.	2.7	%
Dow Chemical Co.	2.6	%
Goldcorp, Inc.	2.5	%
Praxair, Inc.	2.5	%
Freeport-McMoRan Copper & Gold, Inc.	2.4	%
Vale S.A. ADR	2.4	%
Southern Copper Corp.	2.1	%
LyondellBasell Industries N.V. — Class A	2.1	%
Top Ten Total	24.9	%

“Ten Largest Holdings” exclude any temporary cash orderivative investments.

18     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-11.66	%		3.89	%		7.95	%
Advisor Class Shares		-12.08	%		3.37	%		7.43	%
C-Class Shares		-12.50	%		2.85	%		6.89	%
C-Class Shares with CDSC†		-13.38	%		2.85	%		6.89	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Materials Index		-4.01	%		2.17	%		7.18	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-11.87	%		3.63	%		9.01	%
A-Class Shares with salescharge‡		-16.06	%		2.63	%		8.31	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Materials Index		-4.01	%		2.17	%		7.20	%

* 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 FUNDSANNUALREPORT       19

SCHEDULE OF INVESTMENTS	March 31, 2012
BASIC MATERIALS FUND

	SHARES		VALUE
COMMON STOCKS† - 99.9%
Gold - 18.8%
Barrick Gold Corp.		37,048	$	1,610,847
Goldcorp, Inc.		33,209		1,496,398
Newmont Mining Corp.		23,524		1,206,075
AngloGold Ashanti Ltd. ADR		24,647		909,967
Yamana Gold, Inc.		53,473		835,248
Cia de Minas Buenaventura S.A. ADR		20,485		825,750
Kinross Gold Corp.		82,175		804,493
Gold Fields Ltd. ADR		55,565		772,354
Randgold Resources Ltd. ADR		7,399		650,964
Agnico-Eagle Mines Ltd.		17,394		580,612
Eldorado Gold Corp.		40,580		557,569
IAMGOLD Corp.		39,115		519,838
Royal Gold, Inc.		7,544		492,020
Total Gold				11,262,135
Diversified Metals & Mining -14.7%
Freeport-McMoRan Copper & Gold, Inc.		37,982		1,444,834
Vale S.A. ADR		61,444		1,433,488
Southern Copper Corp.		40,497		1,284,160
BHP Billiton Ltd. ADR		11,014		797,414
Ivanhoe Mines Ltd.*		50,300		791,722
Rio Tinto plc ADR		13,576		754,690
Teck Resources Ltd. — Class B		18,319		653,256
Walter Energy, Inc.		7,855		465,095
Molycorp, Inc.*		12,900		436,407
Compass Minerals International, Inc.		5,400		387,396
Titanium Metals Corp.		27,376		371,219
Total Diversified Metals & Mining				8,819,681
Specialty Chemicals - 12.7%
LyondellBasell Industries N.V. — Class A		28,320		1,236,169
Ecolab, Inc.		17,081		1,054,240
Sherwin-Williams Co.		7,690		835,672
Sigma-Aldrich Corp.		9,991		729,942
Celanese Corp. — Class A		14,467		668,086
Albemarle Corp.		9,236		590,365
International Flavors & Fragrances, Inc.		9,325		546,445
Valspar Corp.		10,825		522,739
WR Grace & Co.*		8,804		508,871
Rockwood Holdings, Inc.*		9,496		495,216
Cytec Industries, Inc.		6,788		412,643
Total Specialty Chemicals				7,600,388
Diversified Chemicals - 11.8%
EI du Pont de Nemours & Co.		32,662		1,727,820
Dow Chemical Co.		45,027		1,559,735
PPG Industries, Inc.		9,894		947,845
FMC Corp.		6,586		697,194
Eastman Chemical Co.		12,734		658,220
Ashland, Inc.		8,812		538,061
Solutia, Inc.		16,400		458,216
Huntsman Corp.		32,058		449,133
Total Diversified Chemicals				7,036,224
Steel - 9.6%
Nucor Corp.		20,967		900,534
Cliffs Natural Resources, Inc.		10,936		757,427
ArcelorMittal		33,140		633,968

	SHARES		VALUE
Gerdau S.A. ADR		60,170	$	579,437
Cia Siderurgica Nacional S.A. ADR		57,103		540,194
Reliance Steel & Aluminum Co.		9,014		509,111
Allegheny Technologies, Inc.		12,202		502,356
United States Steel Corp.		16,906		496,529
Steel Dynamics, Inc.		29,366		426,982
Carpenter Technology Corp.		7,852		410,110
Total Steel				5,756,648
Fertilizers & Agricultural Chemicals - 9.6%
Monsanto Co.		20,302		1,619,289
Mosaic Co.		21,005		1,161,366
Potash Corporation of Saskatchewan, Inc.		22,504		1,028,208
CF Industries Holdings, Inc.		4,694		857,359
Agrium, Inc.		7,293		629,896
Scotts Miracle-Gro Co. — Class A		8,434		456,785
Total Fertilizers & Agricultural Chemicals				5,752,903
Industrial Gases - 5.4%
Praxair, Inc.		12,818		1,469,456
Air Products & Chemicals, Inc.		11,833		1,086,269
Airgas, Inc.		7,361		654,908
Total Industrial Gases				3,210,633
Paper Products - 3.3%
International Paper Co.		27,191		954,404
MeadWestvaco Corp.		18,242		576,265
Domtar Corp.		4,780		455,916
Total Paper Products				1,986,585
Precious Metals & Minerals - 3.1%
Silver Wheaton Corp.		25,526		847,463
Pan American Silver Corp.		17,100		377,226
Coeur d’Alene Mines Corp.*		14,866		352,919
Stillwater Mining Co.*		22,900		289,456
Total Precious Metals & Minerals				1,867,064
Construction Materials - 2.9%
Cemex SAB de CV ADR*		87,498		678,986
Vulcan Materials Co.		13,132		561,130
Martin Marietta Materials, Inc.		5,609		480,299
Total Construction Materials				1,720,415
Metal & Glass Containers - 2.9%
Ball Corp.		15,212		652,291
Crown Holdings, Inc.*		15,507		571,123
Owens-Illinois, Inc.*		20,448		477,256
Total Metal & Glass Containers				1,700,670
Paper Packaging - 2.4%
Rock-Tenn Co. — Class A		7,956		537,507
Sealed Air Corp.		24,129		465,931
Bemis Company, Inc.		14,072		454,385
Total Paper Packaging				1,457,823
Forest Products - 1.4%
Weyerhaeuser Co.		38,086		834,845
Aluminum - 1.3%
Alcoa, Inc.		78,415		785,718
Total Common Stocks (Cost $33,772,583)				59,791,732

20     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
BASIC MATERIALS FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.5%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	284,087	$	284,087
Total Repurchase Agreement (Cost $284,087)				284,087
Total Investments - 100.4% (Cost $34,056,670)			$	60,075,819
Other Assets & Liabilities, net - (0.4)%				(213,975	)
Total Net Assets - 100.0%			$	59,861,844

* Non-income producing security.

^†  Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      21

BASIC MATERIALS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $33,772,583)	$	59,791,732
Repurchase agreements, at value (cost $284,087)		284,087
Total investments (cost $34,056,670)		60,075,819
Cash		7,955
Receivables:
Fund shares sold		509,599
Securities sold		85,935
Dividends		69,945
Total assets		60,749,253
LIABILITIES:
Payable for:
Fund shares redeemed		770,839
Management fees		45,411
Transfer agent and administrative fees		13,356
Distribution and service fees		11,597
Portfolio accounting fees		5,342
Miscellaneous		40,864
Total liabilities		887,409
NET ASSETS	$	59,861,844
NET ASSETS CONSISTOF:
Paid in capital	$	68,382,131
Undistributed net investment income		27,822
Accumulated net realized loss on investments		(34,567,258	)
Net unrealized appreciation on investments		26,019,149
Net assets	$	59,861,844
INVESTOR CLASS:
Net assets	$	36,846,919
Capital shares outstanding		739,946
Net asset value per share	$	49.80
ADVISOR CLASS:
Net assets	$	5,287,360
Capital shares outstanding		113,447
Net asset value per share	$	46.61
A-CLASS:
Net assets	$	9,410,264
Capital shares outstanding		197,760
Net asset value per share	$	47.58
Maximum offering price per share (Net asset value divided by 95.25%)	$	49.95
C-CLASS:
Net assets	$	8,317,301
Capital shares outstanding		187,123
Net asset value per share	$	44.45

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $50,989)	$	1,281,049
Interest		91
Total investment income		1,281,140
EXPENSES:
Management fees		682,501
Transfer agent and administrative fees		200,735
Distribution and service fees:
Advisor Class		39,330
A-Class		33,098
C-Class		99,611
Portfolio accounting fees		80,293
Custodian fees		20,547
Trustees’ fees*		9,528
Tax expense		5,093
Miscellaneous		88,748
Total expenses		1,259,484
Net investment income		21,656
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(8,319,042	)
Foreign currency		1,073
Net realized loss		(8,317,969	)
Net change in unrealized appreciation (depreciation) on:
Investments		(16,403,333	)
Net change in unrealized appreciation (depreciation)		(16,403,333	)
Net realized and unrealized loss		(24,721,302	)
Net decrease in net assets resulting from operations	$	(24,699,646	)

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

22     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BASIC MATERIALS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	21,656		$	(148,914	)
Net realized gain (loss) on investments		(8,317,969	)		11,009,906
Net change in unrealized appreciation (depreciation) on investments		(16,403,333	)		16,475,314
Net increase (decrease) in net assets resulting from operations		(24,699,646	)		27,336,306
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
Investor Class		—			(222,370	)
Advisor Class		—			(21,324	)
A-Class		—			(31,662	)
C-Class		—			(29,598	)
Total distributions to shareholders		—			(304,954	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		158,637,965			290,808,232
Advisor Class		35,677,067			30,920,509
A-Class		13,460,261			17,579,705
C-Class		61,071,902			122,015,297
Distributions reinvested
Investor Class		—			206,954
Advisor Class		—			20,596
A-Class		—			25,164
C-Class		—			28,100
Cost of shares redeemed
Investor Class		(178,091,332	)		(282,325,246	)
Advisor Class		(43,057,527	)		(25,392,783	)
A-Class		(19,707,926	)		(10,581,967	)
C-Class		(64,560,166	)		(119,870,587	)
Net increase (decrease) from capital share transactions		(36,569,756	)		23,433,974
Net increase (decrease) in net assets		(61,269,402	)		50,465,326
NET ASSETS:
Beginning of year		121,131,246			70,665,920
End of year	$	59,861,844		$	121,131,246
Undistributed/(Accumulated) net investment income (loss) at end of year	$	27,822		$	(28,515	)
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		3,036,471			6,100,024
Advisor Class		762,822			676,750
A-Class		266,896			361,833
C-Class		1,333,277			2,837,089
Shares issued from reinvestment of distributions
Investor Class		—			4,118
Advisor Class		—			435
A-Class		—			522
C-Class		—			618
Shares redeemed
Investor Class		(3,602,522	)		(5,796,546	)
Advisor Class		(950,966	)		(584,091	)
A-Class		(405,994	)		(215,761	)
C-Class		(1,408,986	)		(2,799,223	)
Net increase (decrease) in shares		(969,002	)		585,768

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       23

BASIC MATERIALS FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	56.36		$	44.65		$	27.43		$	50.49		$	42.25
Income (loss) from investment operations:
Net investment incomea		.09			—	b		.24			.20			.15
Net gain (loss) on investments (realized and unrealized)		(6.65	)		11.82			17.07			(22.77	)		8.18
Total from investment operations		(6.56	)		11.82			17.31			(22.57	)		8.33
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)
Net asset value, end of period	$	49.80		$	56.36		$	44.65		$	27.43		$	50.49
Total Returnc		(11.66	%)		26.50	%		63.12	%		(44.54	%)		19.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,847		$	73,606		$	44,582		$	98,767		$	120,870
Ratios to average net assets:
Net investment income		0.17	%		0.00	%		0.65	%		0.46	%		0.31	%
Total expenses		1.36	%		1.39	%		1.39	%		1.37	%		1.37	%
Portfolio turnover rate		217	%		292	%		455	%		288	%		225	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	53.00		$	42.20		$	26.06		$	48.27		$	40.61
Income (loss) from investment operations:
Net investment income (loss)a		.08			(.20	)		.03			.05			(.11	)
Net gain (loss) on investments (realized and unrealized)		(6.47	)		11.11			16.20			(21.77	)		7.86
Total from investment operations		(6.39	)		10.91			16.23			(21.72	)		7.75
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)
Net asset value, end of period	$	46.61		$	53.00		$	42.20		$	26.06		$	48.27
Total Returnc		(12.08	%)		25.88	%		62.30	%		(44.83	%)		19.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,287		$	15,986		$	8,799		$	4,705		$	11,899
Ratios to average net assets:
Net investment income (loss)		0.17	%		(0.44	%)		0.07	%		0.13	%		(0.25	%)
Total expenses		1.86	%		1.89	%		1.89	%		1.88	%		1.87	%
Portfolio turnover rate		217	%		292	%		455	%		288	%		225	%

24     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BASIC MATERIALS FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	53.99		$	42.88		$	26.41		$	48.80		$	40.92
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		(.09	)		.15			.12			.03
Net gain (loss) on investments (realized and unrealized)		(6.40	)		11.31			16.41			(22.02	)		7.94
Total from investment operations		(6.41	)		11.22			16.56			(21.90	)		7.97
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)
Net asset value, end of period	$	47.58		$	53.99		$	42.88		$	26.41		$	48.80
Total Returnc		(11.87	%)		26.20	%		62.72	%		(44.71	%)		19.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,410		$	18,187		$	8,159		$	3,986		$	6,985
Ratios to average net assets:
Net investment income (loss)		(0.03	%)		(0.19	%)		0.40	%		0.30	%		0.07	%
Total expenses		1.61	%		1.64	%		1.65	%		1.63	%		1.62	%
Portfolio turnover rate		217	%		292	%		455	%		288	%		225	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	50.80		$	40.67		$	25.24		$	47.02		$	39.76
Income (loss) from investment operations:
Net investment lossa		(.33	)		(.40	)		(.13	)		(.18	)		(.28	)
Net gain (loss) on investments (realized and unrealized)		(6.02	)		10.64			15.65			(21.11	)		7.63
Total from investment operations		(6.35	)		10.24			15.52			(21.29	)		7.35
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)
Net asset value, end of period	$	44.45		$	50.80		$	40.67		$	25.24		$	47.02
Total Returnc		(12.50	%)		25.21	%		61.51	%		(45.11	%)		18.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,317		$	13,353		$	9,125		$	4,024		$	12,725
Ratios to average net assets:
Net investment loss		(0.73	%)		(0.93	%)		(0.37	%)		(0.46	%)		(0.63	%)
Total expenses		2.36	%		2.39	%		2.40	%		2.38	%		2.37	%
Portfolio turnover rate		217	%		292	%		455	%		288	%		225	%

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

^b  Net investment income is less than $0.01 per share.

^c  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       25

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

BIOTECHNOLOGY FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).

For the one-year period ended March 31, 2012, Biotechnology Fund Investor Class returned 26.54% compared with the S&P 500^® Health Care Index*, which returned 16.41%.

The Biotechnology industry had good performance in 2011, as the U.S. Food and Drug Administration approved new drugs at the highest level in seven years. Better safety data from pharmaceutical companies may have contributed to the pickup in the pace of approvals. The approvals help companies replace products whose patents are expiring in the coming months. The leading acquisition for the year was Gilead’s purchase of Pharmasset for almost $11 billion.

Almost all the Fund’s performance was driven by holdings in the biotechnology segment.

The best-performing stocks in the Fund were Pharmasset, Biogen Idec, Inc. and Regeneron Pharmaceuticals, Inc. The worst-performing stocks in the Fund included InterMune, Inc., Dendreon Corp. and Human Genome Sciences, Inc.

*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.

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.	9.1	%
Gilead Sciences, Inc.	7.7	%
Celgene Corp.	7.3	%
Biogen Idec, Inc.	7.0	%
Alexion Pharmaceuticals, Inc.	5.2	%
Regeneron Pharmaceuticals, Inc.	4.0	%
Life Technologies Corp.	3.8	%
Vertex Pharmaceuticals, Inc.	3.7	%
Illumina, Inc.	3.2	%
Amylin Pharmaceuticals, Inc.	3.2	%
Top Ten Total	54.2	%

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

26     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns* Periods Ended 03/31/12
	1 Year			5 Year			10 Year
Investor Class Shares		26.54	%		11.71	%		5.87	%
Advisor Class Shares		25.90	%		11.15	%		5.34	%
C-Class Shares		25.25	%		10.62	%		4.81	%
C-Class Shares with CDSC†		24.25	%		10.62	%		4.81	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Health Care Index		16.41	%		4.39	%		3.17	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		26.19	%		11.43	%		9.21	%
A-Class Shares with sales charge‡		20.19	%		10.36	%		8.51	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Health Care Index		16.41	%		4.39	%		5.33	%

* 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 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 FUNDSANNUALREPORT       27

SCHEDULE OF INVESTMENTS	March 31, 2012
BIOTECHNOLOGY FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Biotechnology - 88.1%
Amgen, Inc.		146,694	$	9,973,725
Gilead Sciences, Inc.*		171,542		8,379,827
Celgene Corp.*		103,017		7,985,878
Biogen Idec, Inc.*		60,558		7,628,491
Alexion Pharmaceuticals, Inc.*		61,276		5,690,089
Regeneron Pharmaceuticals, Inc.*		37,796		4,407,770
Vertex Pharmaceuticals, Inc.*		97,122		3,982,973
Amylin Pharmaceuticals, Inc.*		138,939		3,467,917
BioMarin Pharmaceutical, Inc.*		78,411		2,685,577
Alkermes plc*		122,329		2,269,203
Medivation, Inc.*		30,224		2,258,337
Cubist Pharmaceuticals, Inc.*		51,668		2,234,641
Cepheid, Inc.*		53,376		2,232,718
Ariad Pharmaceuticals, Inc.*		138,575		2,210,271
Incyte Corporation Ltd.*		112,869		2,178,372
United Therapeutics Corp.*		45,183		2,129,475
Onyx Pharmaceuticals, Inc.*		56,366		2,123,871
Seattle Genetics, Inc.*		104,114		2,121,843
Pharmacyclics, Inc.*		68,980		1,914,885
Myriad Genetics, Inc.*		79,572		1,882,674
Dendreon Corp.*		167,496		1,784,670
Theravance, Inc.*		90,450		1,763,775
Human Genome Sciences, Inc.*		210,404		1,733,729
Halozyme Therapeutics, Inc.*		130,300		1,662,628
Amarin Corporation plc ADR*		135,760		1,536,803
Idenix Pharmaceuticals, Inc.*		138,400		1,354,936
Acorda Therapeutics, Inc.*		50,695		1,345,952
InterMune, Inc.*		89,155		1,307,904
PDL BioPharma, Inc.		201,893		1,282,021
Momenta Pharmaceuticals, Inc.*		78,935		1,209,284
Exelixis, Inc.*		224,800		1,164,464
Spectrum Pharmaceuticals, Inc.*		90,600		1,144,278
Achillion Pharmaceuticals, Inc.*		114,700		1,098,826
Total Biotechnology				96,147,807
Life Sciences Tools & Services - 11.4%
Life Technologies Corp.*		83,800		4,091,116
Illumina, Inc.*		67,229		3,536,918
Charles River Laboratories International, Inc.*		50,100		1,808,109
Bio-Rad Laboratories, Inc. — Class A*		14,900		1,544,981
Techne Corp.		20,800		1,458,080
Total Life Sciences Tools & Services				12,439,204
Total Common Stocks (Cost $62,767,174)				108,587,011

	SHARES		VALUE
RIGHTS - 0.0%
Clinical Data, Inc.
Expires 12/31/20*,†††,1		24,000	$	—
Total Rights (Cost $—)				—
	FACE AMOUNT
REPURCHASE AGREEMENT††,2 - 0.7%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	711,822		711,822
Total Repurchase Agreement (Cost $711,822)				711,822
Total Investments - 100.2% (Cost $63,478,996)			$	109,298,833
Other Assets & Liabilities, net - (0.2)%				(247,767	)
Total Net Assets - 100.0%			$	109,051,066

* 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  Illiquid security.

²  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

28     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BIOTECHNOLOGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $62,767,174)	$	108,587,011
Repurchase agreements, at value (cost $711,822)		711,822
Total investments (cost $63,478,996)		109,298,833
Receivables:
Securities sold		1,295,029
Fund shares sold		318,275
Total assets		110,912,137
LIABILITIES:
Payable for:
Fund shares redeemed		1,699,989
Management fees		75,690
Transfer agent and administrative fees		22,262
Distribution and service fees		10,182
Portfolio accounting fees		8,904
Miscellaneous		44,044
Total liabilities		1,861,071
NET ASSETS	$	109,051,066
NET ASSETS CONSISTOF:
Paid in capital	$	126,977,077
Accumulated net investment loss		(589,343	)
Accumulated net realized loss on investments		(63,156,505	)
Net unrealized appreciation on investments		45,819,837
Net assets	$	109,051,066
INVESTOR CLASS:
Net assets	$	89,027,482
Capital shares outstanding		2,412,697
Net asset value per share	$	36.90
ADVISOR CLASS:
Net assets	$	8,313,203
Capital shares outstanding		242,569
Net asset value per share	$	34.27
A-CLASS:
Net assets	$	4,741,050
Capital shares outstanding		135,922
Net asset value per share	$	34.88
Maximum offering price per share (Net asset value divided by 95.25%)	$	36.62
C-CLASS:
Net assets	$	6,969,331
Capital shares outstanding		210,926
Net asset value per share	$	33.04

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	252,492
Interest		99
Total investment income		252,591
EXPENSES:
Management fees		792,409
Transfer agent and administrative fees		233,061
Distribution and service fees:
Advisor Class		36,542
A-Class		11,269
C-Class		43,218
Portfolio accounting fees		93,224
Custodian fees		32,606
Trustees’ fees*		8,017
Miscellaneous		107,679
Total expenses		1,358,025
Net investment loss		(1,105,434	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(1,767,250	)
Net realized loss		(1,767,250	)
Net change in unrealized appreciation (depreciation) on:
Investments		12,875,710
Net change in unrealized appreciation (depreciation)		12,875,710
Net realized and unrealized gain		11,108,460
Net increase in net assets resulting from operations	$	10,003,026

* 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 FUNDSANNUALREPORT    29

BIOTECHNOLOGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(1,105,434	)	$	(864,668	)
Net realized gain (loss) on investments		(1,767,250	)		5,894,249
Net change in unrealized appreciation (depreciation) on investments		12,875,710			(5,568,909	)
Net increase (decrease) in net assets resulting from operations		10,003,026			(539,328	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		409,078,194			200,353,498
Advisor Class		57,985,279			32,859,417
A-Class		13,301,426			4,397,821
C-Class		41,235,486			83,602,839
Cost of shares redeemed
Investor Class		(373,528,443	)		(302,455,838	)
Advisor Class		(57,829,153	)		(34,822,391	)
A-Class		(10,403,210	)		(5,002,905	)
C-Class		(38,491,682	)		(85,042,173	)
Net increase (decrease) from capital share transactions		41,347,897			(106,109,732	)
Net increase (decrease) in net assets		51,350,923			(106,649,060	)
NET ASSETS:
Beginning of year		57,700,143			164,349,203
End of year	$	109,051,066		$	57,700,143
Accumulated net investment loss at end of year	$	(589,343	)	$	(7,214	)
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		12,989,084			7,766,203
Advisor Class		2,002,963			1,325,998
A-Class		438,491			181,773
C-Class		1,445,494			3,546,616
Shares redeemed
Investor Class		(12,108,672	)		(11,632,862	)
Advisor Class		(2,032,560	)		(1,410,259	)
A-Class		(382,591	)		(212,222	)
C-Class		(1,363,188	)		(3,606,457	)
Net increase (decrease) in shares		989,021			(4,041,210	)

30     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

BIOTECHNOLOGY FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	29.16		$	27.34		$	19.37		$	21.51		$	21.21
Income (loss) from investment operations:
Net investment lossa		(.34	)		(.33	)		(.21	)		(.19	)		(.22	)
Net gain (loss) on investments (realized and unrealized)		8.08			2.15			8.18			(1.95	)		.52
Total from investment operations		7.74			1.82			7.97			(2.14	)		.30
Net asset value, end of period	$	36.90		$	29.16		$	27.34		$	19.37		$	21.51
Total Returnb		26.54	%		6.66	%		41.15	%		(9.95	%)		1.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	89,027		$	44,686		$	147,631		$	65,829		$	47,696
Ratios to average net assets:
Net investment loss		(1.09	%)		(1.26	%)		(0.90	%)		(0.86	%)		(0.94	%)
Total expenses		1.36	%		1.39	%		1.39	%		1.38	%		1.39	%
Portfolio turnover rate		333	%		337	%		316	%		370	%		193	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.22		$	25.66		$	18.27		$	20.39		$	20.20
Income (loss) from investment operations:
Net investment lossa		(.48	)		(.43	)		(.30	)		(.29	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		7.53			1.99			7.69			(1.83	)		.50
Total from investment operations		7.05			1.56			7.39			(2.12	)		.19
Net asset value, end of period	$	34.27		$	27.22		$	25.66		$	18.27		$	20.39
Total Returnb		25.90	%		6.08	%		40.45	%		(10.40	%)		0.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,313		$	7,410		$	9,144		$	6,675		$	4,220
Ratios to average net assets:
Net investment loss		(1.65	%)		(1.77	%)		(1.38	%)		(1.40	%)		(1.42	%)
Total expenses		1.87	%		1.89	%		1.89	%		1.88	%		1.89	%
Portfolio turnover rate		333	%		337	%		316	%		370	%		193	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       31

BIOTECHNOLOGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.64		$	25.98		$	18.45		$	20.54		$	20.30
Income (loss) from investment operations:
Net investment lossa		(.37	)		(.37	)		(.25	)		(.24	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		7.61			2.03			7.78			(1.85	)		.51
Total from investment operations		7.24			1.66			7.53			(2.09	)		.24
Net asset value, end of period	$	34.88		$	27.64		$	25.98		$	18.45		$	20.54
Total Returnb		26.19	%		6.39	%		40.81	%		(10.18	%)		1.18	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,741		$	2,211		$	2,869		$	4,346		$	2,321
Ratios to average net assets:
Net investment loss		(1.30	%)		(1.51	%)		(1.12	%)		(1.17	%)		(1.26	%)
Total expenses		1.61	%		1.64	%		1.64	%		1.64	%		1.62	%
Portfolio turnover rate		333	%		337	%		316	%		370	%		193	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	26.38		$	24.96		$	17.87		$	20.03		$	19.95
Income (loss) from investment operations:
Net investment lossa		(.58	)		(.54	)		(.38	)		(.38	)		(.42	)
Net gain (loss) on investments (realized and unrealized)		7.24			1.96			7.47			(1.78	)		.50
Total from investment operations		6.66			1.42			7.09			(2.16	)		.08
Net asset value, end of period	$	33.04		$	26.38		$	24.96		$	17.87		$	20.03
Total Returnb		25.25	%		5.65	%		39.68	%		(10.78	%)		0.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,969		$	3,393		$	4,705		$	4,028		$	3,671
Ratios to average net assets:
Net investment loss		(2.06	%)		(2.27	%)		(1.78	%)		(1.89	%)		(1.99	%)
Total expenses		2.36	%		2.39	%		2.39	%		2.39	%		2.38	%
Portfolio turnover rate		333	%		337	%		316	%		370	%		193	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

32     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT       33

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

CONSUMER PRODUCTS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).

Continuing uneven economic recovery was a positive for the group in the past year, as earnings from Consumer Staples stocks tend to hold up in tough economic times. Investors may lose interest in the defensive characteristics of the sector’s stocks as the economy continues to improve. Company fundamentals remain solid and the sector’s higher exposure to emerging markets compared with other sectors has benefited performance. The sector has also enjoyed healthy dividend growth—according to UBS Wealth Management Research, the sector has increased dividends at an annualized rate of 10% over the past 10 years.

For the one-year period ended March 31, 2012, Consumer Products Fund Investor Class returned 15.06%, compared with 17.34% for the S&P 500^® Consumer Staples Index*.

Within the sector, all industries were contributors to performance. The beverages and tobacco industries were the biggest contributors to Fund performance. Food and staples retailing was the weakest contributor to Fund performance.

Fund performance for the year got the biggest boost from Philip Morris International, Inc., Monster Beverage Corp. and Kraft Foods, Inc. The weakest performers were Green Mountain Coffee Roasters, Inc., Avon Products, Inc. and Diamond Foods, Inc.

*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.

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.	6.0	%
Coca-Cola Co.	5.8	%
Philip Morris International, Inc.	5.5	%
PepsiCo, Inc.	4.5	%
Kraft Foods, Inc. — Class A	3.6	%
Altria Group, Inc.	3.5	%
Colgate-Palmolive Co.	3.0	%
Kimberly-Clark Corp.	2.4	%
General Mills, Inc.	2.2	%
Reynolds American, Inc.	2.1	%
Top Ten Total	38.6	%

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

34     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		15.06	%		7.13	%		7.60	%
Advisor Class Shares		14.49	%		6.62	%		7.09	%
C-Class Shares		13.91	%		6.08	%		6.52	%
C-Class Shares with CDSC†		12.91	%		6.08	%		6.52	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Consumer Staples Index		17.34	%		8.31	%		6.69	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		14.80	%		6.88	%		8.10	%
A-Class Shares with sales charge‡		9.35	%		5.84	%		7.40	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Consumer Staples Index		17.34	%		8.31	%		8.79	%

* 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 FUNDSANNUALREPORT       35

SCHEDULE OF INVESTMENTS	March 31, 2012
CONSUMER PRODUCTS FUND

	SHARES		VALUE
COMMON STOCKS† - 99.6%
Packaged Foods & Meats - 29.3%
Kraft Foods, Inc. — Class A		190,892	$	7,255,804
General Mills, Inc.		114,587		4,520,457
Kellogg Co.		73,340		3,933,224
HJ Heinz Co.		69,027		3,696,396
Mead Johnson Nutrition Co. — Class A		44,706		3,687,351
Hershey Co.		54,242		3,326,662
Sara Lee Corp.		146,615		3,156,621
Campbell Soup Co.		86,977		2,944,171
ConAgra Foods, Inc.		111,242		2,921,215
JM Smucker Co.		33,352		2,713,519
Hormel Foods Corp.		84,556		2,496,093
McCormick & Company, Inc.		45,023		2,450,602
Tyson Foods, Inc. — Class A		121,465		2,326,055
Green Mountain Coffee Roasters, Inc.*		49,267		2,307,666
Unilever N.V.		65,821		2,239,889
BRF - Brasil Foods S.A. ADR		99,600		1,992,996
Ralcorp Holdings, Inc.*		24,700		1,830,023
Smithfield Foods, Inc.*		75,136		1,655,246
Flowers Foods, Inc.		72,685		1,480,593
Dean Foods Co.*		110,321		1,335,987
TreeHouse Foods, Inc.*		22,232		1,322,804
Total Packaged Foods & Meats				59,593,374
Soft Drinks - 15.6%
Coca-Cola Co.		158,978		11,765,963
PepsiCo, Inc.		137,704		9,136,660
Monster Beverage Corp.*		47,588		2,954,739
Dr Pepper Snapple Group, Inc.		66,105		2,658,082
Coca-Cola Enterprises, Inc.		91,334		2,612,152
Fomento Economico Mexicano SAB de CV ADR		30,563		2,514,418
Total Soft Drinks				31,642,014
Household Products - 14.8%
Procter & Gamble Co.		179,980		12,096,455
Colgate-Palmolive Co.		62,981		6,158,282
Kimberly-Clark Corp.		65,002		4,802,998
Clorox Co.		38,677		2,659,044
Church & Dwight Company, Inc.		47,898		2,356,103
Energizer Holdings, Inc.*		26,035		1,931,276
Total Household Products				30,004,158
Tobacco - 12.9%
Philip Morris International, Inc.		125,101		11,085,200
Altria Group, Inc.		231,255		7,138,842
Reynolds American, Inc.		104,978		4,350,288
Lorillard, Inc.		28,175		3,648,099
Total Tobacco				26,222,429
Personal Products - 5.4%
Estee Lauder Companies, Inc. — Class A		69,880		4,328,367
Avon Products, Inc.		134,002		2,594,279

	SHARES		VALUE
Herbalife Ltd.		36,071	$	2,482,406
Nu Skin Enterprises, Inc. — Class A		28,630		1,657,963
Total Personal Products				11,063,015
Food Retail - 5.4%
Whole Foods Market, Inc.		41,357		3,440,902
Kroger Co.		137,143		3,322,975
Safeway, Inc.		99,875		2,018,474
Harris Teeter Supermarkets, Inc.*		31,000		1,243,100
SUPERVALU, Inc.		163,646		934,419
Total Food Retail				10,959,870
Agricultural Products - 4.9%
Archer-Daniels-Midland Co.		127,643		4,041,178
Bunge Ltd.		41,046		2,809,188
Corn Products International, Inc.		33,114		1,909,022
Darling International, Inc.*		72,360		1,260,511
Total Agricultural Products				10,019,899
Distillers & Vintners - 4.9%
Brown-Forman Corp. — Class B		37,071		3,091,351
Beam, Inc.		46,600		2,729,362
Diageo plc ADR		22,500		2,171,250
Constellation Brands, Inc. — Class A*		83,454		1,968,680
Total Distillers & Vintners				9,960,643
Brewers - 3.9%
Cia de Bebidas das Americas ADR		69,740		2,881,656
Molson Coors Brewing Co. — Class B		57,787		2,614,862
Anheuser-Busch InBev N.V. ADR		32,022		2,328,640
Total Brewers				7,825,158
Food Distributors - 2.5%
Sysco Corp.		124,695		3,723,393
United Natural Foods, Inc.*		28,700		1,339,142
Total Food Distributors				5,062,535
Total Common Stocks (Cost $168,703,998)				202,353,095
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	1,246,051		1,246,051
Total Repurchase Agreement (Cost $1,246,051)				1,246,051
Total Investments - 100.2% (Cost $169,950,049)			$	203,599,146
Other Assets & Liabilities, net - (0.2)%				(458,919	)
Total Net Assets - 100.0%			$	203,140,227

* 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

36     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

CONSUMER PRODUCTS FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $168,703,998)	$	202,353,095
Repurchase agreements, at value (cost $1,246,051)		1,246,051
Total investments (cost $169,950,049)		203,599,146
Cash		6,460
Receivables:
Fund shares sold		3,135,990
Dividends		537,593
Total assets		207,279,189
LIABILITIES:
Payable for:
Securities purchased		3,048,521
Fund shares redeemed		819,389
Management fees		137,043
Transfer agent and administrative fees		40,307
Distribution and service fees		18,214
Portfolio accounting fees		16,123
Miscellaneous		59,365
Total liabilities		4,138,962
NET ASSETS	$	203,140,227
NET ASSETS CONSISTOF:
Paid in capital	$	183,034,791
Undistributed net investment income		—
Accumulated net realized loss on investments		(13,543,661	)
Net unrealized appreciation on investments		33,649,097
Net assets	$	203,140,227
INVESTOR CLASS:
Net assets	$	155,431,907
Capital shares outstanding		3,867,854
Net asset value per share	$	40.19
ADVISOR CLASS:
Net assets	$	16,975,262
Capital shares outstanding		457,807
Net asset value per share	$	37.08
A-CLASS:
Net assets	$	21,021,388
Capital shares outstanding		554,173
Net asset value per share	$	37.93
Maximum offering price per share (Net asset value divided by 95.25%)	$	39.82
C-CLASS:
Net assets	$	9,711,670
Capital shares outstanding		276,624
Net asset value per share	$	35.11

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $3,721)	$	3,377,993
Interest income		175
Total investment income		3,378,168
EXPENSES:
Management fees		1,090,481
Transfer agent and administrative fees		320,729
Distribution and service fees:
Advisor Class		56,619
A-Class		32,891
C-Class		57,863
Portfolio accounting fees		128,291
Custodian fees		34,703
Trustees’ fees*		8,775
Miscellaneous		142,888
Total expenses		1,873,240
Net investment income		1,504,928
NET REALIZEDAND UNREALIZED GAIN (Loss):
Net realized gain (loss) on:
Investments		(6,633,752	)
Net realized loss		(6,633,752	)
Net change in unrealized appreciation (depreciation) on:
Investments		20,261,583
Net change in unrealized appreciation (depreciation)		20,261,583
Net realized and unrealized gain		13,627,831
Net increase in net assets resulting from operations	$	15,132,759

* 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 FUNDSANNUALREPORT       37

CONSUMER PRODUCTS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	1,504,928		$	1,510,144
Net realized gain (loss) on investments		(6,633,752	)		23,091,560
Net change in unrealized appreciation (depreciation) on investments		20,261,583			(13,671,959	)
Net increase in net assets resulting from operations		15,132,759			10,929,745
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Investor Class		(990,072	)		(1,233,220	)
Advisor Class		(144,687	)		(155,870	)
A-Class		(240,403	)		(80,810	)
C-Class		(134,982	)		(110,514	)
Net realized gains
Investor Class		(1,589,392	)		(8,588,996	)
Advisor Class		(232,270	)		(1,085,584	)
A-Class		(385,926	)		(562,819	)
C-Class		(216,691	)		(769,755	)
Total distributions to shareholders		(3,934,423	)		(12,587,568	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		659,811,510			390,995,240
Advisor Class		75,806,217			35,315,185
A-Class		31,615,141			6,689,410
C-Class		57,692,984			68,579,568
Distributions reinvested
Investor Class		2,488,504			9,569,300
Advisor Class		373,093			1,219,720
A-Class		494,046			593,646
C-Class		339,654			861,273
Cost of shares redeemed
Investor Class		(573,144,067	)		(525,670,868	)
Advisor Class		(63,966,727	)		(38,462,251	)
A-Class		(17,284,638	)		(22,692,937	)
C-Class		(52,151,706	)		(69,681,980	)
Net increase (decrease) from capital share transactions		122,074,011			(142,684,694	)
Net increase (decrease) in net assets		133,272,347			(144,342,517	)
NET ASSETS:
Beginning of year		69,867,880			214,210,397
End of year	$	203,140,227		$	69,867,880
Undistributed net investment income at end of year	$	—		$	1,510,146
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		17,440,289			10,684,021
Advisor Class		2,159,455			1,029,449
A-Class		881,716			191,526
C-Class		1,721,281			2,055,708
Shares issued from reinvestment of distributions
Investor Class		69,356			283,619
Advisor Class		11,251			38,795
A-Class		14,574			18,540
C-Class		10,800			28,671
Shares redeemed
Investor Class		(15,233,138	)		(14,211,944	)
Advisor Class		(1,815,584	)		(1,128,358	)
A-Class		(488,025	)		(650,900	)
C-Class		(1,563,405	)		(2,097,770	)
Net increase (decrease) in shares		3,208,570			(3,758,643	)

38     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

CONSUMER PRODUCTS FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	36.37		$	37.83		$	26.39		$	36.40		$	36.11
Income (loss) from investment operations:
Net investment incomea		.49			.69			.50			.55			.52
Net gain (loss) on investments (realized and unrealized)		4.82			4.40			11.04			(10.35	)		.13
Total from investment operations		5.31			5.09			11.54			(9.80	)		.65
Less distributions from:
Net investment income		(.57	)		(.82	)		(.10	)		(.21	)		(.36	)
Net realized gains		(.92	)		(5.73	)		—			—			—
Total distributions		(1.49	)		(6.55	)		(.10	)		(.21	)		(.36	)
Net asset value, end of period	$	40.19		$	36.37		$	37.83		$	26.39		$	36.40
Total Returnb		15.06	%		14.81	%		43.75	%		(26.96	%)		1.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	155,432		$	57,876		$	182,915		$	14,703		$	8,722
Ratios to average net assets:
Net investment income		1.29	%		1.84	%		1.46	%		1.81	%		1.37	%
Total expenses		1.35	%		1.38	%		1.37	%		1.38	%		1.37	%
Portfolio turnover rate		402	%		400	%		200	%		445	%		449	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	33.84		$	35.77		$	25.09		$	34.78		$	34.68
Income (loss) from investment operations:
Net investment incomea		.24			.62			.35			.34			.15
Net gain (loss) on investments (realized and unrealized)		4.49			4.00			10.43			(9.82	)		.31
Total from investment operations		4.73			4.62			10.78			(9.48	)		.46
Less distributions from:
Net investment income		(.57	)		(.82	)		(.10	)		(.21	)		(.36	)
Net realized gains		(.92	)		(5.73	)		—			—			—
Total distributions		(1.49	)		(6.55	)		(.10	)		(.21	)		(.36	)
Net asset value, end of period	$	37.08		$	33.84		$	35.77		$	25.09		$	34.78
Total Returnb		14.49	%		14.32	%		42.99	%		(27.29	%)		1.25	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,975		$	3,475		$	5,824		$	11,113		$	5,384
Ratios to average net assets:
Net investment income		0.68	%		1.78	%		1.17	%		1.18	%		0.42	%
Total expenses		1.84	%		1.88	%		1.88	%		1.87	%		1.87	%
Portfolio turnover rate		402	%		400	%		200	%		445	%		449	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       39

CONSUMER PRODUCTS FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	34.49		$	36.26		$	25.37		$	35.09		$	34.90
Income (loss) from investment operations:
Net investment incomea		.40			.41			.55			.42			.50
Net gain (loss) on investments (realized and unrealized)		4.53			4.37			10.44			(9.93	)		.05
Total from investment operations		4.93			4.78			10.99			(9.51	)		.55
Less distributions from:
Net investment income		(.57	)		(.82	)		(.10	)		(.21	)		(.36	)
Net realized gains		(.92	)		(5.73	)		—			—			—
Total distributions		(1.49	)		(6.55	)		(.10	)		(.21	)		(.36	)
Net asset value, end of period	$	37.93		$	34.49		$	36.26		$	25.37		$	35.09
Total Returnb		14.80	%		14.58	%		43.34	%		(27.14	%)		1.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	21,021		$	5,033		$	21,277		$	2,898		$	1,682
Ratios to average net assets:
Net investment income		1.11	%		1.14	%		1.72	%		1.41	%		1.38	%
Total expenses		1.60	%		1.63	%		1.63	%		1.63	%		1.63	%
Portfolio turnover rate		402	%		400	%		200	%		445	%		449	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	32.28		$	34.57		$	24.36		$	33.95		$	34.04
Income (loss) from investment operations:
Net investment incomea		.12			.30			.24			.19			.17
Net gain (loss) on investments (realized and unrealized)		4.20			3.96			10.07			(9.57	)		.10
Total from investment operations		4.32			4.26			10.31			(9.38	)		.27
Less distributions from:
Net investment income		(.57	)		(.82	)		(.10	)		(.21	)		(.36	)
Net realized gains		(.92	)		(5.73	)		—			—			—
Total distributions		(1.49	)		(6.55	)		(.10	)		(.21	)		(.36	)
Net asset value, end of period	$	35.11		$	32.28		$	34.57		$	24.36		$	33.95
Total Returnb		13.91	%		13.78	%		42.35	%		(27.67	%)		0.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,712		$	3,484		$	4,194		$	3,067		$	3,903
Ratios to average net assets:
Net investment income		0.36	%		0.90	%		0.77	%		0.65	%		0.49	%
Total expenses		2.35	%		2.38	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		402	%		400	%		200	%		445	%		449	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

40     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT       41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ELECTRONICS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).

The semiconductor industry had a difficult year, impacted by a weak global economy, lower demand and supply chain disruptions caused by natural disasters in Japan and Thailand.

For the one-year period ended March 31, 2012, Electronics Fund Investor Class returned -9.05%, compared with 20.21% for the S&P 500^® Information Technology Index*.

The semiconductors & semiconductor equipment industry accounted for most of the negative Fund return.

For the year, Fund performance got the biggest boost from Intel Corp., National Semiconductor Corp. and KLA-Tencor Corp. MEMC Electronic Materials, Inc., Trina Solar Ltd ADR and First Solar, Inc. were among the stocks which provided the least to Fund performance for the period.

*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.

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.	11.6	%
Texas Instruments, Inc.	6.0	%
Broadcom Corp. — Class A	4.5	%
Applied Materials, Inc.	3.9	%
Altera Corp.	3.5	%
Analog Devices, Inc.	3.4	%
NVIDIA Corp.	3.1	%
Xilinx, Inc.	3.0	%
Avago Technologies Ltd.	3.0	%
KLA-Tencor Corp.	3.0	%
Top Ten Total	45.0	%

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

42     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-9.05	%		-2.43	%		-4.22	%
Advisor Class Shares		-9.46	%		-2.85	%		-4.69	%
C-Class Shares		-10.01	%		-3.33	%		-5.16	%
C-Class Shares with CDSC†		-10.91	%		-3.33	%		-5.16	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Information Technology Index		20.21	%		8.15	%		5.06	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-9.31	%		-2.72	%		1.66	%
A-Class Shares with sales charge‡		-13.61	%		-3.66	%		1.01	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Information Technology Index		20.21	%		8.15	%		8.65	%

* 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 FUNDSANNUALREPORT       43

SCHEDULE OF INVESTMENTS	March 31, 2012
ELECTRONICS FUND

		SHARES		VALUE
COMMON STOCKS† - 99.6%
Semiconductors - 81.9%
Intel Corp.			31,566	$	887,321
Texas Instruments, Inc.			13,720		461,130
Broadcom Corp. — Class A*			8,820		346,626
Altera Corp.			6,727		267,869
Analog Devices, Inc.			6,386		257,994
NVIDIA Corp.*			15,350		236,237
Xilinx, Inc.			6,375		232,241
Avago Technologies Ltd.			5,921		230,741
Marvell Technology Group Ltd.*			14,233		223,885
Maxim Integrated Products, Inc.			7,501		214,454
Linear Technology Corp.			6,120		206,244
Micron Technology, Inc.*			25,195		204,080
Microchip Technology, Inc.			5,374		199,913
Taiwan Semiconductor Manufacturing Company Ltd. ADR			11,887		181,633
Advanced Micro Devices, Inc.*			21,782		174,692
Skyworks Solutions, Inc.*			6,034		166,840
LSI Corp.*			18,799		163,175
Atmel Corp.*			15,504		152,869
ON Semiconductor Corp.*			16,435		148,079
Cree, Inc.*			4,494		142,145
ARM Holdings plc ADR			4,806		135,962
Cypress Semiconductor Corp.*			7,357		114,990
Fairchild Semiconductor International, Inc. — Class A*			6,894		101,342
Silicon Laboratories, Inc.*			2,347		100,921
Semtech Corp.*			3,540		100,748
PMC - Sierra, Inc.*			13,413		96,976
Cirrus Logic, Inc.*			3,828		91,106
Trina Solar Ltd. ADR*			12,720		90,694
Cavium, Inc.*			2,841		87,901
Intersil Corp. — Class A			7,847		87,886
TriQuint Semiconductor, Inc.*			11,740		80,947
Omnivision Technologies, Inc.*			3,782		75,640
Total Semiconductors					6,263,281
Semiconductor Equipment - 16.3%
Applied Materials, Inc.			23,760		295,574
KLA-Tencor Corp.			4,171		226,986
Lam Research Corp.*	��		3,857		172,099
Novellus Systems, Inc.*			2,805		139,998
Teradyne, Inc.*			7,821		132,097
ASML Holding N.V. ADR			2,632		131,968
Veeco Instruments, Inc.*			2,597		74,274
GT Advanced Technologies, Inc.*			8,899		73,595
Total Semiconductor Equipment					1,246,591
Electrical Components & Equipment - 1.4%
First Solar, Inc.*			4,165		104,333
Total Common Stocks (Cost $4,910,957)					7,614,205

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	47,096	$	47,096
Total Repurchase Agreement (Cost $47,096)				47,096
Total Investments - 100.2% (Cost $4,958,053)			$	7,661,301
Other Assets & Liabilities, net - (0.2)%				(15,317	)
Total Net Assets - 100.0%			$	7,645,984

* 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 FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

ELECTRONICS FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $4,910,957)	$	7,614,205
Repurchase agreements, at value (cost $47,096)		47,096
Total investments (cost $4,958,053)		7,661,301
Receivables:
Securities sold		631,698
Fund shares sold		547,533
Dividends		753
Total assets		8,841,285
LIABILITIES:
Payable for:
Fund shares redeemed		1,180,412
Management fees		5,594
Transfer agent and administrative fees		1,645
Distribution and service fees		921
Portfolio accounting fees		658
Miscellaneous		6,071
Total liabilities		1,195,301
NET ASSETS	$	7,645,984
NET ASSETS CONSIST OF:
Paid in capital	$	33,477,179
Accumulated net investment loss		(14,534	)
Accumulated net realized loss on investments		(28,519,909	)
Net unrealized appreciation on investments		2,703,248
Net assets	$	7,645,984
INVESTOR CLASS:
Net assets	$	5,453,383
Capital shares outstanding		98,994
Net asset value per share	$	55.09
ADVISOR CLASS:
Net assets	$	1,270,899
Capital shares outstanding		24,726
Net asset value per share	$	51.40
A-CLASS:
Net assets	$	659,099
Capital shares outstanding		12,618
Net asset value per share	$	52.23
Maximum offering price per share (Net asset value divided by 95.25%)	$	54.83
C-CLASS:
Net assets	$	262,603
Capital shares outstanding		5,305
Net asset value per share	$	49.50

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $241)	$	100,934
Interest		13
Total investment income		100,947
EXPENSES:
Management fees		75,916
Transfer agent and administrative fees		22,328
Distribution and service fees:
Advisor Class		9,482
A-Class		1,607
C-Class		9,590
Portfolio accounting fees		8,932
Registration fees		14,589
Custodian fees		2,206
Trustees’ fees*		1,607
Miscellaneous		(4,672	)
Total expenses		141,585
Net investment loss		(40,638	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		645,228
Net realized gain		645,228
Net change in unrealized appreciation (depreciation) on:
Investments		(2,200,960	)
Net change in unrealized appreciation (depreciation)		(2,200,960	)
Net realized and unrealized loss		(1,555,732	)
Net decrease in net assets resulting from operations	$	(1,596,370	)

* 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 FUNDSANNUALREPORT      45

ELECTRONICS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(40,638	)	$	(97,316	)
Net realized gain (loss) on investments		645,228			(1,831,352	)
Net change in unrealized appreciation (depreciation) on investments		(2,200,960	)		(1,072,361	)
Net decrease in net assets resulting from operations		(1,596,370	)		(3,001,029	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		98,746,392			353,378,731
Advisor Class		26,293,819			29,701,725
A-Class		4,470,157			7,556,407
C-Class		56,542,448			128,873,486
Cost of shares redeemed
Investor Class		(99,518,199	)		(359,599,458	)
Advisor Class		(27,450,204	)		(28,156,131	)
A-Class		(5,415,408	)		(6,829,314	)
C-Class		(57,348,385	)		(131,295,692	)
Net decrease from capital share transactions		(3,679,380	)		(6,370,246	)
Net decrease in net assets		(5,275,750	)		(9,371,275	)
NET ASSETS:
Beginning of year		12,921,734			22,293,009
End of year	$	7,645,984		$	12,921,734
Accumulated net investment loss at end of year	$	(14,534	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		1,826,514			6,465,968
Advisor Class		530,537			577,894
A-Class		90,548			144,798
C-Class		1,191,961			2,693,693
Shares redeemed
Investor Class		(1,842,695	)		(6,656,304	)
Advisor Class		(560,085	)		(556,791	)
A-Class		(106,039	)		(143,325	)
C-Class		(1,209,292	)		(2,740,831	)
Net decrease in shares		(78,551	)		(214,898	)

46     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

ELECTRONICS FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010d			Year Ended March  31, 2009d			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	60.57		$	52.33		$	32.76		$	50.30		$	62.30
Income (loss) from investment operations:
Net investment lossa		(.12	)		(.13	)		(.02	)		(—	)b		(.25	)
Net gain (loss) on investments (realized and unrealized)		(5.36	)		8.37			19.59			(17.54	)		(11.75	)
Total from investment operations		(5.48	)		8.24			19.57			(17.54	)		(12.00	)
Net asset value, end of period	$	55.09		$	60.57		$	52.33		$	32.76		$	50.30
Total Returnc		(9.05	%)		15.75	%		59.74	%		(34.89	%)		(19.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,453		$	6,976		$	15,988		$	106,703		$	9,835
Ratios to average net assets:
Net investment loss		(0.22	%)		(0.23	%)		(0.06	%)		(0.03	%)		(0.37	%)
Total expenses		1.35	%		1.39	%		1.38	%		1.34	%		1.36	%
Portfolio turnover rate		1,329	%		1,171	%		592	%		408	%		784	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010d			Year Ended March 31, 2009d			Year Ended March 31, 2008d
Per Share Data
Net asset value, beginning of period	$	56.77		$	49.26		$	31.01		$	47.80		$	59.40
Income (loss) from investment operations:
Net investment lossa		(.34	)		(.41	)		(.16	)		(.10	)		(.60	)
Net gain (loss) on investments (realized and unrealized)		(5.03	)		7.92			18.41			(16.69	)		(11.00	)
Total from investment operations		(5.37	)		7.51			18.25			(16.79	)		(11.60	)
Net asset value, end of period	$	51.40		$	56.77		$	49.26		$	31.01		$	47.80
Total Returnc		(9.46	%)		15.25	%		58.85	%		(35.15	%)		(19.53	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,271		$	3,081		$	1,634		$	3,152		$	566
Ratios to average net assets:
Net investment loss		(0.67	%)		(0.79	%)		(0.39	%)		(0.29	%)		(0.98	%)
Total expenses		1.86	%		1.89	%		1.87	%		1.86	%		1.88	%
Portfolio turnover rate		1,329	%		1,171	%		592	%		408	%		784	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       47

ELECTRONICS FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010d			Year Ended March  31, 2009d			Year Ended March  31, 2008d
Per Share Data
Net asset value, beginning of period	$	57.59		$	49.88		$	31.31		$	48.25		$	59.95
Income (loss) from investment operations:
Net investment lossa		(.19	)		(.21	)		(.14	)		(.10	)		(.55	)
Net gain (loss) on investments (realized and unrealized)		(5.17	)		7.92			18.71			(16.84	)		(11.15	)
Total from investment operations		(5.36	)		7.71			18.57			(16.94	)		(11.70	)
Net asset value, end of period	$	52.23		$	57.59		$	49.88		$	31.31		$	48.25
Total Returnc		(9.31	%)		15.46	%		59.31	%		(35.13	%)		(19.52	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	659		$	1,619		$	1,329		$	42		$	85
Ratios to average net assets:
Net investment loss		(0.36	%)		(0.43	%)		(0.31	%)		(0.26	%)		(0.90	%)
Total expenses		1.62	%		1.64	%		1.62	%		1.60	%		1.62	%
Portfolio turnover rate		1,329	%		1,171	%		592	%		408	%		784	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010d			Year Ended March 31, 2009d			Year Ended March 31, 2008d
Per Share Data
Net asset value, beginning of period	$	55.03		$	47.90		$	30.28		$	46.90		$	58.65
Income (loss) from investment operations:
Net investment lossa		(.70	)		(.65	)		(.51	)		(.30	)		(.75	)
Net gain (loss) on investments (realized and unrealized)		(4.83	)		7.78			18.13			(16.32	)		(11.00	)
Total from investment operations		(5.53	)		7.13			17.62			(16.62	)		(11.75	)
Net asset value, end of period	$	49.50		$	55.03		$	47.90		$	30.28		$	46.90
Total Returnc		(10.01	%)		14.86	%		58.19	%		(35.39	%)		(20.03	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	263		$	1,246		$	3,342		$	460		$	962
Ratios to average net assets:
Net investment loss		(1.42	%)		(1.31	%)		(1.21	%)		(0.74	%)		(1.26	%)
Total expenses		2.36	%		2.39	%		2.38	%		2.42	%		2.38	%
Portfolio turnover rate		1,329	%		1,171	%		592	%		408	%		784	%

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

^b  Net investment loss is less than $0.01 per share.

^c  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^d  Per share amounts for the period March 31, 2007–April 19, 2009 have been restated to reflect a 1:5 reverse stock split effective April 20, 2009.

48     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT       49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ENERGY FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).

The price of a barrel of oil ended the fiscal year about where it started—slightly higher than $100, despite a drop in mid-2011 to below $80 as eurozone debt woes hampered expectations for economic growth. Still, global oil supply may struggle to keep up with demand, as the U.S. economic recovery gains strength and China growth continues, although at a somewhat slower pace. The price of natural gas was also pushed down by plentiful supply and has become a drag on earnings. The sector is expected to remain volatile as regional political uncertainties affect supply and the global economic recovery remains slow.

For the one-year period ended March 31, 2012, Energy Fund Investor Class returned -14.39%, compared with -6.86% for the S&P 500^® Energy Index*.

Within the sector, the oil, gas & consumable fuels segment that composes about three-fourths of the Fund was the largest detractor from 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 detracted from return.

El Paso Corp., Kinder Morgan, Inc. and Exxon Mobil Corp. were among the most significant positive contributors to Fund performance for the year, while Peabody Energy Corp., Schlumberger Ltd. and Alpha Natural Resources, Inc. were among the weakest contributors.

*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.

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.	6.5	%
Chevron Corp.	4.7	%
ConocoPhillips	3.2	%
Schlumberger Ltd.	3.0	%
Occidental Petroleum Corp.	2.8	%
Anadarko Petroleum Corp.	2.0	%
Apache Corp.	2.0	%
Kinder Morgan, Inc.	1.8	%
National Oilwell Varco, Inc.	1.8	%
Petroleo Brasileiro S.A. ADR	1.8	%
Top Ten Total	29.6	%

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

50     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-14.39	%		2.78	%		9.47	%
Advisor Class Shares		-14.78	%		2.28	%		8.95	%
C-Class Shares		-15.24	%		1.77	%		8.40	%
C-Class Shares with CDSC†		-16.09	%		1.77	%		8.40	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Energy Index		-6.86	%		5.03	%		11.09	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-14.67	%		2.50	%		10.09	%
A-Class Shares with sales charge‡		-18.73	%		1.51	%		9.38	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Energy Index		-6.86	%		5.03	%		12.36	%

* 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 FUNDSANNUALREPORT       51

SCHEDULE OF INVESTMENTS	March 31, 2012
ENERGY FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Oil & Gas Exploration & Production - 31.7%
Anadarko Petroleum Corp.		17,852	$	1,398,525
Apache Corp.		13,840		1,390,090
EOG Resources, Inc.		11,105		1,233,766
Devon Energy Corp.		16,922		1,203,493
Marathon Oil Corp.		32,941		1,044,230
Noble Energy, Inc.		9,731		951,497
Continental Resources, Inc.*		10,536		904,200
Pioneer Natural Resources Co.		7,854		876,428
Chesapeake Energy Corp.		36,939		855,877
Cobalt International Energy, Inc.*		25,400		762,762
Concho Resources, Inc.*		7,361		751,411
Southwestern Energy Co.*		23,392		715,795
Range Resources Corp.		11,581		673,319
Canadian Natural Resources Ltd.		18,528		614,759
Denbury Resources, Inc.*		32,878		599,366
Equities Corp.		12,410		598,286
Whiting Petroleum Corp.*		10,466		568,304
Cabot Oil & Gas Corp.		18,202		567,356
Cimarex Energy Co.		7,453		562,478
Encana Corp.		28,198		554,091
Plains Exploration & Production Co.*		12,274		523,486
QEP Resources, Inc.		16,984		518,012
Newfield Exploration Co.*		14,112		489,404
SM Energy Co.		6,568		464,817
Talisman Energy, Inc.		36,722		462,697
CNOOC Ltd. ADR		2,230		455,567
WPX Energy, Inc.*		23,635		425,666
Nexen, Inc.		22,838		419,077
Ultra Petroleum Corp.*		18,017		407,725
Oasis Petroleum, Inc.*		12,718		392,096
Energy XXI Bermuda Ltd.*		10,584		382,188
Kodiak Oil & Gas Corp.*		36,102		359,576
Berry Petroleum Co. — Class A		7,550		355,832
Total Oil & Gas Exploration & Production				22,482,176
Integrated Oil & Gas - 28.0%
Exxon Mobil Corp.		53,383		4,629,908
Chevron Corp.		30,900		3,313,716
ConocoPhillips		29,351		2,230,970
Occidental Petroleum Corp.		20,844		1,984,974
Petroleo Brasileiro S.A. ADR		46,809		1,243,247
BP plc ADR		23,615		1,062,675
Hess Corp.		17,002		1,002,268
Murphy Oil Corp.		13,281		747,322
Suncor Energy, Inc.		21,648		707,890
Royal Dutch Shell plc ADR		9,207		645,687
Total S.A. ADR		10,954		559,968
PetroChina Company Ltd. ADR		3,190		448,291
Statoil ASA ADR		15,768		427,470
Cenovus Energy, Inc.		11,759		422,618
SandRidge Energy, Inc.*		52,412		410,386
Total Integrated Oil & Gas				19,837,390

	SHARES		VALUE
Oil & Gas Equipment & Services - 16.3%
Schlumberger Ltd.		30,277	$	2,117,271
National Oilwell Varco, Inc.		16,382		1,301,878
Halliburton Co.		37,135		1,232,511
Baker Hughes, Inc.		21,882		917,731
Cameron International Corp.*		15,599		824,095
FMC Technologies, Inc.*		15,653		789,224
Weatherford International Ltd.*		48,579		733,057
Core Laboratories N.V.		4,427		582,460
Oceaneering International, Inc.		10,363		558,462
Tenaris S.A. ADR		12,070		461,436
Superior Energy Services, Inc.*		17,069		449,939
Oil States International, Inc.*		5,740		448,064
McDermott International, Inc.*		30,359		388,899
Tidewater, Inc.		7,005		378,410
Key Energy Services, Inc.*		21,976		339,529
Total Oil & Gas Equipment & Services				11,522,966
Oil & Gas Drilling - 8.2%
Transocean Ltd.		17,905		979,404
Seadrill Ltd.		25,500		956,505
Noble Corp.*		18,177		681,092
Diamond Offshore Drilling, Inc.		10,125		675,844
Ensco plc ADR		12,522		662,789
Helmerich & Payne, Inc.		9,802		528,818
Nabors Industries Ltd.*		27,349		478,334
Rowan Companies, Inc.*		13,482		443,962
Patterson-UTI Energy, Inc.		21,261		367,603
Total Oil & Gas Drilling				5,774,351	��
Oil & Gas Storage & Transportation - 6.9%
Kinder Morgan, Inc.		33,812		1,306,834
El Paso Corp.		37,134		1,097,310
Spectra Energy Corp.		32,579		1,027,867
Williams Companies, Inc.		31,605		973,750
Energy Transfer Equity, LP		12,263		494,199
Total Oil & Gas Storage & Transportation				4,899,960
Oil & Gas Refining & Marketing - 5.0%
Marathon Petroleum Corp.		20,431		885,888
Valero Energy Corp.		32,414		835,309
HollyFrontier Corp.		17,449		560,985
Sunoco, Inc.		11,805		450,361
Tesoro Corp.*		15,911		427,051
World Fuel Services Corp.		9,459		387,819
Total Oil & Gas Refining & Marketing				3,547,413
Coal & Consumable Fuels - 3.4%
Consol Energy, Inc.		18,524		631,668
Peabody Energy Corp.		21,228		614,763
Cameco Corp.		21,156		454,642
Alpha Natural Resources, Inc.*		26,251		399,278
Arch Coal, Inc.		30,238		323,849
Total Coal & Consumable Fuels				2,424,200
Total Common Stocks (Cost $41,645,269)				70,488,456

52     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
ENERGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	396,827	$	396,827
Total Repurchase Agreement (Cost $396,827)				396,827
Total Investments - 100.1% (Cost $42,042,096)			$	70,885,283
Other Assets & Liabilities, net - (0.1)%				(83,620	)
Total Net Assets - 100.0%			$	70,801,663

* Non-income producing security.

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      53

ENERGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $41,645,269)	$	70,488,456
Repurchase agreements, at value (cost $396,827)		396,827
Total investments (cost $42,042,096)		70,885,283
Cash		15,898
Receivables:
Fund shares sold		1,342,203
Securities sold		731,294
Dividends		36,304
Foreign taxes reclaim		2,698
Total assets		73,013,680
LIABILITIES:
Payable for:
Fund shares redeemed		2,072,948
Management fees		53,658
Distribution and service fees		18,016
Transfer agent and administrative fees		15,782
Portfolio accounting fees		6,313
Miscellaneous		45,300
Total liabilities		2,212,017
NET ASSETS	$	70,801,663
NET ASSETS CONSIST OF:
Paid in capital	$	65,278,837
Accumulated net investment loss		(2,890	)
Accumulated net realized loss on investments		(23,317,471	)
Net unrealized appreciation on investments		28,843,187
Net assets	$	70,801,663
INVESTOR CLASS:
Net assets	$	40,946,677
Capital shares outstanding		1,666,179
Net asset value per share	$	24.58
ADVISOR CLASS:
Net assets	$	11,079,772
Capital shares outstanding		482,858
Net asset value per share	$	22.95
A-CLASS:
Net assets	$	5,622,386
Capital shares outstanding		240,428
Net asset value per share	$	23.38
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.55
C-CLASS:
Net assets	$	13,152,828
Capital shares outstanding		601,933
Net asset value per share	$	21.85

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $35,233)	$	1,405,812
Interest		91
Total investment income		1,405,903
EXPENSES:
Management fees		751,019
Transfer agent and administrative fees		220,887
Distribution and service fees:
Advisor Class		45,495
A-Class		20,533
C-Class		146,808
Portfolio accounting fees		88,354
Custodian fees		23,631
Trustees’ fees*		8,504
Miscellaneous		104,409
Total expenses		1,409,640
Net investment loss		(3,737	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(5,643,611	)
Net realized loss		(5,643,611	)
Net change in unrealized appreciation (depreciation) on:
Investments		(21,665,145	)
Net change in unrealized appreciation (depreciation)		(21,665,145	)
Net realized and unrealized loss		(27,308,756	)
Net decrease in net assets resulting from operations	$	(27,312,493	)

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

54     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

ENERGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(3,737	)	$	(201,866	)
Net realized gain (loss) on investments		(5,643,611	)		4,967,964
Net change in unrealized appreciation (depreciation) on investments		(21,665,145	)		24,910,039
Net increase (decrease) in net assets resulting from operations		(27,312,493	)		29,676,137
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Investor Class		—			(57,578	)
Advisor Class		—			(8,833	)
A-Class		—			(6,392	)
C-Class		—			(19,609	)
Total distributions to shareholders		—			(92,412	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		259,673,506			288,061,481
Advisor Class		45,234,147			18,472,831
A-Class		36,601,233			18,443,868
C-Class		70,279,961			76,637,847
Distributions reinvested
Investor Class		—			56,100
Advisor Class		—			8,744
A-Class		—			4,737
C-Class		—			18,406
Cost of shares redeemed
Investor Class		(294,390,687	)		(248,929,384	)
Advisor Class		(47,103,298	)		(11,587,850	)
A-Class		(42,750,254	)		(10,355,093	)
C-Class		(73,838,306	)		(75,599,238	)
Net increase (decrease) from capital share transactions		(46,293,698	)		55,232,449
Net increase (decrease) in net assets		(73,606,191	)		84,816,174
NET ASSETS:
Beginning of year		144,407,854			59,591,680
End of year	$	70,801,663		$	144,407,854
Accumulated net investment loss at end of year	$	(2,890	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		10,314,220			11,988,260
Advisor Class		2,028,589			820,658
A-Class		1,545,449			766,871
C-Class		3,174,677			3,852,683
Shares issued from reinvestment of distributions
Investor Class		—			2,456
Advisor Class		—			407
A-Class		—			217
C-Class		—			894
Shares redeemed
Investor Class		(11,910,644	)		(10,412,527	)
Advisor Class		(2,140,312	)		(555,486	)
A-Class		(1,843,425	)		(423,733	)
C-Class		(3,348,275	)		(3,814,448	)
Net increase (decrease) in shares		(2,179,721	)		2,226,252

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009				Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	28.70		$	20.91		$	14.01		$	27.29			$	23.19
Income (loss) from investment operations:
Net investment income (loss)a		.07			—	b		.10			.06				(.03	)
Net gain (loss) on investments (realized and unrealized)		(4.19	)		7.82			6.82			(12.61	)			4.86
Total from investment operations		(4.12	)		7.82			6.92			(12.55	)			4.83
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—				—
Net realized gains		—			—			—			(.73	)			(.73	)
Total distributions		—			(.03	)		(.02	)		(.73	)			(.73	)
													��
Net asset value, end of period	$	24.58		$	28.70		$	20.91		$	14.01			$	27.29
Total Returnc		(14.39	%)		37.43	%		49.37	%		(46.01	%)			20.91	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	40,947		$	93,648		$	35,228		$	53,627			$	63,325
Ratios to average net assets:
Net investment income (loss)		0.27	%		0.00	%		0.51	%		0.28	%			(0.10	%)
Total expenses		1.36	%		1.39	%		1.38	%		1.37	%			1.37	%
Portfolio turnover rate		288	%		273	%		228	%		310	%			188	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009				Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	26.93		$	19.72		$	13.28		$	26.07			$	22.29
Income (loss) from investment operations:
Net investment lossa		(.08	)		(.11	)		(—	)b		(.04	)			(.15	)
Net gain (loss) on investments (realized and unrealized)		(3.90	)		7.35			6.46			(12.02	)			4.66
Total from investment operations		(3.98	)		7.24			6.46			(12.06	)			4.51
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—				—
Net realized gains		—			—			—			(.73	)			(.73	)
Total distributions		—			(.03	)		(.02	)		(.73	)			(.73	)
Net asset value, end of period	$	22.95		$	26.93		$	19.72		$	13.28			$	26.07
Total Returnc		(14.78	%)		36.75	%		48.62	%		(46.29	%)			20.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,080		$	16,015		$	6,489		$	4,679			$	17,713
Ratios to average net assets:
Net investment loss		(0.33	%)		(0.53	%)		(0.02	%)		(0.16	%)			(0.58	%)
Total expenses		1.86	%		1.89	%		1.88	%		1.88	%			1.86	%
Portfolio turnover rate		288	%		273	%		228	%		310	%			188	%

56     THE RYDEX FUNDSANNUALREPORT 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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.40		$	20.01		$	13.44		$	26.30		$	22.44
Income (loss) from investment operations:
Net investment income (loss)a		(.01	)		(.08	)		.06			.02			(.08	)
Net gain (loss) on investments (realized and unrealized)		(4.01	)		7.50			6.53			(12.15	)		4.67
Total from investment operations		(4.02	)		7.42			6.59			(12.13	)		4.59
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—
Net realized gains		—			—			—			(.73	)		(.73	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)
Net asset value, end of period	$	23.38		$	27.40		$	20.01		$	13.44		$	26.30
Total Returnc		(14.67	%)		37.11	%		49.01	%		(46.15	%)		20.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,622		$	14,752		$	3,903		$	4,845		$	6,378
Ratios to average net assets:
Net investment income (loss)		(0.05	%)		(0.38	%)		0.35	%		0.10	%		(0.31	%)
Total expenses		1.61	%		1.64	%		1.63	%		1.63	%		1.61	%
Portfolio turnover rate		288	%		273	%		228	%		310	%		188	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.78		$	18.97		$	12.84		$	25.37		$	21.81
Income (loss) from investment operations:
Net investment lossa		(.19	)		(.20	)		(.08	)		(.14	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(3.74	)		7.04			6.23			(11.66	)		4.56
Total from investment operations		(3.93	)		6.84			6.15			(11.80	)		4.29
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—
Net realized gains		—			—			—			(.73	)		(.73	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)
Net asset value, end of period	$	21.85		$	25.78		$	18.97		$	12.84		$	25.37
Total Returnc		(15.24	%)		36.09	%		47.87	%		(46.55	%)		19.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,153		$	19,993		$	13,972		$	9,865		$	20,989
Ratios to average net assets:
Net investment loss		(0.84	%)		(0.99	%)		(0.48	%)		(0.65	%)		(1.07	%)
Total expenses		2.36	%		2.39	%		2.38	%		2.38	%		2.36	%
Portfolio turnover rate		288	%		273	%		228	%		310	%		188	%

^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 and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT       57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ENERGY SERVICES FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production (“Energy Services Companies”).

The energy equipment and services providers that make up this Fund, and typically are sensitive to changes in the price of oil, responded to the jump in oil prices in early 2011 and then again in early 2012, despite a drop in mid-2011 to below $80 as eurozone debt woes hampered expectations for economic growth. The sector is expected to remain volatile as regional political uncertainties affect supply and the global economic recovery remains slow.

For the one-year period ended March 31, 2012, Energy Services Fund Investor Class returned -18.82%, compared with the S&P 500^® Energy Index*, which returned -6.86%.

The energy equipment & services holdings in this Fund, which makes up 98% of the portfolio, accounted for most of the Fund’s negative return for the period.

Seadrill Ltd., Oceaneering International, Inc. and Core Laboratories N.V. were among the Fund’s best-performing stocks for the year. The Fund’s worst-performing holdings included Halliburton Co., Baker Hughes, Inc. and Schlumberger Ltd.

*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.

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.	10.1	%
National Oilwell Varco, Inc.	6.2	%
Halliburton Co.	5.9	%
Transocean Ltd.	4.7	%
Seadrill Ltd.	4.6	%
Baker Hughes, Inc.	4.4	%
Cameron International Corp.	3.9	%
FMC Technologies, Inc.	3.8	%
Weatherford International Ltd.	3.5	%
Noble Corp.	3.3	%
Top Ten Total	50.4	%

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

58     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-18.82	%		1.39	%		8.51	%
Advisor Class Shares		-19.21	%		0.89	%		7.99	%
C-Class Shares		-19.63	%		0.39	%		7.46	%
C-Class Shares with CDSC†		-20.43	%		0.39	%		7.46	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Energy Index		-6.86	%		5.03	%		11.09	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-19.03	%		1.15	%		10.26	%
A-Class Shares with sales charge‡		-22.87	%		0.17	%		9.55	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Energy Index		-6.86	%		5.03	%		12.36	%

* 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 FUNDSANNUALREPORT      59

SCHEDULE OF INVESTMENTS	March 31, 2012
ENERGY SERVICES FUND

	SHARES		VALUE
COMMON STOCKS† - 99.6%
Oil & Gas Equipment & Services - 69.1%
Schlumberger Ltd.		86,216	$	6,029,086
National Oilwell Varco, Inc.		46,660		3,708,071
Halliburton Co.		105,796		3,511,369
Baker Hughes, Inc.		62,145		2,606,361
Cameron International Corp.*		44,410		2,346,180
FMC Technologies, Inc.*		44,427		2,240,009
Weatherford International Ltd.*		138,137		2,084,487
Core Laboratories N.V.		12,504		1,645,151
Oceaneering International, Inc.		29,190		1,573,049
Superior Energy Services, Inc.*		48,754		1,285,155
Oil States International, Inc.*		16,255		1,268,865
Dresser-Rand Group, Inc.*		25,184		1,168,286
McDermott International, Inc.*		86,547		1,108,667
Lufkin Industries, Inc.		13,393		1,080,145
Tidewater, Inc.		19,877		1,073,756
Dril-Quip, Inc.*		16,099		1,046,757
Tenaris S.A. ADR		26,917		1,029,037
CARBO Ceramics, Inc.		9,669		1,019,596
RPC, Inc.		93,347		990,412
Key Energy Services, Inc.*		62,450		964,853
Helix Energy Solutions Group, Inc.*		49,215		876,027
Hornbeck Offshore Services, Inc.*		18,606		782,010
C&J Energy Services, Inc.*		34,100		606,639
Exterran Holdings, Inc.*		43,615		575,282
Basic Energy Services, Inc.*		31,294		542,951
Total Oil & Gas Equipment & Services				41,162,201
Oil & Gas Drilling - 30.5%
Transocean Ltd.		50,863		2,782,205
Seadrill Ltd.		72,688		2,726,526
Noble Corp.*		51,747		1,938,960
Diamond Offshore Drilling, Inc.		28,805		1,922,734
Ensco plc ADR		31,192		1,650,993
Helmerich & Payne, Inc.		27,950		1,507,903
Nabors Industries Ltd.*		77,843		1,361,474
Rowan Companies, Inc.*		38,417		1,265,072
Atwood Oceanics, Inc.*		24,149		1,084,049
Patterson-UTI Energy, Inc.		60,367		1,043,745
Unit Corp.*		21,260		909,078
Total Oil & Gas Drilling				18,192,739
Total Common Stocks (Cost $27,948,417)				59,354,940

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	372,091	$	372,091
Total Repurchase Agreement (Cost $372,091)				372,091
Total Investments - 100.2% (Cost $28,320,508)			$	59,727,031
Other Assets & Liabilities, net - (0.2)%				(90,662	)
Total Net Assets - 100.0%			$	59,636,369

* 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

60     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

ENERGY SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments at value (cost $27,948,417)	$	59,354,940
Repurchase agreements, at value (cost $372,091)		372,091
Total investments (cost $28,320,508)		59,727,031
Receivables:
Securities sold		2,932,718
Fund shares sold		134,520
Dividends		21,723
Total assets		62,815,992
LIABILITIES:
Payable for:
Fund shares redeemed		3,043,827
Management fees		48,291
Distribution and service fees		15,443
Transfer agent and administrative fees		14,203
Portfolio accounting fees		5,681
Miscellaneous		52,178
Total liabilities		3,179,623
NET ASSETS	$	59,636,369
NET ASSETS CONSIST OF:
Paid in capital	$	70,786,601
Accumulated net investment loss		(35,120	)
Accumulated net realized loss on investments		(42,521,635	)
Net unrealized appreciation on investments		31,406,523
Net assets	$	59,636,369
INVESTOR CLASS:
Net assets	$	34,352,588
Capital shares outstanding		675,279
Net asset value per share	$	50.87
ADVISOR CLASS:
Net assets	$	8,025,187
Capital shares outstanding		168,455
Net asset value per share	$	47.64
A-CLASS:
Net assets	$	7,114,795
Capital shares outstanding		146,410
Net asset value per share	$	48.59
Maximum offering price per share (Net asset value divided by 95.25%)	$	51.01
C-CLASS:
Net assets	$	10,143,799
Capital shares outstanding		222,152
Net asset value per share	$	45.66

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $4,253)	$	1,103,571
Interest		103
Total investment income		1,103,674
EXPENSES:
Management fees		825,567
Transfer agent and administrative fees		242,813
Distribution and service fees:
Advisor Class		47,072
A-Class		34,431
C-Class		121,933
Portfolio accounting fees		97,125
Custodian fees		26,245
Trustees’ fees*		12,384
Miscellaneous		116,329
Total expenses		1,523,899
Net investment loss		(420,225	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		10,379,464
Net realized gain		10,379,464
Net change in unrealized appreciation (depreciation) on:
Investments		(46,057,326	)
Net change in unrealized appreciation (depreciation)		(46,057,326	)
Net realized and unrealized loss		(35,677,862	)
Net decrease in net assets resulting from operations	$	(36,098,087	)

* 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 FUNDSANNUALREPORT       61

ENERGY SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(420,225	)	$	(644,521	)
Net realized gain on investments		10,379,464			11,780,705
Net change in unrealized appreciation (depreciation) on investments		(46,057,326	)		38,608,948
Net increase (decrease) in net assets resulting from operations		(36,098,087	)		49,745,132
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		234,908,118			325,185,196
Advisor Class		34,706,940			49,966,638
A-Class		20,278,466			20,554,024
C-Class		44,471,112			75,084,065
Cost of shares redeemed
Investor Class		(327,454,174	)		(258,712,201	)
Advisor Class		(40,482,465	)		(42,622,239	)
A-Class		(32,499,776	)		(11,461,422	)
C-Class		(46,859,111	)		(75,092,139	)
Net increase (decrease) from capital share transactions		(112,930,890	)		82,901,922
Net increase (decrease) in net assets		(149,028,977	)		132,647,054
NET ASSETS:
Beginning of year		208,665,346			76,018,292
End of year	$	59,636,369		$	208,665,346
Accumulated net investment loss at end of year	$	(35,120	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		4,303,024			6,666,644
Advisor Class		674,396			1,113,500
A-Class		373,580			435,077
C-Class		915,082			1,773,704
Shares redeemed
Investor Class		(6,042,507	)		(5,404,466	)
Advisor Class		(797,982	)		(985,175	)
A-Class		(641,283	)		(238,789	)
C-Class		(961,820	)		(1,786,808	)
Net increase (decrease) in shares		(2,177,510	)		1,573,687

62     THE RYDEX FUNDSANNUALREPORT 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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	62.66		$	42.83		$	25.07		$	58.04		$	47.47
Income (loss) from investment operations:
Net investment lossa		(.14	)		(.21	)		(.01	)		(.24	)		(.43	)
Net gain (loss) on investments (realized and unrealized)		(11.65	)		20.04			17.77			(32.73	)		11.00
Total from investment operations		(11.79	)		19.83			17.76			(32.97	)		10.57
Net asset value, end of period	$	50.87		$	62.66		$	42.83		$	25.07		$	58.04
Total Returnb		(18.82	%)		46.27	%		70.84	%		(56.81	%)		22.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34,353		$	151,318		$	49,371		$	59,706		$	82,691
Ratios to average net assets:
Net investment loss		(0.25	%)		(0.42	%)		(0.01	%)		(0.48	%)		(0.77	%)
Total expenses		1.36	%		1.39	%		1.38	%		1.37	%		1.37	%
Portfolio turnover rate		162	%		205	%		472	%		207	%		193	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	58.97		$	40.50		$	23.83		$	55.45		$	45.58
Income (loss) from investment operations:
Net investment lossa		(.34	)		(.42	)		(.26	)		(.43	)		(.69	)
Net gain (loss) on investments (realized and unrealized)		(10.99	)		18.89			16.93			(31.19	)		10.56
Total from investment operations		(11.33	)		18.47			16.67			(31.62	)		9.87
Net asset value, end of period	$	47.64		$	58.97		$	40.50		$	23.83		$	55.45
Total Returnb		(19.21	%)		45.61	%		69.95	%		(57.02	%)		21.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,025		$	17,222		$	6,631		$	7,058		$	15,929
Ratios to average net assets:
Net investment loss		(0.66	%)		(0.93	%)		(0.70	%)		(0.92	%)		(1.28	%)
Total expenses		1.86	%		1.89	%		1.88	%		1.88	%		1.87	%
Portfolio turnover rate		162	%		205	%		472	%		207	%		193	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	60.01		$	41.12		$	24.13		$	55.99		$	45.90
Income (loss) from investment operations:
Net investment lossa		(.25	)		(.31	)		(.16	)		(.31	)		(.55	)
Net gain (loss) on investments (realized and unrealized)		(11.17	)		19.20			17.15			(31.55	)		10.64
Total from investment operations		(11.42	)		18.89			16.99			(31.86	)		10.09
Net asset value, end of period	$	48.59		$	60.01		$	41.12		$	24.13		$	55.99
Total Returnb		(19.03	%)		45.94	%		70.41	%		(56.90	%)		21.98	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,115		$	24,849		$	8,957		$	4,920		$	11,450
Ratios to average net assets:
Net investment loss		(0.47	%)		(0.67	%)		(0.43	%)		(0.68	%)		(1.01	%)
Total expenses		1.61	%		1.64	%		1.63	%		1.63	%		1.62	%
Portfolio turnover rate		162	%		205	%		472	%		207	%		193	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	56.81		$	39.22		$	23.19		$	54.22		$	44.79
Income (loss) from investment operations:
Net investment lossa		(.54	)		(.60	)		(.44	)		(.64	)		(.93	)
Net gain (loss) on investments (realized and unrealized)		(10.61	)		18.19			16.47			(30.39	)		10.36
Total from investment operations		(11.15	)		17.59			16.03			(31.03	)		9.43
Net asset value, end of period	$	45.66		$	56.81		$	39.22		$	23.19		$	54.22
Total Returnb		(19.63	%)		44.85	%		69.12	%		(57.23	%)		21.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,144		$	15,276		$	11,059		$	9,196		$	29,316
Ratios to average net assets:
Net investment loss		(1.13	%)		(1.43	%)		(1.25	%)		(1.41	%)		(1.76	%)
Total expenses		2.36	%		2.39	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		162	%		205	%		472	%		207	%		193	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

64     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT      65

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

FINANCIAL SERVICES FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the financial services sector (“Financial Services Companies”).

Improving credit conditions and greater stability in banks and diversified financial services has helped performance in this sector in the past few months, but banks continue to be hampered by weak loan demand due to the underperforming economy. The REIT, consumer finance and commercial bank industries contributed slightly to return, while the Fund’s largest component, insurance, detracted slightly from return. Lower interest rates have restrained performance in the property and casualty market, which makes it harder to meet long-term asset return assumptions.

For the one-year period ended March 31, 2012, Financial Services Fund Investor Class returned -3.31%, while the S&P 500^® Financials Index* returned -1.76% over the same period.

Simon Property Group, Inc., Wells Fargo & Co. and U.S. Bancorp were among the stocks which contributed the most to Fund performance during the year. Regions Financial Corp., Goldman Sachs Group, Inc. and Bank of America Corp. were among the stocks that contributed the least to Fund performance for the period.

*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.

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	3.2	%
Wells Fargo & Co.	3.0	%
JPMorgan Chase & Co.	3.0	%
Citigroup, Inc.	2.3	%
Bank of America Corp.	2.3	%
American Express Co.	1.9	%
Goldman Sachs Group, Inc.	1.8	%
U.S. Bancorp	1.8	%
American International Group, Inc.	1.8	%
Simon Property Group, Inc.	1.5	%
Top Ten Total	22.6	%

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

66     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-3.31	%		-9.87	%		-1.60	%
Advisor Class Shares		-3.80	%		-10.34	%		-2.05	%
C-Class Shares		-4.27	%		-10.72	%		-2.53	%
C-Class Shares with CDSC†		-5.23	%		-10.72	%		-2.53	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Financials Index		-1.76	%		-13.02	%		-3.02	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-3.57	%		-10.07	%		-3.35	%
A-Class Shares with sales charge‡		-8.14	%		-10.94	%		-3.98	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Financials Index		-1.76	%		-13.02	%		-5.39	%

* 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 FUNDSANNUALREPORT       67

SCHEDULE OF INVESTMENTS	March 31, 2012
FINANCIAL SERVICES FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Diversified Banks - 15.6%
Wells Fargo & Co.		22,815	$	778,903
U.S. Bancorp		14,345		454,449
Itau Unibanco Holding S.A. ADR		12,337		236,747
Banco Bradesco S.A. ADR		13,314		232,995
ICICI Bank Ltd. ADR		6,359		221,738
Credicorp Ltd.		1,640		216,185
HSBC Holdings plc ADR		4,801		213,116
HDFC Bank Ltd. ADR		6,036		205,828
Toronto-Dominion Bank		2,417		205,324
Barclays plc ADR		13,291		201,359
Bank of Montreal		3,364		199,889
Royal Bank of Canada		3,410		197,951
Banco Santander Brasil S.A. ADR		20,268		185,858
Banco Santander S.A. ADR		23,604		181,043
Comerica, Inc.		4,498		145,555
New York Community Bancorp, Inc.		10,459		145,485
Total Diversified Banks				4,022,425
Property & Casualty Insurance - 9.3%
Berkshire Hathaway, Inc. — Class B*		10,193		827,163
ACE Ltd.		3,932		287,822
Travelers Companies, Inc.		4,773		282,562
Chubb Corp.		3,657		252,735
Allstate Corp.		7,216		237,551
Progressive Corp.		9,558		221,554
XL Group plc — Class A		7,089		153,760
Cincinnati Financial Corp.		3,980		137,350
Total Property & Casualty Insurance				2,400,497
Asset Management & Custody Banks - 8.8%
BlackRock, Inc. — Class A		1,831		375,172
Bank of New York Mellon Corp.		12,999		313,666
Franklin Resources, Inc.		2,444		303,129
State Street Corp.		6,032		274,456
T. Rowe Price Group, Inc.		3,662		239,129
Ameriprise Financial, Inc.		3,662		209,210
Invesco Ltd.		7,657		204,212
Northern Trust Corp.		4,153		197,060
Affiliated Managers Group, Inc.*		1,332		148,931
Total Asset Management & Custody Banks				2,264,965
Other Diversified Financial Services - 7.6%
JPMorgan Chase & Co.		16,933		778,580
Citigroup, Inc.		16,193		591,854
Bank of America Corp.		61,025		584,009
Total Other Diversified Financial Services				1,954,443
Regional Banks - 7.3%
PNC Financial Services Group, Inc.		5,314		342,701
BB&T Corp.		8,729		274,003
SunTrust Banks, Inc.		8,644		208,925
Fifth Third Bancorp		14,694		206,451
M&T Bank Corp.		2,241		194,698
Regions Financial Corp.		27,170		179,050

	SHARES		VALUE
CIT Group, Inc.*		4,009	$	165,331
KeyCorp		19,325		164,263
Huntington Bancshares, Inc.		21,283		137,275
Total Regional Banks				1,872,697
Life & Health Insurance - 6.9%
MetLife, Inc.		9,671		361,211
Prudential Financial, Inc.		4,989		316,253
Aflac, Inc.		5,798		266,650
Manulife Financial Corp.		14,498		196,448
Principal Financial Group, Inc.		5,994		176,883
Lincoln National Corp.		6,100		160,796
Unum Group		6,393		156,501
Torchmark Corp.		2,611		130,158
Total Life & Health Insurance				1,764,900
Specialized REITs - 6.8%
Public Storage		2,118		292,644
American Tower Corp. — Class A		4,630		291,783
Ventas, Inc.		4,154		237,193
HCP, Inc.		5,875		231,828
Health Care REIT, Inc.		3,649		200,549
Host Hotels & Resorts, Inc.		12,124		199,076
Plum Creek Timber Company, Inc.		3,645		151,486
Rayonier, Inc.		3,074		135,533
Total Specialized REITs				1,740,092
Investment Banking & Brokerage - 4.9%
Goldman Sachs Group, Inc.		3,761		467,755
Morgan Stanley		18,210		357,644
Charles Schwab Corp.		16,770		240,985
TD Ameritrade Holding Corp.		9,648		190,452
Total Investment Banking & Brokerage				1,256,836
Retail REITs - 4.8%
Simon Property Group, Inc.		2,703		393,773
General Growth Properties, Inc.		13,658		232,049
Macerich Co.		2,832		163,548
Kimco Realty Corp.		8,479		163,306
Federal Realty Investment Trust		1,582		153,122
Realty Income Corp.		3,460		134,006
Total Retail REITs				1,239,804
Consumer Finance - 4.8%
American Express Co.		8,354		483,363
Capital One Financial Corp.		5,974		332,991
Discover Financial Services		7,559		252,017
SLM Corp.		10,282		162,044
Total Consumer Finance				1,230,415
Residential REITs - 3.5%
Equity Residential		4,109		257,305
AvalonBay Communities, Inc.		1,624		229,552
UDR, Inc.		5,408		144,448
Camden Property Trust		2,045		134,459
Essex Property Trust, Inc.		870		131,814
Total Residential REITs				897,578

68     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
FINANCIAL SERVICES FUND

	SHARES		VALUE
Multi-Line Insurance - 3.4%
American International Group, Inc.*		14,680	$	452,585
Loews Corp.		5,860		233,638
Hartford Financial Services Group, Inc.		8,291		174,774
Total Multi-Line Insurance				860,997
Specialized Finance - 3.1%
CME Group, Inc. — Class A		859		248,534
IntercontinentalExchange, Inc.*		1,403		192,800
Moody’s Corp.		4,289		180,567
NYSE Euronext		5,371		161,184
Total Specialized Finance				783,085
Diversified Capital Markets - 2.3%
Deutsche Bank AG		4,156		206,927
Credit Suisse Group AG ADR		6,915		197,147
UBS AG*		13,971		195,873
Total Diversified Capital Markets				599,947
Office REITs - 2.1%
Boston Properties, Inc.		2,203		231,292
Digital Realty Trust, Inc.		2,243		165,915
SL Green Realty Corp.		1,954		151,533
Total Office REITs				548,740
Insurance Brokers - 1.9%
Marsh & McLennan Companies, Inc.		7,566		248,089
Aon plc		4,784		234,703
Total Insurance Brokers				482,792
Mortgage REITs - 1.6%
Annaly Capital Management, Inc.		14,360		227,175
American Capital Agency Corp.		5,904		174,404
Total Mortgage REITs				401,579
Industrial REITs - 0.9%
ProLogis, Inc.		6,656		239,749
Diversified REITs - 0.9%
Vornado Realty Trust		2,732		230,034
Forest Products - 0.8%
Weyerhaeuser Co.		9,058		198,551
Real Estate Services - 0.6%
CBRE Group, Inc. — Class A*		7,325		146,207
Multi-Sector Holdings - 0.6%
Leucadia National Corp.		5,435		141,854
Reinsurance - 0.5%
Everest Re Group Ltd.		1,473		136,282
Thrifts & Mortgage Finance - 0.5%
People’s United Financial, Inc.		9,595		127,038
Total Common Stocks (Cost $19,692,096)				25,541,507

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	109,309	$	109,309
Total Repurchase Agreement (Cost $109,309)				109,309
Total Investments - 99.9% (Cost $19,801,405)			$	25,650,816
Other Assets & Liabilities, net - 0.1%				13,825
Total Net Assets - 100.0%			$	25,664,641

^*  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 FUNDSANNUALREPORT      69

FINANCIAL SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $19,692,096)	$	25,541,507
Repurchase agreements, at value (cost $109,309)		109,309
Total investments (cost $19,801,405)		25,650,816
Cash		1,009
Receivables:
Securities sold		1,321,506
Dividends		39,434
Fund shares sold		32,373
Total assets		27,045,138
LIABILITIES:
Payable for:
Fund shares redeemed		1,348,109
Management fees		16,188
Transfer agent and administrative fees		4,761
Distribution and service fees		2,310
Portfolio accounting fees		1,904
Miscellaneous		7,225
Total liabilities		1,380,497
NETASSETS	$	25,664,641
NETASSETSCONSISTOF:
Paid in capital	$	28,156,485
Undistributed net investment income		103,876
Accumulated net realized loss on investments		(8,445,131	)
Net unrealized appreciation on investments		5,849,411
Net assets	$	25,664,641
INVESTOR CLASS:
Net assets	$	19,973,043
Capital shares outstanding		254,543
Net asset value per share	$	78.47
ADVISOR CLASS:
Net assets	$	4,243,150
Capital shares outstanding		57,704
Net asset value per share	$	73.53
A-CLASS:
Net assets	$	631,803
Capital shares outstanding		8,416
Net asset value per share	$	75.07
Maximum offering price per share (Net asset value divided by 95.25%)	$	78.81
C-CLASS:
Net assets	$	816,645
Capital shares outstanding		11,624
Net asset value per share	$	70.26

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $102)	$	325,674
Interest		20
Total investment income		325,694
EXPENSES:
Management fees		125,559
Transfer agent and administrative fees		36,929
Distribution and service fees:
Advisor Class		11,734
A-Class		2,826
C-Class		9,180
Portfolio accounting fees		14,772
Custodian fees		4,081
Trustees’ fees*		1,374
Miscellaneous		15,809
Total expenses		222,264
Net investment income		103,430
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(1,220,034	)
Net realized loss		(1,220,034	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,814,186
Net change in unrealized appreciation (depreciation)		1,814,186
Net realized and unrealized gain		594,152
Net increase in net assets resulting from operations	$	697,582

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

70     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	103,430		$	5,611
Net realized gain (loss) on investments		(1,220,034	)		4,285,469
Net change in unrealized appreciation (depreciation) on investments		1,814,186			(4,675,933	)
Net increase (decrease) in net assets resulting from operations		697,582			(384,853	)
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
Investor Class		(4,792	)		(64,919	)
Advisor Class		(283	)		(33,103	)
A-Class		(282	)		(15,355	)
C-Class		(276	)		(15,591	)
Total distributions to shareholders		(5,633	)		(128,968	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		147,870,058			82,605,048
Advisor Class		20,606,160			13,931,559
A-Class		5,182,199			8,082,499
C-Class		13,036,171			35,513,916
Distributions reinvested
Investor Class		4,758			63,278
Advisor Class		279			32,905
A-Class		199			8,992
C-Class		258			14,303
Cost of shares redeemed
Investor Class		(133,582,777	)		(103,700,539	)
Advisor Class		(20,032,579	)		(13,783,069	)
A-Class		(6,307,011	)		(7,670,882	)
C-Class		(13,219,440	)		(36,169,022	)
Net increase (decrease) from capital share transactions		13,558,275			(21,071,012	)
Net increase (decrease) in net assets		14,250,224			(21,584,833	)
NET ASSETS:
Beginning of year		11,414,417			32,999,250
End of year	$	25,664,641		$	11,414,417
Undistributed net investment income at end of year	$	103,876		$	5,638
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		2,115,046			1,092,006
Advisor Class		329,675			199,648
A-Class		72,286			111,610
C-Class		197,182			522,367
Shares issued from reinvestment of distributions
Investor Class		76			876
Advisor Class		5			483
A-Class		3			130
C-Class		5			218
Shares redeemed
Investor Class		(1,920,753	)		(1,383,149	)
Advisor Class		(319,490	)		(198,704	)
A-Class		(86,753	)		(108,312	)
C-Class		(200,740	)		(535,638	)
Net increase (decrease) in shares		186,542			(298,465	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      71

FINANCIAL SERVICES FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	81.18		$	75.23		$	44.37		$	101.80		$	142.50
Income (loss) from investment operations:
Net investment incomea		.61			.15			.41			1.60			1.70
Net gain (loss) on investments (realized and unrealized)		(3.29	)		6.75			31.07			(57.13	)		(40.20	)
Total from investment operations		(2.68	)		6.90			31.48			(55.53	)		(38.50	)
Less distributions from:
Net investment income		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Total distributions		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Net asset value, end of period	$	78.47		$	81.18		$	75.23		$	44.37		$	101.80
Total Returnb		(3.31	%)		9.33	%		71.12	%		(54.76	%)		(27.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,973		$	4,885		$	26,364		$	13,257		$	4,640
Ratios to average net assets:
Net investment income		0.86	%		0.19	%		0.64	%		2.16	%		1.25	%
Total expenses		1.34	%		1.39	%		1.38	%		1.37	%		1.38	%
Portfolio turnover rate		970	%		601	%		447	%		755	%		913	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010c			Year Ended March 31, 2009c			Year Ended March 31, 2008c
Per Share Data
Net asset value, beginning of period	$	76.47		$	71.29		$	42.28		$	97.80		$	137.60
Income (loss) from investment operations:
Net investment income (loss)a		.26			(.14	)		.12			1.30			.90
Net gain (loss) on investments (realized and unrealized)		(3.17	)		6.27			29.51			(54.92	)		(38.50	)
Total from investment operations		(2.91	)		6.13			29.63			(53.62	)		(37.60	)
Less distributions from:
Net investment income		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Total distributions		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Net asset value, end of period	$	73.53		$	76.47		$	71.29		$	42.28		$	97.80
Total Returnb		(3.80	%)		8.76	%		70.26	%		(55.06	%)		(27.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,243		$	3,634		$	3,285		$	2,710		$	1,957
Ratios to average net assets:
Net investment income (loss)		0.37	%		(0.20	%)		0.21	%		1.83	%		0.70	%
Total expenses		1.85	%		1.89	%		1.88	%		1.88	%		1.89	%
Portfolio turnover rate		970	%		601	%		447	%		755	%		913	%

72     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

FINANCIAL SERVICES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March  31, 2010c			Year Ended March  31, 2009c			Year Ended March  31, 2008c
Per Share Data
Net asset value, beginning of period	$	77.87		$	72.38		$	42.80		$	98.60		$	138.20
Income (loss) from investment operations:
Net investment income (loss)a		.45			(.01	)		.30			1.30			1.60
Net gain (loss) on investments (realized and unrealized)		(3.22	)		6.45			29.90			(55.20	)		(39.00	)
Total from investment operations		(2.77	)		6.44			30.20			(53.90	)		(37.40	)
Less distributions from:
Net investment income		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Total distributions		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Net asset value, end of period	$	75.07		$	77.87		$	72.38		$	42.80		$	98.60
Total Returnb		(3.57	%)		9.06	%		70.74	%		(54.92	%)		(27.32	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	632		$	1,782		$	1,408		$	2,683		$	1,367
Ratios to average net assets:
Net investment income (loss)		0.64	%		(0.01	%)		0.50	%		1.97	%		1.42	%
Total expenses		1.61	%		1.64	%		1.63	%		1.62	%		1.59	%
Portfolio turnover rate		970	%		601	%		447	%		755	%		913	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010c			Year Ended March 31, 2009c			Year Ended March 31, 2008c
Per Share Data
Net asset value, beginning of period	$	73.42		$	68.79		$	41.01		$	95.10		$	134.60
Income (loss) from investment operations:
Net investment income (loss)a		(.12	)		(.49	)		(.24	)		.80			.50
Net gain (loss) on investments (realized and unrealized)		(3.01	)		6.07			28.64			(52.99	)		(37.80	)
Total from investment operations		(3.13	)		5.58			28.40			(52.19	)		(37.30	)
Less distributions from:
Net investment income		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Total distributions		(.03	)		(.95	)		(.62	)		(1.90	)		(2.20	)
Net asset value, end of period	$	70.26		$	73.42		$	68.79		$	41.01		$	95.10
Total Returnb		(4.27	%)		8.28	%		69.44	%		(55.16	%)		(27.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	817		$	1,114		$	1,942		$	1,407		$	2,847
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		(0.72	%)		(0.40	%)		1.13	%		0.45	%
Total expenses		2.36	%		2.39	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		970	%		601	%		447	%		755	%		913	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Per share amounts for the period March 31, 2007–April 19, 2009 have been restated to reflect a 1:10 reverse stock split effective April 20, 2009.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      73

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

HEALTH CARE FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).

Judicial action continued to be a factor in performance of the health care sector, as The Supreme Court began its review of the 2010 health care law during the period, adding uncertainty to sector performance. As a traditionally defensive sector, health care has benefited from concern over the strength of the U.S. and global recovery. It is also being supported by stabilizing profitability and accelerated spending, as well as solid balance sheets that are helping drive the level of mergers and acquisitions. The big pharmaceutical companies are dealing with a number of patent expirations for blockbuster drugs, which could affect valuations.

For the one-year period ended March 31, 2012, Health Care Fund Investor Class returned 9.86%, compared with a 16.41% for the S&P 500^® Health Care Index*.

The biggest positive contributors to Fund performance were pharmaceuticals and biotechnology companies. Health care providers & services was the other large contributor. Only the lightly weighted life sciences tools segment detracted from return.

The year’s top-performing holdings included Regeneron Pharmaceuticals, Inc., Biogen Idec, Inc. and Pharmasset. Hospira, Inc., Dendreon Corp. and Human Genome Sciences, Inc. were among the Fund’s weakest performers for the period.

*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.

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 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	4.1	%
Pfizer, Inc.	4.1	%
Merck & Company, Inc.	3.3	%
Abbott Laboratories	3.0	%
UnitedHealth Group, Inc.	2.5	%
Bristol-Myers Squibb Co.	2.3	%
Amgen, Inc.	2.3	%
Eli Lilly & Co.	2.1	%
Teva Pharmaceutical Industries Ltd. ADR	2.0	%
Medtronic, Inc.	1.9	%
Top Ten Total	27.6	%

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

74     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		9.86	%		4.28	%		5.19	%
Advisor Class Shares		9.41	%		3.78	%		4.69	%
C-Class Shares		8.77	%		3.29	%		4.14	%
C-Class Shares with CDSC†		7.77	%		3.29	%		4.14	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Health Care Index		16.41	%		4.39	%		3.17	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		9.63	%		4.04	%		5.82	%
A-Class Shares with sales charge‡		4.44	%		3.03	%		5.14	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Health Care Index		16.41	%		4.39	%		5.33	%

* 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 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 FUNDSANNUALREPORT      75

SCHEDULE OF INVESTMENTS March 31, 2012

HEALTH CARE FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Pharmaceuticals - 35.2%
Johnson & Johnson		31,086	$	2,050,432
Pfizer, Inc.		89,154		2,020,229
Merck & Company, Inc.		42,950		1,649,279
Abbott Laboratories		24,395		1,495,169
Bristol-Myers Squibb Co.		34,166		1,153,102
Eli Lilly & Co.		25,732		1,036,228
Teva Pharmaceutical Industries Ltd. ADR		22,427		1,010,561
Allergan, Inc.		8,758		835,776
Mylan, Inc.*		20,746		486,494
Perrigo Co.		4,690		484,524
Watson Pharmaceuticals, Inc.*		7,175		481,156
Forest Laboratories, Inc.*		13,667		474,108
Novartis AG ADR		8,119		449,874
Valeant Pharmaceuticals International, Inc.*		8,286		444,875
GlaxoSmithKline plc ADR		9,484		425,926
Sanofi ADR		10,390		402,613
Hospira, Inc.*		10,173		380,368
AstraZeneca plc ADR		8,118		361,170
Elan Corp. plc ADR*		23,860		358,139
Endo Pharmaceuticals Holdings, Inc.*		8,720		337,726
Warner Chilcott plc — Class A*		18,600		312,666
Shire plc ADR		3,280		310,780
Salix Pharmaceuticals Ltd.*		5,157		270,743
Jazz Pharmaceuticals plc*		5,400		261,738
Total Pharmaceuticals				17,493,676
Health Care Equipment - 17.3%
Medtronic, Inc.		24,512		960,626
Baxter International, Inc.		14,857		888,151
Covidien plc		14,490		792,313
Intuitive Surgical, Inc.*		1,311		710,234
Stryker Corp.		12,783		709,201
Becton Dickinson and Co.		7,996		620,889
St. Jude Medical, Inc.		13,223		585,911
Zimmer Holdings, Inc.		8,088		519,897
CR Bard, Inc.		4,612		455,297
Boston Scientific Corp.*		74,175		443,567
Edwards Lifesciences Corp.*		5,910		429,834
Varian Medical Systems, Inc.*		5,925		408,588
CareFusion Corp.*		14,394		373,236
Hologic, Inc.*		16,870		363,549
ResMed, Inc.*		10,308		318,620
Total Health Care Equipment				8,579,913
Biotechnology - 13.0%
Amgen, Inc.		16,638		1,131,217
Gilead Sciences, Inc.*		19,185		937,187
Celgene Corp.*		11,695		906,596
Biogen Idec, Inc.*		6,866		864,910
Alexion Pharmaceuticals, Inc.*		6,952		645,563
Regeneron Pharmaceuticals, Inc.*		4,111		479,425
Vertex Pharmaceuticals, Inc.*		11,011		451,561
BioMarin Pharmaceutical, Inc.*		8,890		304,483
Medivation, Inc.*		3,450		257,784
Cubist Pharmaceuticals, Inc.*		5,640		243,930
United Therapeutics Corp.*		5,130		241,777
Total Biotechnology				6,464,433

	SHARES		VALUE
Managed Health Care - 10.2%
UnitedHealth Group, Inc.		20,932	$	1,233,732
WellPoint, Inc.		10,836		799,697
Aetna, Inc.		13,302		667,228
Humana, Inc.		6,722		621,651
Cigna Corp.		12,031		592,527
Coventry Health Care, Inc.		9,926		353,068
Health Net, Inc.*		7,100		282,012
WellCare Health Plans, Inc.*		3,860		277,457
AMERIGROUP Corp.*		4,030		271,138
Total Managed Health Care				5,098,510
Health Care Services - 7.2%
Medco Health Solutions, Inc.*		11,501		808,520
Express Scripts Holding Co.		14,663		794,441
Quest Diagnostics, Inc.		7,894		482,718
Laboratory Corporation of America Holdings*		5,046		461,911
DaVita, Inc.*		5,009		451,662
Omnicare, Inc.		8,879		315,826
HMS Holdings Corp.*		8,100		252,801
Total Health Care Services				3,567,879
Life Sciences Tools & Services - 7.0%
Thermo Fisher Scientific, Inc.		12,249		690,598
Agilent Technologies, Inc.		13,454		598,838
Life Technologies Corp.*		9,512		464,376
Waters Corp.*		4,778		442,729
Illumina, Inc.*		7,494		394,259
Mettler-Toledo International, Inc.*		1,990		367,653
PerkinElmer, Inc.		9,901		273,862
Covance, Inc.*		5,422		258,250
Total Life Sciences Tools & Services				3,490,565
Health Care Distributors - 5.1%
McKesson Corp.		8,146		714,974
Cardinal Health, Inc.		14,119		608,670
AmerisourceBergen Corp.		12,466		494,651
Henry Schein, Inc.*		5,264		398,380
Patterson Companies, Inc.		9,010		300,934
Total Health Care Distributors				2,517,609
Health Care Technology - 1.6%
Cerner Corp.*		7,238		551,246
Allscripts Healthcare Solutions, Inc.*		15,775		261,865
Total Health Care Technology				813,111
Health Care Facilities - 1.6%
HCA Holdings, Inc.		20,080		496,780
Universal Health Services, Inc. — Class B		7,252		303,931
Total Health Care Facilities				800,711
Health Care Supplies - 1.3%
DENTSPLY International, Inc.		9,233		370,520
Cooper Companies, Inc.		3,569		291,623
Total Health Care Supplies				662,143
Total Common Stocks (Cost $37,133,228)				49,488,550

76     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2012

HEALTH CARE FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.5%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	253,686	$	253,686
Total Repurchase Agreement (Cost $253,686)				253,686
Total Investments -100.0% (Cost $37,386,914)			$	49,742,236
Other Assets & Liabilities, net - 0.0%				(203	)
Total Net Assets - 100.0%			$	49,742,033

* Non-income producing security.

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      77

HEALTH CARE FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $37,133,228)	$	49,488,550
Repurchase agreements, at value (cost $253,686)		253,686
Total investments (cost $37,386,914)		49,742,236
Receivables:
Fund shares sold		2,336,541
Securities sold		345,117
Dividends		64,644
Foreign taxes reclaim		1,311
Total assets		52,489,849
LIABILITIES:
Payable for:
Fund shares redeemed		2,672,544
Management fees		34,742
Transfer agent and administrative fees		10,218
Distribution and service fees		5,359
Portfolio accounting fees		4,087
Miscellaneous		20,866
Total liabilities		2,747,816
NET ASSETS	$	49,742,033
NET ASSETS CONSISTOF:
Paid in capital	$	47,958,602
Undistributed net investment income		—
Accumulated net realized loss on investments		(10,571,891	)
Net unrealized appreciation on investments		12,355,322
Net assets	$	49,742,033
INVESTOR CLASS:
Net assets	$	39,035,502
Capital shares outstanding		2,072,784
Net asset value per share	$	18.83
ADVISOR CLASS:
Net assets	$	4,274,665
Capital shares outstanding		243,624
Net asset value per share	$	17.55
A-CLASS:
Net assets	$	2,963,775
Capital shares outstanding		165,881
Net asset value per share	$	17.87
Maximum offering price per share (Net asset value divided by 95.25%)	$	18.76
C-CLASS:
Net assets	$	3,468,091
Capital shares outstanding		205,690
Net asset value per share	$	16.86

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	635,042
Interest		34
Total investment income		635,076
EXPENSES:
Management fees		376,343
Transfer agent and administrative fees		110,689
Distribution and service fees:
Advisor Class		27,568
A-Class		5,900
C-Class		36,235
Portfolio accounting fees		44,275
Custodian fees		12,575
Trustees’ fees*		3,428
Miscellaneous		51,544
Total expenses		668,557
Net investment loss		(33,481	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(2,733,212	)
Net realized loss		(2,733,212	)
Net change in unrealized appreciation (depreciation) on:
Investments		4,434,547
Net change in unrealized appreciation (depreciation)		4,434,547
Net realized and unrealized gain		1,701,335
Net increase in net assets resulting from operations	$	1,667,854

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

78     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

HEALTH CARE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(33,481	)	$	(58,998	)
Net realized gain (loss) on investments		(2,733,212	)		14,717,139
Net change in unrealized appreciation (depreciation) on investments		4,434,547			(15,485,060	)
Net increase (decrease) in net assets resulting from operations		1,667,854			(826,919	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		326,325,036			199,840,233
Advisor Class		30,857,462			29,192,400
A-Class		7,626,282			2,774,503
C-Class		55,798,360			104,802,117
Cost of shares redeemed
Investor Class		(308,122,674	)		(375,189,188	)
Advisor Class		(29,208,278	)		(30,446,417	)
A-Class		(5,704,682	)		(7,868,260	)
C-Class		(56,286,961	)		(109,133,717	)
Net increase (decrease) from capital share transactions		21,284,545			(186,028,329	)
Net increase (decrease) in net assets		22,952,399			(186,855,248	)
NET ASSETS:
Beginning of year		26,789,634			213,644,882
End of year	$	49,742,033		$	26,789,634
Undistributed net investment income	$	—		$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		18,620,010			12,963,598
Advisor Class		1,915,231			2,051,470
A-Class		466,763			186,925
C-Class		3,613,148			7,534,727
Shares redeemed
Investor Class		(17,686,638	)		(24,208,012	)
Advisor Class		(1,810,557	)		(2,143,572	)
A-Class		(371,821	)		(528,117	)
C-Class		(3,657,187	)		(7,868,157	)
Net increase (decrease) in shares		1,088,949			(12,011,138	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      79

HEALTH CARE FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	17.14		$	15.80		$	11.20		$	14.28		$	15.28
Income (loss) from investment operations:
Net investment income (loss)a		.01			(.02	)		(.01	)		.07			(.02	)
Net gain (loss) on investments (realized and unrealized)		1.68			1.36			4.62			(3.15	)		(.98	)
Total from investment operations		1.69			1.34			4.61			(3.08	)		(1.00	)
Less distributions from:
Net investment income		—			—			(.01	)		—			—
Total distributions		—			—			(.01	)		—			—
Net asset value, end of period	$	18.83		$	17.14		$	15.80		$	11.20		$	14.28
Total Returnb		9.86	%		8.48	%		41.17	%		(21.57	%)		(6.54	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	39,036		$	19,534		$	195,616		$	13,920		$	22,062
Ratios to average net assets:
Net investment income (loss)		0.08	%		(0.10	%)		(0.04	%)		0.48	%		(0.13	%)
Total expenses		1.36	%		1.38	%		1.37	%		1.36	%		1.37	%
Portfolio turnover rate		582	%		619	%		241	%		745	%		444	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	16.04		$	14.85		$	10.58		$	13.57		$	14.59
Income (loss) from investment operations:
Net investment income (loss)a		(.07	)		(.05	)		(.04	)		.01			(.09	)
Net gain (loss) on investments (realized and unrealized)		1.58			1.24			4.32			(3.00	)		(.93	)
Total from investment operations		1.51			1.19			4.28			(2.99	)		(1.02	)
Less distributions from:
Net investment income		—			—			(.01	)		—			—
Total distributions		—			—			(.01	)		—			—
Net asset value, end of period	$	17.55		$	16.04		$	14.85		$	10.58		$	13.57
Total Returnb		9.41	%		8.01	%		40.46	%		(22.03	%)		(6.99	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,275		$	2,229		$	3,432		$	6,353		$	13,099
Ratios to average net assets:
Net investment income (loss)		(0.44	%)		(0.36	%)		(0.33	%)		0.04	%		(0.60	%)
Total expenses		1.85	%		1.88	%		1.88	%		1.93	%		1.86	%
Portfolio turnover rate		582	%		619	%		241	%		745	%		444	%

80     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

HEALTH CARE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	16.30		$	15.05		$	10.69		$	13.68		$	14.67
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.02	)		(.03	)		.02			(.06	)
Net gain (loss) on investments (realized and unrealized)		1.59			1.27			4.40			(3.01	)		(.93	)
Total from investment operations		1.57			1.25			4.37			(2.99	)		(.99	)
Less distributions from:
Net investment income		—			—			(.01	)		—			—
Total distributions		—			—			(.01	)		—			—
Net asset value, end of period	$	17.87		$	16.30		$	15.05		$	10.69		$	13.68
Total Returnb		9.63	%		8.31	%		40.88	%		(21.86	%)		(6.75	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,964		$	1,156		$	6,204		$	997		$	730
Ratios to average net assets:
Net investment income (loss)		(0.13	%)		(0.14	%)		(0.25	%)		0.15	%		(0.36	%)
Total expenses		1.60	%		1.63	%		1.62	%		1.63	%		1.61	%
Portfolio turnover rate		582	%		619	%		241	%		745	%		444	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	15.50		$	14.39		$	10.30		$	13.28		$	14.35
Income (loss) from investment operations:
Net investment lossa		(.14	)		(.11	)		(.11	)		(.08	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		1.50			1.22			4.21			(2.90	)		(.91	)
Total from investment operations		1.36			1.11			4.10			(2.98	)		(1.07	)
Less distributions from:
Net investment income		—			—			(.01	)		—			—
Total distributions		—			—			(.01	)		—			—
Net asset value, end of period	$	16.86		$	15.50		$	14.39		$	10.30		$	13.28
Total Returnb		8.77	%		7.71	%		39.81	%		(22.44	%)		(7.46	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,468		$	3,870		$	8,393		$	5,101		$	5,677
Ratios to average net assets:
Net investment loss		(0.91	%)		(0.76	%)		(0.91	%)		(0.65	%)		(1.12	%)
Total expenses		2.36	%		2.38	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		582	%		619	%		241	%		745	%		444	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      81

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INTERNET FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).

The Commerce Department says $62 billion of retail sales were conducted online in the fourth quarter of 2011, a 16% rise over the prior year, and representing about 5.5% of all retail spending over the holiday period. The software segment and the internet & catalog retail segment were the largest contributors to return. Internet software and Internet software & services and communications equipment were the largest detractors from return.

For the one-year period ended March 31, 2012, Internet Fund Investor Class returned -0.73%, compared with 20.21% for the S&P 500^® Information Technology Index*.

Cisco Systems, Inc., QUALCOMM, Inc. and priceline.com, Inc. were among the stocks which added the most to Fund performance for the year, while Sina Corp., Juniper Networks, Inc. and Research in Motion Ltd. were among the stocks which added the least to Fund performance for the year.

*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.

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	8.5	%
QUALCOMM, Inc.	6.3	%
Cisco Systems, Inc.	6.3	%
Amazon.com, Inc.	5.7	%
Baidu, Inc. ADR	4.3	%
eBay, Inc.	4.0	%
Time Warner, Inc.	3.6	%
Priceline.com, Inc.	3.5	%
Broadcom Corp. — Class A	2.7	%
Intuit, Inc.	2.5	%
Top Ten Total	47.4	%

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

82     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-0.73	%		5.27	%		5.69	%
Advisor Class Shares		-1.24	%		4.73	%		5.16	%
C-Class Shares		-1.69	%		4.22	%		4.65	%
C-Class Shares with CDSC†		-2.67	%		4.22	%		4.65	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Information Technology Index		20.21	%		8.15	%		5.06	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-1.00	%		4.99	%		6.91	%
A-Class Shares with sales charge‡		-5.70	%		3.97	%		6.23	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Information Technology Index		20.21	%		8.15	%		8.65	%

* 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 FUNDSANNUALREPORT      83

SCHEDULE OF INVESTMENTS	March 31, 2012
INTERNET FUND

	SHARES		VALUE
COMMON STOCKS† - 99.3%
Internet Software & Services - 45.1%
Google, Inc. — Class A*		1,109	$	711,135
Baidu, Inc. ADR*		2,456		358,011
eBay, Inc.*		9,088		335,256
Yahoo!, Inc.*		13,581		206,703
LinkedIn Corp. — Class A*		1,585		161,654
Yandex N.V. — Class A*		5,650		151,816
Equinix, Inc.*		884		139,186
Netease.com ADR*		2,350		136,535
Rackspace Hosting, Inc.*		2,345		135,518
Akamai Technologies, Inc.*		3,393		124,523
VeriSign, Inc.		3,169		121,499
MercadoLibre, Inc.		1,037		101,408
IAC/InterActiveCorp.		1,985		97,444
Sina Corp.*		1,474		95,810
Open Text Corp.*		1,535		93,865
Qihoo 360 Technology Co. Ltd. ADR*		3,520		86,064
Renren, Inc. ADR*		13,510		74,575
Youku, Inc. ADR*		3,200		70,368
Sohu.com, Inc.*		1,232		67,969
AOL, Inc.*		3,539		67,135
ValueClick, Inc.*		3,103		61,253
WebMD Health Corp. — Class A*		2,312		59,141
VistaPrint N.V.*		1,493		57,704
Liquidity Services, Inc.*		1,260		56,448
j2 Global, Inc.		1,953		56,012
Monster Worldwide, Inc.*		5,606		54,659
Ancestry.com, Inc.*		2,169		49,323
OpenTable, Inc.*		1,178		47,674
Total Internet Software & Services				3,778,688
Communications Equipment - 19.1%
QUALCOMM, Inc.		7,811		531,304
Cisco Systems, Inc.		25,091		530,675
Juniper Networks, Inc.*		7,733		176,931
F5 Networks, Inc.*		1,215		163,976
Research In Motion Ltd.*		9,449		138,995
Ciena Corp.*		3,862		62,526
Total Communications Equipment				1,604,407
Internet Retail - 16.0%
Amazon.com, Inc.*		2,346		475,087
Priceline.com, Inc.*		409		293,457
Groupon, Inc. — Class A*		9,970		183,249
Netflix, Inc.*		1,073		123,438
TripAdvisor, Inc.*		3,059		109,115
Expedia, Inc.		3,079		102,962
Shutterfly, Inc.*		1,603		50,222
Total Internet Retail				1,337,530

	SHARES		VALUE
Systems Software - 8.0%
Symantec Corp.*		9,791	$	183,091
Red Hat, Inc.*		3,028		181,347
Check Point Software Technologies Ltd.*		2,830		180,667
BMC Software, Inc.*		3,204		128,673
Total Systems Software				673,778
Application Software - 3.8%
Intuit, Inc.		3,438		206,726
TIBCO Software, Inc.*		3,629		110,685
Total Application Software				317,411
Movies & Entertainment - 3.6%
Time Warner, Inc.		8,086		305,247
Semiconductors - 2.7%
Broadcom Corp. — Class A*		5,845		229,709
Investment Banking & Brokerage - 1.0%
E*Trade Financial Corp.*		7,825		85,684
Total Common Stocks (Cost $4,537,292)				8,332,454
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	51,710		51,710
Total Repurchase Agreement (Cost $51,710)				51,710
Total Investments - 99.9% (Cost $4,589,002)			$	8,384,164
Other Assets & Liabilities, net - 0.1%				11,304
Total Net Assets - 100.0%			$	8,395,468

* 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

84     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

INTERNET FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $4,537,292)	$	8,332,454
Repurchase agreements, at value (cost $51,710)		51,710
Total investments (cost $4,589,002)		8,384,164
Receivables:
Fund shares sold		129,003
Dividends		112
Total assets		8,513,279
LIABILITIES:
Payable for:
Fund shares redeemed		99,927
Management fees		5,465
Transfer agent and administrative fees		1,607
Distribution and service fees		1,091
Portfolio accounting fees		643
Miscellaneous		9,078
Total liabilities		117,811
NET ASSETS	$	8,395,468
NET ASSETS CONSISTOF:
Paid in capital	$	6,072,579
Accumulated net investment loss		(52,998	)
Accumulated net realized gain on investments		(1,419,275	)
Net unrealized appreciation on investments		3,795,162
Net assets	$	8,395,468
INVESTOR CLASS:
Net assets	$	6,205,596
Capital shares outstanding		119,568
Net asset value per share	$	51.90
ADVISOR CLASS:
Net assets	$	718,718
Capital shares outstanding		14,756
Net asset value per share	$	48.71
A-CLASS:
Net assets	$	828,095
Capital shares outstanding		16,685
Net asset value per share	$	49.63
Maximum offering price per share (Net asset value divided by 95.25%)	$	52.10
C-CLASS:
Net assets	$	643,059
Capital shares outstanding		13,830
Net asset value per share	$	46.50

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $115)	$	42,260
Interest		21
Total investment income		42,281
EXPENSES:
Management fees		120,432
Transfer agent and administrative fees		35,421
Distribution and service fees:
Advisor Class		6,343
A-Class		2,253
C-Class		9,514
Portfolio accounting fees		14,169
Registration fees		24,093
Pricing service expense		12,667
Trustees’ fees*		4,576
Custodian fees		3,596
Miscellaneous		(22,222	)
Total expenses		210,842
Net investment loss		(168,561	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		3,682,105
Net realized gain		3,682,105
Net change in unrealized appreciation (depreciation) on:
Investments		(7,435,883	)
Net change in unrealized appreciation (depreciation)		(7,435,883	)
Net realized and unrealized loss		(3,753,778	)
Net decrease in net assets resulting from operations	$	(3,922,339	)

* 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 FUNDSANNUALREPORT      85

INTERNET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(168,561	)	$	(697,413	)
Net realized gain on investments		3,682,105			26,981,612	)
Net change in unrealized appreciation (depreciation) on investments		(7,435,883	)		1,549,620
Net increase (decrease) in net assets resulting from operations		(3,922,339	)		27,833,819
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		46,931,498			236,370,905
Advisor Class		3,247,918			21,569,818
A-Class		3,283,366			3,274,554
C-Class		25,638,180			51,664,283
Cost of shares redeemed
Investor Class		(58,111,981	)		(264,624,471	)
Advisor Class		(4,394,039	)		(23,765,932	)
A-Class		(3,259,688	)		(5,523,556	)
C-Class		(26,601,531	)		(51,093,192	)
Net decrease from capital share transactions		(13,266,277	)		(32,127,591	)
Net decrease in net assets		(17,188,616	)		(4,293,772	)
NET ASSETS:
Beginning of year		25,584,084			29,877,856
End of year	$	8,395,468		$	25,584,084
Accumulated net investment loss at end of year	$	(52,998	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		952,258			5,219,504
Advisor Class		71,309			490,716
A-Class		69,108			74,437
C-Class		593,808			1,264,666
Shares redeemed
Investor Class		(1,226,540	)		(5,350,861	)
Advisor Class		(99,635	)		(546,388	)
A-Class		(74,379	)		(126,995	)
C-Class		(617,390	)		(1,254,939	)
Net decrease in shares		(331,461	)		(229,860	)

86     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

INTERNET FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	52.28		$	41.74		$	26.58		$	38.55		$	41.11
Income (loss) from investment operations:
Net investment income (loss)a		(.51	)		(.34	)		(.38	)		(.29	)		.46
Net gain (loss) on investments (realized and unrealized)		.13			10.88			15.54			(11.23	)		(2.87	)
Total from investment operations		(.38	)		10.54			15.16			(11.52	)		(2.41	)
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)
Total distributions		—			—			—			(.45	)		(.15	)
Net asset value, end of period	$	51.90		$	52.28		$	41.74		$	26.58		$	38.55
Total Returnb		(0.73	%)		25.25	%		57.04	%		(29.63	%)		(5.92	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,206		$	20,589		$	21,924		$	61,745		$	4,365
Ratios to average net assets:
Net investment income (loss)		(1.05	%)		(0.69	%)		(1.12	%)		(1.01	%)		1.00	%
Total expenses		1.36	%		1.39	%		1.37	%		1.35	%		1.38	%
Portfolio turnover rate		380	%		291	%		443	%		550	%		870	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	49.31		$	39.57		$	25.32		$	36.95		$	39.61
Income (loss) from investment operations:
Net investment lossa		(.71	)		(.59	)		(.58	)		(.41	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		.11			10.33			14.83			(10.77	)		(2.42	)
Total from investment operations		(.60	)		9.74			14.25			(11.18	)		(2.51	)
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)
Total distributions		—			—			—			(.45	)		(.15	)
Net asset value, end of period	$	48.71		$	49.31		$	39.57		$	25.32		$	36.95
Total Returnb		(1.24	%)		24.61	%		56.28	%		(29.99	%)		(6.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	719		$	2,124		$	3,908		$	3,604		$	1,364
Ratios to average net assets:
Net investment loss		(1.58	%)		(1.32	%)		(1.74	%)		(1.43	%)		(0.21	%)
Total expenses		1.86	%		1.89	%		1.88	%		1.87	%		1.88	%
Portfolio turnover rate		380	%		291	%		443	%		550	%		870	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      87

INTERNET FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	50.13		$	40.12		$	25.62		$	37.29		$	39.87
Income (loss) from investment operations:
Net investment lossa		(.64	)		(.46	)		(.50	)		(.33	)		(.19	)
Net gain (loss) on investments (realized and unrealized)		.14			10.47			15.00			(10.89	)		(2.24	)
Total from investment operations		(.50	)		10.01			14.50			(11.22	)		(2.43	)
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)
Total distributions		—			—			—			(.45	)		(.15	)
Net asset value, end of period	$	49.63		$	50.13		$	40.12		$	25.62		$	37.29
Total Returnb		(1.00	%)		24.95	%		56.60	%		(29.82	%)		(6.16	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	828		$	1,101		$	2,989		$	91		$	116
Ratios to average net assets:
Net investment loss		(1.39	%)		(1.01	%)		(1.44	%)		(1.07	%)		(0.44	%)
Total expenses		1.61	%		1.64	%		1.63	%		1.62	%		1.63	%
Portfolio turnover rate		380	%		291	%		443	%		550	%		870	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009d			Year Ended March 31, 2008d
Per Share Data
Net asset value, beginning of period	$	47.30		$	38.17		$	24.56		$	36.01		$	38.79
Income (loss) from investment operations:
Net investment lossa		(.94	)		(.83	)		(.66	)		(.59	)		(.38	)
Net gain (loss) on investments (realized and unrealized)		.14			9.96			14.27			(10.41	)		(2.25	)
Total from investment operations		(.80	)		9.13			13.61			(11.00	)		(2.63	)
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)
Total distributions		—			—			—			(.45	)		(.15	)
Net asset value, end of period	$	46.50		$	47.30		$	38.17		$	24.56		$	36.01
Total Returnb		(1.69	%)		23.92	%		55.42	%		(30.28	%)		(6.84	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	643		$	1,770		$	1,057		$	602		$	1,608
Ratios to average net assets:
Net investment loss		(2.17	%)		(1.92	%)		(2.00	%)		(1.95	%)		(0.89	%)
Total expenses		2.36	%		2.39	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		380	%		291	%		443	%		550	%		870	%

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

^b Total return does not reflect the impact of any applicable sales charges and has not been annualized.

88     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT      89

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

LEISURE FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).

The sector performed well based on U.S. retail spending that is increasing, reflecting positive, yet slow, economic growth, and consumer confidence survey results that are at their highest level in a year. An accommodative Federal Reserve and views that gasoline prices are reaching a cyclical peak have also been driving consumer spending, but sustained job growth may be needed for it to climb higher.

For the one-year period ended March 31, 2012, Leisure Fund Investor Class returned 10.27%, compared with 17.53% for the S&P 500^® Consumer Discretionary Index*.

Within the sector, the hotels, restaurants & leisure segment, which made up 38% of the portfolio, contributed about half of the Fund’s return for the year, while media holdings were the next-largest contributor. The lightly weighted automobiles and software segments were the weakest contributors to performance, while the electronic equipment instruments segment detracted from performance.

Among the stocks that contributed the most to the Fund’s annual performance were McDonald’s Corp., Philip Morris International, Inc. and Starbucks Corp. Royal Caribbean Cruises Ltd., Cablevision Systems Corp. and Ctrip.com International Ltd. ADR were among the Fund’s weakest holdings for the period.

*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 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.

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.	5.1	%
McDonald’s Corp.	4.1	%
Comcast Corp. — Class A	3.7	%
Walt Disney Co.	3.6	%
Altria Group, Inc.	3.3	%
News Corp. — Class A	2.9	%
Starbucks Corp.	2.7	%
Las Vegas Sands Corp.	2.7	%
Time Warner, Inc.	2.5	%
DIRECTV — Class A	2.4	%
Top Ten Total	33.0	%

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

90     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		10.27	%		0.59	%		4.41	%
Advisor Class Shares		9.72	%		0.11	%		3.93	%
C-Class Shares		9.19	%		-0.42	%		3.37	%
C-Class Shares with CDSC†		8.19	%		-0.42	%		3.37	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Consumer Discretionary Index		17.53	%		5.24	%		5.14	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		9.95	%		0.34	%		4.73	%
A-Class Shares with sales charge‡		4.74	%		-0.63	%		4.06	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Consumer Discretionary Index		17.53	%		5.24	%		6.94	%

* 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 FUNDSANNUALREPORT      91

SCHEDULE OF INVESTMENTS	March 31, 2012
LEISURE FUND

	SHARES		VALUE
COMMON STOCKS† - 101.2%
Restaurants - 15.9%
McDonald’s Corp.		6,599	$	647,361
Starbucks Corp.		7,638		426,888
Yum! Brands, Inc.		5,221		371,631
Chipotle Mexican Grill, Inc. — Class A*		559		233,662
Darden Restaurants, Inc.		3,183		162,842
Panera Bread Co. — Class A*		878		141,288
Dunkin’ Brands Group, Inc.		4,010		120,741
Brinker International, Inc.		3,360		92,568
Wendy’s Co.		17,968		90,020
Domino’s Pizza, Inc.		2,451		88,971
Buffalo Wild Wings, Inc.*		937		84,977
Cheesecake Factory, Inc.*		2,704		79,471
Total Restaurants				2,540,420
Cable & Satellite - 14.1%
Comcast Corp. — Class A		19,463		584,084
DIRECTV — Class A*		7,702		380,016
Time Warner Cable, Inc.		4,052		330,238
DISH Network Corp. — Class A		7,746		255,076
Liberty Global, Inc. — Class A*		4,697		235,226
Virgin Media, Inc.		6,918		172,812
Charter Communications, Inc. — Class A*		2,580		163,701
Cablevision Systems Corp. — Class A		8,938		131,210
Total Cable & Satellite				2,252,363
Movies & Entertainment - 12.8%
Walt Disney Co.		13,174		576,759
News Corp. — Class A		23,134		455,508
Time Warner, Inc.		10,692		403,623
Viacom, Inc. — Class B		6,938		329,277
Cinemark Holdings, Inc.		4,656		102,199
Regal Entertainment Group — Class A		6,828		92,861
DreamWorks Animation SKG, Inc. — Class A*		4,321		79,722
Total Movies & Entertainment				2,039,949
Tobacco - 12.1%
Philip Morris International, Inc.		9,126		808,655
Altria Group, Inc.		16,859		520,437
Reynolds American, Inc.		7,655		317,223
Lorillard, Inc.		2,054		265,952
Total Tobacco				1,912,267
Casinos & Gaming - 8.2%
Las Vegas Sands Corp.		7,317		421,239
Wynn Resorts Ltd.		1,811		226,158
MGM Resorts International*		11,940		162,623
International Game Technology		8,688		145,872
Melco Crown Entertainment Ltd. ADR*		9,756		132,779
Penn National Gaming, Inc.*		2,693		115,745
Bally Technologies, Inc.*		1,977		92,425
Total Casinos & Gaming				1,296,841
Hotels, Resorts & Cruise Lines - 7.7%
Carnival Corp.		10,224		327,986
Marriott International, Inc. — Class A		6,103		230,999

	SHARES		VALUE
Starwood Hotels & Resorts Worldwide, Inc.		3,806	$	214,696
Wyndham Worldwide Corp.		3,685		171,389
Royal Caribbean Cruises Ltd.		5,472		161,041
Ctrip.com International Ltd. ADR*		5,065		109,607
Total Hotels, Resorts & Cruise Lines				1,215,718
Broadcasting - 7.5%
CBS Corp. — Class B		9,235		313,158
Discovery Communications, Inc. — Class A*		5,340		270,204
Liberty Media Corp.—Liberty Capital — Class A*		2,437		214,822
Scripps Networks Interactive, Inc. — Class A		3,750		182,588
Grupo Televisa SAB ADR		5,730		120,788
Pandora Media, Inc.*		8,090		82,599
Total Broadcasting				1,184,159
Publishing - 4.8%
Thomson Reuters Corp.		10,844		313,391
McGraw-Hill Companies, Inc.		4,948		239,830
Gannett Company, Inc.		8,016		122,885
Meredith Corp.		2,391		77,612
Total Publishing				753,718
Distillers & Vintners - 4.3%
Brown-Forman Corp. — Class B		2,699		225,069
Beam, Inc.		3,394		198,787
Constellation Brands, Inc. — Class A*		6,079		143,404
Diageo plc ADR		1,260		121,590
Total Distillers & Vintners				688,850
Leisure Products - 3.8%
Mattel, Inc.		6,499		218,756
Polaris Industries, Inc.		2,045		147,547
Hasbro, Inc.		3,852		141,445
Brunswick Corp.		3,814		98,211
Total Leisure Products				605,959
Home Entertainment Software - 3.6%
Electronic Arts, Inc.*		14,590		240,443
Activision Blizzard, Inc.		17,001		217,953
Take-Two Interactive Software, Inc.*		6,979		107,372
Total Home Entertainment Software				565,768
Brewers - 3.2%
Molson Coors Brewing Co. — Class B		4,214		190,684
Cia de Bebidas das Americas ADR		4,360		180,155
Anheuser-Busch InBev N.V. ADR		1,853		134,750
Total Brewers				505,589
Leisure Facilities - 1.8%
Six Flags Entertainment Corp.		2,235		104,531
Life Time Fitness, Inc.*		1,869		94,515
Vail Resorts, Inc.		1,831		79,191
Total Leisure Facilities				278,237
Motorcycle Manufacturers - 1.4%
Harley-Davidson, Inc.		4,427		217,277
Total Common Stocks (Cost $13,758,756)				16,057,115

92     THE RYDEX FUNDSANNUALREPORT

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
LEISURE FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	103,149	$	103,149
Total Repurchase Agreement (Cost $103,149)				103,149
Total Investments - 101.9% (Cost $13,861,905)			$	16,160,264
Other Assets & Liabilities, net - (1.9)%				(300,826	)
Total Net Assets - 100.0%			$	15,859,438

* Non-income producing security.

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      93

LEISURE FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $13,758,756)	$	16,057,115
Repurchase agreements, at value (cost $103,149)		103,149
Total investments (cost $13,861,905)		16,160,264
Cash		318
Receivables:
Fund shares sold		573,994
Securities sold		468,836
Dividends		29,231
Total assets		17,232,643
LIABILITIES:
Payable for:
Fund shares redeemed		861,273
Securities purchased		493,622
Management fees		9,216
Transfer agent and administrative fees		2,710
Distribution and service fees		1,633
Portfolio accounting fees		1,084
Miscellaneous		3,667
Total liabilities		1,373,205
NET ASSETS	$	15,859,438
NET ASSETS CONSISTOF:
Paid in capital	$	18,856,780
Undistributed net investment income		24,145
Accumulated net realized loss on investments		(5,319,846	)
Net unrealized appreciation on investments		2,298,359
Net assets	$	15,859,438
INVESTOR CLASS:
Net assets	$	12,687,135
Capital shares outstanding		343,456
Net asset value per share	$	36.94
ADVISOR CLASS:
Net assets	$	1,378,716
Capital shares outstanding		40,162
Net asset value per share	$	34.33
A-CLASS:
Net assets	$	448,309
Capital shares outstanding		12,842
Net asset value per share	$	34.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	36.65
C-CLASS:
Net assets	$	1,345,278
Capital shares outstanding		40,573
Net asset value per share	$	33.16

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,450)	$	139,485
Interest		15
Total investment income		139,500
EXPENSES:
Management fees		64,776
Transfer agent and administrative fees		19,052
Distribution and service fees:
Advisor Class		4,421
A-Class		1,767
C-Class		6,597
Portfolio accounting fees		7,621
Custodian fees		1,966
Trustees’ fees*		729
Miscellaneous		8,426
Total expenses		115,355
Net investment income		24,145
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(1,120,704	)
Net realized loss		(1,120,704	)
Net change in unrealized appreciation (depreciation) on:
Investments		490,827
Net change in unrealized appreciation (depreciation)		490,827
Net realized and unrealized loss		(629,877	)
Net decrease in net assets resulting from operations	$	(605,732	)

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

94     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

LEISURE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	24,145		$	(28,602	)
Net realized gain (loss) on investments		(1,120,704	)		1,115,448
Net change in unrealized appreciation (depreciation) on investments		490,827			(464,544	)
Net increase (decrease) in net assets resulting from operations		(605,732	)		622,302
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		67,307,816			125,035,458
Advisor Class		7,640,459			16,335,922
A-Class		1,101,175			2,661,993
C-Class		5,204,525			13,154,026
Cost of shares redeemed
Investor Class		(56,013,411	)		(136,617,181	)
Advisor Class		(6,768,833	)		(16,737,008	)
A-Class		(1,923,474	)		(2,179,683	)
C-Class		(4,790,936	)		(13,283,662	)
Net increase (decrease) from capital share transactions		11,757,321			(11,630,135	)
Net increase (decrease) in net assets		11,151,589			(11,007,833	)
NET ASSETS:
Beginning of year		4,707,849			15,715,682
End of year	$	15,859,438		$	4,707,849
Undistributed net investment income at end of year	$	24,145		$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		1,961,935			4,337,324
Advisor Class		240,055			613,234
A-Class		37,255			96,339
C-Class		171,187			514,174
Shares redeemed
Investor Class		(1,682,378	)		(4,753,299	)
Advisor Class		(218,494	)		(637,678	)
A-Class		(60,854	)		(78,619	)
C-Class		(157,894	)		(523,771	)
Net increase (decrease) in shares		290,812			(432,296	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      95

LEISURE FUND

FINANCIAL HIGHLIGHTS

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

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	33.50		$	27.48		$	15.40		$	31.72		$	35.87
Income (loss) from investment operations:
Net investment income (loss)a		.17			(.02	)		.03			.01			.09
Net gain (loss) on investments (realized and unrealized)		3.27			6.04			12.05			(16.33	)		(4.24	)
Total from investment operations		3.44			6.02			12.08			(16.32	)		(4.15	)
Net asset value, end of period	$	36.94		$	33.50		$	27.48		$	15.40		$	31.72
Total Returnb		10.27	%		21.91	%		78.44	%		(51.45	%)		(11.57	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,687		$	2,141		$	13,186		$	4,132		$	3,283
Ratios to average net assets:
Net investment income (loss)		0.49	%		(0.07	%)		0.13	%		0.05	%		0.24	%
Total expenses		1.35	%		1.39	%		1.37	%		1.37	%		1.39	%
Portfolio turnover rate		797	%		963	%		943	%		1,529	%		646	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	31.29		$	25.81		$	14.53		$	30.06		$	34.14
Income (loss) from investment operations:
Net investment lossa		(.01	)		(.16	)		(.11	)		(.03	)		(.07	)
Net gain (loss) on investments (realized and unrealized)		3.05			5.64			11.39			(15.50	)		(4.01	)
Total from investment operations		3.04			5.48			11.28			(15.53	)		(4.08	)
Net asset value, end of period	$	34.33		$	31.29		$	25.81		$	14.53		$	30.06
Total Returnb		9.72	%		21.23	%		77.63	%		(51.66	%)		(11.95	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,379		$	582		$	1,111		$	373		$	1,611
Ratios to average net assets:
Net investment loss		(0.03	%)		(0.61	%)		(0.56	%)		(0.11	%)		(0.22	%)
Total expenses		1.86	%		1.89	%		1.88	%		1.88	%		1.89	%
Portfolio turnover rate		797	%		963	%		943	%		1,529	%		646	%

96     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

LEISURE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	31.75		$	26.13		$	14.67		$	30.30		$	34.32
Income (loss) from investment operations:
Net investment income (loss)a		.07			(.05	)		.17			(.04	)		(.07	)
Net gain (loss) on investments (realized and unrealized)		3.09			5.67			11.29			(15.59	)		(3.95	)
Total from investment operations		3.16			5.62			11.46			(15.63	)		(4.02	)
Net asset value, end of period	$	34.91		$	31.75		$	26.13		$	14.67		$	30.30
Total Returnb		9.95	%		21.51	%		78.12	%		(51.58	%)		(11.71	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	448		$	1,157		$	489		$	25		$	206
Ratios to average net assets:
Net investment income (loss)		0.23	%		(0.18	%)		0.74	%		(0.16	%)		(0.20	%)
Total expenses		1.60	%		1.63	%		1.63	%		1.63	%		1.67	%
Portfolio turnover rate		797	%		963	%		943	%		1,529	%		646	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	30.36		$	25.19		$	14.26		$	29.66		$	33.86
Income (loss) from investment operations:
Net investment lossa		(.15	)		(.30	)		(.22	)		(.18	)		(.28	)
Net gain (loss) on investments (realized and unrealized)		2.95			5.47			11.15			(15.22	)		(3.92	)
Total from investment operations		2.80			5.17			10.93			(15.40	)		(4.20	)
Net asset value, end of period	$	33.16		$	30.36		$	25.19		$	14.26		$	29.66
Total Returnb		9.19	%		20.52	%		76.65	%		(51.92	%)		(12.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,345		$	828		$	929		$	123		$	430
Ratios to average net assets:
Net investment loss		(0.50	%)		(1.13	%)		(1.01	%)		(0.78	%)		(0.81	%)
Total expenses		2.35	%		2.39	%		2.38	%		2.38	%		2.40	%
Portfolio turnover rate		797	%		963	%		943	%		1,529	%		646	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      97

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

PRECIOUS METALS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).

Volatility in the precious metals markets defined much the past 12 months. Gold moved from about $1,400 an ounce at the beginning of the period, when the global economy appeared to be strengthening, to $1,900 in August after the U.S. lost its triple-A credit rating. But it then sold off through the end of March 2012 to about $1,600, as the eurozone debt picture improved and investors sought investments with greater return potential. Silver was also volatile, ending the period roughly in the middle of its 12-month trading range.

For the one-year period ended March 31, 2012, Precious Metals Fund Investor Class returned -23.91%, compared with -4.01% in the S&P 500^® Materials Index*.

The metals & mining holdings accounted for all of the negative return for the year.

Yamana Gold, Inc., Royal Gold, Inc. and Northgate Minerals Corp. added the most to Fund performance during the year. Freeport-McMoRan Copper & Gold, Inc., Silver Wheaton Corp. and Agnico-Eagle Mines Ltd. were among the stocks which contributed the least to Fund performance.

*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.

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.	10.3	%
Newmont Mining Corp.	7.3	%
Barrick Gold Corp.	7.2	%
Goldcorp, Inc.	6.1	%
Silver Wheaton Corp.	5.2	%
Yamana Gold, Inc.	4.2	%
Kinross Gold Corp.	3.8	%
Southern Copper Corp.	3.6	%
Agnico-Eagle Mines Ltd.	3.5	%
AngloGold Ashanti Ltd. ADR	3.2	%
Top Ten Total	54.4	%

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

98     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-23.91	%		3.32	%		9.02	%
C-Class Shares		-24.68	%		2.28	%		7.93	%
C-Class Shares with CDSC†		-25.43	%		2.28	%		7.93	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Materials Index		-4.01	%		2.17	%		7.18	%
	1 Year			5 Year			Since Inception (08/01/03)
Advisor Class Shares		-24.29	%		2.81	%		8.35	%
S&P 500 Index		8.54	%		2.01	%		6.27	%
S&P 500 Materials Index		-4.01	%		2.17	%		8.71	%
							(09/01/04)
A-Class Shares		-24.13	%		3.06	%		7.54	%
A-Class Shares with sales charge‡		-27.73	%		2.07	%		6.85	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Materials Index		-4.01	%		2.17	%		7.20	%

* 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 FUNDSANNUALREPORT      99

SCHEDULE OF INVESTMENTS	March 31, 2012
PRECIOUS METALS FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Gold - 62.9%
Newmont Mining Corp.		173,084	$	8,874,016
Barrick Gold Corp.		202,781		8,816,918
Goldcorp, Inc.		165,327		7,449,635
Yamana Gold, Inc.		330,992		5,170,095
Kinross Gold Corp.		470,099		4,602,269
Agnico-Eagle Mines Ltd.		126,737		4,230,481
AngloGold Ashanti Ltd. ADR		105,804		3,906,284
Eldorado Gold Corp.		265,290		3,645,085
Royal Gold, Inc.		51,991		3,390,853
Gold Fields Ltd. ADR		239,250		3,325,575
Randgold Resources Ltd. ADR		35,385		3,113,172
IAMGOLD Corp.		225,809		3,001,002
Cia de Minas Buenaventura S.A. ADR		72,084		2,905,706
Novagold Resources, Inc.*		393,573		2,825,854
New Gold, Inc.*		281,147		2,777,732
Allied Nevada Gold Corp.*		75,556		2,457,837
Harmony Gold Mining Company Ltd. ADR		216,015		2,361,044
AuRico Gold, Inc.*		236,006		2,093,373
Jaguar Mining, Inc.*		247,327		1,155,017
Seabridge Gold, Inc.*		32,300		648,907
Total Gold				76,750,855
Precious Metals & Minerals - 21.0%
Silver Wheaton Corp.		190,619		6,328,550
Pan American Silver Corp.		142,778		3,149,683
Coeur d’Alene Mines Corp.*		124,436		2,954,111
Hecla Mining Co.		623,181		2,879,096
Stillwater Mining Co.*		198,405		2,507,839
Silver Standard Resources, Inc.*		134,122		2,017,195
McEwen Mining, Inc.*		427,683		1,898,913
Endeavour Silver Corp.*		187,083		1,773,547
Silvercorp Metals, Inc.		246,355		1,697,386
Gold Resource Corp.		18,843		458,073
Total Precious Metals & Minerals				25,664,393
Diversified Metals & Mining - 15.6%
Freeport-McMoRan Copper & Gold, Inc.		330,716		12,580,437
Southern Copper Corp.		139,293		4,416,981
Titanium Metals Corp.		155,627		2,110,302
Total Diversified Metals & Mining				19,107,720
Total Common Stocks (Cost $61,758,081)				121,522,968

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 0.5%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	664,860	$	664,860
Total Repurchase Agreement (Cost $664,860)				664,860
Total Investments - 100.0% (Cost $62,422,941)			$	122,187,828
Other Assets & Liabilities, net - 0.0%				3,638
Total Net Assets - 100.0%			$	122,191,466

* 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  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

100     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

PRECIOUS METALS FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $61,758,081)	$	121,522,968
Repurchase agreements, at value (cost $664,860)		664,860
Total investments (cost $62,422,941)		122,187,828
Receivables:
Fund shares sold		1,591,817
Dividends		46,784
Total assets		123,826,429
LIABILITIES:
Payable for:
Securities purchased		867,309
Fund shares redeemed		552,936
Management fees		76,012
Distribution and service fees		25,807
Transfer agent and administrative fees		25,337
Portfolio accounting fees		10,135
Miscellaneous		77,427
Total liabilities		1,634,963
NET ASSETS	$	122,191,466
NET ASSETS CONSISTOF:
Paid in capital	$	80,990,902
Accumulated net investment loss		(928,587	)
Accumulated net realized loss on investments		(17,635,736	)
Net unrealized appreciation on investments		59,764,887
Net assets	$	122,191,466
INVESTOR CLASS:
Net assets	$	79,636,841
Capital shares outstanding		1,211,536
Net asset value per share	$	65.73
ADVISOR CLASS:
Net assets	$	9,610,369
Capital shares outstanding		152,496
Net asset value per share	$	63.02
A-CLASS:
Net assets	$	6,411,743
Capital shares outstanding		99,863
Net asset value per share	$	64.21
Maximum offering price per share (Net asset value divided by 95.25%)	$	67.41
C-CLASS:
Net assets	$	26,532,513
Capital shares outstanding		449,581
Net asset value per share	$	59.02

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $82,223)	$	1,856,422
Interest		184
Total investment income		1,856,606
EXPENSES:
Management fees		1,147,361
Transfer agent and administrative fees		382,454
Distribution and service fees:
Advisor Class		82,876
A-Class		22,716
C-Class		309,802
Portfolio accounting fees		152,979
Custodian fees		38,959
Trustees’ fees*		16,406
Miscellaneous		179,605
Total expenses		2,333,158
Net investment loss		(476,552	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		19,678,206
Foreign currency		455
Net realized gain		19,678,661
Net change in unrealized appreciation (depreciation) on:
Investments		(67,488,597	)
Net change in unrealized appreciation (depreciation)		(67,488,597	)
Net realized and unrealized loss		(47,809,936	)
Net decrease in net assets resulting from operations	$	(48,286,488	)

* 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 FUNDSANNUALREPORT      101

PRECIOUS METALS FUND

STATEMENTS OF CHANGES IN NET ASSETS
	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(476,552	)	$	(1,370,442	)
Net realized gain on investments		19,678,661			31,189,959
Net change in unrealized appreciation (depreciation) on investments		(67,488,597	)		31,925,087
Net increase (decrease) in net assets resulting from operations		(48,286,488	)		61,744,604
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
Investor Class		(342,783	)		(94,591	)
Advisor Class		(98,439	)		(11,506	)
A-Class		(29,266	)		(7,004	)
C-Class		(131,027	)		(19,112	)
Total distributions to shareholders		(601,515	)		(132,213	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		423,424,295			824,385,947
Advisor Class		175,221,277			364,066,887
A-Class		16,352,801			29,625,719
C-Class		100,545,119			145,601,909
Distributions reinvested
Investor Class		327,275			92,212
Advisor Class		98,109			11,341
A-Class		26,774			6,500
C-Class		127,230			17,945
Cost of shares redeemed
Investor Class		(456,983,256	)		(834,585,403	)
Advisor Class		(188,141,866	)		(361,238,854	)
A-Class		(21,646,696	)		(27,278,650	)
C-Class		(105,056,886	)		(139,661,292	)
Net increase (decrease) from capital share transactions		(55,705,824	)		1,044,261
Net increase (decrease) in net assets		(104,593,827	)		62,656,652
NET ASSETS:
Beginning of year		226,785,293			164,128,641
End of year	$	122,191,466		$	226,785,293
Accumulated net investment loss at end of year	$	(928,587	)	$	(1,020,463	)
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		5,482,005			11,212,113
Advisor Class		2,329,104			5,207,693
A-Class		219,463			411,950
C-Class		1,456,077			2,195,554
Shares issued from reinvestment of distributions
Investor Class		4,566			1,121
Advisor Class		1,425			143
A-Class		382			81
C-Class		1,971			240
Shares redeemed
Investor Class		(5,909,703	)		(11,417,831	)
Advisor Class		(2,541,906	)		(5,156,332	)
A-Class		(295,558	)		(375,373	)
C-Class		(1,512,258	)		(2,107,087	)
Net decrease in shares		(764,432	)		(27,728	)

102     THE RYDEX FUNDSANNUALREPORT 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.

Investor Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	86.74		$	61.73		$	46.36		$	69.89		$	56.21
Income (loss) from investment operations:
Net investment lossa		(.02	)		(.28	)		(.44	)		(.23	)		(.37	)
Net gain (loss) on investments (realized and unrealized)		(20.70	)		25.32			15.96			(23.30	)		14.05
Total from investment operations		(20.72	)		25.04			15.52			(23.53	)		13.68
Less distributions from:
Net investment income		(.29	)		(.03	)		—			—			—
Net realized gains		—			—			(.08	)		—			—
Return of capital		—			—			(.07	)		—			—
Total distributions		(.29	)		(.03	)		(.15	)		—			—
Net asset value, end of period	$	65.73		$	86.74		$	61.73		$	46.36		$	69.89
Total Returnb		(23.91	%)		40.57	%		33.44	%		(33.67	%)		24.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	79,637		$	141,798		$	113,546		$	160,759		$	149,805
Ratios to average net assets:
Net investment loss		(0.03	%)		(0.37	%)		(0.76	%)		(0.48	%)		(0.58	%)
Total expenses		1.26	%		1.28	%		1.28	%		1.28	%		1.27	%
Portfolio turnover rate		235	%		322	%		383	%		245	%		203	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	83.59		$	59.79		$	45.12		$	68.36		$	55.24
Income (loss) from investment operations:
Net investment lossa		(.44	)		(.61	)		(.79	)		(.50	)		(.69	)
Net gain (loss) on investments (realized and unrealized)		(19.84	)		24.44			15.61			(22.74	)		13.81
Total from investment operations		(20.28	)		23.83			14.82			(23.24	)		13.12
Less distributions from:
Net investment income		(.29	)		(.03	)		—			—			—
Net realized gains		—			—			(.08	)		—			—
Return of capital		—			—			(.07	)		—			—
Total distributions		(.29	)		(.03	)		(.15	)		—			—
Net asset value, end of period	$	63.02		$	83.59		$	59.79		$	45.12		$	68.36
Total Returnb		(24.29	%)		39.87	%		32.81	%		(34.00	%)		23.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,610		$	30,418		$	18,677		$	12,056		$	11,817
Ratios to average net assets:
Net investment loss		(0.59	%)		(0.86	%)		(1.35	%)		(1.02	%)		(1.09	%)
Total expenses		1.76	%		1.78	%		1.77	%		1.77	%		1.77	%
Portfolio turnover rate		235	%		322	%		383	%		245	%		203	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	84.97		$	60.63		$	45.64		$	68.96		$	55.59
Income (loss) from investment operations:
Net investment lossa		(.22	)		(.45	)		(.59	)		(.36	)		(.55	)
Net gain (loss) on investments (realized and unrealized)		(20.25	)		24.82			15.73			(22.96	)		13.92
Total from investment operations		(20.47	)		24.37			15.14			(23.32	)		13.37
Less distributions from:
Net investment income		(.29	)		(.03	)		—			—			—
Net realized gains		—			—			(.08	)		—			—
Return of capital		—			—			(.07	)		—			—
Total distributions		(.29	)		(.03	)		(.15	)		—			—
Net asset value, end of period	$	64.21		$	84.97		$	60.63		$	45.64		$	68.96
Total Returnb		(24.13	%)		40.21	%		33.14	%		(33.82	%)		24.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,412		$	14,919		$	8,422		$	8,484		$	10,911
Ratios to average net assets:
Net investment loss		(0.30	%)		(0.63	%)		(1.04	%)		(0.71	%)		(0.84	%)
Total expenses		1.51	%		1.53	%		1.52	%		1.53	%		1.52	%
Portfolio turnover rate		235	%		322	%		383	%		245	%		203	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	78.70		$	56.58		$	42.92		$	65.38		$	53.12
Income (loss) from investment operations:
Net investment lossa		(.72	)		(.94	)		(.97	)		(.68	)		(.97	)
Net gain (loss) on investments (realized and unrealized)		(18.67	)		23.09			14.78			(21.78	)		13.23
Total from investment operations		(19.39	)		22.15			13.81			(22.46	)		12.26
Less distributions from:
Net investment income		(.29	)		(.03	)		—			—			—
Net realized gains		—			—			(.08	)		—			—
Return of capital		—			—			(.07	)		—			—
Total distributions		(.29	)		(.03	)		(.15	)		—			—
Net asset value, end of period	$	59.02		$	78.70		$	56.58		$	42.92		$	65.38
Total Returnb		(24.68	%)		39.18	%		32.14	%		(34.35	%)		23.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	26,533		$	39,650		$	23,483		$	20,452		$	26,319
Ratios to average net assets:
Net investment loss		(1.04	%)		(1.37	%)		(1.81	%)		(1.43	%)		(1.60	%)
Total expenses		2.26	%		2.28	%		2.28	%		2.27	%		2.27	%
Portfolio turnover rate		235	%		322	%		383	%		245	%		203	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

104     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT      105

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

RETAILING FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail-order operations and other companies involved in selling products to consumers (“Retailing Companies”).

Positive, yet slow, economic growth helped this sector, along with an accommodative Federal Reserve and commodity prices that eased in the last part of 2011, all of which gave a boost to spending and stemmed fears of another recession. Retail sales continued picking up in the beginning of 2012, which could be attributed to warmer winter weather. In addition, consumers may be cutting savings in order to spend, which may not continue without more growth of jobs and wages.

For the one-year period ended March 31, 2012, Retailing Fund Investor Class returned 19.14%, compared with 17.53% for the S&P 500^® Consumer Discretionary Index*.

Within the sector, heavily weighted specialty retail contributed about half of the Fund performance. Multiline retail and food & staples retailing accounted for most of the remainder of the Fund’s return.

Fund performance for the year benefited most from Wal-Mart Stores, Inc., Home Depot, Inc. and TJX Companies, Inc,. Walgreen Co., Shutterfly, Inc. and Netflix, Inc. were among the Fund’s weakest-performing stocks for the period.

*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 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.

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.	6.5	%
Amazon.com, Inc.	4.3	%
Home Depot, Inc.	4.0	%
CVS Caremark Corp.	3.4	%
Lowe’s Companies, Inc.	2.9	%
Costco Wholesale Corp.	2.8	%
Target Corp.	2.8	%
Priceline.com, Inc.	2.7	%
TJX Companies, Inc.	2.5	%
Walgreen Co.	2.4	%
Top Ten Total	34.3	%

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

106     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		19.14	%		3.87	%		4.64	%
Advisor Class Shares		18.38	%		3.38	%		4.19	%
C-Class Shares		17.83	%		2.84	%		3.58	%
C-Class Shares with CDSC†		16.83	%		2.84	%		3.58	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Consumer Discretionary Index		17.53	%		5.24	%		5.14	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		18.71	%		3.68	%		6.48	%
A-Class Shares with sales charge‡		13.04	%		2.67	%		5.80	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Consumer Discretionary Index		17.53	%		5.24	%		6.94	%

* 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 FUNDSANNUALREPORT      107

SCHEDULE OF INVESTMENTS	M arch 31, 2012
RETAILING FUND

	SHARES		VALUE
COMMON STOCKS† - 100.0%
Apparel Retail - 19.2%
TJX Companies, Inc.		29,442	$	1,169,141
Limited Brands, Inc.		16,677		800,495
Ross Stores, Inc.		13,370		776,797
The Gap, Inc.		28,909		755,681
Foot Locker, Inc.		14,853		461,186
Urban Outfitters, Inc.*		14,979		436,039
Abercrombie & Fitch Co. — Class A		8,486		420,990
American Eagle Outfitters, Inc.		22,690		390,041
Ascena Retail Group, Inc.*		8,783		389,263
Guess?, Inc.		11,310		353,438
Chico’s FAS, Inc.		21,816		329,422
Express, Inc.*		12,800		319,744
Buckle, Inc.		6,613		316,763
DSW, Inc. — Class A		5,755		315,201
Men’s Wearhouse, Inc.		7,653		296,707
Aeropostale, Inc.*		13,145		284,195
Genesco, Inc.*		3,828		274,276
ANN, Inc.*		8,687		248,796
Jos A. Bank Clothiers, Inc.*		4,793		241,615
Children’s Place Retail Stores, Inc.*		4,648		240,162
Finish Line, Inc. — Class A		9,773		207,383
Total Apparel Retail				9,027,335
Internet Retail - 11.7%
Amazon.com, Inc.*		10,113		2,047,985
Priceline.com, Inc.*		1,778		1,275,715
Groupon, Inc. — Class A*		40,409		742,717
Netflix, Inc.*		4,625		532,060
TripAdvisor, Inc.*		13,175		469,952
Expedia, Inc.		13,255		443,247
Total Internet Retail				5,511,676
Specialty Stores - 10.7%
Staples, Inc.		42,905		694,202
Tiffany & Co.		8,793		607,860
Tractor Supply Co.		6,021		545,262
PetSmart, Inc.		9,272		530,544
Ulta Salon Cosmetics & Fragrance, Inc.		5,515		512,288
Dick’s Sporting Goods, Inc.		10,607		509,985
Sally Beauty Holdings, Inc.*		18,546		459,941
GNC Holdings, Inc. — Class A		11,900		415,191
Signet Jewelers Ltd.		8,728		412,660
Cabela’s, Inc.*		9,079		346,364
Total Specialty Stores				5,034,297
Hypermarkets & Super Centers - 10.2%
Wal-Mart Stores, Inc.		50,330		3,080,196
Costco Wholesale Corp.		14,667		1,331,764
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR		7,790		370,960
Total Hypermarkets & Super Centers				4,782,920
Department Stores - 8.7%
Macy’s, Inc.		21,658		860,473
Kohl’s Corp.		14,979		749,399
Nordstrom, Inc.		12,981		723,301

	SHARES		VALUE
JC Penney Company, Inc.		16,049	$	568,616
Sears Holdings Corp.*		7,680		508,800
Dillard’s, Inc. — Class A		6,159		388,140
Saks, Inc.*		24,785		287,754
Total Department Stores				4,086,483
General Merchandise Stores - 8.1%
Target Corp.		22,654		1,320,049
Dollar General Corp.*		18,187		840,239
Dollar Tree, Inc.*		7,495		708,203
Family Dollar Stores, Inc.		9,587		606,665
Big Lots, Inc.*		7,988		343,644
Total General Merchandise Stores				3,818,800
Automotive Retail - 7.1%
AutoZone, Inc.*		2,146		797,883
O’Reilly Automotive, Inc.*		7,963		727,420
CarMax, Inc.*		17,057		591,025
Advance Auto Parts, Inc.		6,071		537,708
AutoNation, Inc.*		12,934		443,766
Group 1 Automotive, Inc.		4,297		241,362
Total Automotive Retail				3,339,164
Home Improvement Retail - 6.8%
Home Depot, Inc.		37,273		1,875,204
Lowe’s Companies, Inc.		42,815		1,343,535
Total Home Improvement Retail				3,218,739
Drug Retail - 5.9%
CVS Caremark Corp.		36,154		1,619,699
Walgreen Co.		34,006		1,138,861
Total Drug Retail				2,758,560
Homefurnishing Retail - 4.5%
Bed Bath & Beyond, Inc.*		12,768		839,752
Williams-Sonoma, Inc.		10,882		407,857
Pier 1 Imports, Inc.*		16,518		300,297
Aaron’s, Inc.		11,459		296,788
Select Comfort Corp.*		8,820		285,680
Total Homefurnishing Retail				2,130,374
Computer & Electronics Retail - 2.7%
Best Buy Company, Inc.		24,375		577,199
GameStop Corp. — Class A		15,915		347,584
Rent-A-Center, Inc. — Class A		8,682		327,746
Total Computer & Electronics Retail				1,252,529
Distributors - 2.3%
Genuine Parts Co.		10,493		658,436
LKQ Corp.*		14,331		446,697
Total Distributors				1,105,133
Catalog Retail - 2.1%
Liberty Interactive Corp. — Class A*		36,383		694,551
HSN, Inc.		8,250		313,748
Total Catalog Retail				1,008,299
Total Common Stocks (Cost $40,405,214)				47,074,309

108     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded)	M arch 31, 2012
RETAILING FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENT††,1 - 2.1%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	990,228	$	990,228
Total Repurchase Agreement (Cost $990,228)				990,228
Total Investments - 102.1% (Cost $41,395,442)			$	48,064,537
Other Assets & Liabilities, net - (2.1)%				(983,216	)
Total Net Assets - 100.0%			$	47,081,321

  * 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

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      109

RETAILING FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments, at value (cost $40,405,214)	$	47,074,309
Repurchase agreements, at value (cost $990,228)		990,228
Total investments (cost $41,395,442)		48,064,537
Receivables:
Fund shares sold		4,462,534
Dividends		31,820
Total assets		52,558,891
LIABILITIES:
Payable for:
Securities purchased		4,943,672
Fund shares redeemed		488,240
Management fees		24,403
Transfer agent and administrative fees		7,177
Distribution and service fees		3,729
Portfolio accounting fees		2,871
Miscellaneous		7,478
Total liabilities		5,477,570
NET ASSETS	$	47,081,321
NET ASSETS CONSISTOF:
Paid in capital	$	47,885,376
Accumulated net investment loss		(18,867	)
Accumulated net realized loss on investments		(7,454,283	)
Net unrealized appreciation on investments		6,669,095
Net assets	$	47,081,321
INVESTOR CLASS:
Net assets	$	34,801,946
Capital shares outstanding		1,994,222
Net asset value per share	$	17.45
ADVISOR CLASS:
Net assets	$	3,979,140
Capital shares outstanding		241,874
Net asset value per share	$	16.45
A-CLASS:
Net assets	$	5,697,236
Capital shares outstanding		339,775
Net asset value per share	$	16.77
Maximum offering price per share (Net asset value divided by 95.25%)	$	17.61
C-CLASS:
Net assets	$	2,602,999
Capital shares outstanding		166,594
Net asset value per share	$	15.62

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends	$	215,571
Interest		32
Total investment income		215,603
EXPENSES:
Management fees		135,865
Transfer agent and administrative fees		39,960
Distribution and service fees:
Advisor Class		13,560
A-Class		2,079
C-Class		17,876
Portfolio accounting fees		15,984
Custodian fees		4,277
Trustees’ fees*		976
Miscellaneous		17,162
Total expenses		247,739
Net investment loss		(32,136	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(1,736,442	)
Net realized loss		(1,736,442	)
Net change in unrealized appreciation (depreciation) on:
Investments		4,064,079
Net change in unrealized appreciation (depreciation)		4,064,079
Net realized and unrealized gain		2,327,637
Net increase in net assets resulting from operations	$	2,295,501

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

110     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

RETAILING FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss)	$	(32,136	)	$	16,042
Net realized gain (loss) on investments		(1,736,442	)		836,451
Net change in unrealized appreciation (depreciation) on investments		4,064,079			(384,162	)
Net increase in net assets resulting from operations		2,295,501			468,331
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
Investor Class		(10,261	)		(35,479	)
Advisor Class		(2,123	)		(1,353	)
A-Class		(918	)		(9,855	)
C-Class		(2,740	)		(3,390	)
Total distributions to shareholders		(16,042	)		(50,077	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		154,522,734			112,945,561
Advisor Class		41,989,998			26,751,400
A-Class		6,468,017			8,381,272
C-Class		42,900,385			65,235,224
Distributions reinvested
Investor Class		9,550			34,766
Advisor Class		2,100			1,339
A-Class		708			821
C-Class		1,782			1,554
Cost of shares redeemed
Investor Class		(124,920,412	)		(121,601,948	)
Advisor Class		(39,872,121	)		(27,523,161	)
A-Class		(1,518,199	)		(8,427,176	)
C-Class		(43,364,257	)		(64,150,957	)
Net increase (decrease) from capital share transactions		36,220,285			(8,351,305	)
Net increase (decrease) in net assets		38,499,744			(7,933,051	)
NET ASSETS:
Beginning of year		8,581,577			16,514,628
End of year	$	47,081,321		$	8,581,577
Accumulated/(Undistributed) net investment income/(loss) at end of year	$	(18,867	)	$	16,042
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		10,008,491			8,649,369
Advisor Class		2,942,412			2,198,130
A-Class		406,397			661,053
C-Class		3,163,632			5,633,007
Shares issued from reinvestment of distributions
Investor Class		653			2,489
Advisor Class		152			101
A-Class		50			61
C-Class		136			122
Shares redeemed
Investor Class		(8,272,567	)		(9,340,211	)
Advisor Class		(2,814,468	)		(2,278,060	)
A-Class		(103,243	)		(656,603	)
C-Class		(3,201,016	)		(5,575,994	)
Net increase (decrease) in shares		2,130,629			(706,536	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.66		$	12.75		$	8.58		$	11.54		$	14.47
Income (loss) from investment operations:
Net investment income (loss)a		.01			.05			.03			(.01	)		(.04	)
Net gain (loss) on investments (realized and unrealized)		2.79			1.89			4.14			(2.95	)		(2.89	)
Total from investment operations		2.80			1.94			4.17			(2.96	)		(2.93	)
Less distributions from:
Net investment income		(.01	)		(.03	)		—			—			—
Total distributions		(.01	)		(.03	)		—			—			—
Net asset value, end of period	$	17.45		$	14.66		$	12.75		$	8.58		$	11.54
Total Returnb		19.14	%		15.20	%		48.60	%		(25.65	%)		(20.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34,802		$	3,776		$	12,060		$	84,894		$	3,152
Ratios to average net assets:
Net investment income (loss)		0.04	%		0.34	%		0.28	%		(0.14	%)		(0.27	%)
Total expenses		1.34	%		1.39	%		1.38	%		1.32	%		1.37	%
Portfolio turnover rate		822	%		1,062	%		1,049	%		461	%		1,205	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.91		$	12.14		$	8.20		$	11.10		$	13.97
Income (loss) from investment operations:
Net investment lossa		(.09	)		(.07	)		(.06	)		(.02	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		2.64			1.87			4.00			(2.88	)		(2.75	)
Total from investment operations		2.55			1.80			3.94			(2.90	)		(2.87	)
Less distributions from:
Net investment income		(.01	)		(.03	)		—			—			—
Total distributions		(.01	)		(.03	)		—			—			—
Net asset value, end of period	$	16.45		$	13.91		$	12.14		$	8.20		$	11.10
Total Returnb		18.38	%		14.81	%		48.05	%		(26.13	%)		(20.54	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,979		$	1,583		$	2,350		$	901		$	800
Ratios to average net assets:
Net investment loss		(0.66	%)		(0.58	%)		(0.57	%)		(0.26	%)		(0.89	%)
Total expenses		1.84	%		1.89	%		1.87	%		1.88	%		1.87	%
Portfolio turnover rate		822	%		1,062	%		1,049	%		461	%		1,205	%

112     THE RYDEX FUNDSANNUALREPORT 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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.14		$	12.31		$	8.30		$	11.18		$	14.04
Income (loss) from investment operations:
Net investment income (loss)a		(.03	)		.18			(.01	)		(.02	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		2.67			1.68			4.02			(2.86	)		(2.76	)
Total from investment operations		2.64			1.86			4.01			(2.88	)		(2.86	)
Less distributions from:
Net investment income		(.01	)		(.03	)		—			—			—
Total distributions		(.01	)		(.03	)		—			—			—
Net asset value, end of period	$	16.77		$	14.14		$	12.31		$	8.30		$	11.18
Total Returnb		18.71	%		15.09	%		48.31	%		(25.76	%)		(20.37	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,697		$	517		$	395		$	49		$	101
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		1.42	%		(0.12	%)		(0.17	%)		(0.73	%)
Total expenses		1.58	%		1.64	%		1.62	%		1.63	%		1.63	%
Portfolio turnover rate		822	%		1,062	%		1,049	%		461	%		1,205	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.27		$	11.65		$	7.92		$	10.76		$	13.62
Income (loss) from investment operations:
Net investment lossa		(.13	)		(.11	)		(.10	)		(.07	)		(.17	)
Net gain (loss) on investments (realized and unrealized)		2.49			1.76			3.83			(2.77	)		(2.69	)
Total from investment operations		2.36			1.65			3.73			(2.84	)		(2.86	)
Less distributions from:
Net investment income		(.01	)		(.03	)		—			—			—
Total distributions		(.01	)		(.03	)		—			—			—
Net asset value, end of period	$	15.62		$	13.27		$	11.65		$	7.92		$	10.76
Total Returnb		17.83	%		14.14	%		47.10	%		(26.39	%)		(21.00	%)
				��
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,603		$	2,705		$	1,709		$	1,008		$	1,291
Ratios to average net assets:
Net investment loss		(0.96	%)		(0.96	%)		(1.08	%)		(0.76	%)		(1.36	%)
Total expenses		2.35	%		2.39	%		2.38	%		2.38	%		2.37	%
Portfolio turnover rate		822	%		1,062	%		1,049	%		461	%		1,205	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      113

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

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”).

Technology stocks had subdued growth during the period, due to inventory worries, management turnover and supply chain concerns in Japan and Thailand. In addition, demand in consumer-related electronics and public-sector spending has been weak, and some forecasts for worldwide information technology spending in 2012 have been cut by a third.

For the one-year period ended March 31, 2012, Technology Fund Investor Class returned 2.65%, compared with 20.21% for the S&P 500^® Information Technology Index*.

Within the sector, computers & peripherals was the biggest contributor to return, followed by IT services and software. Communications equipment was the weakest contributor to return.

Fund performance for the year got the biggest boost from Apple, Inc., Microsoft Corp. and Intel Corp. First Solar, Inc., Research in Motion Ltd. and Hewlett-Packard Co. were among the weakest-performing stocks for the period.

*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.

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.	5.5	%
Microsoft Corp.	3.8	%
International Business Machines Corp.	3.7	%
Google, Inc. — Class A	3.4	%
Intel Corp.	2.8	%
Oracle Corp.	2.8	%
Cisco Systems, Inc.	2.5	%
QUALCOMM, Inc.	2.5	%
Visa, Inc. — Class A	2.1	%
EMC Corp.	1.9	%
Top Ten Total	31.0	%

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

114     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		2.65	%		2.69	%		2.69	%
Advisor Class Shares		2.13	%		2.16	%		2.24	%
C-Class Shares		1.50	%		1.65	%		1.71	%
C-Class Shares with CDSC†		0.50	%		1.65	%		1.71	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Information Technology Index		20.21	%		8.15	%		5.06	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		2.33	%		2.37	%		5.14	%
A-Class Shares with sales charge‡		-2.51	%		1.38	%		4.48	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Information Technology Index		20.21	%		8.15	%		8.65	%

* 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 FUNDSANNUALREPORT      115

SCHEDULE OF INVESTMENTS March 31, 2012

TECHNOLOGY FUND

	SHARES		VALUE
COMMON STOCKS† - 99.4%
Semiconductors - 16.4%
Intel Corp.		32,164	$	904,129
Texas Instruments, Inc.		13,996		470,405
Broadcom Corp. — Class A*		8,942		351,420
Taiwan Semiconductor Manufacturing Company Ltd. ADR		21,288		325,281
ARM Holdings plc ADR		10,642		301,062
Altera Corp.		6,846		272,608
Analog Devices, Inc.		6,500		262,600
NVIDIA Corp.*		15,654		240,915
Xilinx, Inc.		6,488		236,358
Avago Technologies Ltd.		6,022		234,677
Marvell Technology Group Ltd.*		14,522		228,431
Maxim Integrated Products, Inc.		7,632		218,199
Linear Technology Corp.		6,220		209,614
Micron Technology, Inc.*		25,675		207,968
Microchip Technology, Inc.		5,459		203,075
Advanced Micro Devices, Inc.*		22,210		178,124
Skyworks Solutions, Inc.*		6,140		169,771
LSI Corp.*		19,170		166,396
Atmel Corp.*		15,810		155,887
Total Semiconductors				5,336,920
Systems Software - 12.3%
Microsoft Corp.		38,700		1,248,074
Oracle Corp.		30,712		895,562
VMware, Inc. — Class A*		4,716		529,937
Symantec Corp.*		15,120		282,744
Red Hat, Inc.*		4,637		277,710
Check Point Software Technologies Ltd.*		4,350		277,704
CA, Inc.		10,052		277,033
BMC Software, Inc.*		4,937		198,270
Total Systems Software				3,987,034
Computer Hardware - 12.0%
Apple, Inc.*		2,996		1,796,011
International Business Machines Corp.		5,698		1,188,888
Hewlett-Packard Co.		21,819		519,947
Dell, Inc.*		24,317		403,662
Total Computer Hardware				3,908,508
Internet Software & Services - 11.5%
Google, Inc. — Class A*		1,732		1,110,628
Baidu, Inc. ADR*		3,852		561,506
eBay, Inc.*		14,055		518,489
Yahoo!, Inc.*		21,002		319,650
LinkedIn Corp. — Class A*		2,481		253,037
Equinix, Inc.*		1,390		218,856
Rackspace Hosting, Inc.*		3,680		212,667
Akamai Technologies, Inc.*		5,235		192,125
VeriSign, Inc.		4,892		187,559
Sina Corp.*		2,310		150,150
Total Internet Software & Services				3,724,667

	SHARES		VALUE
Communications Equipment - 10.6%
Cisco Systems, Inc.		38,553	$	815,397
QUALCOMM, Inc.		11,962		813,656
Nokia Oyj ADR		58,066		318,782
Motorola Solutions, Inc.		6,003		305,132
Juniper Networks, Inc.*		11,975		273,988
Motorola Mobility Holdings, Inc.*		6,618		259,690
F5 Networks, Inc.*		1,892		255,344
Research In Motion Ltd.*		14,573		214,369
Harris Corp.		3,902		175,902
Total Communications Equipment				3,432,260
Data Processing & Outsourced Services - 9.7%
Visa, Inc. — Class A		5,705		673,189
Mastercard, Inc. — Class A		1,339		563,103
Automatic Data Processing, Inc.		7,145		394,333
Western Union Co.		14,174		249,462
Paychex, Inc.		8,033		248,943
Fiserv, Inc.*		3,448		239,257
Fidelity National Information Services, Inc.		7,074		234,291
Alliance Data Systems Corp.*		1,537		193,601
VeriFone Systems, Inc.*		3,550		184,139
Computer Sciences Corp.		5,396		161,556
Total Data Processing & Outsourced Services				3,141,874
Application Software - 7.8%
Salesforce.com, Inc.*		2,301		355,527
Intuit, Inc.		5,290		318,088
Adobe Systems, Inc.*		9,208		315,926
Citrix Systems, Inc.*		3,781		298,359
SAP AG ADR		4,198		293,104
Autodesk, Inc.*		5,608		237,331
Nuance Communications, Inc.*		8,170		208,989
Informatica Corp.*		3,500		185,150
TIBCO Software, Inc.*		5,570		169,885
Factset Research Systems, Inc.		1,630		161,435
Total Application Software				2,543,794
Computer Storage & Peripherals - 5.2%
EMC Corp.*		20,195		603,427
NetApp, Inc.*		6,779		303,496
Seagate Technology plc		9,743		262,574
SanDisk Corp.*		5,263		260,992
Western Digital Corp.*		5,852		242,214
Total Computer Storage & Peripherals				1,672,703
IT Consulting & Other Services - 4.9%
Accenture plc — Class A		8,007		516,451
Infosys Ltd. ADR		7,532		429,550
Cognizant Technology Solutions Corp. — Class A*		4,770		367,052
Teradata Corp.*		3,865		263,400
Total IT Consulting & Other Services				1,576,453

116     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2012

TECHNOLOGY FUND

	SHARES		VALUE
Semiconductor Equipment - 3.1%
ASML Holding N.V. ADR		6,069	$	304,300
Applied Materials, Inc.		24,205		301,110
KLA-Tencor Corp.		4,238		230,632
Lam Research Corp.*		3,924		175,089
Total Semiconductor Equipment				1,011,131
Electronic Components - 1.8%
Corning, Inc.		24,860		350,029
Amphenol Corp. — Class A		4,121		246,312
Total Electronic Components				596,341
Electronic Manufacturing Services - 1.4%
TE Connectivity Ltd.		8,147		299,402
Jabil Circuit, Inc.		6,710		168,555
Total Electronic Manufacturing Services				467,957
Home Entertainment Software - 1.4%
Activision Blizzard, Inc.		22,636		290,194
Electronic Arts, Inc.*		10,425		171,804
Total Home Entertainment Software				461,998
Office Electronics - 0.8%
Xerox Corp.		30,370		245,390
Technology Distributors - 0.5%
Avnet, Inc.*		4,730		172,125
Total Common Stocks (Cost $22,439,270)				32,279,155
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	214,900		214,900
Total Repurchase Agreement (Cost $214,900)				214,900
Total Investments - 100.1% (Cost $22,654,170)			$	32,494,055
Other Assets & Liabilities, net - (0.1)%				(37,841	)
Total Net Assets - 100.0%			$	32,456,214

* 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  Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      117

TECHNOLOGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value
(cost $22,439,270)	$	32,279,155
Repurchase agreements, at value
(cost $214,900)		214,900
Total investments
(cost $22,654,170)		32,494,055
Receivables:
Fund shares sold		597,281
Dividends		13,913
Total assets		33,105,249
LIABILITIES:
Payable for:
Securities purchased		395,343
Fund shares redeemed		199,509
Management fees		24,262
Transfer agent and administrative fees		7,136
Distribution and service fees		5,430
Portfolio accounting fees		2,854
Miscellaneous		14,501
Total liabilities		649,035
NET ASSETS	$	32,456,214
NET ASSETS CONSISTOF:
Paid in capital	$	41,537,152
Accumulated net investment loss		(82,903	)
Accumulated net realized loss on investments		(18,837,920	)
Net unrealized appreciation on investments		9,839,885
Net assets	$	32,456,214
INVESTOR CLASS:
Net assets	$	19,985,473
Capital shares outstanding		1,396,926
Net asset value per share	$	14.31
ADVISOR CLASS:
Net assets	$	2,360,914
Capital shares outstanding		176,110
Net asset value per share	$	13.41
A-CLASS:
Net assets	$	7,366,630
Capital shares outstanding		542,133
Net asset value per share	$	13.59
Maximum offering price per share
(Net asset value divided by 95.25%)	$	14.27
C-CLASS:
Net assets	$	2,743,197
Capital shares outstanding		212,940
Net asset value per share	$	12.88

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $5,842)	$	329,637
Interest		45
Total investment income		329,682
EXPENSES:
Management fees		241,749
Transfer agent and administrative fees		71,102
Distribution and service fees:
Advisor Class		19,607
A-Class		4,759
C-Class		23,980
Portfolio accounting fees		28,441
Custodian fees		7,306
Trustees’ fees*		3,058
Miscellaneous		33,938
Total expenses		433,940
Net investment loss		(104,258	)
NET REALIZEDAND UNREALIZED GAIN (Loss):
Net realized gain (loss) on:
Investments		1,250,892
Net realized gain		1,250,892
Net change in unrealized appreciation (depreciation) on:
Investments		(2,397,822	)
Net change in unrealized appreciation (depreciation)		(2,397,822	)
Net realized and unrealized loss		(1,146,930	)
Net decrease in net assets resulting from operations	$	(1,251,188	)

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

118     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

TECHNOLOGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(104,258	)	$	(294,384	)
Net realized gain on investments		1,250,892			6,855,354
Net change in unrealized appreciation (depreciation) on investments		(2,397,822	)		(3,631,811	)
Net increase (decrease) in net assets resulting from operations		(1,251,188	)		2,929,159
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		108,582,687			135,813,468
Advisor Class		8,173,636			28,472,116
A-Class		7,857,718			4,442,948
C-Class		60,684,739			88,193,972
Cost of shares redeemed
Investor Class		(122,517,037	)		(139,967,215	)
Advisor Class		(12,349,402	)		(40,011,196	)
A-Class		(2,487,350	)		(6,872,533	)
C-Class		(60,553,860	)		(89,700,251	)
Net decrease from capital share transactions		(12,608,869	)		(19,628,691	)
Net decrease in net assets		(13,860,057	)		(16,699,532	)
NET ASSETS:
Beginning of year		46,316,271			63,015,803
End of year	$	32,456,214		$	46,316,271
Accumulated net investment loss at end of year	$	(82,903	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		8,083,995			10,630,438
Advisor Class		672,443			2,464,584
A-Class		613,241			365,677
C-Class		5,174,420			7,895,392
Shares redeemed
Investor Class		(9,227,976	)		(11,196,482	)
Advisor Class		(996,290	)		(3,541,746	)
A-Class		(201,069	)		(578,302	)
C-Class		(5,167,807	)		(8,025,633	)
Net decrease in shares		(1,049,045	)		(1,986,072	)

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.94		$	12.03		$	7.70		$	11.77		$	12.53
Income (loss) from investment operations:
Net investment lossa		(.01	)		(.06	)		(.05	)		(.03	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		.38			1.97			4.38			(4.04	)		(.66	)
Total from investment operations		.37			1.91			4.33			(4.07	)		(.76	)
Net asset value, end of period	$	14.31		$	13.94		$	12.03		$	7.70		$	11.77
Total Returnb		2.65	%		15.88	%		56.23	%		(34.58	%)		(6.07	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,985		$	35,408		$	37,391		$	11,601		$	9,916
Ratios to average net assets:
Net investment loss		(0.10	%)		(0.48	%)		(0.52	%)		(0.29	%)		(0.72	%)
Total expenses		1.36	%		1.39	%		1.38	%		1.37	%		1.37	%
Portfolio turnover rate		487	%		393	%		335	%		564	%		694	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.13		$	11.39		$	7.32		$	11.27		$	12.05
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.11	)		(.11	)		(.05	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		.39			1.85			4.18			(3.90	)		(.63	)
Total from investment operations		.28			1.74			4.07			(3.95	)		(.78	)
Net asset value, end of period	$	13.41		$	13.13		$	11.39		$	7.32		$	11.27
Total Returnb		2.13	%		15.28	%		55.60	%		(35.05	%)		(6.47	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,361		$	6,565		$	17,969		$	1,914		$	2,077
Ratios to average net assets:
Net investment loss		(0.87	%)		(0.94	%)		(1.04	%)		(0.53	%)		(1.16	%)
Total expenses		1.85	%		1.88	%		1.87	%		1.87	%		1.88	%
Portfolio turnover rate		487	%		393	%		335	%		564	%		694	%

120     THE RYDEX FUNDSANNUALREPORT 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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.28		$	11.49		$	7.37		$	11.32		$	12.09
Income (loss) from investment operations:
Net investment lossa		(.10	)		(.09	)		(.08	)		(.04	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		.41			1.88			4.20			(3.91	)		(.66	)
Total from investment operations		.31			1.79			4.12			(3.95	)		(.77	)
Net asset value, end of period	$	13.59		$	13.28		$	11.49		$	7.37		$	11.32
Total Returnb		2.33	%		15.58	%		55.90	%		(34.89	%)		(6.37	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,367		$	1,725		$	3,936		$	1,669		$	546
Ratios to average net assets:
Net investment loss		(0.76	%)		(0.73	%)		(0.78	%)		(0.41	%)		(0.86	%)
Total expenses		1.59	%		1.64	%		1.63	%		1.63	%		1.60	%
Portfolio turnover rate		487	%		393	%		335	%		564	%		694	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	12.69		$	11.05		$	7.14		$	11.04		$	11.87
Income (loss) from investment operations:
Net investment lossa		(.17	)		(.17	)		(.14	)		(.12	)		(.21	)
Net gain (loss) on investments (realized and unrealized)		.36			1.81			4.05			(3.78	)		(.62	)
Total from investment operations		.19			1.64			3.91			(3.90	)		(.83	)
Net asset value, end of period	$	12.88		$	12.69		$	11.05		$	7.14		$	11.04
Total Returnb		1.50	%		14.84	%		54.76	%		(35.33	%)		(6.99	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,743		$	2,618		$	3,719		$	1,335		$	2,448
Ratios to average net assets:
Net investment loss		(1.45	%)		(1.53	%)		(1.49	%)		(1.24	%)		(1.67	%)
Total expenses		2.36	%		2.39	%		2.38	%		2.38	%		2.35	%
Portfolio turnover rate		487	%		393	%		335	%		564	%		694	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      121

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

TELECOMMUNICATIONS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture or sale of communications services or communications equipment (“Telecommunications Companies”).

The sector has benefited from overall growth involving the shift to the wireless world, and relatively high dividends. But these have not overcome the squeeze in net profits resulting from the cost of servicing high amounts of debt and from a glut of operators in a competitive wireless marketplace.

For the one-year period ended March 31, 2012, Telecommunications Fund Investor Class returned -8.77%, compared with 3.46% for the S&P 500^® Telecommunications Services Index*.

The industries in the sector that contributed most to the Fund’s return were lightly weighted REITs and diversified telecommunication services. Communications equipment and wireless telecommunications services were the largest detractors from return.

Cisco Systems, Inc., QUALCOMM, Inc. and Motorola Mobility Holdings, Inc. were among the strongest performers for the year. NII Holdings, Inc., Sprint Nextel Corp. and Research in Motion Ltd. were among the stocks which added least to Fund performance during the year.

*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.

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.	8.9	%
Vodafone Group plc ADR	7.8	%
QUALCOMM, Inc.	7.2	%
Cisco Systems, Inc.	7.2	%
Verizon Communications, Inc.	6.8	%
CenturyLink, Inc.	3.2	%
Motorola Solutions, Inc.	2.7	%
Crown Castle International Corp.	2.6	%
Juniper Networks, Inc.	2.4	%
Motorola Mobility Holdings, Inc.	2.3	%
Top Ten Total	51.1	%

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

122     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-8.77	%		-4.25	%		0.47	%
Advisor Class Shares		-9.15	%		-4.68	%		0.08	%
C-Class Shares		-9.52	%		-5.11	%		-0.45	%
C-Class Shares with CDSC†		-10.39	%		-5.11	%		-0.45	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Telecommunication Services Index		3.46	%		0.39	%		3.52	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-8.91	%		-4.46	%		1.38	%
A-Class Shares with sales charge‡		-13.22	%		-5.39	%		0.72	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Telecommunication Services Index		3.46	%		0.39	%		5.94	%

* 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 Telecommunication 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 FUNDSANNUALREPORT      123

SCHEDULE OF INVESTMENTS	March 31, 2012
TELECOMMUNICATIONS FUND

	SHARES		VALUE
COMMON STOCKS† - 99.0%
Communications Equipment - 43.9%
QUALCOMM, Inc.		9,989	$	679,452
Cisco Systems, Inc.		32,005		676,906
Motorola Solutions, Inc.		4,996		253,947
Juniper Networks, Inc.*		9,927		227,130
Motorola Mobility Holdings, Inc.*		5,509		216,173
F5 Networks, Inc.*		1,554		209,728
Research In Motion Ltd.*		12,084		177,756
Nokia Oyj ADR		29,621		162,619
Harris Corp.		3,198		144,166
Riverbed Technology, Inc.*		4,801		134,812
JDS Uniphase Corp.*		8,063		116,833
Polycom, Inc.*		6,112		116,556
Telefonaktiebolaget LM Ericsson ADR — Class B		10,733		110,657
Brocade Communications Systems, Inc.*		18,023		103,632
Aruba Networks, Inc.*		4,244		94,556
Viasat, Inc.*		1,906		91,888
ADTRAN, Inc.		2,860		89,203
Finisar Corp.*		4,378		88,217
Plantronics, Inc.		2,101		84,586
Acme Packet, Inc.*		3,067		84,404
Ciena Corp.*		4,927		79,768
InterDigital, Inc.		2,248		78,365
Netgear, Inc.*		1,973		75,369
Emulex Corp.*		5,703		59,197
Total Communications Equipment				4,155,920
Integrated Telecommunication Services - 27.8%
AT&T, Inc.		27,126		847,144
Verizon Communications, Inc.		16,817		642,913
CenturyLink, Inc.		7,911		305,760
Windstream Corp.		13,894		162,699
Telefonica S.A. ADR		6,385		104,778
Telefonica Brasil S.A. ADR		3,404		104,265
Chunghwa Telecom Company Ltd. ADR		3,130		96,279
BCE, Inc.		2,375		95,143
China Unicom Hong Kong Ltd. ADR		5,647		94,870
KT Corp. ADR*		6,340		86,795
France Telecom S.A. ADR		5,590		83,012
Total Integrated Telecommunication Services				2,623,658
Wireless Telecommunication Services - 24.6%
Vodafone Group plc ADR		26,758		740,394
Crown Castle International Corp.*		4,619		246,377
America Movil SAB de CV ADR		7,701		191,216
SBA Communications Corp. — Class A*		3,024		153,649
China Mobile Ltd. ADR		2,343		129,052
Mobile TeleSystems ADR		6,673		122,383
NII Holdings, Inc.*		6,273		114,859
MetroPCS Communications, Inc.*		12,037		108,574
Tim Participacoes S.A. ADR		3,124		100,780

	SHARES		VALUE
Telephone & Data Systems, Inc.		4,263	$	98,688
VimpelCom Ltd. ADR		8,720		97,315
SK Telecom Company Ltd. ADR		6,672		92,808
Rogers Communications, Inc. — Class B		2,200		87,340
Leap Wireless International, Inc.*		5,645		49,281
Total Wireless Telecommunication Services				2,332,716
Alternative Carriers - 2.7%
Level 3 Communications, Inc.*		5,406		139,097
tw telecom, Inc. — Class A*		5,140		113,902
Total Alternative Carriers				252,999
Total Common Stocks (Cost $7,673,269)				9,365,293
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	41,516		41,516
Total Repurchase Agreement (Cost $41,516)				41,516
Total Investments - 99.4% (Cost $7,714,785)			$	9,406,809
Other Assets & Liabilities, net - 0.6%				59,962
Total Net Assets - 100.0%			$	9,466,771

* 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

124     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

TELECOMMUNICATIONS FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $7,673,269)	$	9,365,293
Repurchase agreements, at value (cost $41,516)		41,516
Total investments (cost $7,714,785)		9,406,809
Receivables:
Fund shares sold		471,826
Dividends		6,102
Foreign taxes reclaim		77
Total assets		9,884,814
LIABILITIES:
Payable for:
Fund shares redeemed		404,090
Management fees		6,074
Transfer agent and administrative fees		1,786
Distribution and service fees		1,210
Portfolio accounting fees		715
Miscellaneous		4,168
Total liabilities		418,043
NET ASSETS	$	9,466,771
NET ASSETS CONSISTOF:
Paid in capital	$	12,489,813
Undistributed net investment income		87,671
Accumulated net realized loss on investments		(4,802,737	)
Net unrealized appreciation on investments		1,692,024
Net assets	$	9,466,771
INVESTOR CLASS:
Net assets	$	7,028,250
Capital shares outstanding		507,878
Net asset value per share	$	13.84
ADVISOR CLASS:
Net assets	$	200,387
Capital shares outstanding		15,537
Net asset value per share	$	12.90
A-CLASS:
Net assets	$	1,566,267
Capital shares outstanding		119,646
Net asset value per share	$	13.09
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.74
C-CLASS:
Net assets	$	671,867
Capital shares outstanding		54,412
Net asset value per share	$	12.35

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $5,890)	$	299,082
Interest		12
Total investment income		299,094
EXPENSES:
Management fees		66,800
Transfer agent and administrative fees		19,647
Distribution and service fees:
Advisor Class		2,302
A-Class		2,264
C-Class		11,975
Portfolio accounting fees		7,859
Custodian fees		2,071
Trustees’ fees*		1,046
Tax expense		211
Miscellaneous		9,084
Total expenses		123,259
Net investment income		175,835
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		446,580
Net realized gain		446,580
Net change in unrealized appreciation (depreciation) on:
Investments		(1,853,210	)
Net change in unrealized appreciation (depreciation)		(1,853,210	)
Net realized and unrealized loss		(1,406,630	)
Net decrease in net assets resulting from operations	$	(1,230,795	)

* 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 FUNDSANNUALREPORT      125

TELECOMMUNICATIONS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	175,835		$	80,971
Net realized gain on investments		446,580			588,234
Net change in unrealized appreciation (depreciation) on investments		(1,853,210	)		1,503,267
Net increase (decrease) in net assets resulting from operations		(1,230,795	)		2,172,472
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
Investor Class		(75,956	)		(67,481	)
Advisor Class		(26,034	)		(5,275	)
A-Class		(45,257	)		(4,577	)
C-Class		(22,099	)		(18,522	)
Total distributions to shareholders		(169,346	)		(95,855	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		47,973,211			134,026,357
Advisor Class		2,527,832			14,787,230
A-Class		2,925,127			3,138,157
C-Class		64,107,314			101,895,836
Distributions reinvested
Investor Class		74,213			66,267
Advisor Class		23,065			4,612
A-Class		45,175			4,413
C-Class		21,048			16,598
Cost of shares redeemed
Investor Class		(88,037,595	)		(92,550,806	)
Advisor Class		(2,967,150	)		(14,584,997	)
A-Class		(2,011,577	)		(3,561,229	)
C-Class		(66,192,569	)		(100,130,077	)
Net increase (decrease) from capital share transactions		(41,511,906	)		43,112,361
Net increase (decrease) in net assets		(42,912,047	)		45,188,978
NET ASSETS:
Beginning of year		52,378,818			7,189,840
End of year	$	9,466,771		$	52,378,818
Undistributed net investment income at end of year	$	87,671		$	80,971
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		3,399,757			9,014,851
Advisor Class		180,932			1,144,045
A-Class		231,535			239,651
C-Class		5,027,824			7,870,456
Shares issued from reinvestment of distributions
Investor Class		5,970			4,511
Advisor Class		1,988			334
A-Class		3,841			316
C-Class		1,891			1,246
Shares redeemed
Investor Class		(5,959,087	)		(6,298,891	)
Advisor Class		(214,545	)		(1,118,811	)
A-Class		(162,618	)		(276,676	)
C-Class		(5,179,379	)		(7,758,916	)
Net increase (decrease) in shares		(2,661,891	)		2,822,116

126     THE RYDEX FUNDSANNUALREPORT 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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	15.71		$	13.73		$	10.29		$	17.04		$	19.02
Income (loss) from investment operations:
Net investment incomea		.41			.10			.26			.27			.12
Net gain (loss) on investments (realized and unrealized)		(1.84	)		1.96			3.52			(6.68	)		(2.08	)
Total from investment operations		(1.43	)		2.06			3.78			(6.41	)		(1.96	)
Less distributions from:
Net investment income		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Total distributions		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Net asset value, end of period	$	13.84		$	15.71		$	13.73		$	10.29		$	17.04
Total Returnb		(8.77	%)		15.06	%		36.88	%		(37.55	%)		(10.32	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,028		$	48,089		$	4,677		$	4,440		$	11,134
Ratios to average net assets:
Net investment income		2.86	%		0.73	%		2.03	%		1.92	%		0.58	%
Total expenses		1.36	%		1.39	%		1.39	%		1.39	%		1.37	%
Portfolio turnover rate		793	%		1,008	%		867	%		672	%		528	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.74		$	12.94		$	9.75		$	16.26		$	18.24
Income (loss) from investment operations:
Net investment income (loss)a		.22			.03			.23			.17			(.02	)
Net gain (loss) on investments (realized and unrealized)		(1.62	)		1.85			3.30			(6.34	)		(1.94	)
Total from investment operations		(1.40	)		1.88			3.53			(6.17	)		(1.96	)
Less distributions from:
Net investment income		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Total distributions		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Net asset value, end of period	$	12.90		$	14.74		$	12.94		$	9.75		$	16.26
Total Returnb		(9.15	%)		14.59	%		36.35	%		(37.88	%)		(10.76	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	200		$	695		$	279		$	9,991		$	835
Ratios to average net assets:
Net investment income (loss)		1.65	%		0.25	%		1.94	%		1.53	%		(0.09	%)
Total expenses		1.85	%		1.88	%		1.89	%		1.81	%		1.88	%
Portfolio turnover rate		793	%		1,008	%		867	%		672	%		528	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.91		$	13.07		$	9.83		$	16.33		$	18.28
Income (loss) from investment operations:
Net investment incomea		.18			.14			.17			.27			.03
Net gain (loss) on investments (realized and unrealized)		(1.56	)		1.78			3.41			(6.43	)		(1.96	)
Total from investment operations		(1.38	)		1.92			3.58			(6.16	)		(1.93	)
Less distributions from:
Net investment income		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Total distributions		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Net asset value, end of period	$	13.09		$	14.91		$	13.07		$	9.83		$	16.33
Total Returnb		(8.91	%)		14.75	%		36.57	%		(37.66	%)		(10.57	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,566		$	699		$	1,093		$	1,317		$	451
Ratios to average net assets:
Net investment income		1.41	%		1.01	%		1.45	%		2.15	%		0.13	%
Total expenses		1.60	%		1.64	%		1.63	%		1.63	%		1.61	%
Portfolio turnover rate		793	%		1,008	%		867	%		672	%		528	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.19		$	12.50		$	9.48		$	15.91		$	17.93
Income (loss) from investment operations:
Net investment income (loss)a		.05			(.01	)		.10			.13			(.10	)
Net gain (loss) on investments (realized and unrealized)		(1.45	)		1.78			3.26			(6.22	)		(1.90	)
Total from investment operations		(1.40	)		1.77			3.36			(6.09	)		(2.00	)
Less distributions from:
Net investment income		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Total distributions		(.44	)		(.08	)		(.34	)		(.34	)		(.02	)
Net asset value, end of period	$	12.35		$	14.19		$	12.50		$	9.48		$	15.91
Total Returnb		(9.52	%)		14.22	%		35.59	%		(38.21	%)		(11.17	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	672		$	2,896		$	1,141		$	1,281		$	2,846
Ratios to average net assets:
Net investment income (loss)		0.39	%		(0.07	%)		0.86	%		0.99	%		(0.50	%)
Total expenses		2.36	%		2.39	%		2.39	%		2.42	%		2.37	%
Portfolio turnover rate		793	%		1,008	%		867	%		672	%		528	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

128     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT      129

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

TRANSPORTATION FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution or sale of transportation equipment (“Transportation Companies”).

The Industrials sector was affected by uneven economic growth domestically and abroad for much of the past 12 months, although performance in the auto sector was a bright spot, as sales were the highest since the Great Recession. The sector also has a sizeable exposure to the eurozone, which is dealing with a weak banking sector and government austerity. The three largest segments by weight—road & rail, air freight & logistics, and airlines—all detracted from return. Autos and automobile components both contributed to return.

For the one-year period ended March 31, 2012, Transportation Fund Investor Class returned -3.20%, compared with 1.75% for the S&P 500^® Industrials Index*.

Tata Motors Ltd. ADR, Harley-Davidson, Inc. and Union Pacific Corp. were among the biggest contributors to Fund performance for the year. CSX Corp., AMR Corp. and Southwest Airlines Co. were among the stocks which provided the least performance to the Fund during the year.

*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.

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	6.8	%
Union Pacific Corp.	5.4	%
Ford Motor Co.	5.3	%
General Motors Co.	4.9	%
FedEx Corp.	4.1	%
CSX Corp.	3.6	%
Johnson Controls, Inc.	3.6	%
Norfolk Southern Corp.	3.6	%
Harley-Davidson, Inc.	2.6	%
CH Robinson Worldwide, Inc.	2.6	%
Top Ten Total	42.5	%

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

130     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		-3.20	%		-1.43	%		2.67	%
Advisor Class Shares		-3.66	%		-1.88	%		2.24	%
C-Class Shares		-4.10	%		-2.40	%		1.69	%
C-Class Shares with CDSC†		-5.06	%		-2.40	%		1.69	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Industrials Index		1.75	%		2.46	%		4.42	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		-3.48	%		-1.64	%		4.11	%
A-Class Shares with sales charge‡		-8.05	%		-2.59	%		3.45	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Industrials Index		1.75	%		2.46	%		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 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 FUNDSANNUALREPORT      131

SCHEDULE OF INVESTMENTS	March 31, 2012
TRANSPORTATION FUND

	SHARES		VALUE
COMMON STOCKS† - 99.5%
Railroads - 19.7%
Union Pacific Corp.		7,445	$	800,189
CSX Corp.		24,944		536,795
Norfolk Southern Corp.		8,022		528,088
Kansas City Southern*		4,457		319,522
Canadian National Railway Co.		3,770		299,451
Canadian Pacific Railway Ltd.		3,248		246,686
Genesee & Wyoming, Inc. — Class A*		3,064		167,233
Total Railroads				2,897,964
Auto Parts & Equipment - 18.9%
Johnson Controls, Inc.		16,420		533,321
BorgWarner, Inc.*		4,110		346,637
Autoliv, Inc.		4,160		278,928
TRW Automotive Holdings Corp.*		5,910		274,520
Magna International, Inc.		5,290		252,545
Lear Corp.		5,270		245,002
Gentex Corp.		8,580		210,210
Visteon Corp.*		3,495		185,235
Dana Holding Corp.		10,910		169,105
Tenneco, Inc.*		4,530		168,290
American Axle & Manufacturing Holdings, Inc.*		9,160		107,264
Total Auto Parts & Equipment				2,771,057
Automobile Manufacturers - 17.6%
Ford Motor Co.		62,710		783,247
General Motors Co.*		28,330		726,665
Tata Motors Ltd. ADR		9,640		259,991
Toyota Motor Corp. ADR		2,840		246,569
Tesla Motors, Inc.*		6,225		231,819
Honda Motor Company, Ltd. ADR		5,290		203,295
Thor Industries, Inc.		4,570		144,229
Total Automobile Manufacturers				2,595,815
Air Freight & Logistics - 15.9%
United Parcel Service, Inc. — Class B		12,411		1,001,815
FedEx Corp.		6,560		603,258
CH Robinson Worldwide, Inc.		5,739		375,847
Expeditors International of Washington, Inc.		7,811		363,290
Total Air Freight & Logistics				2,344,210
Trucking - 10.8%
J.B. Hunt Transport Services, Inc.		5,322		289,358
Hertz Global Holdings, Inc.*		18,879		283,940
Old Dominion Freight Line, Inc.*		3,955		188,535
Landstar System, Inc.		3,238		186,897
Ryder System, Inc.		3,481		183,797
Dollar Thrifty Automotive Group, Inc.*		2,120		171,529
Con-way, Inc.		4,622		150,723
Swift Transportation Co. — Class A*		12,020		138,711
Total Trucking				1,593,490

^* 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

	SHARES		VALUE
Airlines - 10.4%
Delta Air Lines, Inc.*		33,827	$	335,225
United Continental Holdings, Inc.*		14,260		306,590
Southwest Airlines Co.		34,428		283,687
Copa Holdings S.A. — Class A		2,732		216,374
JetBlue Airways Corp.*		26,510		129,634
Alaska Air Group, Inc.*		3,594		128,737
US Airways Group, Inc.*		16,274		123,520
Total Airlines				1,523,767
Motorcycle Manufacturers - 2.6%
Harley-Davidson, Inc.		7,780		381,842
Marine - 1.5%
Kirby Corp.*		3,258		214,344
Tires & Rubber - 1.2%
Goodyear Tire & Rubber Co.*		16,210		181,876
Diversified Commercial & Professional Services - 0.9%
Avis Budget Group, Inc.*		9,774		138,302
Total Common Stocks (Cost $11,415,335)				14,642,667
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	83,006		83,006
Total Repurchase Agreement (Cost $83,006)				83,006
Total Investments - 100.1% (Cost $11,498,341)			$	14,725,673
Other Assets & Liabilities, net - (0.1)%				(10,805	)
Total Net Assets - 100.0%			$	14,714,868

132     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

TRANSPORTATION FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $11,415,335)	$	14,642,667
Repurchase agreements, at value (cost $83,006)		83,006
Total investments (cost $11,498,341)		14,725,673
Cash		1,476
Receivables:
Fund shares sold		393,497
Securities sold		197,879
Dividends		13,388
Total assets		15,331,913
LIABILITIES:
Payable for:
Fund shares redeemed		592,633
Management fees		10,602
Distribution and service fees		3,580
Transfer agent and administrative fees		3,118
Portfolio accounting fees		1,247
Miscellaneous		5,865
Total liabilities		617,045
NET ASSETS	$	14,714,868
NET ASSETS CONSISTOF:
Paid in capital	$	36,663,030
Accumulated net investment loss		(9,953	)
Accumulated net realized loss on investments		(25,165,541	)
Net unrealized appreciation on investments		3,227,332
Net assets	$	14,714,868
INVESTOR CLASS:
Net assets	$	8,030,811
Capital shares outstanding		297,885
Net asset value per share	$	26.96
ADVISOR CLASS:
Net assets	$	2,354,881
Capital shares outstanding		95,096
Net asset value per share	$	24.76
A-CLASS:
Net assets	$	1,600,059
Capital shares outstanding		63,378
Net asset value per share	$	25.25
Maximum offering price per share (Net asset value divided by 95.25%)	$	26.51
C-CLASS:
Net assets	$	2,729,117
Capital shares outstanding		112,115
Net asset value per share	$	24.34

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,268)	$	136,519
Interest		16
Total investment income		136,535
EXPENSES:
Management fees		101,600
Transfer agent and administrative fees		29,882
Distribution and service fees:
Advisor Class		7,088
A-Class		2,969
C-Class		17,146
Portfolio accounting fees		11,953
Custodian fees		3,396
Trustees’ fees*		1,248
Miscellaneous		13,497
Total expenses		188,779
Net investment loss		(52,244	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		701,658
Net realized gain		701,658
Net change in unrealized appreciation (depreciation) on:
Investments		(1,537,677	)
Net change in unrealized appreciation (depreciation)		(1,537,677	)
Net realized and unrealized loss		(836,019	)
Net decrease in net assets resulting from operations	$	(888,263	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      133

TRANSPORTATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(52,244	)	$	(42,640	)
Net realized gain (loss) on investments		701,658			(7,140,358	)
Net change in unrealized appreciation (depreciation) on investments		(1,537,677	)		(334,950	)
Net decrease in net assets resulting from operations		(888,263	)		(7,517,948	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		146,001,078			228,555,205
Advisor Class		11,497,718			27,043,322
A-Class		2,345,386			7,772,436
C-Class		53,815,378			76,303,386
Cost of shares redeemed
Investor Class		(143,034,415	)		(238,376,331	)
Advisor Class		(11,458,698	)		(26,790,951	)
A-Class		(1,836,804	)		(8,264,038	)
C-Class		(53,256,215	)		(77,498,784	)
Net increase (decrease) from capital share transactions		4,073,428			(11,255,755	)
Net increase (decrease) in net assets		3,185,165			(18,773,703	)
NET ASSETS:
Beginning of year		11,529,703			30,303,406
End of year	$	14,714,868		$	11,529,703
Accumulated net investment loss at end of year	$	(9,953	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		5,515,828			9,276,996
Advisor Class		478,798			1,198,656
A-Class		91,969			337,827
C-Class		2,280,986			3,303,513
Shares redeemed
Investor Class		(5,408,959	)		(10,023,188	)
Advisor Class		(496,602	)		(1,212,479	)
A-Class		(75,967	)		(372,787	)
C-Class		(2,250,403	)		(3,376,280	)
Net increase (decrease) in shares		135,650			(867,742	)

134     THE RYDEX FUNDSANNUALREPORT 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.

Investor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.85		$	23.79		$	14.38		$	25.21		$	29.16
Income (loss) from investment operations:
Net investment income (loss)a		(.06	)		—	b		(.15	)		.07			.06
Net gain (loss) on investments (realized and unrealized)		(.83	)		4.06			9.70			(10.90	)		(4.01	)
Total from investment operations		(.89	)		4.06			9.55			(10.83	)		(3.95	)
Less distributions from:
Net investment income		—			—			(.14	)		—			—
Total distributions		—			—			(.14	)		—			—
Net asset value, end of period	$	26.96		$	27.85		$	23.79		$	14.38		$	25.21
Total Returnc		(3.20	%)		17.07	%		66.51	%		(42.96	%)		(13.55	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,031		$	5,320		$	22,292		$	20,990		$	17,420
Ratios to average net assets:
Net investment income (loss)		(0.22	%)		0.02	%		(0.68	%)		0.33	%		0.22	%
Total expenses		1.35	%		1.38	%		1.37	%		1.38	%		1.36	%
Portfolio turnover rate		1,082	%		1,217	%		1,073	%		875	%		952	%
Advisor Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.70		$	22.05		$	13.40		$	23.59		$	27.42
Income (loss) from investment operations:
Net investment income (loss)a		(.14	)		(.17	)		(.18	)		.10			(.01	)
Net gain (loss) on investments (realized and unrealized)		(.80	)		3.82			8.97			(10.29	)		(3.82	)
Total from investment operations		(.94	)		3.65			8.79			(10.19	)		(3.83	)
Less distributions from:
Net investment income		—			—			(.14	)		—			—
Total distributions		—			—			(.14	)		—			—
Net asset value, end of period	$	24.76		$	25.70		$	22.05		$	13.40		$	23.59
Total Returnc		(3.66	%)		16.55	%		65.70	%		(43.20	%)		(13.97	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,355		$	2,902		$	2,795		$	1,139		$	5,152
Ratios to average net assets:
Net investment income (loss)		(0.55	%)		(0.74	%)		(0.95	%)		0.51	%		(0.05	%)
Total expenses		1.86	%		1.89	%		1.88	%		1.90	%		1.87	%
Portfolio turnover rate		1,082	%		1,217	%		1,073	%		875	%		952	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	26.15		$	22.37		$	13.55		$	23.81		$	27.60
Income (loss) from investment operations:
Net investment income (loss)a		(.12	)		(.10	)		(.04	)		.08			—	b
Net gain (loss) on investments (realized and unrealized)		(.78	)		3.88			9.00			(10.34	)		(3.79	)
Total from investment operations		(.90	)		3.78			8.96			(10.26	)		(3.79	)
Less distributions from:
Net investment income		—			—			(.14	)		—			—
Total distributions		—			—			(.14	)		—			—
Net asset value, end of period	$	25.25		$	26.15		$	22.37		$	13.55		$	23.81
Total Returnc		(3.48	%)		16.90	%		66.22	%		(43.09	%)		(13.73	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,600		$	1,239		$	1,842		$	561		$	228
Ratios to average net assets:
Net investment income (loss)		(0.51	%)		(0.42	%)		(0.22	%)		0.43	%		—	%
Total expenses		1.61	%		1.64	%		1.62	%		1.67	%		1.62	%
Portfolio turnover rate		1,082	%		1,217	%		1,073	%		875	%		952	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.38		$	21.87		$	13.40		$	23.70		$	27.68
Income (loss) from investment operations:
Net investment lossa		(.29	)		(.24	)		(.24	)		(.16	)		(.20	)
Net gain (loss) on investments (realized and unrealized)		(.75	)		3.75			8.85			(10.14	)		(3.78	)
Total from investment operations		(1.04	)		3.51			8.61			(10.30	)		(3.98	)
Less distributions from:
Net investment income		—			—			(.14	)		—			—
Total distributions		—			—			(.14	)		—			—
Net asset value, end of period	$	24.34		$	25.38		$	21.87		$	13.40		$	23.70
Total Returnc		(4.10	%)		16.05	%		64.35	%		(43.46	%)		(14.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,729		$	2,069		$	3,375		$	2,186		$	845
Ratios to average net assets:
Net investment loss		(1.24	%)		(1.04	%)		(1.31	%)		(0.79	%)		(0.73	%)
Total expenses		2.35	%		2.39	%		2.38	%		2.40	%		2.38	%
Portfolio turnover rate		1,082	%		1,217	%		1,073	%		875	%		952	%

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

^b  Net investment income is less than $0.01 per share.

^c  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

136     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE RYDEX FUNDSANNUALREPORT      137

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

UTILITIES FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).

Utilities outperformed the broad market during the 12 months, as investors flocked to this more defensive, low-beta sector during the economic uncertainty of 2011. But as markets rebounded in the first quarter of 2012, this sector languished, given its record valuations. The sector continues to benefit from low natural gas and coal prices and low long-term bond yields.

For the one-year period ended March 31, 2012, Utilities Fund Investor Class returned 9.44%, compared with 14.82% for the S&P 500^® Utilities Index*.

Within the sector, electric utilities, 45% of the portfolio weight, provided the largest contribution to performance. The multi-utilities segment, a third of the portfolio weight, was next. Lightly weighted industries, including independent power producers and oil gas & consumable fuels, detracted from performance for the period.

Southern Co., FirstEnergy Corp. and Duke Energy Corp. were among the Fund’s best-performing stocks over the one-year period, while National Fuel Gas Co., NRG Energy, Inc. and Energen Corp. were among the weakest performers.

*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.

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)
Southern Co.	3.7	%
Exelon Corp.	3.4	%
Dominion Resources, Inc.	3.2	%
Duke Energy Corp.	3.1	%
NextEra Energy, Inc.	3.0	%
FirstEnergy Corp.	2.6	%
American Electric Power Company, Inc.	2.5	%
PG&E Corp.	2.5	%
Consolidated Edison, Inc.	2.4	%
PPL Corp.	2.4	%
Top Ten Total	28.8	%

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

138     THE RYDEX FUNDSANNUALREPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			10 Year
Investor Class Shares		9.44	%		1.32	%		4.25	%
Advisor Class Shares		8.90	%		0.83	%		3.70	%
C-Class Shares		8.28	%		0.30	%		3.18	%
C-Class Shares with CDSC†		7.28	%		0.30	%		3.18	%
S&P 500 Index		8.54	%		2.01	%		4.12	%
S&P 500 Utilities Index		14.82	%		1.55	%		5.89	%
	1 Year			5 Year			Since Inception (09/01/04)
A-Class Shares		9.16	%		1.08	%		6.81	%
A-Class Shares with sales charge‡		3.99	%		0.10	%		6.12	%
S&P 500 Index		8.54	%		2.01	%		5.41	%
S&P 500 Utilities Index		14.82	%		1.55	%		8.74	%

* 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 FUNDSANNUALREPORT      139

SCHEDULE OF INVESTMENTS March 31, 2012

UTILITIES FUND

	SHARES		VALUE
COMMON STOCKS† - 99.1%
Electric Utilities - 43.4%
Southern Co.		49,623	$	2,229,560
Exelon Corp.		52,398		2,054,525
Duke Energy Corp.		89,455		1,879,450
NextEra Energy, Inc.		29,497		1,801,677
FirstEnergy Corp.		34,343		1,565,697
American Electric Power Company, Inc.		39,622		1,528,617
PPL Corp.		51,184		1,446,460
Progress Energy, Inc.		26,507		1,407,787
Edison International		31,070		1,320,786
Entergy Corp.		18,139		1,218,941
Northeast Utilities		24,603		913,263
Pinnacle West Capital Corp.		17,059		817,126
Cia Energetica de Minas Gerais ADR		33,619		799,460
Pepco Holdings, Inc.		38,818		733,272
ITC Holdings Corp.		9,093		699,615
N.V. Energy, Inc.		43,286		697,770
Westar Energy, Inc.		24,001		670,348
Great Plains Energy, Inc.		29,114		590,141
Cleco Corp.		13,974		554,069
Hawaiian Electric Industries, Inc.		21,782		552,174
IDACORP, Inc.		12,423		510,834
Portland General Electric Co.		19,472		486,411
UIL Holdings Corp.		13,470		468,217
PNM Resources, Inc.		23,516		430,343
Unisource Energy Corp.		11,489		420,153
El Paso Electric Co.		12,537		407,327
Total Electric Utilities				26,204,023
Multi-Utilities -37.0%
Dominion Resources, Inc.		37,564		1,923,652
PG&E Corp.		34,601		1,502,029
Consolidated Edison, Inc.		25,220		1,473,352
Public Service Enterprise Group, Inc.		46,075		1,410,356
Sempra Energy		22,636		1,357,255
Xcel Energy, Inc.		48,072		1,272,466
DTE Energy Co.		19,699		1,084,036
CenterPoint Energy, Inc.		52,757		1,040,368
Wisconsin Energy Corp.		28,955		1,018,637
Ameren Corp.		31,004		1,010,110
NiSource, Inc.		38,850		945,998
SCANA Corp.		19,161		873,933
CMS Energy Corp.		38,564		848,408
OGE Energy Corp.		15,241		815,394
NSTAR		16,458		800,353
Alliant Energy Corp.		18,041		781,536
MDU Resources Group, Inc.		32,718		732,556
Integrys Energy Group, Inc.		13,557		718,385
TECO Energy, Inc.		39,209		688,118
National Grid plc ADR		12,500		631,000

	SHARES		VALUE
Vectren Corp.		18,922	$	549,873
Avista Corp.		17,138		438,390
Black Hills Corp.		12,879		431,833
Total Multi-Utilities				22,348,038
Gas Utilities - 10.6%
ONEOK, Inc.		12,543		1,024,262
AGL Resources, Inc.		19,405		761,064
National Fuel Gas Co.		14,520		698,702
Questar Corp.		33,762		650,256
UGI Corp.		22,652		617,267
Atmos Energy Corp.		19,168		603,025
Piedmont Natural Gas Company, Inc.		16,945		526,481
WGL Holdings, Inc.		12,623		513,756
Southwest Gas Corp.		11,625		496,853
New Jersey Resources Corp.		10,850		483,585
Total Gas Utilities				6,375,251
Independent Power Producers & Energy Traders - 4.6%
AES Corp.*		85,138		1,112,754
Calpine Corp.*		58,991		1,015,235
NRG Energy, Inc.*		41,355		648,033
Total Independent Power Producers & Energy Traders				2,776,022
Water Utilities - 3.5%
American Water Works Company, Inc.		25,665		873,380
Cia de Saneamento Basico do Estado de Sao Paulo ADR		8,210		629,050
Aqua America, Inc.		28,172		627,954
Total Water Utilities				2,130,384
Total Common Stocks (Cost $50,169,239)				59,833,718
	FACE AMOUNT
REPURCHASE AGREEMENT††,1 - 0.2%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	147,326		147,326
Total Repurchase Agreement (Cost $147,326)				147,326
Total Investments - 99.3% (Cost $50,316,565)			$	59,981,044
Other Assets & Liabilities, net - 0.7%				395,845
Total Net Assets - 100.0%			$	60,376,889

* Non-income producing security.

^† Value determined based on Level 1 inputs — See Note 4.

^†† Value determined based on Level 2 inputs — See Note 4.

¹ Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt

plc — Public Limited Company

140     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

UTILITIES FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $50,169,239)	$	59,833,718
Repurchase agreements, at value (cost $147,326)		147,326
Total investments (cost $50,316,565)		59,981,044
Receivables:
Fund shares sold		1,089,793
Dividends		147,845
Total assets		61,218,682
LIABILITIES:
Payable for:
Fund shares redeemed		752,059
Management fees		37,996
Distribution and service fees		11,342
Transfer agent and administrative fees		11,175
Portfolio accounting fees		4,470
Miscellaneous		24,751
Total liabilities		841,793
NET ASSETS	$	60,376,889
NET ASSETS CONSISTOF:
Paid in capital	$	63,345,227
Undistributed net investment income		542,275
Accumulated net realized loss on investments		(13,175,092	)
Net unrealized appreciation on investments		9,664,479
Net assets	$	60,376,889
INVESTOR CLASS:
Net assets	$	37,468,843
Capital shares outstanding		1,286,118
Net asset value per share	$	29.13
ADVISOR CLASS:
Net assets	$	8,035,603
Capital shares outstanding		296,571
Net asset value per share	$	27.10
A-CLASS:
Net assets	$	7,911,678
Capital shares outstanding		285,691
Net asset value per share	$	27.69
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.07
C-CLASS:
Net assets	$	6,960,765
Capital shares outstanding		275,008
Net asset value per share	$	25.31

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $2,110)	$	2,094,251
Interest		40
Total investment income		2,094,291
EXPENSES:
Management fees		448,770
Transfer agent and administrative fees		131,991
Distribution and service fees:
Advisor Class		35,099
A-Class		22,356
C-Class		60,159
Portfolio accounting fees		52,796
Custodian fees		14,565
Trustees’ fees*		3,021
Tax expense		5,686
Miscellaneous		53,206
Total expenses		827,649
Net investment income		1,266,642
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(3,259,840	)
Net realized loss		(3,259,840	)
Net change in unrealized appreciation (depreciation) on:
Investments		3,867,455
Net change in unrealized appreciation (depreciation)		3,867,455
Net realized and unrealized gain		607,615
Net increase in net assets resulting from operations	$	1,874,257

* 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 FUNDSANNUALREPORT      141

UTILITIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	1,266,642		$	1,391,199
Net realized gain (loss) on investments		(3,259,840	)		373,049
Net change in unrealized appreciation (depreciation) on investments		3,867,455			1,578,780
Net increase in net assets resulting from operations		1,874,257			3,343,028
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
Investor Class		(570,365	)		(705,132	)
Advisor Class		(54,402	)		(226,210	)
A-Class		(183,282	)		(134,548	)
C-Class		(110,178	)		(413,324	)
Total distributions to shareholders		(918,227	)		(1,479,214	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
Investor Class		338,234,668			323,523,204
Advisor Class		87,974,041			51,448,065
A-Class		24,133,839			11,412,994
C-Class		76,501,438			119,886,227
Distributions reinvested
Investor Class		471,912			681,476
Advisor Class		45,467			219,223
A-Class		174,040			94,343
C-Class		103,815			371,617
Cost of shares redeemed
Investor Class		(310,540,659	)		(325,638,244	)
Advisor Class		(81,379,607	)		(51,854,302	)
A-Class		(20,137,942	)		(10,071,727	)
C-Class		(74,769,209	)		(123,450,180	)
Net increase (decrease) from capital share transactions		40,811,803			(3,377,304	)
Net increase (decrease) in net assets		41,767,833			(1,513,490	)
NET ASSETS:
Beginning of year		18,609,056			20,122,546
End of year	$	60,376,889		$	18,609,056
Undistributed net investment income at end of year	$	542,275		$	188,174
CAPITAL SHARE ACTIVITY:
Shares sold
Investor Class		12,034,044			12,458,666
Advisor Class		3,319,631			2,121,840
A-Class		900,431			468,693
C-Class		3,120,067			5,265,040
Shares issued from reinvestment of distributions
Investor Class		17,123			27,270
Advisor Class		1,771			9,364
A-Class		6,638			3,956
C-Class		4,322			16,853
Shares redeemed
Investor Class		(11,110,513	)		(12,540,196	)
Advisor Class		(3,073,927	)		(2,132,698	)
A-Class		(749,118	)		(417,328	)
C-Class		(3,049,349	)		(5,410,845	)
Net increase (decrease) in shares		1,421,120			(129,385	)

142     THE RYDEX FUNDSANNUALREPORT 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.

Investor Class	Year Ended March 31, 2012				Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	27.00			$	24.80		$	20.56		$	29.29		$	31.89
Income (loss) from investment operations:
Net investment incomea		.73				.86			.61			.72			.51
Net gain (loss) on investments (realized and unrealized)		1.80				2.96			4.85			(9.32	)		(2.31	)
Total from investment operations		2.53				3.82			5.46			(8.60	)		(1.80	)
Less distributions from:
Net investment income		(.40	)			(1.62	)		(1.22	)		(.13	)		(.80	)
Total distributions		(.40	)			(1.62	)		(1.22	)		(.13	)		(.80	)
				��
Net asset value, end of period	$	29.13			$	27.00		$	24.80		$	20.56		$	29.29
Total Returnb		9.44	%			15.94	%		26.58	%		(29.40	%)		(5.88	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	37,469			$	9,328		$	9,912		$	10,348		$	11,242
Ratios to average net assets:
Net investment income		2.59	%			3.35	%		2.49	%		2.90	%		1.57	%
Total expenses		1.35	%			1.37	%		1.39	%		1.39	%		1.39	%
Portfolio turnover rate		549	%			800	%		758	%		684	%		375	%
Advisor Class	Year Ended March 31, 2012				Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.26			$	23.40		$	19.56		$	28.00		$	30.65
Income (loss) from investment operations:
Net investment incomea		.56				.62			.47			.63			.32
Net gain (loss) on investments (realized and unrealized)		1.68				2.86			4.59			(8.94	)		(2.17	)
Total from investment operations		2.24				3.48			5.06			(8.31	)		(1.85	)
Less distributions from:
Net investment income		(.40	)			(1.62	)		(1.22	)		(.13	)		(.80	)
Total distributions		(.40	)			(1.62	)		(1.22	)		(.13	)		(.80	)
Net asset value, end of period	$	27.10			$	25.26		$	23.40		$	19.56		$	28.00
Total Returnb		8.90	%			15.43	%		25.89	%		(29.72	%)		(6.28	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,036			$	1,240		$	1,184		$	5,939		$	2,960
Ratios to average net assets:
Net investment income		2.11	%			2.53	%		2.07	%		2.72	%		1.02	%
Total expenses		1.84	%			1.87	%		1.88	%		1.90	%		1.88	%
Portfolio turnover rate		549	%			800	%		758	%		684	%		375	%

SEE NOTES TO FINANCIAL STATEMENTS. THE RYDEX FUNDSANNUALREPORT      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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	25.75		$	23.77		$	19.80		$	28.27		$	30.87
Income (loss) from investment operations:
Net investment incomea		.67			.54			.65			.54			.42
Net gain (loss) on investments (realized and unrealized)		1.67			3.06			4.54			(8.88	)		(2.22	)
Total from investment operations		2.34			3.60			5.19			(8.34	)		(1.80	)
Less distributions from:
Net investment income		(.40	)		(1.62	)		(1.22	)		(.13	)		(.80	)
Total distributions		(.40	)		(1.62	)		(1.22	)		(.13	)		(.80	)
Net asset value, end of period	$	27.69		$	25.75		$	23.77		$	19.80		$	28.27
Total Returnb		9.16	%		15.70	%		26.24	%		(29.54	%)		(6.07	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,912		$	3,289		$	1,721		$	1,489		$	3,032
Ratios to average net assets:
Net investment income		2.47	%		2.23	%		2.81	%		2.15	%		1.38	%
Total expenses		1.60	%		1.63	%		1.64	%		1.64	%		1.63	%
Portfolio turnover rate		549	%		800	%		758	%		684	%		375	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	23.76		$	22.21		$	18.71		$	26.93		$	29.66
Income (loss) from investment operations:
Net investment incomea		.42			.39			.39			.32			.18
Net gain (loss) on investments (realized and unrealized)		1.53			2.78			4.33			(8.41	)		(2.11	)
Total from investment operations		1.95			3.17			4.72			(8.09	)		(1.93	)
Less distributions from:
Net investment income		(.40	)		(1.62	)		(1.22	)		(.13	)		(.80	)
Total distributions		(.40	)		(1.62	)		(1.22	)		(.13	)		(.80	)
Net asset value, end of period	$	25.31		$	23.76		$	22.21		$	18.71		$	26.93
Total Returnb		8.28	%		14.85	%		25.24	%		(30.08	%)		(6.77	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,961		$	4,751		$	7,306		$	4,127		$	8,934
Ratios to average net assets:
Net investment income		1.70	%		1.72	%		1.77	%		1.31	%		0.60	%
Total expenses		2.35	%		2.38	%		2.39	%		2.39	%		2.38	%
Portfolio turnover rate		549	%		800	%		758	%		684	%		375	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

144     THE RYDEX FUNDSANNUALREPORT SEE NOTES TO FINANCIAL STATEMENTS.

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies

Organization

The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the“1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional 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 31, 2012, the Trust consisted of fifty-seven separate funds. This report covers the Sector Funds (the “Funds”), while the other funds are contained in separate reports. Only A-Class, C-Class, Advisor Class and Investor Class had been issued in the Funds.

Guggenheim Investments (“GI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. GI, RFS and RDL are affiliated entities.

The Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.

The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector.

The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles 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 on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

Repurchase agreements are valued at amortized cost, which approximates market value.

Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) using general information as to how these securities and assets trade; and (ii) other information and considerations, including current values in related markets.

B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

C. 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

THE RYDEX FUNDSANNUALREPORT      145

NOTES TO FINANCIAL STATEMENTS (continued)

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.

D. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

E. 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.

F. 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.

G. 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 Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds.

Fund	Management Fees (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	(as a % of net assets)
On the first $250 million		0.10	%
On the next $250 million		0.075	%
On the next $250 million		0.05	%
Over $750 million		0.03	%

RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.

The Trust has adopted a Distribution and Shareholder Services Plan applicable to its Advisor Class shares and a Distribution Plan applicable to A-Class shares for which RDL and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class shares only, if a Service Provider provides shareholder services, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, in turn, will pay the Service Provider out of its fees.

146     THE RYDEX FUNDSANNUALREPORT

NOTES TO FINANCIAL STATEMENTS (continued)

The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the year ended March 31, 2012, RDL retained sales charges of $404,264 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.

3. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009-2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2012, the following capital loss carryforward amounts were expired or used:

Fund	Amount
Biotechnology Fund	$	543,006
Electronics Fund		21,975,263
Energy Services Fund		10,710,084
Leisure Fund		76,092
Precious Metals Fund		11,129,255
Retailing Fund		537,464
Transportation Fund		1,263,341

The tax character of distributions paid during the year ended March 31, 2012 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total 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		—		—		—

THE RYDEX FUNDSANNUALREPORT      147

NOTES TO FINANCIAL STATEMENTS (continued)

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
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

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
Banking Fund	$	53,770	$	—	$	53,770
Basic Materials Fund		304,954		—		304,954
Biotechnology Fund		—		—		—
Consumer Products Fund		12,587,568		—		12,587,568
Electronics Fund		—		—		—
Energy Fund		92,412		—		92,412
Energy Services Fund		—		—		—
Financial Services Fund		128,968		—		128,968
Health Care Fund		—		—		—
Internet Fund		—		—		—
Leisure Fund		—		—		—
Precious Metals Fund		132,213		—		132,213
Retailing Fund		50,077		—		50,077
Technology Fund		—		—		—
Telecommunications Fund		95,855		—		95,855
Transportation Fund		—		—		—
Utilities Fund		1,479,214		—		1,479,214

(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 31, 2012 was as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation/ (Depreciation)			Capital  Loss Carryforward1
Banking Fund	$	82,877	$	—	$	(249,317	)	$	(20,850,464	)
Basic Materials Fund		27,822		—		13,835,582			(20,919,929	)
Biotechnology Fund		—		—		34,882,579			(52,808,590	)
Consumer Products Fund		—		—		20,105,436			—
Electronics Fund		—		—		650,744			(26,029,022	)
Energy Fund		—		—		16,762,847			(8,027,835	)
Energy Services Fund		—		—		21,438,313			(32,553,425	)
Financial Services Fund		103,876		—		1,370,543			(3,941,335	)
Health Care Fund		—		—		6,877,479			(5,045,284	)
Internet Fund		—		113,384		2,260,073			—
Leisure Fund		24,145		—		1,765,487			(4,786,974	)
Precious Metals Fund		—		5,526,266		35,676,357			—
Retailing Fund		—		—		2,953,762			(3,653,724	)
Technology Fund		—		—		6,075,848			(15,013,853	)
Telecommunications Fund		87,671		—		3,637			(3,039,034	)
Transportation Fund		—		—		863,104			(22,801,313	)
Utilities Fund		542,275		—		3,491,323			(6,385,917	)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

148     THE RYDEX FUNDSANNUALREPORT

NOTES TO FINANCIAL STATEMENTS (continued)

¹A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

Fund	Expires in 2013			Expires in 2014			Expires in 2015			Expires in 2016			Expires in 2017			Expires in 2018			Expires in 2019			Unlimited						Total Capital Loss Carryforward
																						Short-Term			Long-Term
Banking Fund	$	—		$	(214,478	)	$	—		$	(311,892	)	$	(1,809,926	)	$	(16,385,824	)	$	(912,723	)	$	(531,127	)	$	(684,494	)	$	(20,850,464	)
Basic Materials Fund		—			—			—			—			(6,151,760	)		(8,009,421	)		—			(6,758,748	)		—			(20,919,929	)
Biotechnology Fund		(52,808,590	)		—			—			—			—			—			—			—			—			(52,808,590	)
Consumer Products Fund		—			—			—			—			—			—			—			—			—			—
Electronics Fund		(6,480,667	)		(2,395,860	)		(5,495,145	)		(1,900,883	)		(6,118,835	)		—			(3,055,204	)		(582,428	)		—			(26,029,022	)
Energy Fund		—			—			—			—			—			(7,008,326	)		—			(1,019,509	)		—			(8,027,835	)
Energy Services Fund		—			—			—			—			(26,850,596	)		(5,702,829	)		—			—			—			(32,553,425	)
Financial Services Fund		—			—			—			—			(3,098,998	)		(417,729	)		—			(412,582	)		(12,026	)		(3,941,335	)
Health Care Fund		—			—			—			—			(676,233	)		(3,281,101	)		—			(842,240	)		(245,710	)		(5,045,284	)
Internet Fund		—			—			—			—			—			—			—			—			—			—
Leisure Fund		(353,498	)		(1,914,441	)		—			—			(652,027	)		(586,133	)		—			(1,280,875	)		—			(4,786,974	)
Precious Metals Fund		—			—			—			—			—			—			—			—			—			—
Retailing Fund		(464,755	)		—			—			—			(3,188,969	)		—			—			—			—			(3,653,724	)
Technology Fund		(5,462,751	)		(3,582,117	)		—			—			(5,077,190	)		—			—			(891,795	)		—			(15,013,853	)
Telecommunications Fund		(618,538	)		—			—			—			(1,745,552	)	��	—			—			(470,561	)		(204,383	)		(3,039,034	)
Transportation Fund		(894,874	)		—			—			—			(795,900	)		(13,907,033	)		(6,866,455	)		(337,051	)		—			(22,801,313	)
Utilities Fund		—			—			—			—			(1,315,205	)		(3,228,655	)		(1,841,534	)		—			(523	)		(6,385,917	)

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 reclassifications were made for permanent book/tax differences:

Fund	Paid In Capital			Undistributed Net Investment Income			Accumulated Net Realized Gain (Loss)
Banking Fund	$	(208	)	$	—		$	208
Basic Materials Fund		(5,500	)		34,681			(29,181	)
Biotechnology Fund		(347,368	)		523,305			(175,937	)
Consumer Products Fund		3,671,871			(1,504,930	)		(2,166,941	)
Electronics Fund		(23,723,564	)		26,104			23,697,460
Energy Fund		—			847			(847	)
Energy Services Fund		(1,943,550	)		385,105			1,558,445
Financial Services Fund		(6,236	)		441			5,795
Health Care Fund		(33,482	)		33,481			1
Internet Fund		19,309,525			115,563			(19,425,088	)
Leisure Fund		(76,092	)		—			76,092
Precious Metals Fund		(886,497	)		1,169,943			(283,446	)
Retailing Fund		151,939			13,269			(165,208	)
Technology Fund		(21,355	)		21,355			—
Telecommunications Fund		(211	)		211			—
Transportation Fund		(1,305,633	)		42,291			1,263,342
Utilities Fund		(5,686	)		5,686			—

THE RYDEX FUNDSANNUALREPORT      149

NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2012, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain/(Loss)
Banking Fund	$	37,444,986	$	235,422	$	(484,739	)	$	(249,317	)
Basic Materials Fund		46,240,237		14,476,127		(640,545	)		13,835,582
Biotechnology Fund		74,416,254		35,447,566		(564,987	)		34,882,579
Consumer Products Fund		183,493,710		21,020,097		(914,661	)		20,105,436
Electronics Fund		7,010,557		687,931		(37,187	)		650,744
Energy Fund		54,122,437		17,648,046		(885,200	)		16,762,846
Energy Services Fund		38,288,718		21,836,536		(398,223	)		21,438,313
Financial Services Fund		24,280,273		1,393,981		(23,438	)		1,370,543
Health Care Fund		42,864,757		6,949,769		(72,290	)		6,877,479
Internet Fund		6,124,091		2,270,599		(10,526	)		2,260,073
Leisure Fund		14,394,777		1,854,719		(89,232	)		1,765,487
Precious Metals Fund		86,511,471		36,692,101		(1,015,744	)		35,676,357
Retailing Fund		45,110,775		3,245,240		(291,478	)		2,953,762
Technology Fund		26,418,207		6,159,042		(83,194	)		6,075,848
Telecommunications Fund		9,403,172		93,190		(89,553	)		3,637
Transportation Fund		13,862,569		961,016		(97,912	)		863,104
Utilities Fund		56,489,721		3,653,898		(162,575	)		3,491,323

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 31, 2012, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2012:

Fund	Ordinary			Capital
Banking Fund	$	—		$	(70,773	)
Basic Materials Fund		—			(1,463,762	)
Electronics Fund		(14,534	)		(438,383	)
Energy Fund		(2,890	)		(3,209,296	)
Energy Services Fund		(35,120	)		—
Financial Services		—			(24,928	)
Health Care Fund		—			(48,764	)
Internet Fund		(50,568	)		—
Precious Metals Fund		(2,059	)		—
Retailing Fund		(18,867	)		(85,226	)
Technology Fund		(82,903	)		(60,030	)
Telecommunications Fund		—			(75,316	)
Transportation Fund		(9,953	)		—
Utilities Fund		—			(616,019	)

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

150     THE RYDEX FUNDSANNUALREPORT

NOTES TO FINANCIAL STATEMENTS (continued)

Level 1 — quoted prices in active markets for identical securities.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2012:

Fund	Level 1 Investments In Securities		Level 2 Investments In Securities		Level 3 Investments In Securities		Total
Assets
Banking Fund	$	36,881,648	$	314,021	$	—	$	37,195,669
Basic Materials Fund		59,791,732		284,087		—		60,075,819
Biotechnology Fund		108,587,011		711,822		—		109,298,833
Consumer Products Fund		202,353,095		1,246,051		—		203,599,146
Electronics Fund		7,614,205		47,096		—		7,661,301
Energy Fund		70,488,456		396,827		—		70,885,283
Energy Services Fund		59,354,940		372,091		—		59,727,031
Financial Services Fund		25,541,507		109,309		—		25,650,816
Health Care Fund		49,488,550		253,686		—		49,742,236
Internet Fund		8,332,454		51,710		—		8,384,164
Leisure Fund		16,057,115		103,149		—		16,160,264
Precious Metals Fund		121,522,968		664,860		—		122,187,828
Retailing Fund		47,074,309		990,228		—		48,064,537
Technology Fund		32,279,155		214,900		—		32,494,055
Telecommunications Fund		9,365,293		41,516		—		9,406,809
Transportation Fund		14,642,667		83,006		—		14,725,673
Utilities Fund		59,833,718		147,326		—		59,981,044

For the year ended March 31, 2012, there were no transfers between levels.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended March 31, 2012:

LEVEL 3 - Fair value measurement using significant unobservable inputs

	Securities
Biotechnology
Assets:
Beginning Balance	$	—
Total realized gains or losses included in earnings		—
Total unrealized gains or losses included in earnings		—
Issuances		—
Ending Balance	$	—

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 31, 2012, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
Credit Suisse Group 0.01% Due 04/02/12	$	57,898,514	$	57,898,562	U.S. Treasury Note 1.375% 11/30/2015	$	57,159,300	$	59,056,509

THE RYDEX FUNDSANNUALREPORT      151

NOTES TO FINANCIAL STATEMENTS (continued)

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Securities Transactions

For the year ended March 31, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:

	Purchases		Sales
Banking Fund	$	91,151,779	$	68,162,068
Basic Materials Fund		180,779,104		216,492,352
Biotechnology Fund		361,805,946		321,642,452
Consumer Products Fund		617,016,820		497,798,949
Electronics Fund		115,757,580		119,398,993
Energy Fund		253,334,152		298,945,228
Energy Services Fund		166,323,434		279,480,863
Financial Services Fund		155,600,271		141,945,748
Health Care Fund		274,703,892		253,543,458
Internet Fund		56,153,782		69,255,331
Leisure Fund		72,930,467		60,916,388
Precious Metals Fund		373,795,719		430,168,484
Retailing Fund		179,653,498		143,431,191
Technology Fund		139,685,694		152,228,892
Telecommunications Fund		82,575,918		123,729,217
Transportation Fund		159,060,277		155,049,217
Utilities Fund		339,267,375		298,508,221

7. Line of Credit

The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2012. 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 31, 2012. The Funds did not have any borrowings under this agreement at March 31, 2012.

The following table illustrates the average daily balance borrowed for the year ended March 31, 2012:

Fund	Average Daily Balance
Banking Fund	$	5,470
Basic Materials Fund		20,077
Biotechnology Fund		684,661
Consumer Products Fund		107,008
Electronics Fund		4,678
Energy Fund		104,437
Energy Services Fund		163,107
Financial Services Fund		21,429
Health Care Fund		98,396
Internet Fund		13,645
Leisure Fund		1,273
Precious Metals Fund		18,885
Retailing Fund		8,650
Technology Fund		13,240
Telecommunications Fund		8,814
Transportation Fund		27,708
Utilities Fund		66,921

152     THE RYDEX FUNDSANNUALREPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

8. 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 (In re Tribune Co.), Adv. Pro. No. 10-54010 (Bankr. D. Del.), 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 major 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, major shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding in the Bankruptcy Court has been stayed pending further order of the Bankruptcy Court.

In June 2011, a group of Tribune creditors, not including the UCC, filed multiple actions involving state law constructive fraudulent conveyance claims against former Tribune shareholders. Rydex Series Funds also has been named as a defendant in one or more of these suits. These cases have been consolidated in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York and have been stayed pending further order of that court or of the Bankruptcy Court.

None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

Lyondell Chemical Company

In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.).

Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.

This lawsuit does not allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds received cash proceeds from the cash out merger in the following amounts: Basic Materials Fund - $ 1,725,168; U.S. Long Short Momentum Fund - $2,193,600; Global 130/30 Strategy Fund - $37,920; Hedged Equity Fund - $1,440; and Multi-Hedge Strategies Fund - $1,116,480. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

THE RYDEX FUNDSANNUALREPORT      153

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 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2012, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2012, 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, 2012

154     THE RYDEX FUNDSANNUALREPORT

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2012, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Banking Fund		100.00	%
Consumer Products Fund		14.81	%
Financial Services Fund		100.00	%
Precious Metals Fund		100.00	%
Retailing Fund		100.00	%
Telecommunications Fund		89.98	%
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	%
Consumer Products Fund		14.55	%
Financial Services Fund		100.00	%
Precious Metals Fund		100.00	%
Retailing Fund		100.00	%
Telecommunications Fund		89.35	%
Utilities Fund		92.17	%

With respect to the taxable year ended March 31, 2012, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

	Consumer Products Fund		Internet Fund
From long-term capital gains, using proceeds from shareholder redemptions:	$	327,245	$	5,236,352

For the fiscal year ending March 31, 2012, Precious Metals Fund earned gross income derived from foreign sources totaling $777,152. The Precious Metals Fund paid foreign taxes totaling $82,223 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 2012 income tax forms in January 2013.

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.

THE RYDEX FUNDSANNUALREPORT      155

OTHER INFORMATION (Unaudited) (continued)

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Security Investors, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
Banking Fund		93,811		1,088		2,098
Basic Materials Fund		603,291		18,611		29,856
Biotechnology Fund		1,377,342		40,566		39,915
Consumer Products Fund		1,659,544		47,951		54,711
Electronics Fund		64,181		868		5,328
Energy Fund		1,242,632		23,894		46,257
Energy Services Fund		517,806		19,142		10,373
Financial Services Fund		40,806		842		660
Health Care Fund		696,833		36,241		11,894
Internet Fund		104,773		5,715		1,976
Leisure Fund		54,501		519		810
Precious Metals Fund		880,530		46,134		21,944
Retailing Fund		368,764		6,934		6,278
Technology Fund		549,155		13,372		6,267
Telecommunications Fund		184,033		8,634		563
Transportation Fund		100,569		3,469		5,521
Utilities Fund		1,558,681		61,483		49,694

At a special meeting of shareholders held on November 22, 2011, the shareholders of the Funds also voted on whether to approve the election of nominees to the Board of Trustees. A description of the number of shares voted is as follows:

Donald C. Cacciapaglia		Corey A. Colehour		J. Kenneth Dalton
For	1,443,600,903	For	1,444,213,017	For	1,444,422,997
Withhold	23,402,732	Withhold	22,790,618	Withhold	22,580,638
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
John O. Demaret		Richard M. Goldman		Werner E. Keller
For	1,445,255,754	For	1,443,668,595	For	1,445,494,273
Withhold	21,747,881	Withhold	23,335,040	Withhold	21,509,362
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
Thomas F. Lydon		Patrick T. McCarville		Roger Somers
For	1,444,219,448	For	1,445,357,773	For	1,443,486,735
Withhold	22,784,187	Withhold	21,645,862	Withhold	23,516,900
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds also voted on whether to approve a “manager of managers” arrangement for each of the Funds. Although shareholder votes were placed, not enough votes were received to meet the minimum requirements to constitute a majority vote. As such, the matter was closed.

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.

156     THE RYDEX FUNDSANNUALREPORT

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

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Fund’s investment manager (the “Investment Manager”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals. The Transaction closed on February 29, 2012.

The Transaction should not result in material changes to the day-to-day management and operation of the Fund or any increase in fees.

In anticipation of the Transaction, the Board of Trustees of the Funds (the “Board”) called a special meeting of shareholders (the “Meeting”), at which shareholders of the Funds of record as of October 3, 2011 were asked to consider the approval of a new investment management agreement between the Funds and the Investment Manager (the “New Agreement”). This approval was necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Funds’ current investment management agreement with the Investment Manager (the “Current Agreement”). The Funds’ shareholders approved the New Agreement, the terms of which are substantially identical to the corresponding Current Agreement, except with respect to the date of execution.

Election of Board Members

The Board also approved a proposal to elect nine individuals to the Board. The Board proposed the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Board believes that expanding the Board to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Guggenheim Investments family of funds, would be appropriate. The Trusts’ shareholders ultimately approved the aforementioned proposal.

THE RYDEX FUNDSANNUALREPORT      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, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Donald C. Cacciapaglia*	Rydex Series Funds – 2012	148
Trustee, President (1951)	Rydex Variable Trust – 2012
	Rydex Dynamic Funds – 2012
	Rydex ETF Trust – 2012

Principal Occupations During Past Five Years: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010.

INDEPENDENT TRUSTEES

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Corey A. Colehour	Rydex Series Funds – 1993	148
Trustee (1945)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit, Governance and Nominating Committees (1995 to present)

J. Kenneth Dalton	Rydex Series Funds – 1995	148
Trustee (1941)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

John O. Demaret	Rydex Series Funds – 1997	148
Trustee, Chairman of the	Rydex Variable Trust – 1998
Board (1941)	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

Werner E. Keller	Rydex Series Funds – 2005	148
Trustee (1940)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)

Thomas F. Lydon, Jr.	Rydex Series Funds – 2005	148
Trustee (1960)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)

158     THE RYDEX FUNDSANNUALREPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

INDEPENDENT TRUSTEES – concluded

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Patrick T. McCarville	Rydex Series Funds – 1997	148
Trustee (1942)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)

Roger Somers	Rydex Series Funds – 1993	148
Trustee (1944)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (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 and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002- 2010), Executive Vice President (2002- 2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008- 2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, President and 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); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; 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); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Elisabeth Miller* Chief Compliance Officer (1968)	Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004-2009).

THE RYDEX FUNDSANNUALREPORT      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
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010- 2011); Brecek and Young Advisors, Inc., Director (2004- 2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and 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 Security Global Investors.

160     THE RYDEX FUNDSANNUALREPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.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

THE RYDEX FUNDSANNUALREPORT      161

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded)

information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

162     THE RYDEX FUNDSANNUALREPORT

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805 King Farm Boulevard, Suite 600

Rockville, MD 20850

www.rydex-sgi.com

800.820.0888

RSECF-ANN-2-0312x0313

GUGGENHEIM ALTERNATIVES FUNDS

GUGGENHEIM U.S. LONG SHORT MOMENTUM FUND

GUGGENHEIM ALTERNATIVE STRATEGIES ALLOCATION FUND

GUGGENHEIM EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

GUGGENHEIM LONG SHORT EQUITY STRATEGY FUND

GUGGENHEIM LONG SHORT INTEREST RATE STRATEGY FUND

RYDEX INTERNATIONAL EQUITY FUNDS

RYDEX EMERGING MARKETS 2x STRATEGY FUND

RYDEX INVERSE EMERGING MARKETS 2x STRATEGY FUND

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 Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
U.S. LONG SHORT MOMENTUM FUND	8
ALTERNATIVE STRATEGIES ALLOCATION FUND	18
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND	26
LONG SHORT EQUITY STRATEGY FUND	34
LONG SHORT INTEREST RATE STRATEGY FUND	42
EMERGING MARKETS 2x STRATEGY FUND	50
INVERSE EMERGING MARKETS 2x STRATEGY FUND	58
NOTES TO FINANCIAL STATEMENTS	65
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	77
OTHER INFORMATION	78
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	81
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	84

THE GUGGENHEIM FUNDS ANNUAL REPORT      1

LETTER TO OUR SHAREHOLDERS

To Our Shareholders:

A restructuring of Greece’s massive debt, continued accommodation by the world’s major central banks and better news on the U.S. economy helped support financial markets over the fiscal year ended March 31, 2012, with the S&P 500^® Index* rising about 9%. Market optimism peaked in early 2012, when several major equity indices pushed to the highest levels in four years or more. But the mood grew more cautious late in the period after the Federal Reserve (“the Fed”) expressed views that continued weakness in housing and employment may pose a risk to the strength of the recovery.

U.S. equities experienced big intra-year swings. Markets swooned by nearly 20% last summer amid the loss of the U.S. AAA credit rating, the end of the Fed’s second round of quantitative easing and rising oil prices. But after touching the year’s low in early October, improving U.S. economic data and European Central Bank’s injections of three-year loans into the continent’s banking system helped markets make up lost ground, which carried over into a strong first quarter of 2012.

Among the upbeat U.S. economic reports in recent months: more than 600,000 jobs have been added since the beginning of 2012; house prices have fallen enough to start to spur demand, lifting sales and new construction; and the U.S. GDP expanded at an annual rate of 3% in the fourth quarter of 2011, its strongest rate in a year and a half. Consumer confidence climbed in March to its highest level in a year.

While acknowledging the good news, the Fed warned that policymakers cannot be sure the recent pace of improvement will be sustained unless growth picks up. To foster growth, the Fed has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers. Consumer spending remains sluggish, and lackluster forecasts for first-quarter corporate profits were a reminder that the economic recovery remains fragile.

The world’s leading central bankers have continued to take steps to recharge the global economy. Greece’s debt restructuring enabled a new international bailout, while an injection of liquidity from the European Central Bank lessened financial stresses across the continent and contributed to improvement in global financial markets. However, March manufacturing gauges indicated that the eurozone has entered a period of economic contraction, meaning that policy makers may need to do more to revive economic growth across the region. The Bank of England and the Bank of Japan have also increased asset-buying programs. In China, recent strong factory data eased fears that a hard landing could wreak havoc on the global economy. The country cut its annual growth target to 7.5%, as its policymakers are trying to shift the country away from investment and exports and to greater domestic consumption.

Improvement in the U.S. economy is luring investors from ultra-safe, but often low-yielding assets. Falling U.S. Treasury bond prices, for example, boosted yields from a 70-year low last fall to a recent range of around 2% for the 10-year note. After outperforming equities for much of the past decade, and drawing heavy asset flows, many analysts are cautious about certain
fixed-income sectors, particularly government debt, as the economy improves and the potential grows for a rise in interest rates. Investment-grade and higher-yielding corporates, however, are expected to continue to outperform.

Likewise, commodities, which had been slumping since mid-2011 due to slowing economic activity and the European debt crisis, rebounded in early 2012 on stronger macroeconomic data, with the price of a barrel of oil surging from last October’s $77 to a peak of $113 in late February. Investors also have been shifting out of gold to assets with greater return potential; after peaking at nearly $2,000 last summer, the price per ounce has fallen back to around $1,600.

2     THE GUGGENHEIM FUNDS ANNUAL REPORT

LETTER TO OUR SHAREHOLDERS (concluded)

The U.S. economy seems to be decoupling from slowing growth in the rest of the world and from ongoing uncertainty in the European debt crisis, as well as the domestic debate over tax and spending policy. In this resiliency, we see potential in U.S. investments, including equities, high yield bonds, bank loans and other risk assets. It appears that the U.S. may have entered a period of self-sustaining, if modest, economic expansion, driven primarily by the aggressive monetary policy of the Fed and reinforced by the ECB, and is increasingly becoming the economic locomotive of the global economy.

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Donald C. Cacciapaglia

President

*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).

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

The referenced funds are distributed by Rydex Distributors, LLC. Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC, which includes Security Investors, LLC, the investment advisor to the referenced funds. Rydex Distributors, LLC is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.

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 (“NAV”) per share increases from $10.00 to $10.90 for a gain of 9.0%–in line with its benchmark. On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.

	Index Level		Index Performance			Fund Expectation			Fund NAV		Fund Performance			Assessment
Start		100							$	10.00
Day 1		106		6.0	%		9.0	%	$	10.90		9.0	%		In line
Day 2		99		-6.6	%		-9.9	%	$	9.82		-9.9	%		In line
Cumulative				-1.0	%		-1.5	%				-1.8	%		-0.3	%

As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.

Because 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, 2011 and ending March 31, 2012.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

THE GUGGENHEIM FUNDS ANNUAL REPORT      5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 1. Based on actual Fund return3
U.S. Long Short Momentum Fund
A-Class		1.64	%		12.07	%	$	1,000.00	$	1,120.70	$	8.69
C-Class		2.39	%		11.71	%		1,000.00		1,117.10		12.65
H-Class		1.64	%		12.11	%		1,000.00		1,121.10		8.70
Institutional Class5		1.36	%		7.59	%		1,000.00		1,075.90		4.71
Alternative Strategies Allocation Fund4
A-Class		0.00	%		4.85	%		1,000.00		1,048.50		—
C-Class		0.75	%		4.49	%		1,000.00		1,044.90		3.83
H-Class		0.00	%		4.85	%		1,000.00		1,048.50		—
Event Driven and Distressed Strategies Fund
A-Class		1.80	%		10.48	%		1,000.00		1,104.80		9.47
C-Class		2.56	%		10.03	%		1,000.00		1,100.30		13.44
H-Class		1.81	%		10.48	%		1,000.00		1,104.80		9.52
Institutional Class		1.57	%		10.61	%		1,000.00		1,106.10		8.27
Long Short Equity Strategy Fund
A-Class		2.41	%		11.15	%		1,000.00		1,111.50		12.72
C-Class		3.30	%		10.72	%		1,000.00		1,107.20		17.38
H-Class		2.54	%		11.15	%		1,000.00		1,111.50		13.41
Institutional Class		2.23	%		11.28	%		1,000.00		1,112.80		11.78
Long Short Interest Rate Strategy Fund
A-Class		1.49	%		0.63	%		1,000.00		1,006.30		7.47
C-Class		2.24	%		0.26	%		1,000.00		1,002.60		11.21
H-Class		1.49	%		0.63	%		1,000.00		1,006.30		7.47
Institutional Class		1.24	%		0.76	%		1,000.00		1,007.60		6.22
Emerging Markets 2x Strategy Fund
A-Class		1.67	%		35.14	%		1,000.00		1,351.40		9.82
C-Class		2.44	%		34.92	%		1,000.00		1,349.20		14.33
H-Class		1.67	%		35.37	%		1,000.00		1,353.70		9.83
Inverse Emerging Markets 2x Strategy Fund
A-Class		1.68	%		(37.97	%)		1,000.00		620.30		6.81
C-Class		2.42	%		(36.52	%)		1,000.00		634.80		9.89
H-Class		1.68	%		(37.93	%)		1,000.00		620.70		6.81

6     THE GUGGENHEIM FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 2. Based on hypothetical 5% return (before expenses)
U.S. Long Short Momentum Fund
A-Class		1.64	%		5.00	%	$	1,000.00	$	1,016.80	$	8.27
C-Class		2.39	%		5.00	%		1,000.00		1,013.05		12.03
H-Class		1.64	%		5.00	%		1,000.00		1,016.80		8.27
Institutional Class		1.36	%		5.00	%		1,000.00		1,018.20		6.86
Alternative Strategies Allocation Fund4
A-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.25		3.79
H-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
Event Driven and Distressed Strategies Fund
A-Class		1.80	%		5.00	%		1,000.00		1,016.00		9.07
C-Class		2.56	%		5.00	%		1,000.00		1,012.20		12.88
H-Class		1.81	%		5.00	%		1,000.00		1,015.95		9.12
Institutional Class		1.57	%		5.00	%		1,000.00		1,017.15		7.92
Long Short Equity Strategy Fund
A-Class		2.41	%		5.00	%		1,000.00		1,012.95		12.13
C-Class		3.30	%		5.00	%		1,000.00		1,008.50		16.57
H-Class		2.54	%		5.00	%		1,000.00		1,012.30		12.78
Institutional Class		2.23	%		5.00	%		1,000.00		1,013.85		11.23
Long Short Interest Rate Strategy Fund
A-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
C-Class		2.24	%		5.00	%		1,000.00		1,013.80		11.28
H-Class		1.49	%		5.00	%		1,000.00		1,017.55		7.52
Institutional Class		1.24	%		5.00	%		1,000.00		1,018.80		6.26
Emerging Markets 2x Strategy Fund
A-Class		1.67	%		5.00	%		1,000.00		1,016.65		8.42
C-Class		2.44	%		5.00	%		1,000.00		1,012.80		12.28
H-Class		1.67	%		5.00	%		1,000.00		1,016.65		8.42
Inverse Emerging Markets 2x Strategy Fund
A-Class		1.68	%		5.00	%		1,000.00		1,016.60		8.47
C-Class		2.42	%		5.00	%		1,000.00		1,012.90		12.18
H-Class		1.68	%		5.00	%		1,000.00		1,016.60		8.47

¹  This ratio represents annualized Net Expenses, which include interest and dividend expense related to securities sold short. Excluding short dividend expense and prime broker interest expense, the operating expense ratio would be 0.51%, 0.65%, 0.64%, and 0.58% lower in the Long Short Equity Strategy Fund for the A-Class, C-Class, H-Class and Institutional Class, respectively.

² Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

³  Actual cumulative return at net asset value for the period September 30, 2011 to March 31, 2012.

⁴  Excludes expenses of the underlying funds in which the Fund invests.

⁵ Since commencement of operations: November 30, 2011.

THE GUGGENHEIM FUNDS ANNUAL REPORT      7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

U.S. LONG SHORT MOMENTUM FUND

OBJECTIVE: Seeks long-term capital appreciation.

For the fiscal year ended March 31, 2012, the U.S. Long Short Momentum Fund H-Class returned -6.91% as opposed to its benchmark, the Russell 3000^® Index*, which ended the year up 7.18%. 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 equity markets for the first half of the fiscal year. In October, the market experienced a strong counter-trend rally, resulting in benchmark relative performance of -4.3%. In January, after generating the strongest returns of calendar year 2011, Utilities reverted significantly. This reversal largely explains the core momentum model’s -3.4% underperformance relative to the Russell 3000 Index for this month. For the full fiscal year, the Fund’s core momentum model trailed the Russell 3000 Index by -8.8%. We saw negative performance for momentum strategies from both intermediate (3-months) and long-term (12-months) models in fiscal year 2011. This behavior was distinct from our 2010 experience, when positive performance from the long-term model roughly offset negative performance from the intermediate model.

The defensive hedging model served the role of dampening Fund volatility, but also suffered from October’s strong counter-trend rally. After being up the first half of the fiscal year, the defensive hedge surrendered -3.3% of Fund performance in October. For the fiscal year, the defensive hedge cost the Fund -3.4%. The hedge resulted in a reduction of annualized fund volatility to 12.0% versus 15.9% for the core model and 16.9% for the Russell 3000 Index.

For the year, transaction costs, which are estimated at 31 basis points, were relatively low given the turnover level of the momentum strategy, which approximated 112% per side in fiscal year 2011. Combined with management fees, these operational costs reduced Fund performance by -2.0% versus the Russell 3000 Index.

Within the core momentum model, large overweight positions of Trading Companies & Distributors and Tobacco industries contributed positively to benchmark relative return, with the two industry allocations generating alpha of 1.4% and 1.2%, respectively. A large underweight of the Diversified Financial Service industry also contributed positively to benchmark relative return, producing 0.5% of alpha for the Fund. The three biggest detractors from Fund performance were overweight positions in the Energy Equipment & Services, Healthcare Technology, and Multi-Utilities industries. These allocations cost the Fund -2.0%, -1.9%, and -1.2% of relative return, respectively.

Derivatives in the Fund are used for various purposes, including speculation.

*The Russell 3000 Index measures the performance of the largest 3000 U.S. companies, representing approximately 98% of the investable U.S. equity market. 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 Long Holdings (% of Total Net Assets)
Philip Morris International, Inc.	4.7	%
Altria Group, Inc.	2.9	%
International Paper Co.	2.3	%
NIKE, Inc. — Class B	2.2	%
Reynolds American, Inc.	1.8	%
Fastenal Co.	1.8	%
WW Grainger, Inc.	1.7	%
Coach, Inc.	1.6	%
Lorillard, Inc.	1.6	%
Apple, Inc.	1.5	%
Top Ten Total	22.1	%

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

8       THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*
Periods Ended 03/31/12
	1 Year			5 Year			10 Year
C-Class Shares		-7.65	%		-0.70	%		3.10	%
C-Class Shares with CDSC†		-8.58	%		-0.70	%		3.10	%
H-Class Shares		-6.91	%		0.06	%		3.88	%
Russell 3000 Index		7.18	%		2.18	%		4.67	%
	1 Year			5 Year			Since Inception (03/31/04)
A-Class Shares		-7.00	%		0.04	%		4.24	%
A-Class Shares with sales charge‡		-11.41	%		-0.92	%		3.61	%
Russell 3000 Index		7.18	%		2.18	%		5.34	%
	Since Inception (11/30/11)
Institutional Class Shares		7.59	%
Russell 3000 Index		13.80	%

* 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 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 31, 2012

U.S. LONG SHORT MOMENTUM FUND

	SHARES		VALUE
COMMON STOCKS† - 97.9%
Consumer Discretionary - 29.2%
NIKE, Inc. — Class B		20,927	$	2,269,324
Coach, Inc.		21,973		1,698,074
Mattel, Inc.		45,402		1,528,230
VF Corp.		9,889		1,443,596
Ralph Lauren Corp. — Class A		6,939		1,209,676
Home Depot, Inc.		23,350		1,174,739
Polaris Industries, Inc.		13,992		1,009,523
Hasbro, Inc.		26,744		982,040
Fossil, Inc.*		7,403		977,048
PVH Corp.		9,993		892,675
Lowe’s Companies, Inc.		27,493		862,730
TJX Companies, Inc.		18,648		740,513
Under Armour, Inc. — Class A*		7,498		704,812
Carter’s, Inc.*		13,534		673,587
Brunswick Corp.		26,154		673,466
Warnaco Group, Inc.*		9,328		544,755
Hanesbrands, Inc.*		18,357		542,266
The Gap, Inc.		20,239		529,047
McDonald’s Corp.		5,232		513,260
Bed Bath & Beyond, Inc.*		7,798		512,874
Limited Brands, Inc.		10,677		512,496
AutoZone, Inc.*		1,333		495,609
Ross Stores, Inc.		8,321		483,450
Sturm Ruger & Company, Inc.		9,139		448,725
O’Reilly Automotive, Inc.*		4,912		448,711
Wolverine World Wide, Inc.		11,717		435,638
Staples, Inc.		26,124		422,687
Deckers Outdoor Corp.*		6,335		399,422
Tiffany & Co.		5,609		387,750
Columbia Sportswear Co.		8,158		387,097
CarMax, Inc.*		10,606		367,498
Crocs, Inc.*		16,859		352,690
Best Buy Company, Inc.		14,714		348,428
Tractor Supply Co.		3,734		338,151
Arctic Cat, Inc.*		7,771		332,832
Starbucks Corp.		5,926		331,204
PetSmart, Inc.		5,715		327,012
Las Vegas Sands Corp.		5,641		324,752
Smith & Wesson Holding Corp.*		41,574		322,199
Iconix Brand Group, Inc.*		18,093		314,456
Jakks Pacific, Inc.		17,976		313,681
Leapfrog Enterprises, Inc. — Class A*		37,143		310,515
Callaway Golf Co.		43,855		296,460
Yum! Brands, Inc.		4,071		289,774
Carnival Corp.		6,923		222,090
Chipotle Mexican Grill, Inc. — Class A*		441		184,338
Marriott International, Inc. — Class A		4,760		180,166
Wynn Resorts Ltd.		1,410		176,081
Starwood Hotels & Resorts Worldwide, Inc.		2,969		167,481
Wyndham Worldwide Corp.		2,889		134,367
AutoNation, Inc.*		3,886		133,329
Darden Restaurants, Inc.		2,532		129,537

	SHARES		VALUE
Royal Caribbean Cruises Ltd.		4,348	$	127,962
MGM Resorts International*		9,390		127,892
International Game Technology		6,819		114,491
Panera Bread Co. — Class A*		671		107,977
Total Consumer Discretionary				30,279,183
Industrials - 17.4%
Fastenal Co.		34,598		1,871,751
WW Grainger, Inc.		8,074		1,734,375
RSC Holdings, Inc.*		39,705		896,936
MSC Industrial Direct Co., Inc. — Class A		10,545		878,188
United Rentals, Inc.*		20,281		869,852
WESCO International, Inc.*		11,590		756,943
Masco Corp.		56,376		753,747
Owens Corning*		20,302		731,481
Fortune Brands Home & Security, Inc.*		30,371		670,288
Air Lease Corp. — Class A*		25,969		625,074
Watsco, Inc.		8,431		624,231
Textainer Group Holdings Ltd.		17,629		597,623
Applied Industrial Technologies, Inc.		13,990		575,409
Armstrong World Industries, Inc.		11,339		553,003
GATX Corp.		13,718		552,835
TAL International Group, Inc.		14,195		521,098
Lennox International, Inc.		12,762		514,309
Beacon Roofing Supply, Inc.*		19,635		505,798
AO Smith Corp.		10,577		475,436
USG Corp.*		26,519		456,127
Simpson Manufacturing Company, Inc.		13,853		446,759
Aircastle Ltd.		31,215		382,072
Kaman Corp.		10,824		367,475
Quanex Building Products Corp.		16,793		296,061
Universal Forest Products, Inc.		8,504		293,218
Griffon Corp.		26,972		288,600
Trex Company, Inc.*		8,040		257,923
Gibraltar Industries, Inc.*		16,192		245,309
Ameresco, Inc. — Class A*		15,118		204,849
3D Systems Corp.*		2,966		69,820
Total Industrials				18,016,590
Health Care - 13.3%
Amgen, Inc.		20,700		1,407,394
Gilead Sciences, Inc.*		23,986		1,171,716
Celgene Corp.*		14,761		1,144,273
Biogen Idec, Inc.*		8,653		1,090,018
Cerner Corp.*		13,689		1,042,554
Alexion Pharmaceuticals, Inc.*		9,346		867,870
Regeneron Pharmaceuticals, Inc.*		6,380		744,036
SXC Health Solutions Corp.*		8,561		641,733
Vertex Pharmaceuticals, Inc.*		14,539		596,244
athenahealth, Inc.*		6,408		474,961
Allscripts Healthcare Solutions, Inc.*		28,584		474,494
Quality Systems, Inc.		10,661		466,206
BioMarin Pharmaceutical, Inc.*		10,804		370,037
Cepheid, Inc.*		8,448		353,380
Cubist Pharmaceuticals, Inc.*		7,561		327,013

10     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (continued)	March 31, 2012
U.S. LONG SHORT MOMENTUM FUND

	SHARES		VALUE
Ariad Pharmaceuticals, Inc.*		19,772	$	315,363
Seattle Genetics, Inc.*		15,160		308,961
United Therapeutics Corp.*		6,542		308,324
Incyte Corporation Ltd.*		15,598		301,041
Onyx Pharmaceuticals, Inc.*		7,463		281,206
Medidata Solutions, Inc.*		9,905		263,869
MedAssets, Inc.*		18,515		243,657
Computer Programs & Systems, Inc.		3,881		219,354
Omnicell, Inc.*		13,723		208,727
Merge Healthcare, Inc.*		33,865		198,110
Total Health Care				13,820,541
Consumer Staples - 12.1%
Philip Morris International, Inc.		55,305		4,900,576
Altria Group, Inc.		98,824		3,050,697
Reynolds American, Inc.		45,280		1,876,403
Lorillard, Inc.		12,827		1,660,840
Vector Group Ltd.		23,598		418,157
Universal Corp.		8,572		399,455
Star Scientific, Inc.*		69,962		229,475
Total Consumer Staples				12,535,603
Information Technology - 9.1%
Apple, Inc.*		2,593		1,554,425
International Business Machines Corp.		4,964		1,035,739
Visa, Inc. — Class A		4,434		523,213
EMC Corp.*		16,944		506,286
Mastercard, Inc. — Class A		1,156		486,144
Accenture plc — Class A		6,798		438,471
Hewlett-Packard Co.		17,774		423,554
Infosys Ltd. ADR		6,472		369,098
Dell, Inc.*		20,157		334,606
Automatic Data Processing, Inc.		5,765		318,170
Cognizant Technology Solutions Corp. — Class A*		4,070		313,187
Computer Sciences Corp.		10,009		299,669
NetApp, Inc.*		5,744		257,158
Teradata Corp.*		3,560		242,614
Seagate Technology plc		7,981		215,088
Fidelity National Information Services, Inc.		6,459		213,922
SanDisk Corp.*		4,307		213,584
Paychex, Inc.		6,622		205,216
Fiserv, Inc.*		2,933		203,521
Western Digital Corp.*		4,909		203,184
Western Union Co.		11,208		197,261
Amdocs Ltd.*		4,714		148,868
SAIC, Inc.*		9,884		130,469
NCR Corp.*		5,408		117,408
Diebold, Inc.		2,584		99,536
Fusion-io, Inc.*		3,321		94,350
Lexmark International, Inc. — Class A		2,799		93,039
QLogic Corp.*		4,801		85,266
Synaptics, Inc.*		1,874		68,420
Total Information Technology				9,391,466

	SHARES		VALUE
Materials - 8.8%
International Paper Co.		67,696	$	2,376,131
MeadWestvaco Corp.		42,341		1,337,553
Domtar Corp.		11,608		1,107,171
Louisiana-Pacific Corp.*		69,085		645,945
Buckeye Technologies, Inc.		18,585		631,332
Schweitzer-Mauduit International, Inc.		8,774		605,932
KapStone Paper and Packaging Corp.*		28,842		568,187
Deltic Timber Corp.		7,780		492,396
PH Glatfelter Co.		31,094		490,663
Clearwater Paper Corp.*		14,059		466,899
Neenah Paper, Inc.		14,406		428,434
Total Materials				9,150,643
Utilities - 8.0%
Dominion Resources, Inc.		9,181		470,159
Southern Co.		10,226		459,454
Exelon Corp.		10,900		427,389
Duke Energy Corp.		18,669		392,236
NextEra Energy, Inc.		6,102		372,710
PG&E Corp.		8,479		368,073
Consolidated Edison, Inc.		6,194		361,853
Public Service Enterprise Group, Inc.		11,194		342,648
Sempra Energy		5,527		331,399
FirstEnergy Corp.		7,117		324,464
American Electric Power Company, Inc.		8,267		318,941
Xcel Energy, Inc.		11,783		311,896
PPL Corp.		10,595		299,415
Progress Energy, Inc.		5,518		293,061
Edison International		6,397		271,936
DTE Energy Co.		4,819		265,190
Entergy Corp.		3,793		254,890
CenterPoint Energy, Inc.		12,812		252,653
Wisconsin Energy Corp.		7,037		247,562
Ameren Corp.		7,526		245,197
NiSource, Inc.		9,421		229,401
SCANA Corp.		4,650		212,087
CMS Energy Corp.		9,440		207,680
OGE Energy Corp.		3,725		199,288
NSTAR		3,996		194,325
Northeast Utilities		5,099		189,275
Pinnacle West Capital Corp.		3,542		169,662
Pepco Holdings, Inc.		8,052		152,102
ITC Holdings Corp.		1,896		145,878
Total Utilities				8,310,824
Total Common Stocks (Cost $90,074,519)				101,504,850

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      11

SCHEDULE OF INVESTMENTS (concluded)	March 31, 2012
U.S. LONG SHORT MOMENTUM FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 1.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	1,304,103	$	1,304,103
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		366,908		366,908
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		168,360		168,360
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		97,520		97,520
Total Repurchase Agreements (Cost $1,936,891)				1,936,891
Total Investments - 99.8% (Cost $92,011,410)			$	103,441,741
Other Assets & Liabilities, net - 0.2%				169,989
Total Net Assets - 100.0%			$	103,611,730
	CONTRACTS		UNREALIZED LOSS
FUTURES CONTRACTS SOLD SHORT†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $5,397,700)		77	$	(212,043	)

* 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.

ADR — American Depositary Receipt

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 31, 2012
ASSETS:
Investments, at value
(cost $90,074,519)	$	101,504,850
Repurchase agreements, at value
(cost $1,936,891)		1,936,891
Total investments
(cost $92,011,410)		103,441,741
Segregated cash with broker		269,500
Cash		10,092
Receivables:
Dividends		281,887
Fund shares sold		33,987
Total assets		104,037,207
LIABILITIES:
Payable for:
Fund shares redeemed		184,109
Management fees		79,826
Distribution and service fees		43,025
Transfer agent and administrative fees		22,174
Variation margin		14,630
Portfolio accounting fees		8,869
Miscellaneous		72,844
Total liabilities		425,477
NET ASSETS	$	103,611,730
NET ASSETS CONSISTOF:
Paid in capital	$	177,669,936
Accumulated net investment loss		(32,832	)
Accumulated net realized loss on investments		(85,243,662	)
Net unrealized appreciation on investments		11,218,288
Net assets	$	103,611,730
A-CLASS:
Net assets	$	16,509,644
Capital shares outstanding		1,243,115
Net asset value per share	$	13.28
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.94
C-CLASS:
Net assets	$	32,502,563
Capital shares outstanding		2,640,010
Net asset value per share	$	12.31
H-CLASS:
Net assets	$	54,588,761
Capital shares outstanding		4,096,479
Net asset value per share	$	13.33
INSTITUTIONAL CLASS:
Net assets	$	10,762
Capital shares outstanding		807
Net asset value per share	$	13.33

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $6,363)	$	2,370,883
Interest		2,548
Total investment income		2,373,431
EXPENSES:
Management fees		1,146,327
Transfer agent and administrative fees		318,424
Distribution and service fees:
A-Class		50,290
C-Class		390,932
H-Class		170,393
Portfolio accounting fees		127,368
Custodian fees		32,448
Trustees’ fees*		12,656
Miscellaneous		156,293
Total expenses		2,405,131
Net investment loss		(31,700	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		684,291
Futures contracts		(1,906,510	)
Net realized loss		(1,222,219	)
Net change in unrealized appreciation (depreciation) on:
Investments		(11,132,570	)
Futures contracts		(206,020	)
Net change in unrealized appreciation (depreciation)		(11,338,590	)
Net realized and unrealized loss		(12,560,809	)
Net decrease in net assets resulting from operations	$	(12,592,509	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      13

U.S. LONG SHORT MOMENTUM FUND

STATEMENTS OF CHANGES IN NET ASSETS
	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(31,700	)	$	(962,766	)
Net realized gain (loss) on investments		(1,222,219	)		21,275,436
Net change in unrealized appreciation (depreciation) on investments		(11,338,590	)		(1,832,424	)
Net increase (decrease) in net assets resulting from operations		(12,592,509	)		18,480,246
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		7,600,825			7,048,585
C-Class		1,083,648			3,608,855
H-Class		27,684,775			38,536,319
Institutional Class		10,000	*		—
Redemption fees collected
A-Class		—			1,640
C-Class		—			3,071
H-Class		—			4,901
Institutional Class		—	*		—
Cost of shares redeemed
A-Class		(14,808,494	)		(21,035,067	)
C-Class		(14,982,720	)		(23,551,234	)
H-Class		(53,424,983	)		(60,622,746	)
Institutional Class		—	*		—
Net decrease from capital share transactions		(46,836,949	)		(56,005,676	)
Net decrease in net assets		(59,429,458	)		(37,525,430	)
NET ASSETS:
Beginning of year		163,041,188			200,566,618
End of year	$	103,611,730		$	163,041,188
Accumulated net investment loss at end of year	$	(32,832	)	$	(150,484	)
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		581,398			571,914
C-Class		85,372			306,995
H-Class		2,126,165			3,071,070
Institutional Class		807	*		—
Shares redeemed
A-Class		(1,120,843	)		(1,666,394	)
C-Class		(1,224,264	)		(2,006,910	)
H-Class		(4,118,953	)		(4,850,644	)
Institutional Class		—	*		—
Net decrease in shares		(3,670,318	)		(4,573,969	)

* 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.

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.28		$	12.59		$	8.62		$	13.45		$	14.08
Income (loss) from investment operations:
Net investment income (loss)a		.03			(.04	)		(.07	)		.01			(.01	)
Net gain (loss) on investments (realized and unrealized)		(1.03	)		1.73			4.04			(4.84	)		.30
Total from investment operations		(1.00	)		1.69			3.97			(4.83	)		.29
Less distributions from:
Net realized gains		—			—			—			—			(.93	)
Total distributions		—			—			—			—			(.93	)
Redemption fees collected		—			—	f		—	f		—	f		.01
Net asset value, end of period	$	13.28		$	14.28		$	12.59		$	8.62		$	13.45
Total Returnb		(7.00	%)		13.42	%		46.06	%		(35.91	%)		1.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	16,510		$	25,447		$	36,231		$	31,925		$	49,148
Ratios to average net assets:
Net investment income (loss)		0.21	%		(0.33	%)		(0.62	%)		0.13	%		(0.08	%)
Total expenses		1.66	%		1.71	%		1.68	%		1.69	%		1.65	%
Operating expensesc		1.66	%		1.69	%		1.68	%		1.69	%		1.65	%
Portfolio turnover rate		190	%		231	%		375	%		528	%		278	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	13.33		$	11.85		$	8.17		$	12.85		$	13.58
Income (loss) from investment operations:
Net investment lossa		(.07	)		(.13	)		(.14	)		(.07	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		(.95	)		1.61			3.82			(4.61	)		.31
Total from investment operations		(1.02	)		1.48			3.68			(4.68	)		.19
Less distributions from:
Net realized gains		—			—			—			—			(.93	)
Total distributions		—			—			—			—			(.93	)
Redemption fees collected		—			—	f		—	f		—	f		.01
Net asset value, end of period	$	12.31		$	13.33		$	11.85		$	8.17		$	12.85
Total Returnb		(7.65	%)		12.49	%		45.04	%		(36.42	%)		0.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	32,503		$	50,381		$	64,918		$	57,792		$	115,136
Ratios to average net assets:
Net investment loss		(0.54	%)		(1.08	%)		(1.37	%)		(0.66	%)		(0.80	%)
Total expenses		2.41	%		2.46	%		2.43	%		2.44	%		2.41	%
Operating expensesc		2.41	%		2.44	%		2.43	%		2.44	%		2.41	%
Portfolio turnover rate		190	%		231	%		375	%		528	%		278	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT       15

U.S. LONG SHORT MOMENTUM FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	14.32		$	12.63		$	8.65		$	13.49		$	14.12
Income (loss) from investment operations:
Net investment income (loss)a		.03			(.04	)		(.07	)		—	d		(.02	)
Net gain (loss) on investments (realized and unrealized)		(1.02	)		1.73			4.05			(4.84	)		.31
Total from investment operations		(.99	)		1.69			3.98			(4.84	)		.29
Less distributions from:
Net realized gains		—			—			—			—			(.93	)
Total distributions		—			—			—			—			(.93	)
Redemption fees collected		—			—	f		—	f		—	f		.01
Net asset value, end of period	$	13.33		$	14.32		$	12.63		$	8.65		$	13.49
Total Returnb		(6.91	%)		13.38	%		46.01	%		(35.88	%)		1.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	54,589		$	87,212		$	99,418		$	76,080		$	178,949
Ratios to average net assets:
Net investment income (loss)		0.20	%		(0.31	%)		(0.63	%)		(0.01	%)		(0.13	%)
Total expenses		1.66	%		1.70	%		1.68	%		1.68	%		1.65	%
Operating expensesc		1.66	%		1.69	%		1.68	%		1.68	%		1.65	%
Portfolio turnover rate		190	%		231	%		375	%		528	%		278	%

Institutional Class	Period Ended March 31, 2012e
Per Share Data
Net asset value, beginning of period	$	12.39
Income (loss) from investment operations:
Net investment incomea		.06
Net gain on investments (realized and unrealized)		.88
Total from investment operations		.94
Net asset value, end of period	$	13.33
Total Returnb		7.59	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11
Ratios to average net assets:
Net investment income		1.29	%
Total expenses		1.36	%
Portfolio turnover rate		190	%

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

^b  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^c  Operating expenses exclude interest and dividend expense from securities sold short.

^d Net investment income (loss) is less than $0.01 per share.

^e Since commencement of operations: November 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^f Redemption fees collected are less than $0.01 per share.

16     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT      17

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ALTERNATIVE STRATEGIES ALLOCATION FUND

OBJECTIVE: Seeks to deliver a return that has a low correlation to the returns of traditional stock and bond asset classes as well as to provide capital appreciation.

In the past 12 months, the financial markets continued to be driven by macroeconomic forces. Among them, the European debt crisis was the most important one. It first surprised the market with more problems, yet there were few tangible solutions looming. Together with U.S. debt downgrade, it caused a massive sell-off in the summer. As speculation grew that China and international organizations might step in to help, the market was relieved. And finally, the change of leadership at the European Central Bank brought loosened monetary policy and a mechanism to reduce the liquidity problem in the European debt market, which led the equity market to rally further in the first quarter of 2012.

Market volatility, with the VIX Index* as a proxy, also had a turbulent year, with its intra-period high reaching the level seen in early 2009. In this macro-driven market, correlations between risky assets were high, making diversification more challenging to achieve. Volatility made it hard to identify a trend.

Our dynamically managed tactical overlay made a positive contribution to the portfolio’s performance, but not enough to permit the portfolio to overcome the tumult in the market.

The Real Estate Fund, Long Short Equity Strategy Fund and Multi-Hedge Strategies Fund contributed to the portfolio’s performance. The Managed Futures Strategy Fund, Commodities Strategy Fund and Long Short Interest Rate Strategy Fund detracted from performance.

Derivatives in the Fund are used to provide broad index exposure and liquidity. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

The Alternative Strategies Allocation Fund H-Class returned -2.04% for the year ended March 31, 2012. Equities, as represented by the S&P 500^® Index**, returned 8.54% and the Barclays U.S. Aggregate Bond Index*** rose 7.71% over the same period.

*The VIX is the ticker for the Chicago Board Options Exchange (CBOE) Volatility Index, which is designed to measure market expectations of future volatility that is implied by S&P 500 index option contracts. The VIX is a widely used measure of market risk and is often referred to as the fear gauge.

**Standard & Poor’s 500 Index (S&P 500^®)—a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

***The Barclays U.S. Aggregate Bond Index measures performance of the U.S. investment-grade bond market, including investment-grade U.S. government bonds, investment-grade corporate bonds, mortgage pass-through securities and asset-backed securities.

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

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

Inception Dates:
A-Class	March 7, 2008
C-Class	March 7, 2008
H-Class	March 7, 2008
Ten Largest Holdings (% of Total Net Assets)
RSF — Long Short Equity Strategy Fund — A Class	19.3	%
RSF — Multi-Hedge Strategies Fund — A Class	18.2	%
RSF — Event Driven and Distressed Strategies Fund — A Class	17.4	%
RSF — Managed Futures Strategy Fund — A Class	14.7	%
RSF — Long Short Interest Rate Strategy Fund — A Class	11.3	%
RSF — Long/Short Commodities Strategy Fund — A Class	7.6	%
PowerShares DB G10 Currency Harvest Fund	3.8	%
RSF — Commodities Strategy Fund — A Class	2.3	%
RSF — Real Estate Fund — A Class	2.2	%
iShares Barclays Aggregate Bond Fund	1.4	%
Top Ten Total	98.2	%

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

18     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Average Annual Returns*

Periods Ended 3/31/12

	1 Year			Since Inception (03/07/08)
A-Class Shares		-2.04	%		-4.59	%
A-Class Shares with sales charge‡		-6.70	%		-5.73	%
C-Class Shares		-2.80	%		-5.30	%
C-Class Shares with CDSC†		-3.76	%		-5.30	%
H-Class Shares		-2.04	%		-4.59	%
Barclays U.S. Aggregate Bond Index		7.71	%		6.17	%
S&P 500 Index		8.54	%		4.40	%

* 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 Barclays U.S. Aggregate Bond 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 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     19

SCHEDULE OF INVESTMENTS	March 31, 2012
ALTERNATIVE STRATEGIES ALLOCATION FUND

	SHARES		VALUE
CURRENCY EXCHANGE TRADED FUNDS† - 3.8%
PowerShares DB G10 Currency Harvest Fund*		12,001	$	300,145
Total Currency Exchange Traded Funds (Cost $231,746)				300,145
EXCHANGE TRADED FUNDS† - 1.4%
iShares Barclays Aggregate Bond Fund		1,003		110,180
Total Exchange Traded Funds (Cost $110,326)				110,180
MUTUAL FUNDS†,1 - 93.0%
Alternatives Funds - 90.9%
RSF — Long Short Equity Strategy Fund — A Class		57,708		1,541,969
RSF — Multi-Hedge Strategies Fund — A Class		64,855		1,454,051
RSF — Event Driven and Distressed Strategies Fund — A Class		54,888		1,392,503
RSF — Managed Futures Strategy Fund — A Class*		51,072		1,171,089
RSF — Long Short Interest Rate Strategy Fund — A Class*		38,010		906,167
RSF — Long/Short Commodities Strategy Fund — A Class		22,919		603,230
RSF — Commodities Strategy Fund — A Class		10,849		185,523
Total Alternatives Funds				7,254,532
Specialty Funds - 2.1%
RSF — Real Estate Fund — A Class		5,663		171,370
Total Mutual Funds (Cost $6,959,887)				7,425,902
	FACE AMOUNT
REPURCHASE AGREEMENT††,2 - 1.1%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	90,201		90,201
Total Repurchase Agreement (Cost $90,201)				90,201
Total Investments - 99.3% (Cost $7,392,160)			$	7,926,428
Other Assets & Liabilities, net - 0.7%				59,701
Total Net Assets - 100.0%			$	7,986,129
	CONTRACTS		UNREALIZED GAIN
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $140,200)		2	$	5,498
June 2012 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $50,975)		1		3,472
(Total Aggregate Value of Contracts $191,175)			$	8,970

	CONTRACTS		UNREALIZED GAIN (LOSS)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $122,500)		1	$	530
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 Japanese Yen Futures Contracts (Aggregate Value of Contracts $151,100)		1		160
June 2012 Mexican Peso Futures Contracts (Aggregate Value of Contracts $77,600)		2		(855	)
June 2012 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $200,181)		2		(1,165	)
(Total Aggregate Value of Contracts $428,881)			$	(1,860	)
FUTURES CONTRACTS SOLD SHORT†
April 2012 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $182,568)		4		3,778
June 2012 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $91,554)		1		1,176
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $77,025)		1		(20	)
June 2012 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $112,331)		1		(676	)
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $82,700)		1		(3,582	)
(Total Aggregate Value of Contracts $546,178)			$	676
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2012 Euro Futures Contracts (Aggregate Value of Contracts $166,775)		1		(738	)
June 2012 Swiss Franc Futures Contracts (Aggregate Value of Contracts $138,613)		1		(4,128	)
(Total Aggregate Value of Contracts $305,388)			$	(4,866	)

* Non-income producing security.

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  A-Class shares of affiliated funds.

²  Repurchase Agreement — See Note 5.

RSF — Rydex Series Funds

20     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012
ASSETS:
Investments in unaffiliated issuers, at value (cost $342,072)	$	410,325
Investments in affiliated issuers, at value (cost $6,959,887)		7,425,902
Repurchase agreements, at value (cost $90,201)		90,201
Total investments (cost $7,392,160)		7,926,428
Foreign currency, at value (cost $46,197)		46,504
Segregated cash with broker		59,101
Receivables:
Fund shares sold		10,007
Total assets		8,042,040
LIABILITIES:
Overdraft due to custodian bank		46,407
Payable for:
Fund shares redeemed		4,255
Variation margin		3,449
Distribution and service fees		1,800
Total liabilities		55,911
NET ASSETS	$	7,986,129
NET ASSETS CONSISTOF:
Paid in capital	$	16,209,594
Undistributed net investment income		243,692
Accumulated net realized loss on investments		(9,005,182	)
Net unrealized appreciation on investments		538,025
Net assets	$	7,986,129
A-CLASS:
Net assets	$	1,594,318
Capital shares outstanding		81,538
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	$	2,720,599
Capital shares outstanding		143,549
Net asset value per share	$	18.95
H-CLASS:
Net assets	$	3,671,212
Capital shares outstanding		187,764
Net asset value per share	$	19.55

STATEMENT OF OPERATIONS

Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends from securities of affiliated issuers	$	102,394
Dividends from securities of unaffiliated issuers		1,877
Total investment income		104,271
EXPENSES:
Distribution and service fees:
C-Class		23,464
Custodian fees		384
Total expenses		23,848
Net investment income		80,423
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		74,011
Investments in affiliated issuers		(218,483	)
Futures contracts		56,627
Foreign currency		(359	)
Realized gain distributions received from unaffiliated issuers		200
Realized gain distributions received from affiliated issuers		157,539
Net realized gain		69,535
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(66,506	)
Investments in affiliated issuers		(718,596	)
Futures contracts		6,887
Foreign currency		307
Net change in unrealized appreciation (depreciation)		(777,908	)
Net realized and unrealized loss		(708,373	)
Net decrease in net assets resulting from operations	$	(627,950	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      21

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	80,423		$	168,401
Net realized gain (loss) on investments		69,535			(1,253,912	)
Net change in unrealized appreciation (depreciation) on investments		(777,908	)		1,318,460
Net increase (decrease) in net assets resulting from operations		(627,950	)		232,949
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		(27,917	)		(28,424	)a
C-Class		(41,138	)		(26,948	)a
H-Class		(139,906	)		(106,353	)a
Net realized gains
A-Class		—			(44,683	)a
C-Class		—			(42,363	)a
H-Class		—			(167,188	)a
Total distributions to shareholders		(208,961	)		(415,959	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		412,398			1,435,110
C-Class		1,261,728			812,636
H-Class		2,581,588			6,506,749
Redemption fees collected
A-Class		—			54
C-Class		—			68
H-Class		—			209
Distributions reinvested
A-Class		25,839			65,586
C-Class		38,567			66,099
H-Class		58,029			140,841
Cost of shares redeemed
A-Class		(1,999,898	)		(2,710,954	)
C-Class		(1,842,227	)		(4,349,793	)
H-Class		(12,503,070	)		(11,518,009	)
Net decrease from capital share transactions		(11,967,046	)		(9,551,404	)
Net decrease in net assets		(12,803,957	)		(9,734,414	)
NET ASSETS:
Beginning of year		20,790,086			30,524,500
End of year	$	7,986,129		$	20,790,086
Undistributed net investment income at end of year	$	243,692		$	225,866
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		20,817			72,012
C-Class		65,721			41,750
H-Class		130,584			330,334
Shares issued from reinvestment of distributions
A-Class		1,358			3,316
C-Class		2,086			3,412
H-Class		3,049			7,120
Shares redeemed
A-Class		(101,522	)		(137,310	)
C-Class		(96,514	)		(224,330	)
H-Class		(643,674	)		(585,220	)
Net decrease in shares		(618,095	)		(488,916	)

^a  For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

22     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALTERNATIVE STRATEGIES ALLOCATION FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	20.24		$	20.16		$	19.33		$	24.84		$	25.00
Income (loss) from investment operations:
Net investment incomeb		.11			.17			—	c		.62			—	c
Net gain (loss) on investments (realized and unrealized)		(.53	)		.27			.82			(5.69	)		(.16	)
Total from investment operations		(.42	)		.44		��	.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		(.27	)		(.14	)f		—			(.44	)f		—
Net realized gains		—			(.22	)f		—			(.03	)f		—
Total distributions		(.27	)		(.36	)		—			(.47	)		—
Redemption fees collected		—			—	h		.01			.03			—	h
Net asset value, end of period	$	19.55		$	20.24		$	20.16		$	19.33		$	24.84
Total Returnd		(2.04	%)		2.21	%		4.29	%		(20.39	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,594		$	3,257		$	4,492		$	5,816		$	1,121
Ratios to average net assets:
Net investment income		0.56	%		0.85	%		0.16	%		2.82	%		0.16	%
Total expensese		—	g		—	g		—	g		—	g		—
Portfolio turnover rate		96	%		123	%		79	%		88	%		—
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008a
Per Share Data
Net asset value, beginning of period	$	19.78		$	19.85		$	19.17		$	24.83		$	25.00
Income (loss) from investment operations:
Net investment income (loss)b		(.03	)		.01			(.14	)		.39			(.01	)
Net gain (loss) on investments (realized and unrealized)		(.53	)		.28			.81			(5.60	)		(.16	)
Total from investment operations		(.56	)		.29			.67			(5.21	)		(.17	)
Less distributions from:
Net investment income		(.27	)		(.14	)f		—			(.44	)f		—
Net realized gains		—			(.22	)f		—			(.03	)f		—
Total distributions		(.27	)		(.36	)		—			(.47	)		—
Redemption fees collected		—			—	h		.01			.02			—	h
Net asset value, end of period	$	18.95		$	19.78		$	19.85		$	19.17		$	24.83
Total Returnd		(2.80	%)		1.49	%		3.55	%		(21.00	%)		(0.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,721		$	3,407		$	6,975		$	7,750		$	152
Ratios to average net assets:
Net investment income (loss)		(0.13	%)		0.04	%		(0.58	%)		1.77	%		(0.56	%)
Total expensese		0.75	%		0.75	%		0.75	%		0.75	%		0.68	%
Portfolio turnover rate		96	%		123	%		79	%		88	%		—

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      23

ALTERNATIVE STRATEGIES ALLOCATION FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March  31, 2008a
Per Share Data
Net asset value, beginning of period	$	20.24		$	20.15		$	19.32		$	24.84		$	25.00
Income (loss) from investment operations:
Net investment incomeb		.14			.16			.01			.56			—	c
Net gain (loss) on investments (realized and unrealized)		(.56	)		.29			.81			(5.63	)		(.16	)
Total from investment operations		(.42	)		.45			.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		(.27	)		(.14	)f		—			(.44	)f		—
Net realized gains		—			(.22	)f		—			(.03	)f		—
Total distributions		(.27	)		(.36	)		—			(.47	)		—
Redemption fees collected		—			—	h		.01			.02			—	h
Net asset value, end of period	$	19.55		$	20.24		$	20.15		$	19.32		$	24.84
Total Returnd		(2.04	%)		2.26	%		4.30	%		(20.43	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,671		$	14,126		$	19,057		$	18,528		$	3,893
Ratios to average net assets:
Net investment income		0.69	%		0.79	%		0.19	%		2.55	%		0.12	%
Total expensese		—	g		—	g		—	g		—	g		—
Portfolio turnover rate		96	%		123	%		79	%		88	%		—

^a  Since commencement of operations: March 7, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b  Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c  Net investment income is less than $0.01 per share.

^d  Total return does not reflect the impact of any applicable sales charges and has not been annualized.

^e  Does not include expenses of the underlying funds in which the Fund invests.

^f  For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

^g  Less than 0.01%.

^h  Redemption fees collected are less than $0.01 per share.

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 31, 2012

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

OBJECTIVE: Seeks to achieve capital growth.

Effective July 11, 2011, the investment objective for the Event Driven and Distressed Strategies Fund 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.

The Event Driven and Distressed Strategies Fund H-Class returned -2.60% for the year ended March 31, 2012. By comparison, the S&P 500^® Index* returned 8.54% and the Credit Suisse Event Driven Liquid Index**, returned -0.80% 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 exposures and the main negative driver of performance was from equity exposures. High yield exposures, mainly through exposure to high yield bonds, contributed just less than 4% of the return during the period. Equity exposures, through small cap equity exposure and equities of high yield companies, contributed just over -4% to the return for the period. Merger arbitrage contributed negatively to returns, but was down less than 1%. There was no exposure to market volatility during the period.

*Standard & Poor’s 500 Index (S&P 500^®) — a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

**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.

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 exchange traded funds and derivative investments such as swap agreements.

26     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*
Periods Ended 3/31/12
	1 Year			Since Inception (06/30/10)
A-Class Shares		-2.60	%		7.35	%
A-Class Shares with sales charge‡		-7.23	%		4.40	%
C-Class Shares		-3.38	%		6.45	%
C-Class Shares with CDSC†		-4.32	%		6.45	%
H-Class Shares		-2.60	%		7.35	%
Institutional Class Shares		-2.34	%		7.62	%
Credit Suisse Event Driven Liquid Index		-0.80	%		8.74	%
S&P 500 Index		8.54	%		22.03	%

* 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 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 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      27

SCHEDULE OF INVESTMENTS	March 31, 2012
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	SHARES	VALUE
EXCHANGE TRADED FUNDS† - 18.9%
iShares iBoxx $ High Yield Corporate Bond Fund	21,100	$	1,916,724
Total Exchange Traded Funds (Cost $1,845,582)			1,916,724
	FACE AMOUNT
FEDERAL AGENCY DISCOUNT NOTES†† - 29.6%
Fannie Mae1
0.23% due 04/02/12	$3,000,000		3,000,000
Total Federal Agency Discount Notes (Cost $2,999,981)			3,000,000
REPURCHASE AGREEMENTS††,2 - 52.0%
Credit Suisse Group Issued 03/30/12 at 0.01% due 04/02/123	3,516,207		3,516,207
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	1,290,212		1,290,212
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12	363,000		363,000
Deutsche Bankissued 03/30/12 at 0.01% due 04/02/12	96,481		96,481
Total Repurchase Agreements (Cost $5,265,900)			5,265,900
Total Investments - 100.5% (Cost $10,111,463)		$	10,182,624
Other Assets & Liabilities, net - (0.5)%			(52,684	)
Total Net Assets - 100.0%		$	10,129,940

	UNITS		UNREALIZED GAIN (LOSS)
CORPORATE BOND INDEX SWAP AGREEMENTS††
Credit Suisse Capital LLC April 2012 iShares iBoxx High Yield Corporate Bond Fund Index Swap, Terminating 04/30/124 (Notional Value $8,350,323)		92,045	$	(16,738	)
EQUITY INDEX SWAP AGREEMENTS††
Credit Suisse Capital LLC April 2012 Credit Suisse Merger Arbitrage Liquid Index Swap Terminating 04/30/125 (Notional Value $6,597,246)		5,917	$	4,370

^† 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  Repurchase Agreements — See Note 5.

³  All or a portion of this security is pledged as equity index swap collateral at March 31, 2012.

⁴  Total Return based on iShares iBoxx High Yield Corporate Bond Fund Index +/- financing at a variable rate.

⁵  Total Return based on Credit Suisse Merger Arbitrage Liquid Index +/- financing at a variable rate.

28     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value (cost $4,845,563)	$	4,916,724
Repurchase agreements, at value (cost $5,265,900)		5,265,900
Total investments (cost $10,111,463)		10,182,624
Segregated cash with broker		7,041
Unrealized appreciation on swap agreements		4,370
Prepaid expenses		115
Receivables:
Fund shares sold		48
Interest		3
Total assets		10,194,201
LIABILITIES:
Unrealized depreciation on swap agreements		16,738
Payable for:
Licensing fees		17,701
Management fees		7,966
Fund shares redeemed		3,894
Distribution and service fees		2,816
Transfer agent and administrative fees		2,213
Portfolio accounting fees		885
Miscellaneous		12,048
Total liabilities		64,261
NET ASSETS	$	10,129,940
NET ASSETS CONSISTOF:
Paid in capital	$	10,765,994
Accumulated net investment loss		(46,114	)
Accumulated net realized loss on investments		(648,733	)
Net unrealized appreciation on investments		58,793
Net assets	$	10,129,940
A-CLASS:
Net assets	$	2,595,141
Capital shares outstanding		102,303
Net asset value per share	$	25.37
Maximum offering price per share (Net asset value divided by 95.25%)	$	26.64
C-CLASS:
Net assets	$	1,022,272
Capital shares outstanding		40,913
Net asset value per share	$	24.99
H-CLASS:
Net assets	$	6,183,173
Capital shares outstanding		243,737
Net asset value per share	$	25.37
INSTITUTIONAL CLASS:
Net assets	$	329,354
Capital shares outstanding		12,923
Net asset value per share	$	25.49

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $37)	$	58,867
Interest		19,269
Total investment income		78,136
EXPENSES:
Management fees		144,579
Transfer agent and administrative fees		40,161
Distribution and service fees:
A-Class		16,847
C-Class		13,050
H-Class		19,573
Portfolio accounting fees		16,064
Licensing fees		40,494
Custodian fees		4,359
Trustees’ fees*		1,511
Miscellaneous		19,665
Total expenses		316,303
Less:
Expenses waived by Advisor		(10,380	)
Net expenses		305,923
Net investment loss		(227,787	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(263,615	)
Swap agreements		(466,844	)
Futures contracts		74,281
Securities sold short		7,316
Net realized loss		(648,862	)
Net change in unrealized appreciation (depreciation) on:
Investments		67,988
Swap agreements		(182,036	)
Net change in unrealized appreciation (depreciation)		(114,048	)
Net realized and unrealized loss		(762,910	)
Net decrease in net assets resulting from operations	$	(990,697	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT    29

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Period Ended March 31, 2011a
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(227,787	)	$	(157,395	)
Net realized gain (loss) on investments		(648,862	)		1,757,786
Net change in unrealized appreciation (depreciation) on investments		(114,048	)		172,841
Net increase (decrease) in net assets resulting from operations		(990,697	)		1,773,232
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net realized gains
A-Class		(123,350	)		(585,261	)
C-Class		(34,259	)		(53,531	)
H-Class		(195,843	)		(238,566	)
Institutional Class		(7,071	)		(984	)
Total distributions to shareholders		(360,523	)		(878,342	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		9,458,376			23,804,628
C-Class		503,350			1,566,171
H-Class		12,381,886			10,028,018
Institutional Class		303,221			66,975
Redemption fees collected
A-Class		—			144
C-Class		—			—	*
H-Class		—			26
Institutional Class		—			—	*
Distributions reinvested
A-Class		120,912			547,724
C-Class		32,777			38,503
H-Class		195,843			222,004
Institutional Class		7,071			984
Cost of shares redeemed
A-Class		(17,938,484	)		(13,391,287	)
C-Class		(770,952	)		(253,411	)
H-Class		(14,678,435	)		(1,616,324	)
Institutional Class		(33,231	)		(10,219	)
Net increase (decrease) from capital share transactions		(10,417,666	)		21,003,936
Net increase (decrease) in net assets		(11,768,886	)		21,898,826
NET ASSETS:
Beginning of period		21,898,826			—
End of period	$	10,129,940		$	21,898,826
Accumulated net investment loss at end of period	$	(46,114	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		358,306			917,830
C-Class		19,545			59,379
H-Class		468,085			383,699
Institutional Class		11,688			2,546
Shares issued from reinvestment of distributions
A-Class		4,947			21,530
C-Class		1,358			1,521
H-Class		8,013			8,727
Institutional Class		288			39
Shares redeemed
A-Class		(692,503	)		(507,807	)
C-Class		(31,104	)		(9,786	)
H-Class		(563,225	)		(61,562	)
Institutional Class		(1,250	)		(388	)
Net increase (decrease) in shares		(415,852	)		815,728

^a  Since commencement of operations: June 30, 2010.

* Redemption fees collected are less than $1.00.

30     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.

A-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.86		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.37	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(.36	)		4.27
Total from investment operations		(.73	)		3.94
Less distributions from:
Net realized gains		(.76	)		(2.08	)
Total distributions		(.76	)		(2.08	)
Net asset value, end of period	$	25.37		$	26.86
Total Returnc		(2.60	%)		16.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,595		$	11,591
Ratios to average net assets:
Net investment loss		(1.43	%)		(1.65	%)
Total expensesd		1.93	%		2.03	%
Net expensese		1.85	%		1.89	%
Portfolio turnover rate		513	%		—
C-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.67		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.52	)		(.48	)
Net gain (loss) on investments (realized and unrealized)		(.40	)		4.23
Total from investment operations		(.92	)		3.75
Less distributions from:
Net realized gains		(.76	)		(2.08	)
Total distributions		(.76	)		(2.08	)
Net asset value, end of period	$	24.99		$	26.67
Total Returnc		(3.38	%)		15.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,022		$	1,363
Ratios to average net assets:
Net investment loss		(2.04	%)		(2.42	%)
Total expensesd		2.66	%		2.79	%
Net expensese		2.60	%		2.65	%
Portfolio turnover rate		513	%		—

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      31

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.

H-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.86		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.34	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(.39	)		4.27
Total from investment operations		(.73	)		3.94
Less distributions from:
Net realized gains		(.76	)		(2.08	)
Total distributions		(.76	)		(2.08	)
Net asset value, end of period	$	25.37		$	26.86
Total Returnc		(2.60	%)		16.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,183		$	8,886
Ratios to average net assets:
Net investment loss		(1.33	%)		(1.67	%)
Total expensesd		1.91	%		2.04	%
Net expensese		1.85	%		1.90	%
Portfolio turnover rate		513	%		—
Institutional Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.91		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.23	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(.43	)		4.26
Total from investment operations		(.66	)		3.99
Less distributions from:
Net realized gains		(.76	)		(2.08	)
Total distributions		(.76	)		(2.08	)
Net asset value, end of period	$	25.49		$	26.91
Total Returnc		(2.34	%)		16.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	329		$	59
Ratios to average net assets:
Net investment loss		(0.90	%)		(1.42	%)
Total expensesd		1.61	%		1.79	%
Net expensese		1.58	%		1.65	%
Portfolio turnover rate		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.

32     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT      33

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

LONG SHORT EQUITY STRATEGY FUND

OBJECTIVE: Seeks to achieve long-term capital appreciation with less volatility than the S&P 500 Index.

Effective July 11, 2011, the Fund’s investment objective changed from seeking to track the performance of a benchmark to seeking to achieve long-term capital appreciation with less volatility than the S&P 500* Index. The Fund’s principal investment strategy was also revised to reflect the new objective.

The Long Short Equity Strategy Fund H-Class performed well for the year ended March 31, 2012, returning 3.20%. By comparison, the S&P 500 Index returned 8.54% and the Credit Suisse Long/Short Liquid Index** returned 1.49% over the same period.

The Fund gains exposure to long-short equity exposure through various investable market factors covering five base index factors, four style factors and nine sector factors. During the period, the Fund used derivatives, such as futures, and exchange traded funds, as the primary instruments to gain exposure to these factors. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

The main driver of performance was exposure to the base factors, which contributed almost 4% of the return for the period. The other two factors were both down for the year, with the sector factors contributing -1% to return and the style factors marginally down. At the individual factor level, the top-performing factors were exposures to the value stocks, international large cap stocks, U.S. small cap stocks and U.S. concentrated large cap stocks. The individual factors that contributed negatively to performance were from positions in growth stocks and U.S. broad large cap stocks.

*Standard & Poor’s 500 Index (S&P 500^®) — a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

**Credit Suisse Long/Short 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 Long/Short Equity hedge fund managers, as represented by the Long/Short Equity sector of the Dow Jones Credit Suisse Hedge Fund 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	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in futures contracts.

34     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			Since Inception (06/30/10)
A-Class Shares		3.20	%		9.68	%
A-Class Shares with sales charge‡		-1.69	%		6.67	%
C-Class Shares		2.41	%		8.87	%
C-Class Shares with CDSC†		1.42	%		8.87	%
H-Class Shares		3.20	%		9.68	%
Institutional Class Shares		3.46	%		9.95	%
Credit Suisse Long/Short Liquid Index		1.49	%		9.03	%
S&P 500 Index		8.54	%		22.03	%

* 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 Credit Suisse Long/Short 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 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 long-term capital appreciation with less volatility than the S&P 500 Index. The Fund’s principal investment strategy was also revised to reflect the new objective.

^†  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      35

SCHEDULE OF INVESTMENTS	March 31, 2012
LONG SHORT EQUITY STRATEGY FUND

	FACE AMOUNT		VALUE
FEDERAL AGENCY NOTES†† - 18.9%
Federal Home Loan Bank1
0.13% due 05/15/12	$	1,000,000	$	999,976
Total Federal Agency Notes (Cost $999,936)				999,976
REPURCHASE AGREEMENTS††,2 - 51.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		1,845,963		1,845,963
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		519,360		519,360
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		238,315		238,315
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		138,040		138,040
Total Repurchase Agreements (Cost $2,741,678)				2,741,678
Total Investments - 70.8% (Cost $3,741,614)			$	3,741,654
Other Assets & Liabilities, net - 29.2%				1,543,291
Total Net Assets - 100.0%			$	5,284,945

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $825,225)		15	$	12,949
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $924,300)		12		6,696
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $831,200)		16		(10,411	)
(Total Aggregate Value of Contracts $2,580,725)			$	9,234

^† Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹ The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.

² Repurchase Agreements — See Note 5.

36     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LONG SHORT EQUITY STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $999,936)	$	999,976
Repurchase agreements, at value (cost $2,741,678)		2,741,678
Total investments (cost $3,741,614)		3,741,654
Segregated cash with broker		1,548,126
Prepaid expenses		233
Cash		30
Receivables:
Variation margin		12,595
Fund shares sold		1,200
Interest		818
Total assets		5,304,656
LIABILITIES:
Payable for:
Licensing fees		9,717
Management fees		3,954
Distribution and service fees		1,241
Transfer agent and administrative fees		1,098
Portfolio accounting fees		440
Miscellaneous		3,261
Total liabilities		19,711
NET ASSETS	$	5,284,945
NET ASSETS CONSISTOF:
Paid in capital	$	5,172,741
Accumulated net investment loss		(32,408	)
Accumulated net realized gain on investments		135,338
Net unrealized appreciation on investments		9,274
Net assets	$	5,284,945
A-CLASS:
Net assets	$	2,346,720
Capital shares outstanding		87,829
Net asset value per share	$	26.72
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.05
C-CLASS:
Net assets	$	278,266
Capital shares outstanding		10,556
Net asset value per share	$	26.36
H-CLASS:
Net assets	$	2,528,733
Capital shares outstanding		94,648
Net asset value per share	$	26.72
INSTITUTIONAL CLASS:
Net assets	$	131,226
Capital shares outstanding		4,890
Net asset value per share	$	26.84

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends	$	5,045
Interest		3,623
Total investment income		8,668
EXPENSES:
Management fees		56,799
Transfer agent and administrative fees		15,778
Distribution and service fees:
A-Class		9,486
C-Class		2,095
H-Class		5,534
Portfolio accounting fees		6,311
Short sales dividend expense		28,291
Licensing fees		22,088
Prime broker interest expense		3,769
Custodian fees		1,614
Trustees’ fees*		552
Miscellaneous		7,465
Total expenses		159,782
Less:
Expenses waived by Advisor		(6,634	)
Net expenses		153,148
Net investment loss		(144,480	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(204,907	)
Futures contracts		428,857
Securities sold short		118,217
Net realized gain		342,167
Net change in unrealized appreciation (depreciation) on:
Investments		(88,053	)
Securities sold short		54,808
Futures contracts		(49,172	)
Net change in unrealized appreciation (depreciation)		(82,417	)
Net realized and unrealized gain		259,750
Net increase in net assets resulting from operations	$	115,270

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      37

LONG SHORT EQUITY STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Period Ended March 31, 2011a
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(144,480	)	$	(48,229	)
Net realized gain on investments		342,167			381,521
Net change in unrealized appreciation (depreciation) on investments		(82,417	)		91,691
Net increase in net assets resulting from operations		115,270			424,983
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net realized gains
A-Class		(86,500	)		(138,650	)
C-Class		(5,022	)		(11,501	)
H-Class		(51,501	)		(73,618	)
Institutional Class		(2,968	)		(746	)
Total distributions to shareholders		(145,991	)		(224,515	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		5,623,039			4,544,525
C-Class		162,804			221,155
H-Class		3,857,235			3,147,114
Institutional Class		95,137			52,500
Distributions reinvested
A-Class		86,281			138,650
C-Class		5,022			11,501
H-Class		51,501			73,616
Institutional Class		2,968			746
Cost of shares redeemed
A-Class		(6,977,556	)		(1,168,664	)
C-Class		(82,220	)		(41,123	)
H-Class		(3,375,476	)		(1,285,677	)
Institutional Class		(27,880	)		—
Net increase (decrease) from capital share transactions		(579,145	)		5,694,343
Net increase (decrease) in net assets		(609,866	)		5,894,811
NET ASSETS:
Beginning of period		5,894,811			—
End of period	$	5,284,945		$	5,894,811
Accumulated net investment loss at end of period	$	(32,408	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		212,702			176,581
C-Class		6,316			8,371
H-Class		144,305			121,888
Institutional Class		3,778			2,012
Shares issued from reinvestment of distributions
A-Class		3,397			5,401
C-Class		200			450
H-Class		2,028			2,869
Institutional Class		116			29
Shares redeemed
A-Class		(265,676	)		(44,576	)
C-Class		(3,180	)		(1,601	)
H-Class		(127,059	)		(49,383	)
Institutional Class		(1,045	)		—
Net increase (decrease) in shares		(24,118	)		222,041

^a Since commencement of operations: June 30, 2010.

38     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LONG SHORT EQUITY STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.55		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.59	)		(.36	)
Net gain on investments (realized and unrealized)		1.41			3.78
Total from investment operations		.82			3.42
Less distributions from:
Net realized gains		(.65	)		(1.87	)
Total distributions		(.65	)		(1.87	)
Net asset value, end of period	$	26.72		$	26.55
Total Returnc		3.20	%		13.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,347		$	3,648
Ratios to average net assets:
Net investment loss		(2.25	%)		(1.86	%)
Total expenses		2.50	%		2.52	%
Net expensesd		2.39	%		2.38	%
Operating expensese		1.90	%		1.90	%
Portfolio turnover rate		983	%		142	%
C-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.40		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.80	)		(.49	)
Net gain on investments (realized and unrealized)		1.41			3.76
Total from investment operations		.61			3.27
Less distributions from:
Net realized gains		(.65	)		(1.87	)
Total distributions		(.65	)		(1.87	)
Net asset value, end of period	$	26.36		$	26.40
Total Returnc		2.41	%		13.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	278		$	191
Ratios to average net assets:
Net investment loss		(3.10	%)		(2.48	%)
Total expenses		3.32	%		3.23	%
Net expensesd		3.22	%		3.08	%
Operating expensese		2.65	%		2.65	%
Portfolio turnover rate		983	%		142	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      39

LONG SHORT EQUITY STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.55		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.61	)		(.36	)
Net gain on investments (realized and unrealized)		1.43			3.78
Total from investment operations		.82			3.42
Less distributions from:
Net realized gains		(.65	)		(1.87	)
Total distributions		(.65	)		(1.87	)
Net asset value, end of period	$	26.72		$	26.55
Total Returnc		3.20	%		13.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,529		$	2,001
Ratios to average net assets:
Net investment loss		(2.31	%)		(1.85	%)
Total expenses		2.55	%		2.50	%
Net expensesd		2.44	%		2.36	%
Operating expensese		1.90	%		1.89	%
Portfolio turnover rate		983	%		142	%
Institutional Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.60		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.55	)		(.28	)
Net gain on investments (realized and unrealized)		1.44			3.75
Total from investment operations		.89			3.47
Less distributions from:
Net realized gains		(.65	)		(1.87	)
Total distributions		(.65	)		(1.87	)
Net asset value, end of period	$	26.84		$	26.60
Total Returnc		3.46	%		14.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	131		$	54
Ratios to average net assets:
Net investment loss		(2.11	%)		(1.45	%)
Total expenses		2.30	%		2.33	%
Net expensesd		2.20	%		2.19	%
Operating expensese		1.65	%		1.65	%
Portfolio turnover rate		983	%		142	%

^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  Net expense information reflects the expense ratios after expense waivers.

^e  Operating expenses exclude interest and dividend expense from securities sold short.

40     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT      41

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

LONG SHORT INTEREST RATE STRATEGY FUND

OBJECTIVE: Seeks to maximize total return by taking advantage of price movements in the U.S. Treasury bond market.

The Long Short Interest Rate Strategy Fund H-Class returned -4.53% for the one-year period ended March 31, 2012. In comparison, a long-only exposure to the Barclay’s U.S. Aggregate Government Treasury Index* for the same period would have resulted in a return of 8.57%.

The Fund attempts to capitalize on interest rate trends by using different duration targets. The Fund is able to have five signals: fully bullish, moderately bullish, neutral, moderately bearish and fully bearish. During the period, the Fund used derivatives, such as bond futures, as the primary instrument to gain its exposures. The results of derivatives use during the period were within our expectations and contributed to the Fund’s performance.

Performance for the period ended March 31, 2012 was dominated by events exogenous to those factors on which we base our investment decisions. Typically, events such as Three Mile Island, Chernobyl and Fukushima have an impact on U.S. Treasury prices that is reversed well within our forecast horizon—roughly 30 days. In fact, the impact of such events typically runs its course in 7-12 trading days. But when external events do have a longer impact on U.S. Treasury prices, they affect our discipline negatively at times—concern about the eurozone last year—and, at other times, positively. Over time, such outcomes occur rarely and the behavior of interest rates is driven by the fundamentals of our interest rate risk management approach, measures of real growth and inflation with an allowance for investor sentiment. An allowance is made for sentiment because over periods as short as our “monthly” forecast interval—designed to capture deviations from, as well as the basic trends in, interest rates—investor psychology can be an important factor in market price action.

Our own view, consistent with the research of Ken Rogoff and Carmen Reinhart, John Taylor and Charles Kindleberger, is that there is not a “New Normal;” the basic economic principles governing the behavior of interest rates still apply. The experience of the last few years—recession accompanied by financial crisis—is consistent with the results of prior episodes of aggressive easing in monetary policy, dramatic increases in the amount of government debt outstanding relative to gross domestic product, and accompanied by “irrational exuberance,” as evidenced in the excessive use of leverage. Additionally, longer-term yields have moved by significant amounts both higher and lower since the Federal Reserve lowered the target for the Federal Funds Rate to roughly zero in December 2008. So, even if the “Fed” maintains this target value, there is ample opportunity for our discipline to add value. As the performance in both September and the first quarter of 2012 suggests, when the discipline rights itself, it can make up lost ground fairly quickly. The basic principle of reversion to the mean or reverting to the norm in terms of performance would imply that attractive near-term results may lie ahead if the discipline performs in both absolute and relative terms in line with its potential.

*Barclay’s U.S. Aggregate Government Treasury Index is a component of the Barclays U.S. Aggregate Bond Index. The Barclays U.S. Aggregate Bond Index measures performance of the U.S. investment-grade bond market, including investment-grade U.S. government bonds, investment-grade corporate bonds, mortgage pass-through securities and asset-backed securities.

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 futures contracts.

42     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			Since Inception (06/30/10)
A-Class Shares		-4.53	%		-2.10	%
A-Class Shares with sales charge‡		-9.08	%		-4.79	%
C-Class Shares		-5.24	%		-2.83	%
C-Class Shares with CDSC†		-6.18	%		-2.83	%
H-Class Shares		-4.53	%		-2.10	%
Institutional Class Shares		-4.28	%		-1.86	%
Barclays U.S. Aggregate Government Treasury Index		8.57	%		4.72	%

* 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 U.S. Aggregate Government Treasury 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      43

SCHEDULE OF INVESTMENTS	March 31, 2012
LONG SHORT INTEREST RATE STRATEGY FUND

	FACE AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES†† - 42.9%
Farmer Mac1
0.20% due 05/11/12	$	15,000,000	$	14,999,520
Fannie Mae2
0.15% due 09/12/12		10,000,000		9,995,470
0.23% due 04/02/12		5,000,000		5,000,000
Total Fannie Mae				14,995,470
Federal Home Loan Bank1
0.12% due 10/22/12		10,000,000		9,993,800
Total Federal Agency Discount Notes (Cost $39,983,284)				39,988,790
FEDERAL AGENCY NOTES†† - 32.5%
Federal Home Loan Bank1
0.20% due 12/28/12		15,290,000		15,288,899
Federal Farm Credit Bank1
0.24% due 06/20/12		15,000,000		15,002,925
Total Federal Agency Notes (Cost $30,289,922)				30,291,824
REPURCHASE AGREEMENTS††,3 - 23.2%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12		14,532,468		14,532,468
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		4,088,700		4,088,700
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12		1,876,149		1,876,149
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		1,086,731		1,086,731
Total Repurchase Agreements (Cost $21,584,048)				21,584,048
Total Investments - 98.6% (Cost $91,857,254)			$	91,864,662
Other Assets & Liabilities, net - 1.4%				1,289,775
Total Net Assets - 100.0%			$	93,154,437

	CONTRACTS		UNREALIZED GAIN
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†
June 2012 Ultra Long-Term U.S.Treasury Bond Futures Contracts (Aggregate Value of Contracts $15,495,063)		103	$	772,351
June 2012 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $38,050,031)		294		541,667
June 2012 U.S. Treasury Long Bond Futures Contracts (Aggregate Value of Contracts $15,551,625)		113		506,805
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $59,290,000)		484		345,173
June 2012 U.S. Treasury 2 Year Note Futures Contracts (Aggregate Value of Contracts $72,646,406)		330		31,131
(Total Aggregate Value of Contracts $201,033,125)			$	2,197,127

^†  Value determined based on Level 1 inputs — See Note 4.

^††  Value determined based on Level 2 inputs — See Note 4.

¹  The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.

²  On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

³  Repurchase Agreements — See Note 5.

44 | THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, at value (cost $70,273,206)	$	70,280,614
Repurchase agreements, at value (cost $21,584,048)		21,584,048
Total investments (cost $91,857,254)		91,864,662
Segregated cash with broker		1,482,900
Receivables:
Variation margin		605,158
Interest		18,012
Fund shares sold		7,719
Total assets		93,978,451
LIABILITIES:
Payable for:
Fund shares redeemed		617,606
Management fees		60,429
Distribution and service fees		20,601
Transfer agent and administrative fees		20,143
Portfolio accounting fees		8,057
Miscellaneous		97,178
Total liabilities		824,014
NET ASSETS	$	93,154,437
NET ASSETS CONSISTOF:
Paid in capital	$	104,060,205
Accumulated net investment loss		(318,354	)
Accumulated net realized loss on investments		(12,791,949	)
Net unrealized appreciation on investments		2,204,535
Net assets	$	93,154,437
A-CLASS:
Net assets	$	25,536,050
Capital shares outstanding		1,070,878
Net asset value per share	$	23.85
Maximum offering price per share (Net asset value divided by 95.25%)	$	25.04
C-CLASS:
Net assets	$	12,449,122
Capital shares outstanding		528,980
Net asset value per share	$	23.53
H-CLASS:
Net assets	$	18,240,461
Capital shares outstanding		764,965
Net asset value per share	$	23.84
INSTITUTIONAL CLASS:
Net assets	$	36,928,804
Capital shares outstanding		1,542,306
Net asset value per share	$	23.94

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Interest	$	256,600
Total investment income		256,600
EXPENSES:
Management fees		1,004,023
Transfer agent and administrative fees		334,674
Distribution and service fees:
A-Class		104,596
C-Class		163,850
H-Class		86,484
Portfolio accounting fees		133,869
Custodian fees		35,363
Trustees’ fees*		12,097
Miscellaneous		159,590
Total expenses		2,034,546
Net investment loss		(1,777,946	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		2,125
Futures contracts		(9,593,206	)
Net realized loss		(9,591,081	)
Net change in unrealized appreciation (depreciation) on:
Investments		(12,907	)
Futures contracts		2,541,385
Net change in unrealized appreciation (depreciation)		2,528,478
Net realized and unrealized loss		(7,062,603	)
Net decrease in net assets resulting from operations	$	(8,840,549	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      45

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March  31, 2012			Period Ended March  31, 2011a
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(1,777,946	)	$	(558,298	)
Net realized loss on investments		(9,591,081	)		(2,608,946	)
Net change in unrealized appreciation (depreciation) on investments		2,528,478			(323,943	)
Net decrease in net assets resulting from operations		(8,840,549	)		(3,491,187	)
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net realized gains
A-Class		—			(170,618	)
C-Class		—			(60,418	)
H-Class		—			(213,112	)
Institutional Class		—			(58,988	)
Total distributions to shareholders		—			(503,136	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		23,645,537			60,601,738
C-Class		7,494,316			17,451,313
H-Class		25,597,870			60,389,752
Institutional Class		28,451,019			38,029,920
Redemption fees collected
A-Class		—			213
C-Class		—			12
H-Class		—			179
Institutional Class		—			—
Distributions reinvested
A-Class		—			149,959
C-Class		—			59,528
H-Class		—			204,615
Institutional Class		—			55,179
Cost of shares redeemed
A-Class		(46,966,821	)		(7,435,129	)
C-Class		(9,100,331	)		(1,951,006	)
H-Class		(51,941,799	)		(11,546,620	)
Institutional Class		(26,789,213	)		(410,922	)
Net increase (decrease) from capital share transactions		(49,609,422	)		155,598,731
Net increase (decrease) in net assets		(58,449,971	)		151,604,408
NET ASSETS:
Beginning of period		151,604,408			—
End of period	$	93,154,437		$	151,604,408
Accumulated net investment loss at end of period	$	(318,354	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		978,397			2,365,260
C-Class		310,507			681,438
H-Class		1,063,468			2,343,550
Institutional Class		1,177,662			1,507,953
Shares issued from reinvestment of distributions
A-Class		—			5,761
C-Class		—			2,295
H-Class		—			7,861
Institutional Class		—			2,118
Shares redeemed
A-Class		(1,986,372	)		(292,168	)
C-Class		(389,005	)		(76,255	)
H-Class		(2,190,686	)		(459,228	)
Institutional Class		(1,128,561	)		(16,866	)
Net increase (decrease) in shares		(2,164,590	)		6,071,719

^a  Since commencement of operations: June 30, 2010.

46     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

LONG SHORT INTEREST RATE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	24.97		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.31	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		(.81	)		.50
Total from investment operations		(1.12	)		.24
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.85		$	24.97
Total Returnc		(4.53	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	25,536		$	51,915
Ratios to average net assets:
Net investment loss		(1.32	%)		(1.35	%)
Total expenses		1.51	%		1.54	%
Portfolio turnover rate		—			—
C-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	24.83		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.49	)		(.40	)
Net gain (loss) on investments (realized and unrealized)		(.81	)		.50
Total from investment operations		(1.30	)		.10
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.53		$	24.83
Total Returnc		(5.24	%)		0.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,449		$	15,086
Ratios to average net assets:
Net investment loss		(2.06	%)		(2.12	%)
Total expenses		2.26	%		2.30	%
Portfolio turnover rate		—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      47

LONG SHORT INTEREST RATE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	24.97		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.32	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		(.81	)		.50
Total from investment operations		(1.13	)		.24
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.84		$	24.97
Total Returnc		(4.53	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,240		$	47,252
Ratios to average net assets:
Net investment loss		(1.32	%)		(1.36	%)
Total expenses		1.51	%		1.54	%
Portfolio turnover rate		—			—
Institutional Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	25.01		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.25	)		(.21	)
Net gain (loss) on investments (realized and unrealized)		(.82	)		.49
Total from investment operations		(1.07	)		.28
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.94		$	25.01
Total Returnc		(4.28	%)		1.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	36,929		$	37,351
Ratios to average net assets:
Net investment loss		(1.06	%)		(1.13	%)
Total expenses		1.25	%		1.30	%
Portfolio turnover rate		—			—

^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.

48     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT      49

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: To seek 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 31, 2012, Emerging Markets 2x Strategy Fund H-Class returned -29.70%, while the BNY Mellon Emerging Markets 50 ADR Index* returned -10.01% 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.

Emerging markets as a group underperformed for much of the past 12 months. After a weak 2011, the sector had a good start to 2012, but fell off on news of a slowdown in China’s economy, higher oil prices and worldwide economic weakness. Other ongoing risks to emerging market growth are the eurozone’s debt problems and political changes that are occurring in many developing countries in 2012.

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.

*BNY Mellon Emerging Markets 50 ADR Index is capitalization-weighted and designed to track the performance of approximately 50 emerging market-based depositary receipts.

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

The Fund invests principally in derivative investments such as swap agreements.

50     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance*

Average Annual Returns*
Periods Ended 03/31/12
	1 Year			Since Inception (10/29/10)
A-Class Shares		-30.00	%		-17.99	%
A-Class Shares with sales charge‡		-33.31	%		-20.76	%
C-Class Shares		-29.75	%		-18.05	%
C-Class Shares with CDSC†		-30.40	%		-18.05	%
H-Class Shares		-29.70	%		-17.77	%
BNY Mellon Emerging Markets 50 ADR Index		-10.01	%		-3.32	%
S&P 500 Index		8.54	%		15.48	%

* 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 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      51

SCHEDULE OF INVESTMENTS	March 31, 2012
EMERGING MARKETS 2x STRATEGY FUND

	SHARES		VALUE
COMMON STOCKS† - 5.0%
Energy - 1.1%
Petroleo Brasileiro S.A. — Class A ADR		568	$	14,519
Petroleo Brasileiro S.A. ADR		440		11,686
CNOOC Ltd. ADR		40		8,172
PetroChina Company Ltd. ADR		56		7,870
Sasol Ltd. ADR		132		6,420
China Petroleum & Chemical Corp. ADR		45		4,892
Ecopetrol S.A. ADR		55		3,360
Ultrapar Participacoes S.A. ADR		110		2,386
Total Energy				59,305
Telecommunication Services - 0.9%
China Mobile Ltd. ADR		278		15,312
America Movil SAB de CV ADR		514		12,763
Chunghwa Telecom Company Ltd. ADR		102		3,137
Mobile TeleSystems ADR		138		2,531
Telefonica Brasil S.A. ADR		77		2,359
China Unicom Hong Kong Ltd. ADR		126		2,117
China Telecom Corporation Ltd. ADR		37		2,031
Telekomunikasi Indonesia Persero Tbk PT ADR		66		2,004
Tim Participacoes S.A. ADR		49		1,581
Philippine Long Distance Telephone Co. ADR		23		1,430
Total Telecommunication Services				45,265
Financials - 0.9%
Itau Unibanco Holding S.A. ADR		596		11,437
Banco Bradesco S.A. ADR		510		8,925
China Life Insurance Company Ltd. ADR		132		5,131
HDFC Bank Ltd. ADR		150		5,115
Shinhan Financial Group Company Ltd. ADR		59		4,549
ICICI Bank Ltd. ADR		113		3,940
KB Financial Group, Inc. ADR		96		3,523
Banco Santander Brasil S.A. ADR		150		1,376
Total Financials				43,996
Materials - 0.8%
Vale S.A. — Class B ADR		542		12,298
Vale S.A. ADR		348		8,119
POSCO ADR		72		6,026
AngloGold Ashanti Ltd. ADR		102		3,766
Gold Fields Ltd. ADR		192		2,669
Gerdau S.A. ADR		238		2,292
Cemex SAB de CV ADR*		283		2,192
Cia Siderurgica Nacional S.A. ADR		210		1,987
Cia de Minas Buenaventura S.A. ADR		42		1,693
Sociedad Quimica y Minera de Chile S.A. ADR		24		1,408
Total Materials				42,450
Information Technology - 0.7%
Taiwan Semiconductor Manufacturing
Company Ltd. ADR		1,299		19,848
Infosys Ltd. ADR		128		7,300
Baidu, Inc. ADR*		36		5,248
United Microelectronics Corp. ADR		693		1,698
Total Information Technology				34,094

	SHARES		VALUE
Consumer Staples - 0.4%
Cia de Bebidas das Americas ADR		212	$	8,760
Fomento Economico Mexicano SAB de CV ADR		50		4,114
BRF - Brasil Foods S.A. ADR		178		3,562
Cia de Bebidas das Americas ADR		63		2,180
Cia Brasileira de Distribuicao Grupo Paode Acucar ADR		33		1,571
Total Consumer Staples				20,187
Consumer Discretionary - 0.1%
Grupo Televisa SAB ADR		150		3,162
Tata Motors Ltd. ADR		92		2,481
Total Consumer Discretionary				5,643
Utilities - 0.1%
Cia Energetica de Minas Gerais ADR		102		2,426
Empresa Nacional de Electricidad S.A. ADR		29		1,565
Korea Electric Power Corp. ADR*		140		1,362
Total Utilities				5,353
Total Common Stocks (Cost $212,416)				256,293
	FACE AMOUNT
REPURCHASE AGREEMENTS††,1 - 111.9%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	2,610,722		2,610,722
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		2,207,755		2,207,755
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		734,525		734,525
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		195,228		195,228
Total Repurchase Agreements (Cost $5,748,230)				5,748,230
Total Investments - 116.9% (Cost $5,960,646)			$	6,004,523
Other Assets & Liabilities, net - (16.9)%				(866,069	)
Total Net Assets - 100.0%			$	5,138,454

52     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2012

EMERGING MARKETS 2x STRATEGY FUND

	UNITS		UNREALIZED LOSS
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International April 2012 Bank of New York Mellon Emerging Markets 50 ADR Index Swap, Terminating 04/27/123 (Notional Value $9,973,278)		3,758	$	(195,234	)

* 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 31, 2012.

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     53

EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Investments, at value
(cost $212,416)	$	256,293
Repurchase agreements, at value
(cost $5,748,230)		5,748,230
Total investments
(cost $5,960,646)		6,004,523
Segregated cash with broker		44,800
Cash		1,182
Receivables:
Fund shares sold		112,405
Dividends		5,324
Variation margin		598
Total assets		6,168,832
LIABILITIES:
Unrealized depreciation on swap agreements		195,234
Payable for:
Fund shares redeemed		741,144
Swap settlement		78,573
Management fees		7,205
Distribution and service fees		2,135
Transfer agent and administrative fees		2,001
Portfolio accounting fees		801
Miscellaneous		3,285
Total liabilities		1,030,378
NET ASSETS	$	5,138,454
NET ASSETS CONSISTOF:
Paid in capital	$	5,683,254
Accumulated net investment loss		(18,506	)
Accumulated net realized loss on investments		(374,937	)
Net unrealized depreciation on investments		(151,357	)
Net assets	$	5,138,454
A-CLASS:
Net assets	$	363,487
Capital shares outstanding		20,795
Net asset value per share	$	17.48
Maximum offering price per share
(Net asset value divided by 95.25%)	$	18.35
C-CLASS:
Net assets	$	61,938
Capital shares outstanding		3,547
Net asset value per share	$	17.46
H-CLASS:
Net assets	$	4,713,029
Capital shares outstanding		268,585
Net asset value per share	$	17.55

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Dividends (net of foreign withholding tax of $1,754)	$	62,343
Interest		814
Total investment income		63,157
EXPENSES:
Management fees		42,211
Transfer agent and administrative fees		11,725
Distribution and service fees:
A-Class		277
C-Class		3,307
H-Class		10,621
Portfolio accounting fees		4,690
Licensing fees		5,661
Custodian fees		1,581
Trustees’ fees*		333
Miscellaneous		5,041
Total expenses		85,447
Less:
Expenses waived by Advisor		(3,784	)
Net expenses		81,663
Net investment loss		(18,506	)
NET REALIZEDAND UNREALIZED GAIN (Loss):
Net realized gain (loss) on:
Investments		(333,162	)
Swap agreements		6,746
Futures contracts		52,158
Net realized loss		(274,258	)
Net change in unrealized appreciation (depreciation) on:
Investments		(87,951	)
Swap agreements		(425,723	)
Futures contracts		36
Net change in unrealized appreciation (depreciation)		(513,638	)
Net realized and unrealized loss		(787,896	)
Net decrease in net assets resulting from operations	$	(806,402	)

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

54     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

EMERGING MARKETS 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Period Ended March 31, 2011a
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(18,506	)	$	(17,717	)
Net realized gain (loss) on investments		(274,258	)		108,807
Net change in unrealized appreciation (depreciation) on investments		(513,638	)		362,281
Net increase (decrease) in net assets resulting from operations		(806,402	)		453,371
DISTRIBUTIONSTO 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		2,133,102			941,826
C-Class		67,533,983			11,122,536
H-Class		112,547,354			43,838,990
Distributions reinvested
A-Class		1,547			—
C-Class		1,676			—
H-Class		189,012			—
Cost of shares redeemed
A-Class		(2,733,563	)		(14,982	)
C-Class		(68,198,547	)		(10,417,206	)
H-Class		(110,758,822	)		(40,501,075	)
Net increase from capital share transactions		715,742			4,970,089
Net increase (decrease) in net assets		(285,006	)		5,423,460
NET ASSETS:
Beginning of period		5,423,460			—
End of period	$	5,138,454		$	5,423,460
Accumulated net investment loss at end of period	$	(18,506	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		93,188			37,422
C-Class		3,321,992			437,312
H-Class		5,747,087			1,719,799
Shares issued from reinvestment of distributions
A-Class		110			—
C-Class		119			—
H-Class		13,358			—
Shares redeemed
A-Class		(109,307	)		(618	)
C-Class		(3,345,630	)		(410,246	)
H-Class		(5,629,413	)		(1,582,246	)
Net increase in shares		91,504			201,423

^a  Since commencement of operations: October 29, 2010.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      55

EMERGING MARKETS 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March  31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.95		$	25.00
Income (loss) from investment operations:
Net investment lossb		(—	)c		(.13	)
Net gain (loss) on investments (realized and unrealized)		(8.35	)		2.08
Total from investment operations		(8.35	)		1.95
Less distributions from:
Net realized gains		(1.12	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	17.48		$	26.95
Total Returnd		(30.00	%)		7.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	363		$	992
Ratios to average net assets:
Net investment loss		(0.01	%)		(1.42	%)
Total expenses		1.77	%		1.85	%
Net expensese		1.69	%		1.73	%
Portfolio turnover rate		883	%		58	%
C-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.83		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		(8.07	)		2.14
Total from investment operations		(8.25	)		1.83
Less distributions from:
Net realized gains		(1.12	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	17.46		$	26.83
Total Returnd		(29.75	%)		7.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	62		$	726
Ratios to average net assets:
Net investment loss		(0.87	%)		(1.98	%)
Total expenses		2.54	%		2.60	%
Net expensese		2.46	%		2.49	%
Portfolio turnover rate		883	%		58	%

56     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.

H-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	26.94		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.07	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		(8.20	)		2.05
Total from investment operations		(8.27	)		1.94
Less distributions from:
Net realized gains		(1.12	)		—
Total distributions		(1.12	)		—
Net asset value, end of period	$	17.55		$	26.94
Total Returnd		(29.70	%)		7.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,713		$	3,705
Ratios to average net assets:
Net investment loss		(0.37	%)		(1.05	%)
Total expenses		1.77	%		1.85	%
Net expensese		1.69	%		1.74	%
Portfolio turnover rate		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      57

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

INVERSE EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: To seek 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 31, 2012, Inverse Emerging Markets 2x Strategy Fund H-Class returned -8.79%, while the BNY Mellon Emerging Markets 50 ADR Index^* returned -10.01% 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.

Emerging markets as a group underperformed for much of the past 12 months. After a weak 2011, the sector had a good start to 2012, but fell off on news of a slowdown in China’s economy, higher oil prices and worldwide economic weakness. Other ongoing risks to emerging market growth are the eurozone’s debt problems and political changes that are occurring in many developing countries in 2012.

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. ^*BNY Mellon Emerging Markets 50 ADR Index is capitalization-weighted and designed to track the performance of approximately 50 emerging market-based depositary receipts.

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
The Fund invests principally in derivative investments such as swap agreements and futures contracts.

58     THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

Cumulative Fund Performance^*

Average Annual Returns^*

Periods Ended 03/31/12

	1 Year			Since Inception (10/29/10)
A-Class Shares		-8.84	%		-16.73	%
A-Class Shares with sales charge‡		-13.15	%		-19.54	%
C-Class Shares**		-5.06	%		-13.80	%
C-Class Shares with CDSC†,**		-6.01	%		-13.80	%
H-Class Shares		-8.79	%		-16.70	%
BNY Mellon Emerging Markets 50 ADR Index		-10.01	%		-3.32	%
S&P 500 Index		8.54	%		15.48	%

^* 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.

^** 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.

^† 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      59

SCHEDULE OF INVESTMENTS March 31, 2012

INVERSE EMERGING MARKETS 2x STRATEGY FUND

	FACE AMOUNT		VALUE
REPURCHASE AGREEMENTS††,1 - 44.6%
HSBC Group issued 03/30/12 at 0.01% due 04/02/12	$	735,575	$	735,575
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/122		555,514		555,514
Mizuho Financial Group, Inc. issued 03/30/12 at 0.01% due 04/02/12		206,953		206,953
Deutsche Bank issued 03/30/12 at 0.01% due 04/02/12		55,006		55,006
Total Repurchase Agreements (Cost $1,553,048)				1,553,048
Total Investments - 44.6% (Cost $1,553,048)			$	1,553,048
Other Assets & Liabilities, net - 55.4%				1,931,455
Total Net Assets - 100.0%			$	3,484,503

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS SOLD SHORT†
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $3,117,000)		60	$	(2,219	)
	UNITS
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International April 2012 Bank of New York Mellon Emerging Markets 50 ADR Index Swap, Terminating 04/27/123 (Notional Value $3,860,123)		1,454	$	53,604

^†  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 31, 2012.

³  Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate.

60     THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES
March 31, 2012
ASSETS:
Repurchase agreements, at value (cost $1,553,048)	$	1,553,048
Total investments (cost $1,553,048)		1,553,048
Unrealized appreciation on swap agreements		53,604
Receivable for swap settlement		43,674
Segregated cash with broker		39,200
Receivables:
Fund shares sold		1,895,068
Total assets		3,584,594
LIABILITIES:
Payable for:
Fund shares redeemed		90,454
Variation margin		4,025
Management fees		1,647
Distribution and service fees		849
Transfer agent and administrative fees		458
Portfolio accounting fees		183
Miscellaneous		2,475
Total liabilities		100,091
NET ASSETS	$	3,484,503
NET ASSETS CONSISTOF:
Paid in capital	$	4,713,828
Accumulated net investment loss		(12,214	)
Accumulated net realized loss on investments		(1,268,496	)
Net unrealized appreciation on investments		51,385
Net assets	$	3,484,503
A-CLASS:
Net assets	$	8,331
Capital shares outstanding		432
Net asset value per share	$	19.29
Maximum offering price per share (Net asset value divided by 95.25%)	$	20.25
C-CLASS:
Net assets	$	1,261,115
Capital shares outstanding		62,277
Net asset value per share	$	20.25
H-CLASS:
Net assets	$	2,215,057
Capital shares outstanding		114,835
Net asset value per share	$	19.29

STATEMENT OF OPERATIONS
Year Ended March 31, 2012
INVESTMENT INCOME:
Interest	$	926
Total investment income		926
EXPENSES:
Management fees		29,262
Transfer agent and administrative fees		8,128
Distribution and service fees:
A-Class		449
C-Class		4,085
H-Class		6,658
Portfolio accounting fees		3,251
Licensing fees		4,332
Custodian fees		829
Trustees’ fees*		273
Miscellaneous		3,812
Total expenses		61,079
Less:
Expenses waived by Advisor		(3,031	)
Net expenses		58,048
Net investment loss		(57,122	)
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Swap agreements		(621,439	)
Futures contracts		(331,893	)
Net realized loss		(953,332	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		164,676
Futures contracts		82,720
Net change in unrealized appreciation (depreciation)		247,396
Net realized and unrealized loss		(705,936	)
Net decrease in net assets resulting from operations	$	(763,058	)

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

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT       61

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Period Ended March 31, 2011a
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss	$	(57,122	)	$	(19,633	)
Net realized loss on investments		(953,332	)		(315,164	)
Net change in unrealized appreciation (depreciation) on investments		247,396			(196,011	)
Net decrease in net assets resulting from operations		(763,058	)		(530,808	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		648,870			173,520
C-Class		87,793,549			9,915,158
H-Class		73,854,823			34,731,130
Cost of shares redeemed
A-Class		(567,237	)		(125,927	)
C-Class		(86,340,121	)		(9,852,057	)
H-Class		(74,083,821	)		(31,369,518	)
Net increase from capital share transactions		1,306,063			3,472,306
Net increase in net assets		543,005			2,941,498
NET ASSETS:
Beginning of period		2,941,498			—
End of period	$	3,484,503		$	2,941,498
Accumulated net investment loss at end of period	$	(12,214	)	$	—
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		24,792			6,828
C-Class		3,786,907			427,743
H-Class		3,190,564			1,486,122
Shares redeemed
A-Class		(25,988	)		(5,200	)
C-Class		(3,725,324	)		(427,049	)
H-Class		(3,212,511	)		(1,349,340	)
Net increase in shares		38,440			139,104

^a  Since commencement of operations: October 29, 2010.

62     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.

A-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	21.15		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.39	)		(.16	)
Net loss on investments (realized and unrealized)		(1.47	)		(3.69	)
Total from investment operations		(1.86	)		(3.85	)
Net asset value, end of period	$	19.29		$	21.15
Total Returnc		(8.84	%)		(15.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8		$	34
Ratios to average net assets:
Net investment loss		(1.66	%)		(1.61	%)
Total expenses		1.78	%		1.85	%
Net expensesd		1.69	%		1.73	%
Portfolio turnover rate		—			—
C-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	21.33		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.55	)		(.25	)
Net loss on investments (realized and unrealized)		(.53	)		(3.42	)
Total from investment operations		(1.08	)		(3.67	)
Net asset value, end of period	$	20.25		$	21.33
Total Returnc,e		(5.06	%)		(14.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,261		$	15
Ratios to average net assets:
Net investment loss		(2.41	%)		(2.37	%)
Total expenses		2.53	%		2.57	%
Net expensesd		2.44	%		2.46	%
Portfolio turnover rate		—			—

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT      63

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.

H-Class	Year Ended March 31, 2012			Period Ended March 31, 2011a
Per Share Data
Net asset value, beginning of period	$	21.15		$	25.00
Income (loss) from investment operations:
Net investment lossb		(.38	)		(.16	)
Net loss on investments (realized and unrealized)		(1.48	)		(3.69	)
Total from investment operations		(1.86	)		(3.85	)
Net asset value, end of period	$	19.29		$	21.15
Total Returnc		(8.79	%)		(15.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,215		$	2,892
Ratios to average net assets:
Net investment loss		(1.67	%)		(1.63	%)
Total expenses		1.79	%		1.85	%
Net expensesd		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 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.

64     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 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. 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 31, 2012, the Trust consisted of fifty-seven separate funds. This report covers the Alternatives Funds and the International Equity Funds (the “Funds”), while the other funds are contained in separate reports. Only A-Class, C-Class, H-Class and Institutional Class shares had been issued in the Funds.

Guggenheim Investments (“GI”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. GI, RFS and RDL are affiliated entities.

The Alternative Strategies Allocation Fund is a “fund of funds,” which means that the Fund seeks to achieve its investment objective by investing principally in a diversified portfolio of affiliated and unaffiliated funds (the “underlying funds”) instead of individual securities.

American Independence Financial Services, LLC serves as investment sub-adviser to the Long Short Interest Rate Strategy Fund. The Sub-Advisor constructs and provides the Advisor with the Long Short Interest Rate Strategy Fund’s investment model.

The International Equity Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

A. The Trust calculates a NAV twice each business day, first in the morning and again in the afternoon for the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund. All other Funds in this report will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the March 31, 2012, afternoon NAV.

Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

THE GUGGENHEIM FUNDS ANNUAL REPORT      65

NOTES TO FINANCIAL STATEMENTS (continued)

Non-U.S. government securities are valued by 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 spreads, yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. 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) using general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.

B. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

C. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

D. When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account.

Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.

E. Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

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 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 and income and expense items denominated in foreign currencies

66     THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

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 and certain underlying funds utilize short sales and a variety of derivative instruments including futures and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.

A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A 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 or an underlying fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, 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

THE GUGGENHEIM FUNDS ANNUAL REPORT      67

NOTES TO FINANCIAL STATEMENTS (continued)

financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risk may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of

these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

Emerging markets, which consist of countries that have an emerging stock market as defined by Standard & Poor’s^®, countries or markets with low- to middle-income economies as classified by the World Bank, and other countries or markets with similar characteristics as determined by SGI, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile. As a result, the securities of emerging market issuers may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in securities of developed foreign countries. In addition, the risks associated with investing in a narrowly defined geographic area are generally more pronounced with respect to investments in emerging market countries. The Fund may also be subject to this risk with respect to its investments in derivatives or other securities or financial instruments whose returns are related to the returns of emerging market securities.

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:

Fund	Management Fees (as a % of Net Assets)
U.S. Long Short Momentum Fund		0.90	%
Alternative Strategies Allocation Fund		—
Event Driven and Distressed Strategies Fund		0.90	%
Long Short Equity Strategy Fund		0.90	%
Long Short Interest Rate Strategy Fund		0.75	%
Emerging Markets 2x Strategy Fund		0.90	%
Inverse Emerging Markets 2x Strategy Fund		0.90	%

GI manages the investment and reinvestment of the assets of the Alternative Strategies Allocation Fund in accordance with the investment objectives, policies, and limitations of the Fund. As part of its agreement with the Trust, GI will pay all expenses of the Fund, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses. The Fund indirectly

68     THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other underlying fund expenses) of the underlying funds in which the Fund invests.

GI has contractually agreed to reduce fees and/or reimburse expenses for the Event Driven and Distressed Strategies Fund and Long Short Equity Strategy Fund to the extent necessary to keep net operating expenses for A-Class, C-Class, H-Class, and Institutional Class Shares (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, dividends on securities sold short, and extraordinary expenses (“Excluded Expenses”)) from exceeding 1.90%, 2.65%, 1.90%, and 1.65%, respectively, of the Fund’s A-Class, C-Class, H-Class, and Institutional Class Shares average daily net assets until July 31, 2012. 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 business on the last day of the then-current one-year period.

For the year ended March 31, 2012, GI voluntarily agreed to reimburse a portion of the licensing fee charged to the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund.

RFS provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund. Fees related to the Alternative Strategies Allocation Fund are paid by GI, as previously noted.

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. Fees related to the Alternative Strategies Allocation Fund are paid by GI, as previously noted.

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 passthrough basis. Such expenses are allocated to various Funds within the complex based on relative net assets. Certain expenses allocated to the Alternative Strategies Allocation Fund are paid by GI, as previously noted.

The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which RDL and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Funds will pay distribution fees to RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL may, at its discretion, retain a portion of such payments to compensate itself for distribution services.

The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the year ended March 31, 2012, RDL retained sales charges of $404,264 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of GI, RFS and RDL.

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 –	quoted prices in active markets for identical securities.
Level 2 –	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

THE GUGGENHEIM FUNDS ANNUAL REPORT      69

NOTES TO FINANCIAL STATEMENTS (continued)

Level 3 – significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2012:

	Level 1 Investments In Securities		Level 1 Other Financial Instruments*		Level 2 Investments In Securities		Level 2 Other Financial Instruments*		Level 3 Investments In Securities		Total
Assets
U.S. Long Short Momentum Fund	$	101,504,850	$	—	$	1,936,891	$	—	$	—	$	103,441,741
Alternative Strategies Allocation Fund		7,836,227		14,614		90,201		—		—		7,941,042
Event Driven and Distressed Strategies Fund		1,916,724		—		8,265,900		4,370		—		10,186,994
Long Short Equity Strategy Fund		—		19,645		3,741,654		—		—		3,761,299
Long Short Interest Rate Strategy Fund		—		2,197,127		91,864,662		—		—		94,061,789
Emerging Markets 2x Strategy Fund		256,293		—		5,748,230		—		—		6,004,523
Inverse Emerging Markets 2x Strategy Fund		—		—		1,553,048		53,604		—		1,606,652
Liabilities
U.S. Long Short Momentum Fund	$	—	$	212,043	$	—	$	—	$	—	$	212,043
Alternative Strategies Allocation Fund		—		11,164		—		—		—		11,164
Event Driven and Distressed Strategies Fund		—		—		—		16,738		—		16,738
Long Short Equity Strategy Fund		—		10,411		—		—		—		10,411
Emerging Markets 2x Strategy Fund		—		—		—		195,234		—		195,234
Inverse Emerging Markets 2x Strategy Fund		—		2,219		—		—		—		2,219

* 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 31, 2012, there were no transfers between levels.

Summary of Fair Value Level 3 Activity

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended March 31, 2012:

	Common Stock
U.S. Long Short Momentum Fund
Assets:
Beginning Balance	$	17,250
Total realized gains or losses included in earnings		(158,183	)
Total change in unrealized gains or losses included in earnings		339,612
Sales		(198,679	)
Ending Balance	$	—

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.

70     THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

At March 31, 2012, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
HSBC Group 0.01% Due 04/02/12	$	945,000,000	$	945,000,788	U.S. Treasury STRIPS 0.00% 02/15/13 - 02/15/22	$	1,040,731,200	$	963,900,029
Mizuho Financial Group, Inc. 0.01% Due 04/02/12		265,875,123		265,875,345	U.S. Treasury Bills 0.00% 08/23/12 - 02/07/13		231,055,000		230,868,945
					U.S. Treasury Notes 2.50% - 2.63% 03/31/13 - 11/15/20		37,530,300		40,323,785
Credit Suisse Group 0.01% Due 04/02/12		235,771,833		235,772,030	U.S. Treasury Notes 1.38% - 2.13% 11/30/15 - 08/15/21		235,636,900		240,487,393
Deutsche Bank 0.01% Due 04/02/12		70,666,667		70,666,726	U.S. Treasury Note 1.25% 03/15/14		70,800,000		72,080,016

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

The following Funds utilized derivatives for the following purposes:

Fund	Index Exposure		Liquidity
U.S. Long Short Momentum Fund				x
Alternative Strategies Allocation Fund		x		x
Event Driven and Distressed Strategies Fund		x		x
Long Short Equity Strategy Fund		x		x
Long Short Interest Rate Strategy Fund		x		x
Emerging Markets 2x Strategy Fund		x		x
Inverse Emerging Markets 2x Strategy Fund		x		x

The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage of Fund’s net assets on a daily basis
Fund	Long			Short
U.S. Long Short Momentum Fund		—			5	%
Alternative Strategies Allocation Fund		10	%		10	%
Event Driven and Distressed Strategies Fund		150	%		—
Long Short Equity Strategy Fund		50	%		—
Long Short Interest Rate Strategy Fund		—			215	%
Emerging Markets 2x Strategy Fund		195	%		—
Inverse Emerging Markets 2x Strategy Fund		—			200	%

THE GUGGENHEIM FUNDS ANNUAL REPORT      71

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 31, 2012:

Location on the Statements of Assets and Liabilities
Derivative Investment Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate/Currency contracts	Variation margin	Variation margin
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
Corporate Bond contracts	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2012:

	Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Futures Interest Rate Contracts*		Futures Currency Contracts*		Swaps Equity Index Contracts		Swaps Corporate Bond Contracts		Total Value at March 31, 2012
U.S. Long Short Momentum Fund	$	—	$	—	$	—	$	—	$	—	$	—
Alternative Strategies Allocation Fund		13,924		530		160		—		—		14,614
Event Driven and Distressed Strategies Fund		—		—		—		4,370		—		4,370
Long Short Equity Strategy Fund		19,645		—		—		—		—		19,645
Long Short Interest Rate Strategy Fund		—		2,197,127		—		—		—		2,197,127
Emerging Markets 2x Strategy Fund		—		—		—		—		—		—
Inverse Emerging Markets 2x Strategy Fund		—		—		—		53,604		—		53,604
	Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Futures Interest Rate Contracts*		Futures Currency Contracts*		Swaps Equity Index Contracts		Swaps Corporate Bond Contracts		Total Value at March 31, 2012
U.S. Long Short Momentum Fund	$	212,043	$	—	$	—	$	—	$	—	$	212,043
Alternative Strategies Allocation Fund		4,278		—		6,886		—		—		11,164
Event Driven and Distressed Strategies Fund		—		—		—		—		16,738		16,738
Long Short Equity Strategy Fund		10,411		—		—		—		—		10,411
Long Short Interest Rate Strategy Fund		—		—		—		—		—		—
Emerging Markets 2x Strategy Fund		—		—		—		195,234		—		195,234
Inverse Emerging Markets 2x Strategy Fund		2,219		—		—		—		—		2,219

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2012:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest Rate/Currency/Corporate Bond/	Net realized gain (loss) on swap agreements
Credit Default contracts	Net realized gain (loss) on futures contracts
	Net change in net unrealized appreciation (depreciation) on swap agreements
	Net change in net unrealized appreciation (depreciation) on futures contracts

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2012:

	Realized Gain (Loss) on Derivative Investments Recognized on  the Statement of Operations
Fund	Futures Equity Contracts			Futures Interest Rate Contracts			Futures Currency Contracts		Swaps Equity Index Contracts			Swaps Corporate Bond Contracts		Swaps Credit Default Contracts			Total
U.S. Long Short Momentum Fund	$	(1,906,510	)	$	—		$	—	$	—		$	—	$	—		$	(1,906,510	)
Alternative Strategies Allocation Fund		19,282			31,899			5,446		—			—		—			56,627
Event Driven and Distressed Strategies Fund		74,281			—			—		(683,813	)		233,448		(16,479	)		(392,563	)
Long Short Equity Strategy Fund		428,857			—			—		—			—		—			428,857
Long Short Interest Rate Strategy Fund		—			(9,593,206	)		—		—			—		—			(9,593,206	)
Emerging Markets 2x Strategy Fund		52,158			—			—		6,746			—		—			58,904
Inverse Emerging Markets 2x Strategy Fund		(331,893	)		—			—		(621,439	)		—		—			(953,332	)

72     THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

	Change in Unrealized Appreciation (Depreciation) on Derivative  Investments Recognized on the Statement of Operations
Fund	Futures Equity Contracts			Futures Interest Rate Contracts		Futures Currency Contracts			Swaps Equity Index Contracts			Swaps Corporate Bond Contracts			Swaps Credit Default Contracts		Total
U.S. Long Short Momentum Fund	$	(206,020	)	$	—	$	—		$	—		$	—		$	—	$	(206,020	)
Alternative Strategies Allocation Fund		7,294			6,319		(6,726	)		—			—			—		6,887
Event Driven and Distressed Strategies Fund		—			—		—			(153,270	)		(28,766	)		—		(182,036	)
Long Short Equity Strategy Fund		(49,172	)		—		—			—			—			—		(49,172	)
Long Short Interest Rate Strategy Fund		—			2,541,385		—			—			—			—		2,541,385
Emerging Markets 2x Strategy Fund		36			—		—			(425,723	)		—			—		(425,687	)
Inverse Emerging Markets 2x Strategy Fund		82,720			—		—			164,676			—			—		247,396

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years (fiscal years 2009-2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

The tax character of distributions paid during the year ended March 31, 2012, was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
U.S. Long Short Momentum Fund	$	—	$	—	$	—
Alternative Strategies Allocation Fund		208,961		—		208,961
Event Driven and Distressed Strategies Fund		360,523		—		360,523
Long Short Equity Strategy Fund		68,171		77,820		145,991
Long Short Interest Rate Strategy Fund		—		—		—
Emerging Markets 2x Strategy Fund		194,346		—		194,346
Inverse Emerging Markets 2x Strategy Fund		—		—		—

The tax character of distributions paid during the year ended March 31, 2011, was as follows:

Fund	Ordinary Income		Long-Term Capital  Gain		Total Distributions
U.S. Long Short Momentum Fund	$	—	$	—	$	—
Alternative Strategies Allocation Fund		415,959		—		415,959
Event Driven and Distressed Strategies Fund		878,342		—		878,342
Long Short Equity Strategy Fund		94,717		129,798		224,515
Long Short Interest Rate Strategy Fund		147,983		355,153		503,136
Emerging Markets 2x Strategy Fund		—		—		—
Inverse Emerging Markets 2x Strategy Fund		—		—		—

Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.

THE GUGGENHEIM FUNDS ANNUAL REPORT      73

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributable earnings/(accumulated losses) at March 31, 2012, was as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation/ (Depreciation)			Capital Loss Carryforward1
U.S. Long Short Momentum Fund	$	—	$	—	$	11,260,797		$	(85,319,003	)
Alternative Strategies Allocation Fund		—		—		203,991			(8,379,754	)
Event Driven and Distressed Strategies Fund		—		—		58,793			(606,090	)
Long Short Equity Strategy Fund		—		144,572		40			—
Long Short Interest Rate Strategy Fund		—		—		7,408			(10,594,822	)
Emerging Markets 2x Strategy Fund		—		—		(418,918	)		—
Inverse Emerging Markets 2x Strategy Fund		—		—		53,605			(450,973	)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹  A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

	Expires in			Expires in			Expires in			Unlimited						Total Capital Loss
Fund	2017			2018			2019			Short-Term			Long-Term			Carryforward
U.S. Long Short Momentum Fund	$	(64,490,485	)	$	(19,377,927	)	$	—		$	(1,450,591	)	$	—		$	(85,319,003	)
Alternative Strategies Allocation Fund		—			(6,408,935	)		(1,363,136	)		(177,502	)		(430,181	)		(8,379,754	)
Event Driven and Distressed Strategies Fund		—			—			—			(606,090	)		—			(606,090	)
Long Short Equity Strategy Fund		—			—			—			—			—			—
Long Short Interest Rate Strategy Fund		—			—			—			(4,236,654	)		(6,358,168	)		(10,594,822	)
Emerging Markets 2x Strategy Fund		—			—			—			—			—			—
Inverse Emerging Markets 2x Strategy Fund		—			—			—			(422,373	)		(28,600	)		(450,973	)

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 reclassifications were made for permanent book/tax differences:

Fund	Paid In Capital			Undistributed Net Investment Income		Accumulated Net Realized Gain (Loss)
U.S. Long Short Momentum Fund	$	(7,773	)	$	149,352	$	(141,579	)
Alternative Strategies Allocation Fund		(26,419	)		146,364		(119,945	)
Event Driven and Distressed Strategies Fund		(181,802	)		181,673		129
Long Short Equity Strategy Fund		31,583			112,072		(143,655	)
Long Short Interest Rate Strategy Fund		(1,459,592	)		1,459,592		—
Emerging Markets 2x Strategy Fund		—			—		—
Inverse Emerging Markets 2x Strategy Fund		(44,908	)		44,908		—

At March 31, 2012, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain (Loss)
U.S. Long Short Momentum Fund	$	92,180,944	$	12,711,544	$	(1,450,747	)	$	11,260,797
Alternative Strategies Allocation Fund		7,722,067		279,090		(74,729	)		204,361
Event Driven and Distressed Strategies Fund		10,111,463		71,161		—			71,161
Long Short Equity Strategy Fund		3,741,614		40		—			40
Long Short Interest Rate Strategy Fund		91,857,254		8,070		(662	)		7,408
Emerging Markets 2x Strategy Fund		6,228,207		—		(223,684	)		(223,684	)
Inverse Emerging Markets 2x Strategy Fund		1,553,048		—		—			—

74     THE GUGGENHEIM 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 31, 2012, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2012:

Fund	Ordinary			Capital
U.S. Long Short Momentum Fund	$	—		$	—
Alternative Strategies Allocation Fund		(5,076	)		(42,626	)
Event Driven and Distressed Strategies Fund		(46,114	)		(42,643	)
Long Short Equity Strategy Fund		(32,408	)		—
Long Short Interest Rate Strategy Fund		(318,354	)		—
Emerging Markets 2x Strategy Fund		(18,506	)		(107,376	)
Inverse Emerging Markets 2x Strategy Fund		(12,214	)		(819,742	)

8. Securities Transactions

For the year ended March 31, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:

	Purchases			Sales
U.S. Long Short Momentum Fund	$	229,974,083		$	277,029,132
Alternative Strategies Allocation Fund		14,848,338			26,580,791
Event Driven and Distressed Strategies Fund		8,435,178			6,332,888
Long Short Equity Strategy Fund		(2,587,107	)		(1,775,539	)
Long Short Interest Rate Strategy Fund		—			—
Emerging Markets 2x Strategy Fund		17,462,381			19,803,913
Inverse Emerging Markets 2x Strategy Fund		—			—

9. Line of Credit

The Trust, along with other affiliated trusts, secured an uncommitted, $75,000,000 line of credit from U.S. Bank, N.A., which expires June 15, 2012. 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 31, 2012. The Funds did not have any borrowings under this agreement at March 31, 2012.

The following table illustrates the average daily balance borrowed for the year ended March 31, 2012:

Fund	Average Daily Balance
U.S. Long Short Momentum Fund	$	3,361
Alternative Strategies Allocation Fund		23,678
Event Driven and Distressed Strategies Fund		22,448
Long Short Interest Rate Strategy Fund		99,104
Emerging Markets 2x Strategy Fund		16,019

10. 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 (In re Tribune Co.), Adv. Pro. No. 10-54010 (Bankr. D. Del.), 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 major 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, major shareholders, professional advisers, and others involved in the LBO, and is attempting to obtain from these individuals and entities the proceeds paid out in connection with the LBO. This adversary proceeding in the Bankruptcy Court has been stayed pending further order of the Bankruptcy Court.

THE GUGGENHEIM FUNDS ANNUAL REPORT    75

NOTES TO FINANCIAL STATEMENTS (concluded)

In June 2011, a group of Tribune creditors, not including the UCC, filed multiple actions involving state law constructive fraudulent conveyance claims against former Tribune shareholders. Rydex Series Funds also has been named as a defendant in one or more of these suits. These cases have been consolidated in a multidistrict litigation proceeding in the United States District Court for the Southern District of New York and have been stayed pending further order of that court or of the Bankruptcy Court.

None of these lawsuits allege any wrongdoing on the part of Rydex Series Funds. The following series of Rydex Series Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 Pure Value Fund, Multi-Cap Core Equity Fund, S&P 500 Fund, Multi-Hedge Strategies Fund and Hedged Equity Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $28,220, $109,242, $9,860, $3,400, $1,181,160, and $10,880, respectively. At this stage of the proceedings, Rydex Series Funds is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.

Lyondell Chemical Company

In December 2011, Rydex Series Funds was named as a defendant in Weisfelner, as Trustee of the LB Creditor Trust, v. Fund 1 (In re Lyondell Chemical Co.), Adv. Pro. No. 10-4609 (Bankr. S.D.N.Y.).

Similar to the claims made in the Tribune matter, the Weisfelner complaint seeks to have set aside and recovered as fraudulent transfers from former Lyondell Chemical Company (“Lyondell”) shareholders the consideration paid to them pursuant to the cash out merger of Lyondell shareholders in connection with the combination of Lyondell and Basell AF in 2007. Lyondell filed for bankruptcy in 2008.

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.

11. Proposed Fund Merger

At a meeting held on November 21, 2011, the Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”) unanimously approved an Agreement and Plan of Reorganization (the “Agreement”) providing for the reorganization of the Trust’s Alternative Strategies Allocation Fund with and into the Multi-Hedge Strategies Fund, each a separate series of the Trust. The Agreement provides for: (a) the transfer of the assets and stated liabilities of each share class of the Alternative Strategies Allocation Fund in exchange for the corresponding share class of the Multi-Hedge Strategies Fund, and (b) the distribution of the appropriate share class of the Multi-Hedge Strategies Fund pro rata by the Alternative Strategies Allocation Fund to its shareholders, in complete liquidation of the Alternative Strategies Allocation Fund (the “Reorganization”). The Reorganization is expected to be a tax-free transaction and is subject to shareholder approval at a Special Meeting of Shareholders, scheduled to occur June 29, 2012. If the Reorganization is approved, shareholders will receive the applicable class of shares of the Multi-Hedge Strategies Fund with a value equal to the value of their investment in the Alternative Strategies Allocation Fund as of 4:00 p.m., Eastern Time on the Closing Date (the “Effective Time”). Following the distribution of Multi-Hedge Strategies Fund shares, the Alternative Strategies Allocation Fund will cease operations and be liquidated.

76       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, Alternative Strategies Allocation Fund, Event Driven and Distressed Strategies Fund, Long Short Equity Strategy Fund, Long Short Interest Rate Strategy Fund, Emerging Markets 2X Strategy Fund, and Inverse Emerging Markets 2X Strategy Fund (seven of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2012, and the related statements of operations for the year then ended, and statements of changes in net assets and financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2012, by correspondence with the custodian, the transfer agent of underlying funds, and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2012, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.

McLean, Virginia

May 24, 2012

THE GUGGENHEIM FUNDS ANNUAL REPORT      77

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 ended March 31, 2012, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Alternative Strategies Allocation Fund		9.58	%
Long Short Equity Strategy Fund		1.49	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
Alternative Strategies Allocation Fund		9.60	%
Long Short Equity Strategy Fund		1.67	%

With respect to the taxable year ended March 31, 2012, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:

	Long Short Equity Strategy Fund
From long-term capital gains,subject to the 15% rate gains category:	$	77,820
From long-term capital gains, using proceeds from shareholder redemptions:		83,238

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.

At a special meeting of shareholders held on December 13, 2011, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Security Investors, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
U.S. Long Short Momentum Fund		4,748,887		73,347		165,284
Alternative Strategies Allocation Fund		453,569		8,584		10,831
Event Driven and Distressed Strategies Fund		480,492		1,987		2,903
Long Short Equity Strategy Fund		169,384		54		—
Long Short Interest Rate Strategy Fund		2,674,622		44,033		100,412
Emerging Markets 2x Strategy Fund		152,355		854		2,008
Inverse Emerging Markets 2x Strategy Fund		60,044		4,813		1,814

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds voted on whether to approve a new sub-advisory agreement between Security Investors, LLC and American Independence Financial Services, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
Long Short Interest Rate Strategy Fund		2,668,124		46,152		104,792

78     THE GUGGENHEIM FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited) (continued)

At a special meeting of shareholders held on November 22, 2011, the shareholders of the Funds also voted on whether to approve the election of nominees to the Board of Trustees. A description of the number of shares voted is as follows:

Donald C. Cacciapaglia		Corey A. Colehour		J. Kenneth Dalton
For	1,443,600,903	For	1,444,213,017	For	1,444,422,997
Withhold	23,402,732	Withhold	22,790,618	Withhold	22,580,638
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
John O. Demaret		Richard M. Goldman		Werner E. Keller
For	1,445,255,754	For	1,443,668,595	For	1,445,494,273
Withhold	21,747,881	Withhold	23,335,040	Withhold	21,509,362
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
Thomas F. Lydon		Patrick T. McCarville		Roger Somers
For	1,444,219,448	For	1,445,357,773	For	1,443,486,735
Withhold	22,784,187	Withhold	21,645,862	Withhold	23,516,900
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds also voted on whether to approve a “manager of managers” arrangement for each of the Funds. Although shareholder votes were placed, not enough votes were received to meet the minimum requirements to constitute a majority vote. As such, the matter was closed.

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 NQ; 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

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Fund’s investment manager (the “Investment Manager”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals. The transaction closed on February 29, 2012.

The Transaction should not result in material changes to the day-to-day management and operation of the Funds or any increase in fees.

THE GUGGENHEIM FUNDS ANNUAL REPORT      79

OTHER INFORMATION (Unaudited) (concluded)

In anticipation of the Transaction, the Board of Trustees of the Funds (the “Board”) called a special meeting of shareholders (the “Meeting”), at which shareholders of the Funds of record as of October 3, 2011 were asked to consider the approval of a new investment management agreement between the Funds and the Investment Manager (the “New Agreement”). This approval was necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Funds’ current investment management agreement with the Investment Manager (the “Current Agreement”). The Funds’ shareholders approved the New Agreement, the terms of which are substantially identical to the corresponding Current Agreement, except with respect to the date of execution.

Election of Board Members

The Board also approved a proposal to elect nine individuals to the Board. The Board proposed the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Board believes that expanding the Board to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Guggenheim Investments family of funds, would be appropriate. The Trusts’ shareholders ultimately approved the aforementioned proposal.

80     THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

TRUSTEE AND OFFICER

Name, Position and Year of Birth	Length of Service as Trustee (Year Began)	Number of Funds Overseen
Donald C. Cacciapaglia*	Rydex Series Funds – 2012	148
Trustee, President (1951)	Rydex Variable Trust – 2012
	Rydex Dynamic Funds – 2012
	Rydex ETF Trust – 2012
Principal Occupations During Past Five Years: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010. INDEPENDENT TRUSTEES
Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Corey A. Colehour	Rydex Series Funds – 1993	148
Trustee (1945)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Retired; Member of the Audit, Governance and Nominating Committees (1995 to present)
J. Kenneth Dalton	Rydex Series Funds – 1995	148
Trustee (1941)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
John O. Demaret	Rydex Series Funds – 1997	148
Trustee, Chairman of the	Rydex Variable Trust – 1998
Board (1941)	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
Werner E. Keller	Rydex Series Funds – 2005	148
Trustee (1940)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005
Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)
Thomas F. Lydon, Jr.	Rydex Series Funds – 2005	148
Trustee (1960)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005
Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)

THE GUGGENHEIM FUNDS ANNUAL REPORT      81

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

INDEPENDENT TRUSTEES - concluded

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Patrick T. McCarville	Rydex Series Funds – 1997	148
Trustee (1942)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)
Roger Somers	Rydex Series Funds – 1993	148
Trustee (1944)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003
Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (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 and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002- 2010), Executive Vice President (2002-2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008- 2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, President and 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); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; 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); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Elisabeth Miller* Chief Compliance Officer (1968)	Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC
	Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004-2009)

82     THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS - concluded

Name, Position and Year of Birth	Principal Occupations During Past Five Years
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and 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 Security Global Investors.

THE GUGGENHEIM FUNDS ANNUAL REPORT      83

GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below.To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.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.

84     THE GUGGENHEIM FUNDS ANNUAL REPORT

GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded)

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

THE GUGGENHEIM FUNDS ANNUAL REPORT      85

805 King Farm Boulevard, Suite 600

Rockville, MD 20850

www.rydex-sgi.com

800.820.0888

RSTF-ANN-0312x0313

MARCH 31, 2012

GUGGENHEIM FUNDS

ANNUAL REPORT

ASSET ALLOCATION FUNDS

ALL-ASSET CONSERVATIVE STRATEGY FUND

ALL-ASSET MODERATE STRATEGY FUND

ALL-ASSET AGGRESSIVE STRATEGY FUND

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.

It’s easy to enroll:

1/ Visit www.rydex-sgi.com

2/ Click on “eDelivery Sign-Up”            

3/ Follow the simple enrollment instructions

If you have questions about Guggenheim Investments eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
ALL-ASSET CONSERVATIVE STRATEGY FUND	6
ALL-ASSET MODERATE STRATEGY FUND	14
ALL-ASSET AGGRESSIVE STRATEGY FUND	22
NOTES TO FINANCIAL STATEMENTS	30
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	36
OTHER INFORMATION	37
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	39
GUGGENHEIM INVESTMENTS PRIVACY POLICIES	42

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  1

LETTER TO OUR SHAREHOLDERS

To Our Shareholders:

A restructuring of Greece’s massive debt, continued accommodation by the world’s major central banks and better news on the U.S. economy helped support financial markets over the fiscal year ended March 31, 2012, with the S&P 500^® Index* rising about 9%. Market optimism peaked in early 2012, when several major equity indices pushed to the highest levels in four years or more. But the mood grew more cautious late in the period after the Federal Reserve (“the Fed”) expressed views that continued weakness in housing and employment may pose a risk to the strength of the recovery.

U.S. equities experienced big intra-year swings. Markets swooned by nearly 20% last summer amid the loss of the U.S. AAA credit rating, the end of the Fed’s second round of quantitative easing and rising oil prices. But after touching the year’s low in early October, improving U.S. economic data and European Central Bank’s injections of three-year loans into the continent's banking system helped markets make up lost ground, which carried over into a strong first quarter of 2012.

Among the upbeat U.S. economic reports in recent months: more than 600,000 jobs have been added since the beginning of 2012; house prices have fallen enough to start to spur demand, lifting sales and new construction; and the U.S. GDP expanded at an annual rate of 3% in the fourth quarter of 2011, its strongest rate in a year and a half. Consumer confidence climbed in March to its highest level in a year.

While acknowledging the good news, the Fed warned that policymakers cannot be sure the recent pace of improvement will be sustained unless growth picks up. To foster growth, the Fed has said it will leave its key interest rate close to zero at least through 2014, despite arguments by some Fed officials and investors that the Fed may have to consider raising rates much earlier than that to prevent inflation. For now, the Fed’s leadership appears to be committed to keeping rates low, thus reducing borrowing costs for businesses and consumers. Consumer spending remains sluggish, and lackluster forecasts for first-quarter corporate profits were a reminder that the economic recovery remains fragile.

The world’s leading central bankers have continued to take steps to recharge the global economy. Greece’s debt restructuring enabled a new international bailout, while an injection of liquidity from the European Central Bank lessened financial stresses across the continent and contributed to improvement in global financial markets. However, March manufacturing gauges indicated that the eurozone has entered a period of economic contraction, meaning that policy makers may need to do more to revive economic growth across the region. The Bank of England and the Bank of Japan have also increased asset-buying programs. In China, recent strong factory data eased fears that a hard landing could wreak havoc on the global economy. The country cut its annual growth target to 7.5%, as its policymakers are trying to shift the country away from investment and exports and to greater domestic consumption.

Improvement in the U.S. economy is luring investors from ultra-safe, but often low-yielding assets. Falling U.S. Treasury bond prices, for example, boosted yields from a 70-year low last fall to a recent range of around 2% for the 10-year note. After outperforming equities for much of the past decade, and drawing heavy asset flows, many analysts are cautious about certain fixed-income sectors, particularly government debt, as the economy improves and the potential grows for a rise in interest rates. Investment-grade and higher-yielding corporates, however, are expected to continue to outperform.

Likewise, commodities, which had been slumping since mid-2011 due to slowing economic activity and the European debt crisis, rebounded in early 2012 on stronger macroeconomic data, with the price of a barrel of oil surging from last October’s $77 to a peak of $113 in late February. Investors also have been shifting out of gold to assets with greater return potential; after peaking at nearly $2,000 last summer, the price per ounce has fallen back to around $1,600.

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LETTER TO OUR SHAREHOLDERS (concluded)

The U.S. economy seems to be decoupling from slowing growth in the rest of the world and from ongoing uncertainty in the European debt crisis, as well as the domestic debate over tax and spending policy. In this resiliency, we see potential in U.S. investments, including equities, high yield bonds, bank loans and other risk assets. It appears that the U.S. may have entered a period of self-sustaining, if modest, economic expansion, driven primarily by the aggressive monetary policy of the Fed and reinforced by the ECB, and is increasingly becoming the economic locomotive of the global economy.

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Donald C. Cacciapaglia

President

* 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).

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888.

The referenced funds are distributed by Rydex Distributors, LLC (RDL). Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC which includes Security Investors, LLC, the investment advisor to the referenced funds. Rydex Distributors, LLC, is affiliated with Guggenheim Partners, LLC and Security Investors, LLC.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; 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, 2011 and ending March 31, 2012.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Certain retirement plans such as IRA, SEP, Roth IRA and 403(b), Rydex prototype money purchase plan and profit sharing plan accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

	Expense Ratio1			Fund Return			Beginning Account Value September 30, 2011		Ending Account Value March 31, 2012		Expenses Paid  During Period2
Table 1. Based on actual Fund return3
All-Asset Conservative Strategy Fund
A-Class		0.00	%		8.44	%	$	1,000.00	$	1,084.40	$	—
C-Class		0.75	%		7.96	%		1,000.00		1,079.60		3.90
H-Class		0.00	%		8.43	%		1,000.00		1,084.30		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		12.16	%		1,000.00		1,121.60		—
C-Class		0.75	%		11.79	%		1,000.00		1,117.90		3.97
H-Class		0.00	%		12.26	%		1,000.00		1,122.60		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		16.13	%		1,000.00		1,161.30		—
C-Class		0.75	%		15.80	%		1,000.00		1,158.00		4.05
H-Class		0.00	%		16.26	%		1,000.00		1,162.60		—
Table 2. Based on hypothetical 5% return (before expenses)
All-Asset Conservative Strategy Fund
A-Class		0.00	%		5.00	%	$	1,000.00	$	1,025.00	$	—
C-Class		0.75	%		5.00	%		1,000.00		1,021.25		3.79
H-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.25		3.79
H-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,025.00		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.25		3.79
H-Class		0.00	%		5.00	%		1,000.00		1,025.00		—

¹  Annualized and excludes expenses of the underlying funds in which the Funds invest.

²  Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).

³  Actual cumulative return at net asset value for the period September 30, 2011 to March 31, 2012.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  5

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ALL-ASSET CONSERVATIVE STRATEGY FUND

OBJECTIVE: To seek preservation of capital and, secondarily, long-term growth of capital.

In the past 12 months, the financial markets continued to be driven by macroeconomic forces. Among them, the European debt crisis was the most important one. It first surprised the market with more problems, yet there were few tangible solutions looming. Together with U.S. debt downgrade, it caused a massive sell-off in the summer. As speculation grew that China and international organizations might step in to help, the market was relieved. And finally, the change of leadership at the European Central Bank brought loosened monetary policy and a mechanism to reduce the liquidity problem in the European debt market, which led the equity market to rally further in the first quarter of 2012.

Market volatility, with the VIX Index* as a proxy, also had a turbulent year, with its intra-period high reaching the level seen in early 2009. In this environment, Treasuries had another great year, easily leading equity by a large margin. In this macro-driven market, correlations between risky assets were high, making diversification more challenging to achieve. Volatility made it hard to identify a trend.

Our dynamically managed tactical overlay made a positive contribution to the portfolio’s performance, but not enough to permit the portfolio to overcome the tumult in the market.

In the period, the U.S. Intermediate Bond Series, Mid Cap Growth and Large Cap Growth Funds contributed to performance, while the Managed Futures Strategy Fund, MSCI EAFE Equal Weight Fund and the Commodities Strategy Fund detracted from the portfolio’s performance.

For the one-year period ended March 31, 2012, the All-Asset Conservative Strategy Fund H-Class returned 0.71%, compared with its benchmark** (32% Russell 3000^® Index, 8% MSCI EAFE Index and 60% Barclays U.S. Aggregate Bond Index), which returned 6.98%.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity.

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

* The VIX Index is the ticker for the Chicago Board Options Exchange (CBOE) Volatility Index, which is designed to measure market expectations of future price volatility that is implied by S&P 500 Index option contracts. The VIX Index is a widely used measure of market risk and is often referred to as the fear gauge.

** The components of the blended benchmark are defined as follows:

The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market.

The Barclays U.S. Aggregate Bond Index measures performance of the U.S. investment-grade bond market, including investment-grade U.S. government bonds, investment-grade corporate bonds, mortgage pass-through securities and asset-backed securities.

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

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings (% of Total Net Assets)
Security Income Fund® – U.S. Intermediate Bond Fund1	19.0	%
iShares Barclays Aggregate Bond Fund	13.0	%
RSF – U.S. Long Short Momentum Fund1	11.8	%
RSF – Multi-Hedge Strategies Fund1	6.5	%
Security Income Fund® – High Yield Fund1	6.0	%
Security Large Cap Value Fund1	4.7	%
Security Equity Fund® – Large Cap Concentrated Growth Fund1	4.7	%
RSF – Long Short Interest Rate Strategy Fund1	2.5	%
Security Equity Fund® – MSCI EAFE Equal Weight Fund1	2.2	%
RSF – Managed Futures Strategy Fund1	1.4	%
Top Ten Total	71.8	%

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

RSF – Rydex Series Funds

¹  A-Class Shares

6  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

ALL-ASSET CONSERVATIVE STRATEGY FUND

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (06/30/06)
A-Class Shares		0.72	%		2.15	%		3.23	%
A-Class Shares with sales charge†		-4.08	%��		1.17	%		2.36	%
C-Class Shares		-0.12	%		1.36	%		2.45	%
C-Class Shares with CDSC‡		-1.11	%		1.36	%		2.45	%
H-Class Shares		0.71	%		2.15	%		3.24	%
S&P 500 Index		8.54	%		2.01	%		4.01	%
Synthetic All-Asset Conservative Strategy Benchmark¿		6.98	%		4.64	%		5.76	%

* 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, Barclays U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged indices and, unlike the Fund, have no management fees or 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 contingent deferred sales charge (“CDSC”) of 1% if redeemed within 12 months of purchase.

^¿  Benchmark reflects 32% Russell 3000^® Index, 8% MSCI EAFE Index^®, and 60% Barclays U.S. Aggregate Bond Index.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  7

SCHEDULE   OF   INVESTMENTS March 31, 2012

ALL-ASSET CONSERVATIVE STRATEGY FUND

	SHARES		VALUE
EXCHANGE TRADED FUND† - 13.0%
iShares Barclays Aggregate Bond Fund		17,458	$	1,917,761
Total Exchange Traded Fund (Cost $1,911,030)				1,917,761
MUTUAL FUNDS†,1 - 64.8%
Alternatives Funds - 25.3%
RSF - U.S. Long Short Momentum Fund*		131,458		1,745,770
RSF - Multi-Hedge Strategies Fund		42,871		961,157
RSF - Long Short Interest Rate Strategy Fund		15,550		370,718
RSF - Managed Futures Strategy Fund*		9,294		213,102
RSF - Long/Short Commodities Strategy Fund		6,111		160,838
RSF - Long Short Equity Strategy Fund		5,527		147,684
RSF - Event Driven and Distressed Strategies Fund		5,817		147,574
Total Alternatives Funds				3,746,843
Fixed Income Funds - 25.1%
Security Income Fund® - U.S. Intermediate Bond Fund		160,219		2,810,243
Security Income Fund® - High Yield Fund		77,046		894,499
Total Fixed Income Funds				3,704,742
Domestic Equity Funds - 12.2%
Security Large Cap Value Fund		22,593		698,817
Security Equity Fund® - Large Cap Concentrated Growth Fund*		73,856		698,677
Security Mid Cap Growth Fund*		4,840		177,733
Security Equity Fund® - Mid Cap Value Fund		5,312		176,794
Security Equity Fund® - Small Cap Value Fund		1,965		29,980
Security Equity Fund® - Small Cap Growth Fund*		1,883		29,674
Total Domestic Equity Funds				1,811,675
International Equity Funds - 2.2%
Security Equity Fund® - MSCI EAFE
Equal Weight Fund		29,780		326,388
Total Mutual Funds (Cost $8,339,763)				9,589,648
	FACE AMOUNT
REPURCHASE AGREEMENT††,2 - 20.9%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	3,083,720		3,083,720
Total Repurchase Agreement (Cost $3,083,720)				3,083,720
Total Investments - 98.7% (Cost $13,334,513)			$	14,591,129
Other Assets & Liabilities, net - 1.3%				198,290
Total Net Assets - 100.0%			$	14,789,419

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $1,261,800)		18	$	43,468
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $693,225)		9		5,022
June 2012 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $50,975)		1		3,472
June 2012 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $141,381)		1		2,233
(Total Aggregate Value of Contracts $2,147,381)			$	54,195
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 British Pound Futures Contracts (Aggregate Value of Contracts $99,913)		1	$	2,010
June 2012 Japanese Yen Futures Contracts (Aggregate Value of Contracts $151,100)		1		160
June 2012 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $200,180)		2		(1,165	)
June 2012 Mexican Peso Futures Contracts (Aggregate Value of Contracts $116,400)		3		(1,283	)
(Total Aggregate Value of Contracts $567,593)			$	(278	)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,960,000)		16	$	(8,771	)
FUTURES CONTRACTS SOLD SHORT†
April 2012 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $136,926)		3	$	2,833
June 2012 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $91,554)		1		1,176
June 2012 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $112,331)		1		(676	)
June 2012 DAX Index Futures Contracts (Aggregate Value of Contracts $232,244)		1		(2,601	)
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $165,400)		2		(7,164	)
(Total Aggregate Value of Contracts $738,455)			$	(6,432	)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2012 Swiss Franc Futures Contracts (Aggregate Value of Contracts $138,613)		1	$	(4,128	)
June 2012 Euro Futures Contracts (Aggregate Value of Contracts $333,550)		2		(4,658	)
(Total Aggregate Value of Contracts $472,163)			$	(8,786	)

* Non-income producing security.

† Value determined based on Level 1 inputs — See Note 4.

†† Value determined based on Level 2 inputs — See Note 4.

¹  A-Class shares of affiliated funds.

²  Repurchase Agreement — See Note 5.

RSF — Rydex Series Funds

8  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments in unaffiliated issuers, at value (cost $1,911,030)	$	1,917,761
Investments in affiliated issuers, at value (cost $8,339,763)		9,589,648
Repurchase agreements, at value (cost $3,083,720)		3,083,720
Total investments (cost $13,334,513)		14,591,129
Foreign currency, at value (cost $779)		495
Segregated cash with broker		217,890
Cash		149,443
Receivables:
Dividends		10,022
Variation margin		2,975
Fund shares sold		1,708
Total assets		14,973,662
LIABILITIES:
Payable for:
Fund shares redeemed		19,772
Securities purchased		160,021
Distribution and service fees		4,450
Total liabilities		184,243
NET ASSETS	$	14,789,419
NET ASSETS CONSISTOF:
Paid in capital	$	14,941,789
Undistributed net investment income		146,978
Accumulated net realized loss on investments		(1,585,608	)
Net unrealized appreciation on investments		1,286,260
Net assets	$	14,789,419
A-CLASS:
Net assets	$	3,212,451
Capital shares outstanding		299,163
Net asset value per share	$	10.74
Maximum offering price per share (Net asset value divided by 95.25%)	$	11.28
C-CLASS:
Net assets	$	6,941,138
Capital shares outstanding		676,469
Net asset value per share	$	10.26
H-CLASS:
Net assets	$	4,635,830
Capital shares outstanding		431,421
Net asset value per share	$	10.75

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends from securities of affiliated issuers	$	174,904
Dividends from securities of unaffiliated issuers		19,194
Interest		694
Total investment income		194,792
EXPENSES:
Distribution and service fees:
C-Class		57,650
Custodian fees		35
Total expenses		57,685
Net investment income		137,107
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		210
Investments in affiliated issuers		90,752
Futures contracts		59,973
Foreign currency		(419	)
Realized gain distributions received from affiliated issuers		35,391
Realized gain distributions received from unaffiliated issuers		2,042
Net realized gain		187,949
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		6,731
Investments in affiliated issuers		(328,470	)
Futures contracts		20,487
Foreign currency		(284	)
Net change in unrealized appreciation (depreciation)		(301,536	)
Net realized and unrealized loss		(113,587	)
Net increase in net assets resulting from operations	$	23,520

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  9

ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE)IN NET ASSETSFROM OPERATIONS:
Net investment income	$	137,107		$	144,331
Net realized gain on investments		187,949			743,525
Net change in unrealized appreciation (depreciation) on investments		(301,536	)		179,072
Net increase in net assets resulting from operations		23,520			1,066,928
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
A-Class		(43,707	)		(17,209	)a
C-Class		(97,577	)��		(62,122	)a
H-Class		(40,701	)		(18,378	)a
Net realized gains
A-Class		—			(6,632	)a
C-Class		—			(23,940	)a
H-Class		—			(7,082	)a
Total distributions to shareholders		(181,985	)		(135,363	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		9,397,815			1,312,584
C-Class		1,754,348			3,358,472
H-Class		3,738,975			1,148,814
Redemption fees collected
A-Class		—			297
C-Class		—			1,002
H-Class		—			420
Distributions reinvested
A-Class		36,459			21,774
C-Class		88,690			80,877
H-Class		35,178			23,579
Cost of shares redeemed
A-Class		(9,129,139	)		(1,409,993	)
C-Class		(3,446,312	)		(4,789,006	)
H-Class		(1,694,933	)		(3,460,152	)
Net increase (decrease) from capital share transactions		781,081			(3,711,332	)
Net increase (decrease) in net assets		622,616			(2,779,767	)
NET ASSETS:
Beginning of year		14,166,803			16,946,570
End of year	$	14,789,419		$	14,166,803
Undistributed net investment income at end of year	$	146,978		$	181,984
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		886,084			126,661
C-Class		175,048			340,674
H-Class		352,100			110,639
Shares issued from reinvestment of distributions
A-Class		3,599			2,066
C-Class		9,143			7,952
H-Class		3,469			2,235
Shares redeemed
A-Class		(860,201	)		(136,437	)
C-Class		(341,306	)		(479,619	)
H-Class		(161,461	)		(336,679	)
Net increase (decrease) in shares		66,475			(362,508	)

^a For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

10  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET CONSERVATIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.81		$	10.11		$	8.64		$	10.74		$	10.70
Income (loss) from investment operations:
Net investment incomea		.15			.14			.12			.28			.26
Net gain (loss) on investments (realized and unrealized)		(.08	)		.65			1.52			(2.08	)		.12
Total from investment operations		.07			.79			1.64			(1.80	)		.38
Less distributions from:
Net investment income		(.14	)		(.07	)e		(.16	)e		(.14	)e		(.22	)e
Net realized gains		—			(.02	)e		(.01	)e		(.16	)e		(.14	)e
Total distributions		(.14	)		(.09	)		(.17	)		(.30	)		(.36	)
Redemption fees collected		—			—	b		—	b		—	b		.02
Net asset value, end of period	$	10.74		$	10.81		$	10.11		$	8.64		$	10.74
Total Returnc		0.72	%		7.86	%		19.02	%		(17.05	%)		3.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,212		$	2,915		$	2,805		$	2,274		$	4,431
Ratios to average net assets:
Net investment income		1.41	%		1.39	%		1.27	%		2.84	%		2.39	%
Total expensesd		—			—			—			—			0.01	%
Portfolio turnover rate		134	%		112	%		174	%		230	%		119	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.42		$	9.82		$	8.46		$	10.60		$	10.65
Income (loss) from investment operations:
Net investment incomea		.07			.07			.05			.28			.17
Net gain (loss) on investments (realized and unrealized)		(.09	)		.62			1.48			(2.12	)		.12
Total from investment operations		(.02	)		.69			1.53			(1.84	)		.29
Less distributions from:
Net investment income		(.14	)		(.07	)e		(.16	)e		(.14	)e		(.22	)e
Net realized gains		—			(.02	)e		(.01	)e		(.16	)e		(.14	)e
Total distributions		(.14	)		(.09	)		(.17	)		(.30	)		(.36	)
Redemption fees collected		—			—	b		—	b		—	b		.02
Net asset value, end of period	$	10.26		$	10.42		$	9.82		$	8.46		$	10.60
Total Returnc		(0.12	%)		7.07	%		18.12	%		(17.65	%)		2.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,941		$	8,683		$	9,474		$	5,107		$	5,074
Ratios to average net assets:
Net investment income		0.65	%		0.66	%		0.58	%		2.87	%		1.53	%
Total expensesd		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%
Portfolio turnover rate		134	%		112	%		174	%		230	%		119	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  11

ALL-ASSET CONSERVATIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.82		$	10.12		$	8.65		$	10.75		$	10.71
Income (loss) from investment operations:
Net investment incomea		.15			.14			.12			.31			.25
Net gain (loss) on investments (realized and unrealized)		(.08	)		.65			1.52			(2.11	)		.13
Total from investment operations		.07			.79			1.64			(1.80	)		.38
Less distributions from:
Net investment income		(.14	)		(.07	)e		(.16	)e		(.14	)e		(.22	)e
Net realized gains		—			(.02	)e		(.01	)e		(.16	)e		(.14	)e
Total distributions		(.14	)		(.09	)		(.17	)		(.30	)		(.36	)
Redemption fees collected		—			—	b		—	b		—	b		.02
Net asset value, end of period	$	10.75		$	10.82		$	10.12		$	8.65		$	10.75
Total Returnc		0.71	%		7.85	%		19.00	%		(17.03	%)		3.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,636		$	2,568		$	4,667		$	3,022		$	7,014
Ratios to average net assets:
Net investment income		1.46	%		1.33	%		1.28	%		3.14	%		2.28	%
Total expensesd		—			—			—			—			0.01	%
Portfolio turnover rate		134	%		112	%		174	%		230	%		119	%

^a  Net investment income 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  Does not include expenses of the underlying funds in which the Fund invests.

^e  For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

12  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT  |  13

PERFORMANCE REPORT AND FUND PROFILE ( Unaudited) March 31, 2012

ALL-ASSET MODERATE STRATEGY FUND

OBJECTIVE: To seek growth of capital and, secondarily, preservation of capital.

In the past 12 months, the financial markets continued to be driven by macroeconomic forces. Among them, the European debt crisis was the most important one. It first surprised the market with more problems, yet there were few tangible solutions looming. Together with U.S. debt downgrade, it caused a massive sell-off in the summer. As speculation grew that China and international organizations might step in to help, the market was relieved. And finally, the change of leadership at the European Central Bank brought loosened monetary policy and a mechanism to reduce the liquidity problem in the European debt market, which led the equity market to rally further in the first quarter of 2012.

Market volatility, with the VIX Index* as a proxy, also had a turbulent year, with its intra-period high reaching the level seen in early 2009. In this environment, Treasuries had another great year, easily leading equity by a large margin. In this macro-driven market, correlations between risky assets were high, making diversification more challenging to achieve. Volatility made it hard to identify a trend.

Our dynamically managed tactical overlay made a positive contribution to the portfolio’s performance, but not enough to permit the portfolio to overcome the tumult in the market.

In the period, the U.S. Intermediate Bond Series, Mid Cap Growth and Large Cap Growth Funds contributed to performance, while the Managed Futures Strategy Fund, MSCI EAFE Equal Weight Fund and the Commodities Strategy Fund detracted from the portfolio’s performance.

For the one-year period ended March 31, 2012, the All-Asset Moderate Strategy Fund H-Class returned 1.13%, compared with its benchmark** (48% Russell 3000^® Index, 12% MSCI EAFE Index and 40% Barclays U.S. Aggregate Bond Index), which returned 6.40%.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity.

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

* The VIX Index is the ticker for the Chicago Board Options Exchange (CBOE) Volatility Index, which is designed to measure market expectations of future price volatility that is implied by S&P 500 Index option contracts. The VIX Index is a widely used measure of market risk and is often referred to as the fear gauge.

** The components of the blended benchmark are defined as follows:

The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market.

The Barclays U.S. Aggregate Bond Index measures performance of the U.S. investment-grade bond market, including investment-grade U.S. government bonds, investment-grade corporate bonds, mortgage pass-through securities and asset-backed securities.

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

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings (% of Total Net Assets)
Security Income Fund® - U.S. Intermediate Bond Fund1	18.8	%
RSF – U.S. Long Short Momentum Fund1	16.1	%
iShares Barclays Aggregate Bond Fund	10.2	%
Security Equity Fund® – Large Cap Concentrated Growth Fund1	7.1	%
Security Large Cap Value Fund1	7.0	%
RSF – Multi-Hedge Strategies Fund1	5.4	%
Security Equity Fund® – MSCI EAFE Equal Weight Fund1	5.1	%
RSF – Long Short Interest Rate Strategy Fund1	3.0	%
Security Mid Cap Growth Fund1	2.0	%
Security Equity Fund® – Mid Cap Value Fund1	2.0	%
Top Ten Total	76.7	%

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

RFS – Rydex Series Funds

¹  A-Class Shares

14  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

ALL-ASSET MODERATE STRATEGY FUND

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (06/30/06)
A-Class Shares		1.04	%		1.87	%		3.30	%
A-Class Shares with sales charge†		-3.74	%		0.87	%		2.43	%
C-Class Shares		0.30	%		1.13	%		2.55	%
C-Class Shares with CDSC‡		-0.69	%		1.13	%		2.55	%
H-Class Shares		1.13	%		1.89	%		3.32	%
S&P 500 Index		8.54	%		2.01	%		4.01	%
Synthetic All-Asset Moderate Strategy Benchmark¿		6.40	%		3.68	%		5.08	%

* 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, Barclays U.S. Aggregate Bond Index, Russell 3000^® Index, and the MSCI EAFE Index^® are unmanaged indices and, unlike the Fund, have no management fees or 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.

¿ Benchmark reflects 48% Russell 3000^® Index, 12% MSCI EAFE Index^®, and 40% Barclays U.S. Aggregate Bond Index.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  15

SCHEDULE  OF  INVESTMENTS March 31, 2012

ALL-ASSET MODERATE STRATEGY FUND

	SHARES		VALUE
EXCHANGE TRADED FUND† - 10.2%
iShares Barclays Aggregate Bond Fund		22,480	$	2,469,428
Total Exchange Traded Fund (Cost $2,461,061)				2,469,428
MUTUAL FUNDS†,1 - 72.9%
Alternatives Funds - 29.1%
RSF - U.S. Long Short Momentum Fund*		294,570		3,911,883
RSF - Multi-Hedge Strategies Fund		58,002		1,300,411
RSF - Long Short Interest Rate Strategy Fund		30,796		734,172
RSF - Long/Short Commodities Strategy Fund		13,972		367,734
RSF - Managed Futures Strategy Fund*		13,081		299,946
RSF - Long Short Equity Strategy Fund		9,061		242,122
RSF - Event Driven and Distressed Strategies Fund		9,460		239,989
Total Alternatives Funds				7,096,257
Fixed Income Funds - 19.6%
Security Income Fund® - U.S. Intermediate Bond Fund		260,906		4,576,284
Security Income Fund® - High Yield Fund		17,017		197,563
Total Fixed Income Funds				4,773,847
Domestic Equity Funds - 19.1%
Security Equity Fund® - Large Cap Concentrated Growth Fund*		182,589		1,727,292
Security Large Cap Value Fund		55,229		1,708,231
Security Mid Cap Growth Fund*		13,029		478,421
Security Equity Fund® - Mid Cap Value Fund		14,285		475,402
Security Equity Fund® - Small Cap Value Fund		8,138		124,187
Security Equity Fund® - Small Cap Growth Fund*		7,740		121,985
Total Domestic Equity Funds				4,635,518
International Equity Funds - 5.1%
Security Equity Fund® - MSCI EAFE Equal Weight Fund		113,514		1,244,111
Total Mutual Funds (Cost $14,694,187)				17,749,733
	FACE AMOUNT
REPURCHASE AGREEMENT†† ,2 - 14.9%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	3,624,507		3,624,507
Total Repurchase Agreement (Cost $3,624,507)				3,624,507
Total Investments - 98.0% (Cost $20,779,755)			$	23,843,668
Other Assets & Liabilities, net - 2.0%				481,541
Total Net Assets - 100.0%			$	24,325,209

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $3,925,600)		56	$	145,356
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $1,232,400)		16		8,928
June 2012 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $101,950)		2		6,943
June 2012 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $141,381)		1		2,233
April 2012 Hang Seng Index Futures Contracts (Aggregate Value of Contracts $131,615)		1		(6,757	)
(Total Aggregate Value of Contracts $5,532,946)			$	156,703
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,225,000)		10	$	(1,293	)
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 British Pound Futures Contracts (Aggregate Value of Contracts $99,913)		1	$	2,010
June 2012 Japanese Yen Futures Contracts (Aggregate Value of Contracts $151,100)		1		160
June 2012 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $400,360)		4		(2,330	)
June 2012 Mexican Peso Futures Contracts (Aggregate Value of Contracts $232,800)		6		(2,565	)
(Total Aggregate Value of Contracts $884,173)			$	(2,725	)
FUTURES CONTRACTS SOLD SHORT†
April 2012 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $273,851)		6	$	5,666
June 2012 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $183,108)		2		2,353
June 2012 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $224,662)		2		(1,352	)
June 2012 DAX Index Futures Contracts (Aggregate Value of Contracts $232,244)		1		(2,601	)
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $248,100)		3		(10,745	)
(Total Aggregate Value of Contracts $1,161,965)			$	(6,679	)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2012 Euro Futures Contracts (Aggregate Value of Contracts $667,101)		4	$	(6,135	)
June 2012 Swiss Franc Futures Contracts (Aggregate Value of Contracts $277,225)		2		(8,255	)
(Total Aggregate Value of Contracts $944,326)			$	(14,390	)

* Non-income producing security.

† Value determined based on Level 1 inputs — See Note 4.

†† Value determined based on Level 2 inputs — See Note 4.

¹ A-Class shares of affiliated funds.

² Repurchase Agreement — See Note 5. RSF - Rydex Series Funds

16  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET MODERATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments, in unaffiliated issuers, at value (cost $2,461,061)	$	2,469,428
Investments, in affiliated issuers, at value (cost $14,694,187)		17,749,733
Repurchase agreements, at value (cost $3,624,507)		3,624,507
Total investments (cost $20,779,755)		23,843,668
Foreign currency, at value (cost $15,459)		15,241
Segregated cash with broker		467,107
Receivables:
Fund shares sold		20,405
Variation margin		14,114
Dividends		9,297
Total assets		24,369,832
LIABILITIES:
Overdraft due to custodian bank		15,220
Payable for:
Fund shares redeemed		11,687
Securities purchased		9,295
Distribution and service fees		8,421
Total liabilities		44,623
NET ASSETS	$	24,325,209
NET ASSETS CONSISTOF:
Paid in capital	$	27,937,423
Undistributed net investment income		141,148
Accumulated net realized loss on investments		(6,948,673	)
Net unrealized appreciation on investments		3,195,311
Net assets	$	24,325,209
A-CLASS:
Net assets	$	7,036,066
Capital shares outstanding		658,015
Net asset value per share	$	10.69
Maximum offering price per share (Net asset value divided by 95.25%)	$	11.22
C-CLASS:
Net assets	$	13,240,822
Capital shares outstanding		1,294,653
Net asset value per share	$	10.23
H-CLASS:
Net assets	$	4,048,321
Capital shares outstanding		378,506
Net asset value per share	$	10.70

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends from securities of affiliated issuers	$	202,288
Dividends from securities of unaffiliated issuers		26,858
Interest		989
Total investment income		230,135
EXPENSES:
Distribution and service fees:
C-Class		110,449
Total expenses		110,449
Net investment income		119,686
NET REALIZEDAND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in unaffiliated issuers		168
Investments in affiliated issuers		707,811
Futures contracts		137,899
Foreign currency		135
Realized gain distributions received from affiliated issuers		41,255
Realized gain distributions received from unaffiliated issuers		2,857
Net realized gain		890,125
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		8,367
Investments in affiliated issuers		(1,229,937	)
Futures contracts		80,197
Foreign currency		(218	)
Net change in unrealized appreciation (depreciation)		(1,141,591	)
Net realized and unrealized loss		(251,466	)
Net decrease in net assets resulting from operations	$	(131,780	)

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  17

ALL-ASSET MODERATE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE)IN NET ASSETSFROM OPERATIONS:
Net investment income	$	119,686		$	168,883
Net realized gain on investments		890,125			2,056,733
Net change in unrealized appreciation (depreciation) on investments		(1,141,591	)		229,321
Net increase (decrease) in net assets resulting from operations		(131,780	)		2,454,937
DISTRIBUTIONSTO SHAREHOLDERSFROM:
Net investment income
A-Class		(69,182	)		(36,863	)a
C-Class		(138,307	)		(80,363	)a
H-Class		(38,073	)		(21,060	)a
Net realized gains
A-Class		—			(20,468	)a
C-Class		—			(44,621	)a
H-Class		—			(11,693	)a
Total distributions to shareholders		(245,562	)		(215,068	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		953,533			2,264,995
C-Class		1,660,360			4,762,262
H-Class		2,213,182			1,666,855
Redemption fees collected
A-Class		—			551
C-Class		—			1,160
H-Class		—			371
Distributions reinvested
A-Class		63,638			53,429
C-Class		127,252			117,251
H-Class		37,295			32,009
Cost of shares redeemed
A-Class		(2,396,111	)		(4,409,898	)
C-Class		(6,071,901	)		(7,882,677	)
H-Class		(2,662,165	)		(5,242,983	)
Net decrease from capital share transactions		(6,074,917	)		(8,636,675	)
Net decrease in net assets		(6,452,259	)		(6,396,806	)
NET ASSETS:
Beginning of year		30,777,468			37,174,274
End of year	$	24,325,209		$	30,777,468
Undistributed net investment income at end of year	$	141,148		$	245,665
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		92,258			222,647
C-Class		166,888			487,674
H-Class		214,253			163,150
Shares issued from reinvestment of distributions
A-Class		6,500			5,167
C-Class		13,566			11,737
H-Class		3,810			3,096
Shares redeemed
A-Class		(234,397	)		(441,339	)
C-Class		(614,294	)		(822,570	)
H-Class		(258,330	)		(525,938	)
Net decrease in shares		(609,746	)		(896,376	)

^a For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

18  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET MODERATE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March  31, 2012			Year Ended March  31, 2011			Year Ended March  31, 2010			Year Ended March  31, 2009			Year Ended March  31, 2008
Per Share Data
Net asset value, beginning of period	$	10.69		$	9.84		$	7.93		$	10.18		$	10.56
Income (loss) from investment operations:
Net investment incomea		.09			.10			.09			.20			.17
Net gain (loss) on investments (realized and unrealized)		.01			.82			1.99			(2.31	)		(.24	)
Total from investment operations		.10			.92			2.08			(2.11	)		(.07	)
Less distributions from:
Net investment income		(.10	)		(.05	)e		(.17	)e		(.02	)e		(.12	)e
Net realized gains		—			(.02	)e		(.01	)e		(.12	)e		(.19	)e
Total distributions		(.10	)		(.07	)		(.18	)		(.14	)		(.31	)
Redemption fees collected		—			—	b		.01			—	b		—	b
Net asset value, end of period	$	10.69		$	10.69		$	9.84		$	7.93		$	10.18
Total Returnc		1.04	%		9.39	%		26.34	%		(20.85	%)		(0.75	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,036		$	8,485		$	9,907		$	7,907		$	10,214
Ratios to average net assets:
Net investment income		0.89	%		0.95	%		0.94	%		2.14	%		1.58	%
Total expensesd		—			—			—			—			0.01	%
Portfolio turnover rate		77	%		93	%		170	%		220	%		125	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.31		$	9.56		$	7.77		$	10.05		$	10.50
Income (loss) from investment operations:
Net investment incomea		.01			.02			.02			.11			.10
Net gain (loss) on investments (realized and unrealized)		.01			.80			1.94			(2.25	)		(.24	)
Total from investment operations		.02			.82			1.96			(2.14	)		(.14	)
Less distributions from:
Net investment income		(.10	)		(.05	)e		(.17	)e		(.02	)e		(.12	)e
Net realized gains		—			(.02	)e		(.01	)e		(.12	)e		(.19	)e
Total distributions		(.10	)		(.07	)		(.18	)		(.14	)		(.31	)
Redemption fees collected		—			—	b		.01			—	b		—	b
Net asset value, end of period	$	10.23		$	10.31		$	9.56		$	7.77		$	10.05
Total Returnc		0.30	%		8.62	%		25.33	%		(21.42	%)		(1.43	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,241		$	17,815		$	19,607		$	17,885		$	30,282
Ratios to average net assets:
Net investment income		0.12	%		0.21	%		0.17	%		1.22	%		0.90	%
Total expensesd		0.75	%		0.75	%		0.75	%		0.75	%		0.76	%
Portfolio turnover rate		77	%		93	%		170	%		220	%		125	%

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  19

ALL-ASSET MODERATE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.69		$	9.84		$	7.94		$	10.18		$	10.56
Income (loss) from investment operations:
Net investment incomea		.09			.09			.08			.16			.13
Net gain (loss) on investments (realized and unrealized)		.02			.83			1.99			(2.26	)		(.20	)
Total from investment operations		.11			.92			2.07			(2.10	)		(.07	)
Less distributions from:
Net investment income		(.10	)		(.05	)e		(.17	)e		(.02	)e		(.12	)e
Net realized gains		—			(.02	)e		(.01	)e		(.12	)e		(.19	)e
Total distributions		(.10	)		(.07	)		(.18	)		(.14	)		(.31	)
Redemption fees collected		—			—	b		.01			—	b		—	b
Net asset value, end of period	$	10.70		$	10.69		$	9.84		$	7.94		$	10.18
Total Returnc		1.13	%		9.39	%		26.18	%		(20.75	%)		(0.75	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,048		$	4,478		$	7,660		$	6,279		$	11,359
Ratios to average net assets:
Net investment income		0.90	%		0.92	%		0.92	%		1.73	%		1.22	%
Total expensesd		—			—			—			—			0.01	%
Portfolio turnover rate		77	%		93	%		170	%		220	%		125	%

^a  Net investment income 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  Does not include expenses of the underlying funds in which the Fund invests.

^e  For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

20  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

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THE GUGGENHEIM FUNDS ANNUAL REPORT  |  21

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) March 31, 2012

ALL-ASSET AGGRESSIVE STRATEGY FUND

OBJECTIVE: To seek growth of capital by investing principally in a diversified portfolio of underlying funds.

In the past 12 months, the financial markets continued to be driven by macroeconomic forces. Among them, the European debt crisis was the most important one. It first surprised the market with more problems, yet there were few tangible solutions looming. Together with U.S. debt downgrade, it caused a massive sell-off in the summer. As speculation grew that China and international organizations might step in to help, the market was relieved. And finally, the change of leadership at the European Central Bank brought loosened monetary policy and a mechanism to reduce the liquidity problem in the European debt market, which led the equity market to rally further in the first quarter of 2012.

Market volatility, with the VIX Index* as a proxy, also had a turbulent year, with its intra-period high reaching the level seen in early 2009. In this environment, Treasuries had another great year, easily leading equity by a large margin. In this macro-driven market, correlations between risky assets were high, making diversification more challenging to achieve. Volatility made it hard to identify a trend.

Our dynamically managed tactical overlay made a positive contribution to the portfolio’s performance, but not enough to permit the portfolio to overcome the tumult in the market.

In the period, the U.S. Intermediate Bond Series, Mid Cap Growth and Large Cap Growth Funds contributed to performance, while the Managed Futures Strategy Fund, MSCI EAFE Equal Weight Fund and the Commodities Strategy Fund detracted from the portfolio’s performance.

For the one-year period ended March 31,2012, the All-Asset Aggressive Strategy Fund H-Class returned 0.61%, compared with its benchmark** (64% Russell 3000^® Index, 16% MSCI EAFE Index and 20% Barclays U.S. Aggregate Bond Index), which returned 5.79%.

Derivatives in the Fund are used to provide the most efficient exposure to the components of the blended benchmark, as well as to provide liquidity.

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

* The VIX Index is the ticker for the Chicago Board Options Exchange (CBOE) Volatility Index, which is designed to measure market expectations of future price volatility that is implied by S&P 500 Index option contracts. The VIX Index is a widely used measure of market risk and is often referred to as the fear gauge.

** The components of the blended benchmark are defined as follows:

The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.

The Russell 3000^® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market.

The Barclays U.S. Aggregate Bond Index measures performance of the U.S. investment-grade bond market, including investment-grade U.S. government bonds, investment-grade corporate bonds, mortgage pass-through securities and asset-backed securities.

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

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings (% of Total Net Assets)
RSF – U.S. Long Short Momentum Fund1	18.6	%
Security Large Cap Value Fund1	9.6	%
Security Equity Fund® – Large Cap Concentrated Growth Fund1	9.6	%
Security Income Fund® – U.S. Intermediate Bond Fund1	8.9	%
iShares Barclays Aggregate Bond Fund	8.7	%
Security Equity Fund® – MSCI EAFE Equal Weight Fund1	7.1	%
RSF – Multi-Hedge Strategies Fund1	4.6	%
RSF – Long Short Interest Rate Strategy Fund1	3.5	%
Security Mid Cap Growth Fund1	2.5	%
Security Equity Fund® – Mid Cap Value Fund1	2.5	%
Top Ten Total	75.6	%

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

RSF – Rydex Series Funds

¹  A-Class Shares

22  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) (concluded) March 31, 2012

ALL-ASSET AGGRESSIVE STRATEGY FUND

Average Annual Returns*

Periods Ended 03/31/12

	1 Year			5 Year			Since Inception (06/30/06)
A-Class Shares		0.61	%		1.67	%		3.21	%
A-Class Shares with sales charge†		-4.18	%		0.69	%		2.34	%
C-Class Shares		-0.17	%		0.88	%		2.41	%
C-Class Shares with CDSC‡		-1.15	%		0.88	%		2.41	%
H-Class Shares		0.61	%		1.65	%		3.21	%
S&P 500 Index		8.54	%		2.01	%		4.01	%
Synthetic All-Asset Aggressive Strategy Benchmark¿		5.79	%		2.52	%		4.39	%

* 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, Barclays U.S. Aggregate Bond Index, Russell 3000 Index, and the MSCI EAFE Index are unmanaged indices and, unlike the Fund, have no management fees or 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.

¿ Benchmark reflects 64% Russell 3000^® Index, 16% MSCI EAFE Index^® and 20% Barclays U.S. Aggregate Bond Index.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  23

SCHEDULE OF INVESTMENTS March 31, 2012

ALL-ASSET AGGRESSIVE STRATEGY FUND

	SHARES		VALUE
EXCHANGE TRADED FUND† - 8.7%
iShares Barclays Aggregate Bond Fund		8,914	$	979,203
Total Exchange Traded Fund (Cost $980,203)				979,203
MUTUAL FUNDS†,1 - 74.3%
Alternatives Funds - 31.7%
RSF - U.S. Long Short Momentum Fund*		157,030		2,085,361
RSF - Multi-Hedge Strategies Fund		23,307		522,547
RSF - Long Short Interest Rate Strategy Fund		16,419		391,436
RSF - Long/Short Commodities Strategy Fund		7,133		187,750
RSF - Managed Futures Strategy Fund*		6,807		156,093
RSF - Long Short Equity Strategy Fund		4,174		111,534
RSF - Event Driven and Distressed Strategies Fund		4,357		110,526
Total Alternatives Funds				3,565,247
Domestic Equity Funds - 26.4%
Security Large Cap Value Fund		34,674		1,072,454
Security Equity Fund® - Large Cap Concentrated Growth Fund*		113,317		1,071,983
Security Mid Cap Growth Fund*		7,555		277,417
Security Equity Fund® - Mid Cap Value Fund		8,318		276,835
Security Equity Fund® - Small Cap Value Fund		8,617		131,497
Security Equity Fund® - Small Cap Growth Fund*		8,224		129,616
Total Domestic Equity Funds				2,959,802
Fixed Income Funds - 9.1%
Security Income Fund® - U.S.
Intermediate Bond Fund		56,932		998,582
Security Income Fund® - High Yield Fund		2,205		25,602
Total Fixed Income Funds				1,024,184
International Equity Funds - 7.1%
Security Equity Fund® - MSCI EAFE Equal Weight Fund		72,303		792,444
Total Mutual Funds (Cost $6,720,368)				8,341,677
	FACE AMOUNT
REPURCHASE AGREEMENT ††,2 - 14.7%
Credit Suisse Group issued 03/30/12 at 0.01% due 04/02/12	$	1,648,857		1,648,857
Total Repurchase Agreement (Cost $1,648,857)				1,648,857
Total Investments - 97.7% (Cost $9,349,428)			$	10,969,737
Other Assets & Liabilities, net - 2.3%				260,756
Total Net Assets - 100.0%			$	11,230,493

	CONTRACTS		UNREALIZED GAIN (LOSS)
FUTURES CONTRACTS PURCHASED†
June 2012 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $2,523,600)		36	$	92,944
June 2012 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $847,275)		11		6,138
June 2012 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $50,975)		1		3,472
June 2012 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $141,381)		1		2,229
(Total Aggregate Value of Contracts $3,563,231)			$	104,783
INTEREST RATE FUTURES CONTRACTS PURCHASED†
June 2012 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $367,500)		3	$	211
CURRENCY FUTURES CONTRACTS PURCHASED†
June 2012 British Pound Futures Contracts (Aggregate Value of Contracts $99,913)		1	$	2,010
June 2012 Japanese Yen Futures Contracts (Aggregate Value of Contracts $151,100)		1		160
June 2012 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $200,180)		2		(1,165	)
June 2012 Mexican Peso Futures Contracts (Aggregate Value of Contracts $116,400)		3		(1,283	)
(Total Aggregate Value of Contracts $567,593)			$	(278	)
FUTURES CONTRACTS SOLD SHORT†
April 2012 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $136,926)		3	$	2,833
June 2012 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $91,554)		1		1,176
June 2012 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $112,331)		1		(676	)
June 2012 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $165,400)		2		(7,164	)
(Total Aggregate Value of Contracts $506,211)			$	(3,831	)

24  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

SCHEDULE OF INVESTMENTS (concluded) March 31, 2012

ALL-ASSET AGGRESSIVE STRATEGY FUND

	CONTRACTS		UNREALIZED LOSS
CURRENCY FUTURES CONTRACTS SOLD SHORT†
June 2012 Swiss Franc Futures Contracts (Aggregate Value of Contracts $138,613)		1	$	(4,128	)
June 2012 Euro Futures Contracts (Aggregate Value of Contracts $333,550)		2		(4,658	)
(Total Aggregate Value of Contracts $472,163)			$	(8,786	)

* Non-income producing security.

† Value determined based on Level 1 inputs — See Note 4.

†† Value determined based on Level 2 inputs — See Note 4.

¹  A-Class shares of affiliated funds.

²  Repurchase Agreement — See Note 5.

RSF — Rydex Series Funds

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  25

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES

March 31, 2012

ASSETS:
Investments in unaffiliated issuers, at value (cost $980,203)	$	979,203
Investments in affiliated issuers, at value (cost $6,720,368)		8,341,677
Repurchase agreements, at value (cost $1,648,857)		1,648,857
Total investments (cost $9,349,428)		10,969,737
Foreign currency, at value (cost $42,523)		42,820
Segregated cash with broker		268,579
Receivables:
Variation margin		11,930
Dividends		1,931
Fund shares sold		84
Total assets		11,295,081
LIABILITIES:
Overdraft due to custodian bank		42,680
Payable for:
Fund shares redeemed		16,364
Distribution and service fees		3,613
Securities purchased		1,931
Total liabilities		64,588
NET ASSETS	$	11,230,493
NET ASSETS CONSISTOF:
Paid in capital	$	12,572,427
Undistributed net investment income		34,692
Accumulated net realized loss on investments		(3,089,333	)
Net unrealized appreciation on investments		1,712,707
Net assets	$	11,230,493
A-Class:
Net assets	$	3,448,959
Capital shares outstanding		332,846
Net asset value per share	$	10.36
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.88
C-Class:
Net assets	$	5,707,112
Capital shares outstanding		577,028
Net asset value per share	$	9.89
H-Class:
Net assets	$	2,074,422
Capital shares outstanding		200,264
Net asset value per share	$	10.36

STATEMENT OF OPERATIONS

Year Ended March 31, 2012

INVESTMENT INCOME:
Dividends from securities of affiliated issuers	$	60,562
Dividends from securities of unaffiliated issuers		8,764
Interest		509
Total investment income		69,835
EXPENSES:
Distribution and service fees:
C-Class		44,947
Total expenses		44,947
Net investment income		24,888
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments in affiliated issuers		617,048
Futures contracts		26,458
Foreign currency		132
Realized gain distributions received from affiliated issuers		19,301
Realized gain distributions received from unaffiliated issuers		933
Net realized gain		663,872
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,000	)
Investments in affiliated issuers		(1,129,042	)
Futures contracts		52,700
Foreign currency		297
Net change in unrealized appreciation (depreciation)		(1,077,045	)
Net realized and unrealized loss		(413,173	)
Net decrease in net assets resulting from operations	$	(388,285	)

26  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended March 31, 2012			Year Ended March 31, 2011
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income	$	24,888		$	60,403
Net realized gain on investments		663,872			824,966
Net change in unrealized appreciation (depreciation) on investments		(1,077,045	)		915,300
Net increase (decrease) in net assets resulting from operations		(388,285	)		1,800,669
DISTRIBUTIONSTO SHAREHOLDERS FROM:
Net investment income
A-Class		(32,421	)		(4,100	)a
C-Class		(56,510	)		(4,071	)a
H-Class		(17,469	)		(1,726	)a
Net realized gains
A-Class		—			(19,053	)a
C-Class		—			(18,922	)a
H-Class		—			(8,023	)a
Total distributions to shareholders		(106,400	)		(55,895	)
CAPITAL SHARE TRANSACTIONS:
Proceeds from sale of shares
A-Class		564,208			2,068,087
C-Class		893,522			1,443,010
H-Class		1,474,836			1,350,482
Redemption fees collected
A-Class		—			121
C-Class		—			128
H-Class		—			62
Distributions reinvested
A-Class		30,714			14,520
C-Class		50,150			21,423
H-Class		17,168			9,658
Cost of shares redeemed
A-Class		(4,012,179	)		(2,185,888	)
C-Class		(2,246,851	)		(2,074,277	)
H-Class		(2,257,775	)		(2,331,122	)
Net decrease from capital share transactions		(5,486,207	)		(1,683,796	)
Net increase (decrease) in net assets		(5,980,892	)		60,978
NET ASSETS:
Beginning of year		17,211,385			17,150,407
End of year	$	11,230,493		$	17,211,385
Undistributed net investment income at end of year	$	34,692		$	106,401
CAPITAL SHARE ACTIVITY:
Shares sold
A-Class		54,903			215,657
C-Class		93,743			155,387
H-Class		147,220			140,593
Shares issued from reinvestment of distributions
A-Class		3,331			1,455
C-Class		5,686			2,227
H-Class		1,864			968
Shares redeemed
A-Class		(411,253	)		(226,325	)
C-Class		(235,389	)		(228,788	)
H-Class		(231,875	)		(249,441	)
Net decrease in shares		(571,770	)		(188,267	)

^a For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  27

ALL-ASSET AGGRESSIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

A-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.40		$	9.29		$	6.98		$	9.69		$	10.28
Income (loss) from investment operations:
Net investment incomea		.05			.07			.05			.12			.11
Net gain (loss) on investments (realized and unrealized)		—			1.07			2.37			(2.60	)		(.48	)
Total from investment operations		.05			1.14			2.42			(2.48	)		(.37	)
Less distributions from:
Net investment income		(.09	)		(.01	)e		(.10	)e		(.22	)e		(.06	)e
Net realized gains		—			(.02	)e		(.01	)e		(.01	)e		(.16	)e
Total distributions		(.09	)		(.03	)		(.11	)		(.23	)		(.22	)
Redemption fees collected		—			—	b		—	b		—	b		—	b
Net asset value, end of period	$	10.36		$	10.40		$	9.29		$	6.98		$	9.69
Total Returnc		0.61	%		12.31	%		34.67	%		(25.81	%)		(3.77	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,449		$	7,134		$	6,457		$	5,389		$	8,596
Ratios to average net assets:
Net investment income		0.48	%		0.70	%		0.55	%		1.40	%		1.01	%
Total expensesd		—			—			—			0.02	%		0.01	%
Portfolio turnover rate		77	%		97	%		185	%		278	%		120	%
C-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.01		$	9.01		$	6.82		$	9.56		$	10.22
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		(.01	)		(.02	)		.05			.06
Net gain (loss) on investments (realized and unrealized)		(.01	)		1.04			2.32			(2.56	)		(.50	)
Total from investment operations		(.03	)		1.03			2.30			(2.51	)		(.44	)
Less distributions from:
Net investment income		(.09	)		(.01	)e		(.10	)e		(.22	)e		(.06	)e
Net realized gains		—			(.02	)e		(.01	)e		(.01	)e		(.16	)e
Total distributions		(.09	)		(.03	)		(.11	)		(.23	)		(.22	)
Redemption fees collected		—			—	b		—	b		—	b		—	b
Net asset value, end of period	$	9.89		$	10.01		$	9.01		$	6.82		$	9.56
Total Returnc		(0.17	%)		11.47	%		33.72	%		(26.48	%)		(4.48	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,707		$	7,135		$	7,063		$	4,667		$	6,178
Ratios to average net assets:
Net investment income (loss)		(0.18	%)		(0.09	%)		(0.21	%)		0.59	%		0.60	%
Total expensesd		0.75	%		0.75	%		0.75	%		0.77	%		0.76	%
Portfolio turnover rate		77	%		97	%		185	%		278	%		120	%

28  |  THE GUGGENHEIM FUNDS ANNUAL REPORT SEE NOTES TO FINANCIAL STATEMENTS.

ALL-ASSET AGGRESSIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

H-Class	Year Ended March 31, 2012			Year Ended March 31, 2011			Year Ended March 31, 2010			Year Ended March 31, 2009			Year Ended March 31, 2008
Per Share Data
Net asset value, beginning of period	$	10.40		$	9.29		$	6.97		$	9.69		$	10.29
Income (loss) from investment operations:
Net investment incomea		.05			.06			.04			.11			.08
Net gain (loss) on investments (realized and unrealized)		—			1.08			2.39			(2.60	)		(.46	)
Total from investment operations		.05			1.14			2.43			(2.49	)		(.38	)
Less distributions from:
Net investment income		(.09	)		(.01	)e		(.10	)e		(.22	)e		(.06	)e
Net realized gains		—			(.02	)e		(.01	)e		(.01	)e		(.16	)e
Total distributions		(.09	)		(.03	)		(.11	)		(.23	)		(.22	)
Redemption fees collected		—			—	b		—	b		—	b		—	b
Net asset value, end of period	$	10.36		$	10.40		$	9.29		$	6.97		$	9.69
Total Returnc		0.61	%		12.31	%		34.86	%		(25.92	%)		(3.87	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,074		$	2,943		$	3,630		$	3,240		$	4,447
Ratios to average net assets:
Net investment income		0.53	%		0.66	%		0.53	%		1.22	%		0.80	%
Total expensesd		—			—			—			0.02	%		0.01	%
Portfolio turnover rate		77	%		97	%		185	%		278	%		120	%

^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 Does not include expenses of the underlying funds in which the Fund invests.

^e For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

SEE NOTES TO FINANCIAL STATEMENTS. THE GUGGENHEIM FUNDS ANNUAL REPORT  |  29

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies

Organization

The Rydex Series Funds (the “Trust”) is registered with the SEC under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. 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% 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 31, 2012, the Trust consisted of fifty-seven separate funds. This report covers the Asset Allocation Funds (the “Funds”), while the other funds are contained in separate reports. Only A-Class, C-Class, and H-Class shares had been issued in the Funds.

Guggenheim Investments (“Gl”) provides advisory services and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Rydex Distributors, LLC (“RDL”) acts as principal underwriter for the Trust. Gl, RFS and RDL are affiliated entities.

Each Fund is a “fund of funds,” which means that each Fund seeks to achieve its investment objective by investing primarily in a combination of mutual funds (“the underlying funds”) within the same group of affiliated investment companies and exchange traded funds (“ETFs”) instead of in individual securities. The underlying funds are advised by GI.

Prior to September 13, 2010, all classes were subject to a 1% redemption fee when shares were redeemed within 30 days of purchase. Effective September 13, 2010, the redemption fee was removed.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

A. The underlying funds are valued at their NAV as of the close of business, usually 4:00 p.m. on the valuation date and ETFs are valued at the last quoted sales price. Short-term securities with a maturity of 60 days or less and repurchase agreements, are valued at amortized cost, which approximates market value.

B. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

C. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis.

D. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the Classes based upon the value of the outstanding shares in each Class. Certain costs, such as service and distribution fees related to C-Class shares, are charged directly to such class. In addition, certain expenses have been allocated on a pro rata basis to the individual Funds in the Trust based upon the respective aggregate net assets of each Fund included in the Trust.

E. Upon entering into a futures contract, the Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

F. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

30  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

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G. 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.

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.

2. Financial Instruments

As part of their investment strategies, the underlying funds may utilize short sales and a variety of derivative instruments including options, futures, options on futures and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts reflected in the underlying funds’ NAVs.

The Funds’ also directly utilize futures contracts as part of their investment strategies. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities.

A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s or an underlying fund’s use of futures contracts and related options, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading

restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.

In conjunction with the use of futures, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

3. Fees and Other Transactions with Affiliates

Gl manages the investment and reinvestment of the assets of each of the Funds in accordance with the investment objectives, policies, and limitations of each Fund, however, the Funds do not pay Gl a management fee. As part of its agreement with the Trust, Gl will pay all expenses of the Funds, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses.

Each Fund indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other expenses) of the underlying funds in which the Fund invests.

RFS provides transfer agent, accounting and administrative services to the Funds. However, the related fees are paid by Gl, as noted above.

The Funds have not adopted a Distribution Plan or a Shareholder Services Plan with respect to A-Class shares and H-Class shares. Instead, the Funds invest in underlying funds that have a distribution plan that allows the underlying funds to pay distribution fees to RDL and other firms that provide distribution services (“Service Providers”). The underlying funds will pay distribution fees to RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule l2b-l under the 1940 Act, as amended. If a Service Provider provides distribution or shareholder services, RDL will, in turn, pay the Service Provider for the services it provides at an annual rate not to exceed 0.25% of the average daily net assets.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  31

NOTES TO FINANCIAL STATEMENTS (continued)

The Funds have adopted a Distribution and Shareholder Services Plan applicable to their C-Class shares that allows the Funds to pay annual distribution and service fees of 0.75% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates the shareholder’s financial advisor for providing ongoing services to the shareholder. The annual 0.50% distribution fee reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the inputs used to value the Funds’ net assets at March 31, 2012:

	Level 1 Investments In Securities		Level 1 Other Financial Instruments*		Level 2 Investments In Securities		Level 3 Investments In Securities		Total
Assets
All-Asset Conservative Strategy Fund	$	11,507,409	$	60,374	$	3,083,720	$	—	$	14,651,503
All-Asset Moderate Strategy Fund		20,219,161		173,649		3,624,507		—		24,017,317
All-Asset Aggressive Strategy Fund		9,320,880		111,173		1,648,857		—		11,080,910
Liabilities
All-Asset Conservative Strategy Fund	$	—	$	30,446	$	—	$	—	$	30,446
All-Asset Moderate Strategy Fund		—		42,033		—		—		42,033
All-Asset Aggressive Strategy Fund		—		19,074		—		—		19,074

* Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end.

For the year ended March 31, 2012, there were no transfers between levels.

5. Repurchase Agreements

The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

At March 31, 2012, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral	Par Value		Fair Value
Credit Suisse Group 0.01% Due 04/02/12	$	57,898,514	$	57,898,562	U.S. Treasury Note 1.375% 11/30/2015	$	57,159,300	$	59,056,509

32  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the year ended March 31, 2012, the Funds sought to gain exposure to their respective investment strategies by investing in currency and financial-linked derivative instruments. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage of Fund’s net assets on a daily basis
Fund	Long			Short
All-Asset Conservative Strategy Fund		30	%		10	%
All-Asset Moderate Strategy Fund		30	%		10	%
All-Asset Aggressive Strategy Fund		40	%		10	%

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of March 31, 2012:

Location on the Statements of Assets and Liabilities
Derivative Investments Type	Asset Derivatives	Liability Derivatives
Equity/Interest rate/Currency contracts	Variation margin	Variation margin

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2012:

	Asset Derivative Investments Value
Fund	Futures Equity Contracts*		Futures Interest Rate Contracts*		Futures Currency Contracts*		Total Value at March 31, 2012
All-Asset Conservative Strategy Fund	$	58,204	$	—	$	2,170	$	60,374
All-Asset Moderate Strategy Fund		171,479		—		2,170		173,649
All-Asset Aggressive Strategy Fund		108,792		211		2,170		111,173
	Liability Derivative Investments Value
Fund	Futures Equity Contracts*		Futures Interest Rate Contracts*		Futures Currency Contracts*		Total Value at March 31, 2012
All-Asset Conservative Strategy Fund	$	10,441	$	8,771	$	11,234	$	30,446
All-Asset Moderate Strategy Fund		21,455		1,293		19,285		42,033
All-Asset Aggressive Strategy Fund		7,840		—		11,234		19,074

* 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 31, 2012:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest rate/Currency contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  33

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 31, 2012:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations

Fund	Futures Equity Contracts			Futures Interest Rate Contracts			Futures Currency Contracts			Total
All-Asset Conservative Strategy Fund	$	(57,828	)	$	104,352		$	13,449		$	59,973
All-Asset Moderate Strategy Fund		(10,758	)		109,588			39,069			137,899
All-Asset Aggressive Strategy Fund		(2,809	)		25,188			4,079			26,458
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
Fund	Futures Equity Contracts			Futures Interest Rate Contracts			Futures Currency Contracts			Total
All-Asset Conservative Strategy Fund	$	34,955		$	(5,404	)	$	(9,064	)	$	20,487
All-Asset Moderate Strategy Fund		95,373			1,939			(17,115	)		80,197
All-Asset Aggressive Strategy Fund		60,110			1,654			(9,064	)		52,700

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken or to be taken on Federal income tax returns for all open tax years (fiscal years 2009-2012), and has concluded that no provision for income tax is required in the Funds’ financial statements.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The changes are generally effective for taxable years beginning after the date of enactment.

One of the more prominent changes addresses capital loss carryforwards. Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2012, the following capital loss carryforward amounts were used:

Fund	Amount
All-Asset Conservative Strategy Fund	$	293,956
All-Asset Moderate Strategy Fund		929,612
All-Asset Aggressive Strategy Fund		529,215

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
All-Asset Conservative Strategy Fund	$	181,985	$	—	$	181,985
All-Asset Moderate Strategy Fund		245,562		—		245,562
All-Asset Aggressive Strategy Fund		106,400		—		106,400

34  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (concluded)

The tax character of distributions paid during the year ended March 31, 2011 was as follows:

Fund	Ordinary Income		Long-Term Capital Gain		Total Distributions
All-Asset Conservative Strategy Fund	$	135,363	$	—	$	135,363
All-Asset Moderate Strategy Fund		215,068		—		215,068
All-Asset Aggressive Strategy Fund		55,895		—		55,895

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 31, 2012 was as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gain		Net Unrealized Appreciation (Depreciation)		Capital Loss Carryforward1
All-Asset Conservative Strategy Fund	$	146,979	$	—	$	1,137,539	$	(1,436,888	)
All-Asset Moderate Strategy Fund		141,148		—		2,689,303		(6,442,665	)
All-Asset Aggressive Strategy Fund		34,691		—		1,389,870		(2,766,495	)

Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.

¹  A summary of the expiration of the aforementioned Capital Loss Carryforward is as follows:

Fund	Expires in 2017			Expires in 2018			Total Capital Loss Carryforward
All-Asset Conservative Strategy Fund	$	(272,291	)	$	(1,164,597	)	$	(1,436,888	)
All-Asset Moderate Strategy Fund		(3,058,305	)		(3,384,360	)		(6,442,665	)
All-Asset Aggressive Strategy Fund		(1,337,352	)		(1,429,143	)		(2,766,495	)

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 reclassifications were made for permanent book/tax differences:

Fund	Paid In Capital			Undistributed Net Investment Income		Accumulated Net Realized Gain (Loss)
All-Asset Conservative Strategy Fund	$	—		$	9,872	$	(9,872	)
All-Asset Moderate Strategy Fund		(1	)		21,359		(21,358	)
All-Asset Aggressive Strategy Fund		—			9,803		(9,803	)

At March 31, 2012, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

Fund	Tax Cost		Tax Unrealized Gain		Tax Unrealized Loss			Net Unrealized Gain
All-Asset Conservative Strategy Fund	$	13,450,027	$	1,166,035	$	(24,933	)	$	1,141,102
All-Asset Moderate Strategy Fund		21,143,435		2,738,786		(38,553	)		2,700,233
All-Asset Aggressive Strategy Fund		9,579,492		1,421,090		(30,845	)		1,390,245

8. Securities Transactions

For the year ended March 31, 2012, the cost of purchases and proceeds from sales of investment securities, excluding government securities and short-term investments, were:

	Purchases		Sales
All-Asset Conservative Strategy Fund	$	15,135,879	$	14,319,765
All-Asset Moderate Strategy Fund		16,348,901		20,134,465
All-Asset Aggressive Strategy Fund		8,207,075		12,307,008

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  35

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees and Shareholders

of Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of All-Asset Conservative Strategy Fund, All-Asset Moderate Strategy Fund, and All-Asset Aggressive Strategy Fund (three of the series constituting the Rydex Series Funds) (the “Funds”) as of March 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2012, by correspondence with the custodian, the transfer agent of the underlying funds and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the above listed Funds at March 31, 2012, 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, 2012

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OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2012, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
All-Asset Conservative Strategy Fund		2.24	%
All-Asset Moderate Strategy Fund		5.23	%
All-Asset Aggressive Strategy Fund		8.95	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
All-Asset Conservative Strategy Fund		2.22	%
All-Asset Moderate Strategy Fund		5.17	%
All-Asset Aggressive Strategy Fund		8.84	%

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.

At a special meeting of shareholders held on January 5, 2012, the shareholders of the Funds voted on whether to approve a new investment advisory agreement between Rydex Series Funds and Security Investors, LLC. A description of the number of shares voted is as follows:

Fund	Shares For		Shares Against		Shares Abstained
All-Asset Conservative Strategy Fund		614,913		16,698		9,143
All-Asset Moderate Strategy Fund		1,172,915		14,006		29,955
All-Asset Aggressive Strategy Fund		464,984		8,561		13,092

At a special meeting of shareholders held on November 22, 2011, the shareholders of the Funds also voted on whether to approve the election of nominees to the Board of Trustees. A description of the number of shares voted is as follows:

Donald C. Cacciapaglia		Corey A. Colehour		J. Kenneth Dalton
For	1,443,600,903	For	1,444,213,017	For	1,444,422,997
Withhold	23,402,732	Withhold	22,790,618	Withhold	22,580,638
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
John O. Demaret		Richard M. Goldman		Werner E. Keller
For	1,445,255,754	For	1,443,668,595	For	1,445,494,273
Withhold	21,747,881	Withhold	23,335,040	Withhold	21,509,362
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635
Thomas F. Lydon		Patrick T. McCarville		Roger Somers
For	1,444,219,448	For	1,445,357,773	For	1,443,486,735
Withhold	22,784,187	Withhold	21,645,862	Withhold	23,516,900
Total	1,467,003,635	Total	1,467,003,635	Total	1,467,003,635

At a special meeting of shareholders held on January 26, 2012, the shareholders of the Funds also voted on whether to approve a “manager of managers” arrangement for each of the Funds. Although shareholder votes were placed, not enough votes were received to meet the minimum requirements to constitute a majority vote. As such, the matter was closed.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  37

OTHER INFORMATION (Unaudited) (concluded)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on

Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 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

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Fund’s investment manager (the “Investment Manager”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals. The Transaction closed on February 29, 2012.

The Transaction should not result in material changes to the day-to-day management and operation of the Funds or any increase in fees.

In anticipation of the Transaction, the Board of Trustees of the Funds (the “Board”) called a special meeting of shareholders (the “Meeting”), at which shareholders of the Funds of record as of October 3, 2011 were asked to consider the approval of a new investment management agreement between the Funds and the Investment Manager (the “New Agreement”). This approval was necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could have resulted in the termination of the Funds’ current investment management agreement with the Investment Manager (the “Current Agreement”). The Funds’ shareholders approved the New Agreement, the terms of which are substantially identical to the corresponding Current Agreement, except with respect to the date of execution, and the New Agreement will take effect if the Transaction is completed.

Election of Board Members

The Board also approved a proposal to elect nine individuals to the Board. The Board proposed the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Board believes that expanding the Board to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Guggenheim Investments family of funds, would be appropriate. The Trusts’ shareholders ultimately approved the aforementioned proposal.

38  |  THE GUGGENHEIM FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

TRUSTEE AND OFFICER

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Donald C. Cacciapaglia*	Rydex Series Funds – 2012	148
Trustee, President (1951)	Rydex Variable Trust – 2012
	Rydex Dynamic Funds – 2012
	Rydex ETF Trust – 2012

Principal Occupations During Past Five Years: Security Investors, LLC: President and CEO from April 2012 to present; Guggenheim Investments: President and Chief Administrative Officer from February 2010 to present; Channel Capital Group, Inc.: Chairman and CEO from April 2002 to February 2010.

INDEPENDENT TRUSTEES

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Corey A. Colehour	Rydex Series Funds – 1993	148
Trustee (1945)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit, Governance and Nominating Committees (1995 to present)

J. Kenneth Dalton	Rydex Series Funds – 1995	148
Trustee (1941)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

John O. Demaret	Rydex Series Funds – 1997	148
Trustee, Chairman of the	Rydex Variable Trust – 1998
Board (1941)	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

Werner E. Keller	Rydex Series Funds – 2005	148
Trustee (1940)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)

Thomas F. Lydon, Jr.	Rydex Series Funds – 2005	148
Trustee (1960)	Rydex Variable Trust – 2005
	Rydex Dynamic Funds – 2005
	Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  39

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

INDEPENDENT TRUSTEES – concluded

Name, Position and Year of Birth	Length of Service As Trustee (Year Began)	Number of Funds Overseen
Patrick T. McCarville	Rydex Series Funds – 1997	148
Trustee (1942)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)

Roger Somers	Rydex Series Funds – 1993	148
Trustee (1944)	Rydex Variable Trust – 1998
	Rydex Dynamic Funds – 1999
	Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (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 and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002-2010), Executive Vice President (2002-2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, President and 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); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; 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); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Elisabeth Miller* Chief Compliance Officer (1968)	Current: Chief Compliance Officer, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, Rydex ETF Trust, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, Security Mid Cap Growth Fund, SBL Fund, Security Investors, LLC, and Rydex Distributors, LLC Previous: Senior Manager, Security Investors, LLC and Rydex Distributors, LLC (2004-2009).

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS – concluded

Name, Position and Year of Birth	Principal Occupations During Past Five Years
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and 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 Security Global Investors.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  41

GUGGENHEIM INVESTMENTS PRIVACY POLICIES

Rydex Funds, Guggenheim Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Guggenheim Investments”)

Our Commitment to You

When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safe-keeping 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, www.rydex-sgi.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

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GUGGENHEIM INVESTMENTS PRIVACY POLICIES (concluded)

information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

THE GUGGENHEIM FUNDS ANNUAL REPORT  |  43

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805 King Farm Boulevard, Suite 600

Rockville, MD 20850

www.rydex-sgi.com

800.820.0888

RSEP-ANN-0312x0313

Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that Werner Keller, an “independent” Trustee serving on the registrant’s audit committee, is an “audit committee financial expert,” as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services.

(a)-(d) The aggregate Audit Fees billed by the Trust’s principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended March 31, 2012 and March 31, 2011 were $991,403 and $960,156, respectively. The aggregate Audit Related Fees by the Trust’s principal accountant billed for the fiscal years ended March 31, 2012 and March 31, 2011 were $0 and $20,889, respectively. The aggregate Tax Fees billed by the Trust’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended March 31, 2012 and March 31, 2011 was $9,216 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 $39,216 and $47,000, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.

(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. As such, the audit committee has considered these services compatible with 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 07, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*             /s/ Donald C. Cacciapaglia             

                                                       Donald C. Cacciapaglia, President

Date June 07, 2012

By (Signature and Title)*             /s/ Nikolaos Bonos                                              

                                                       Nikolaos Bonos, Vice President and Treasurer

Date June 07, 2012

^*  Print the name and title of each signing officer under his or her signature.