UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Rydex Series Funds
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: March 31
Date of reporting period: September 30, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
![]() |
9.30.2017
Rydex Funds Semi-Annual Report
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 |
Real Estate Fund |
Retailing Fund |
Technology Fund |
Telecommunications Fund |
Transportation Fund |
Utilities Fund |
GuggenheimInvestments.com | RSECF-SEMI-0917x0318 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_ii.jpg)
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 10 |
BASIC MATERIALS FUND | 17 |
BIOTECHNOLOGY FUND | 25 |
CONSUMER PRODUCTS FUND | 32 |
ELECTRONICS FUND | 41 |
ENERGY FUND | 48 |
ENERGY SERVICES FUND | 57 |
FINANCIAL SERVICES FUND | 64 |
HEALTH CARE FUND | 75 |
INTERNET FUND | 83 |
LEISURE FUND | 91 |
PRECIOUS METALS FUND | 99 |
REAL ESTATE FUND | 106 |
RETAILING FUND | 114 |
TECHNOLOGY FUND | 121 |
TELECOMMUNICATIONS FUND | 130 |
TRANSPORTATION FUND | 137 |
UTILITIES FUND | 144 |
NOTES TO FINANCIAL STATEMENTS | 152 |
OTHER INFORMATION | 162 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 165 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 169 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
September 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for 18 of our sector funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2017.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2017
October 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses, and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
Sector funds may not be suitable for all investors. Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the fund’s holdings in issuers of the same or similar offerings. These funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2017 |
Over the past few months, the equity markets have faced massive hurricanes in the South, rising tensions with North Korea and ongoing uncertainty surrounding domestic policy. Despite it all, the major stock indices continue to trade at or near record levels. The market’s resiliency seems to underscore that, at the end of the day, it’s fundamentals that drive equity markets and not political headlines or geopolitical tensions.
A noticeable shift in market sentiment during the third quarter led to a rotation into cyclical and small capitalization stocks. Value factors also began to outperform in September, a significant change from year-to-date performance. From a macro standpoint, the primary drivers of the value trade include rising inflationary expectations, economic growth and the prospects of tax reform.
Outside the U.S., both the European and emerging markets outperformed the Standard & Poor’s 500® (“S&P 500”) Index* on a dollar denominated basis. Renewed interest in both regions reflected attractive relative valuation and the synchronized global economic expansion.
Assuming no major geopolitical or other unforeseen shocks, we expect the U.S. economy will grow by between 2.0–2.5% in real terms in 2017 and 2018, supported by a strong labor market at home, a synchronized upswing in the global economy, and favorable financial conditions. Risks to our growth outlook are to the upside if Washington delivers on promises to cut taxes. Third quarter economic data was less distorted by the recent hurricanes than expected, and rebuilding efforts should be a positive for growth heading into 2018.
The labor market is steadily tightening, as seen in the drop in the unemployment rate to a cycle low of 4.2% in September, underscoring the robust—and unsustainable—underlying trend in hiring. Leading indicators, including hiring intentions surveys, point to further declines in the unemployment rate. Meanwhile, inflation continues to be well below the U.S. Federal Reserve’s (the “Fed”) 2% longer-run goal, with core personal consumption expenditure inflation coming in at 1.3% in September. However, inflation lags Gross Domestic Product (“GDP”) growth by about six quarters; because growth has accelerated over the past year, and the dollar has depreciated, inflation will likely move closer to 2% by the second quarter of 2018.
The firming U.S. economy, coupled with synchronized global growth and stabilization in the U.S. dollar, is likely to be supportive of the U.S. earnings environment. On the valuation front, while elevated relative to long-term averages, multiples still remain well below extreme levels. Economic and financial conditions are supportive enough for the Fed to continue to resume a quarterly pattern of rate increases in December, and to begin balance sheet normalization this year. Interest rates are expected to remain supportive of risk assets.
For the six months ended September 30, 2017, the S&P 500 returned 7.71%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 10.99%. The return of the MSCI Emerging Markets Index* was 14.66%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.31% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.19%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.47% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2017 |
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI U.S. REIT Index is a free-float market capitalization weighted index that is comprised of equity real estate investment trust (“REIT”) securities that belong to the MSCI U.S. Investable Market 2500 Index. The MSCI U.S. REIT Index includes only REIT securities that are of reasonable size in terms of full and free float-adjusted market capitalization to ensure that the performance of the equity REIT universe can be captured and replicated in actual institutional and retail portfolios of different sizes.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P 500® Consumer Discretionary Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Consumer Discretionary Index includes companies in the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media, and retailing.
S&P 500® Consumer Staples Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Consumer Staples Index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages, and tobacco and producers of nondurable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Energy Index comprises companies whose businesses are dominated by either of the following activities: the construction or provision of oil rigs, drilling equipment, and other energy-related equipment and services, including seismic data collection; companies engaged in the exploration, production, marketing, refining, and/or transportation of oil and gas products, coal, and other consumable fuels.
S&P 500® Financials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Financials Index contains companies involved in activities such as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, financial investment, and real estate, including REITs.
S&P 500® Health Care Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Health Care Index encompasses two main industry groups. The first includes companies which manufacture health care equipment and supplies or provide health care-related services, including distributors of health care products, providers of basic health-care services, and owners and operators of health care facilities and organizations. The first group also includes companies operating in the health care technology industry. The second group includes companies primarily involved in the research, development, production, and marketing of pharmaceuticals, biotechnology, and life sciences products.
S&P 500® Industrials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Industrials Index includes companies whose businesses are dominated by one of the following activities: the manufacture and distribution of capital goods, including aerospace & defense, construction, engineering & building products, electrical equipment, and industrial machinery; the provision of commercial services and supplies, including printing, environmental, office, and security services; the provision of professional services, including employment and research & consulting services; or the provision of transportation services, including airlines, couriers, marine, road & rail, and transportation infrastructure.
S&P 500® Information Technology Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Information Technology Index covers the following general areas: technology software & services, including companies that primarily develop software in various fields such as the internet, applications, systems, databases management, and/or home entertainment, and companies that provide information technology consulting and services, as well as data processing and outsourced services; secondly, technology hardware & equipment, including manufacturers and distributors of communications equipment, computers & peripherals, electronic equipment, and related instruments; and thirdly, semiconductors & semiconductor equipment manufacturers.
S&P 500® Materials Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Materials Index encompasses a wide range of commodity-related manufacturing industries. Included in this sector are companies that manufacture chemicals, construction materials, glass, paper, forest products, and related packaging products, and metals, minerals, and mining companies, including producers of steel.
S&P 500® Telecommunication Services Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Telecommunications Services Index contains companies that provide communications services primarily through a fixed-line, cellular, wireless, high bandwidth, and/or fiber optic cable network.
S&P 500® Utilities Index is a sub-index of the S&P 500® Index, a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues). The Utilities Index encompasses those companies considered electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2017 and ending September 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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 the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Banking Fund | |||||
Investor Class | 1.39% | 6.90% | $ 1,000.00 | $ 1,069.00 | $ 7.21 |
A-Class | 1.64% | 6.78% | 1,000.00 | 1,067.80 | 8.50 |
C-Class | 2.39% | 6.38% | 1,000.00 | 1,063.80 | 12.36 |
H-Class | 1.64% | 6.76% | 1,000.00 | 1,067.60 | 8.50 |
Basic Materials Fund | |||||
Investor Class | 1.40% | 7.28% | 1,000.00 | 1,072.80 | 7.27 |
A-Class | 1.65% | 7.16% | 1,000.00 | 1,071.60 | 8.57 |
C-Class | 2.40% | 6.74% | 1,000.00 | 1,067.40 | 12.44 |
H-Class | 1.65% | 7.13% | 1,000.00 | 1,071.30 | 8.57 |
Biotechnology Fund | |||||
Investor Class | 1.38% | 16.82% | 1,000.00 | 1,168.20 | 7.50 |
A-Class | 1.63% | 16.68% | 1,000.00 | 1,166.80 | 8.85 |
C-Class | 2.38% | 16.25% | 1,000.00 | 1,162.50 | 12.90 |
H-Class | 1.63% | 16.67% | 1,000.00 | 1,166.70 | 8.85 |
Consumer Products Fund | |||||
Investor Class | 1.39% | (0.70%) | 1,000.00 | 993.00 | 6.94 |
A-Class | 1.64% | (0.82%) | 1,000.00 | 991.80 | 8.19 |
C-Class | 2.39% | (1.19%) | 1,000.00 | 988.10 | 11.91 |
H-Class | 1.64% | (0.83%) | 1,000.00 | 991.70 | 8.19 |
Electronics Fund | |||||
Investor Class | 1.39% | 12.59% | 1,000.00 | 1,125.90 | 7.41 |
A-Class | 1.64% | 12.45% | 1,000.00 | 1,124.50 | 8.73 |
C-Class | 2.39% | 12.03% | 1,000.00 | 1,120.30 | 12.70 |
H-Class | 1.64% | 12.45% | 1,000.00 | 1,124.50 | 8.73 |
Energy Fund | |||||
Investor Class | 1.39% | (5.73%) | 1,000.00 | 942.70 | 6.77 |
A-Class | 1.64% | (5.84%) | 1,000.00 | 941.60 | 7.98 |
C-Class | 2.39% | (6.19%) | 1,000.00 | 938.10 | 11.61 |
H-Class | 1.64% | (5.85%) | 1,000.00 | 941.50 | 7.98 |
Energy Services Fund | |||||
Investor Class | 1.39% | (14.52%) | 1,000.00 | 854.80 | 6.46 |
A-Class | 1.64% | (14.61%) | 1,000.00 | 853.90 | 7.62 |
C-Class | 2.39% | (14.94%) | 1,000.00 | 850.60 | 11.09 |
H-Class | 1.64% | (14.69%) | 1,000.00 | 853.10 | 7.62 |
Financial Services Fund | |||||
Investor Class | 1.39% | 7.31% | 1,000.00 | 1,073.10 | 7.22 |
A-Class | 1.64% | 7.16% | 1,000.00 | 1,071.60 | 8.52 |
C-Class | 2.39% | 6.77% | 1,000.00 | 1,067.70 | 12.39 |
H-Class | 1.64% | 7.19% | 1,000.00 | 1,071.90 | 8.52 |
Health Care Fund | |||||
Investor Class | 1.39% | 10.50% | 1,000.00 | 1,105.00 | 7.33 |
A-Class | 1.64% | 10.37% | 1,000.00 | 1,103.70 | 8.65 |
C-Class | 2.39% | 9.92% | 1,000.00 | 1,099.20 | 12.58 |
H-Class | 1.64% | 10.32% | 1,000.00 | 1,103.20 | 8.65 |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Internet Fund | |||||
Investor Class | 1.39% | 15.24% | $ 1,000.00 | $ 1,152.40 | $ 7.50 |
A-Class | 1.64% | 15.11% | 1,000.00 | 1,151.10 | 8.84 |
C-Class | 2.39% | 14.68% | 1,000.00 | 1,146.80 | 12.86 |
H-Class | 1.64% | 15.11% | 1,000.00 | 1,151.10 | 8.84 |
Leisure Fund | |||||
Investor Class | 1.39% | 3.51% | 1,000.00 | 1,035.10 | 7.09 |
A-Class | 1.64% | 3.38% | 1,000.00 | 1,033.80 | 8.36 |
C-Class | 2.39% | 2.99% | 1,000.00 | 1,029.90 | 12.16 |
H-Class | 1.64% | 3.39% | 1,000.00 | 1,033.90 | 8.36 |
Precious Metals Fund | |||||
Investor Class | 1.29% | (1.64%) | 1,000.00 | 983.60 | 6.41 |
A-Class | 1.54% | (1.78%) | 1,000.00 | 982.20 | 7.65 |
C-Class | 2.29% | (2.15%) | 1,000.00 | 978.50 | 11.36 |
H-Class | 1.54% | (1.83%) | 1,000.00 | 981.70 | 7.65 |
Real Estate Fund | |||||
A-Class | 1.64% | 1.97% | 1,000.00 | 1,019.70 | 8.30 |
C-Class | 2.39% | 1.59% | 1,000.00 | 1,015.90 | 12.08 |
H-Class | 1.64% | 1.98% | 1,000.00 | 1,019.80 | 8.30 |
Retailing Fund | |||||
Investor Class | 1.39% | 1.68% | 1,000.00 | 1,016.80 | 7.03 |
A-Class | 1.64% | 1.57% | 1,000.00 | 1,015.70 | 8.29 |
C-Class | 2.39% | 1.23% | 1,000.00 | 1,012.30 | 12.06 |
H-Class | 1.64% | 1.57% | 1,000.00 | 1,015.70 | 8.29 |
Technology Fund | |||||
Investor Class | 1.39% | 13.28% | 1,000.00 | 1,132.80 | 7.43 |
A-Class | 1.64% | 13.12% | 1,000.00 | 1,131.20 | 8.76 |
C-Class | 2.39% | 12.72% | 1,000.00 | 1,127.20 | 12.74 |
H-Class | 1.64% | 13.12% | 1,000.00 | 1,131.20 | 8.76 |
Telecommunications Fund | |||||
Investor Class | 1.40% | (0.33%) | 1,000.00 | 996.70 | 7.01 |
A-Class | 1.65% | (0.45%) | 1,000.00 | 995.50 | 8.25 |
C-Class | 2.40% | (0.82%) | 1,000.00 | 991.80 | 11.98 |
H-Class | 1.64% | (0.44%) | 1,000.00 | 995.60 | 8.20 |
Transportation Fund | |||||
Investor Class | 1.39% | 11.98% | 1,000.00 | 1,119.80 | 7.39 |
A-Class | 1.64% | 11.84% | 1,000.00 | 1,118.40 | 8.71 |
C-Class | 2.39% | 11.41% | 1,000.00 | 1,114.10 | 12.67 |
H-Class | 1.64% | 11.80% | 1,000.00 | 1,118.00 | 8.71 |
Utilities Fund | |||||
Investor Class | 1.39% | 4.80% | 1,000.00 | 1,048.00 | 7.14 |
A-Class | 1.64% | 4.67% | 1,000.00 | 1,046.70 | 8.41 |
C-Class | 2.39% | 4.27% | 1,000.00 | 1,042.70 | 12.24 |
H-Class | 1.64% | 4.67% | 1,000.00 | 1,046.70 | 8.41 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Banking Fund | |||||
Investor Class | 1.39% | 5.00% | $ 1,000.00 | $ 1,018.10 | $ 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Basic Materials Fund | |||||
Investor Class | 1.40% | 5.00% | 1,000.00 | 1,018.05 | 7.08 |
A-Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 |
H-Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 |
Biotechnology Fund | |||||
Investor Class | 1.38% | 5.00% | 1,000.00 | 1,018.15 | 6.98 |
A-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
C-Class | 2.38% | 5.00% | 1,000.00 | 1,013.14 | 12.01 |
H-Class | 1.63% | 5.00% | 1,000.00 | 1,016.90 | 8.24 |
Consumer Products Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Electronics Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Energy Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Energy Services Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Financial Services Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Health Care Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Internet Fund | |||||
Investor Class | 1.39% | 5.00% | $ 1,000.00 | $ 1,018.10 | $ 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Leisure Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Precious Metals Fund | |||||
Investor Class | 1.29% | 5.00% | 1,000.00 | 1,018.60 | 6.53 |
A-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
C-Class | 2.29% | 5.00% | 1,000.00 | 1,013.59 | 11.56 |
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
Real Estate Fund | |||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Retailing Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Technology Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Telecommunications Fund | |||||
Investor Class | 1.40% | 5.00% | 1,000.00 | 1,018.05 | 7.08 |
A-Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 |
C-Class | 2.40% | 5.00% | 1,000.00 | 1,013.04 | 12.11 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Transportation Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Utilities Fund | |||||
Investor Class | 1.39% | 5.00% | 1,000.00 | 1,018.10 | 7.03 |
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. | |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). | |
3 | Actual cumulative return at net asset value for the period March 31, 2017 to September 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_10.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 1, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Wells Fargo & Co. | 4.1% |
JPMorgan Chase & Co. | 4.0% |
Citigroup, Inc. | 4.0% |
Bank of America Corp. | 4.0% |
U.S. Bancorp | 3.1% |
PNC Financial Services Group, Inc. | 2.6% |
Bank of New York Mellon Corp. | 2.4% |
Capital One Financial Corp. | 2.1% |
BB&T Corp. | 2.1% |
State Street Corp. | 1.9% |
Top Ten Total | 30.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 6.90% | 33.13% | 12.64% | (0.93%) |
A-Class Shares | 6.78% | 32.80% | 12.37% | (1.21%) |
A-Class Shares with sales charge‡ | 1.71% | 26.49% | 11.28% | (1.69%) |
C-Class Shares | 6.38% | 31.82% | 11.52% | (1.90%) |
C-Class Shares with CDSC§ | 5.38% | 30.82% | 11.52% | (1.90%) |
H-Class Shares** | 6.76% | 32.82% | 12.25% | (1.36%) |
S&P 500 Financials Index | 9.71% | 36.21% | 17.62% | 1.34% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
BANKING FUND |
Shares | Value | |||||||
COMMON STOCKS† - 97.9% | ||||||||
Banks - 93.0% | ||||||||
Wells Fargo & Co. | 26,254 | $ | 1,447,907 | |||||
JPMorgan Chase & Co. | 14,777 | 1,411,350 | ||||||
Citigroup, Inc. | 19,320 | 1,405,337 | ||||||
Bank of America Corp. | 55,388 | 1,403,532 | ||||||
U.S. Bancorp | 19,940 | 1,068,585 | ||||||
PNC Financial Services Group, Inc. | 6,628 | 893,256 | ||||||
Bank of New York Mellon Corp. | 15,885 | 842,223 | ||||||
Capital One Financial Corp. | 8,610 | 728,923 | ||||||
BB&T Corp. | 15,292 | 717,806 | ||||||
State Street Corp. | 6,768 | 646,615 | ||||||
SunTrust Banks, Inc. | 10,265 | 613,539 | ||||||
M&T Bank Corp. | 3,461 | 557,359 | ||||||
Fifth Third Bancorp | 18,603 | 520,512 | ||||||
Northern Trust Corp. | 5,552 | 510,395 | ||||||
Regions Financial Corp. | 33,429 | 509,124 | ||||||
KeyCorp | 26,915 | 506,540 | ||||||
Citizens Financial Group, Inc. | 13,014 | 492,840 | ||||||
First Republic Bank | 4,425 | 462,236 | ||||||
Huntington Bancshares, Inc. | 32,025 | 447,069 | ||||||
Comerica, Inc. | 5,539 | 422,404 | ||||||
Banco Bradesco S.A. ADR | 35,316 | 390,948 | ||||||
Royal Bank of Canada | 4,799 | 371,203 | ||||||
Deutsche Bank AG | 21,430 | 370,310 | ||||||
Toronto-Dominion Bank | 6,463 | 363,673 | ||||||
HSBC Holdings plc ADR | 7,332 | 362,274 | ||||||
Zions Bancorporation | 7,574 | 357,341 | ||||||
SVB Financial Group* | 1,902 | 355,845 | ||||||
ICICI Bank Ltd. ADR | 41,359 | 354,033 | ||||||
ING Groep N.V. ADR1 | 19,066 | 351,196 | ||||||
Credit Suisse Group AG ADR* | 21,753 | 343,697 | ||||||
Canadian Imperial Bank of Commerce | 3,916 | 342,728 | ||||||
Bank of Nova Scotia | 5,285 | 339,561 | ||||||
HDFC Bank Ltd. ADR | 3,446 | 332,091 | ||||||
East West Bancorp, Inc. | 5,492 | 328,312 | ||||||
Bank of Montreal | 4,315 | 326,689 | ||||||
Signature Bank* | 2,407 | 308,192 | ||||||
Popular, Inc. | 8,031 | 288,634 | ||||||
PacWest Bancorp | 5,593 | 282,502 | ||||||
Western Alliance Bancorporation* | 5,146 | 273,150 | ||||||
Cullen/Frost Bankers, Inc. | 2,859 | 271,376 | ||||||
BOK Financial Corp. | 3,038 | 270,625 | ||||||
Bank of the Ozarks | 5,627 | 270,377 | ||||||
Commerce Bancshares, Inc. | 4,656 | 268,977 | ||||||
Synovus Financial Corp. | 5,702 | 262,634 | ||||||
Pinnacle Financial Partners, Inc. | 3,741 | 250,460 | ||||||
FNB Corp. | 17,821 | 250,029 | ||||||
Webster Financial Corp. | 4,699 | 246,932 | ||||||
Prosperity Bancshares, Inc. | 3,712 | 243,990 | ||||||
First Horizon National Corp. | 12,705 | 243,301 | ||||||
Wintrust Financial Corp. | 3,088 | 241,821 | ||||||
IBERIABANK Corp. | 2,932 | 240,864 | ||||||
Hancock Holding Co. | 4,799 | 232,512 | ||||||
Umpqua Holdings Corp. | 11,917 | 232,501 | ||||||
Texas Capital Bancshares, Inc.* | 2,675 | 229,515 | ||||||
First Citizens BancShares, Inc. — Class A | 607 | 226,951 | ||||||
Home BancShares, Inc. | 8,941 | 225,492 | ||||||
BankUnited, Inc. | 6,309 | 224,411 | ||||||
United Bankshares, Inc. | 5,944 | 220,820 | ||||||
UMB Financial Corp. | 2,922 | 217,660 | ||||||
Bank of Hawaii Corp. | 2,563 | 213,652 | ||||||
MB Financial, Inc. | 4,708 | 211,954 | ||||||
Chemical Financial Corp. | 4,028 | 210,503 | ||||||
Valley National Bancorp | 17,447 | 210,236 | ||||||
Associated Banc-Corp. | 8,660 | 210,005 | ||||||
Fulton Financial Corp. | 10,868 | 203,775 | ||||||
Cathay General Bancorp | 5,015 | 201,603 | ||||||
Glacier Bancorp, Inc. | 5,304 | 200,279 | ||||||
First Financial Bankshares, Inc. | 4,373 | 197,660 | ||||||
TCF Financial Corp. | 11,359 | 193,557 | ||||||
BancorpSouth, Inc. | 5,932 | 190,121 | ||||||
CVB Financial Corp. | 7,768 | 187,753 | ||||||
South State Corp. | 2,035 | 183,252 | ||||||
International Bancshares Corp. | 4,533 | 181,773 | ||||||
Great Western Bancorp, Inc. | 4,385 | 181,013 | ||||||
Old National Bancorp | 9,889 | 180,969 | ||||||
Columbia Banking System, Inc. | 4,203 | 176,988 | ||||||
Hope Bancorp, Inc. | 9,866 | 174,727 | ||||||
First Midwest Bancorp, Inc. | 7,258 | 169,982 | ||||||
Trustmark Corp. | 5,113 | 169,343 | ||||||
United Community Banks, Inc. | 5,825 | 166,246 | ||||||
FCB Financial Holdings, Inc. — Class A* | 3,416 | 164,993 | ||||||
ServisFirst Bancshares, Inc. | 4,228 | 164,258 | ||||||
Capital Bank Financial Corp. — Class A | 3,968 | 162,886 | ||||||
Independent Bank Corp. | 2,153 | 160,721 | ||||||
Banner Corp. | 2,610 | 159,941 | ||||||
Ameris Bancorp | 3,216 | 154,368 | ||||||
LegacyTexas Financial Group, Inc. | 3,846 | 153,532 | ||||||
Simmons First National Corp. — Class A | 2,599 | 150,482 | ||||||
Westamerica Bancorporation | 2,340 | 139,324 | ||||||
Boston Private Financial Holdings, Inc. | 8,130 | 134,552 | ||||||
Total Banks | 32,481,627 | |||||||
Savings & Loans - 3.2% | ||||||||
People’s United Financial, Inc. | 15,867 | 287,828 | ||||||
New York Community Bancorp, Inc. | 21,881 | 282,046 | ||||||
Investors Bancorp, Inc. | 16,727 | 228,156 | ||||||
Sterling Bancorp | 8,485 | 209,155 | ||||||
Banc of California, Inc.1 | 5,558 | 115,329 | ||||||
Total Savings & Loans | 1,122,514 | |||||||
Insurance - 0.9% | ||||||||
Voya Financial, Inc. | 7,485 | 298,577 | ||||||
DIVERSIFIED FINANCIAL SERVICES - 0.8% | ||||||||
CIT Group, Inc. | 5,828 | 285,863 | ||||||
Total Common Stocks | ||||||||
(Cost $30,297,699) | 34,188,581 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
BANKING FUND |
Shares | Value | |||||||
PREFERRED STOCKS† - 1.2% | ||||||||
Banks - 1.2% | ||||||||
Itau Unibanco Holding S.A. ADR | 30,564 | $ | 418,727 | |||||
Total Preferred Stocks | ||||||||
(Cost $332,892) | 418,727 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 83,720 | 83,720 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 41,860 | 41,860 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 41,828 | 41,828 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $167,408) | 167,408 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 202,481 | 202,481 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $202,481) | 202,481 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $31,000,480) | $ | 34,977,197 | ||||||
Other Assets & Liabilities, net - (0.2)% | (73,596 | ) | ||||||
Total Net Assets - 100.0% | $ | 34,903,601 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 34,188,581 | $ | — | $ | — | $ | 34,188,581 | ||||||||
Preferred Stocks | 418,727 | — | — | 418,727 | ||||||||||||
Repurchase Agreement | — | 167,408 | — | 167,408 | ||||||||||||
Securities Lending Collateral | 202,481 | — | — | 202,481 | ||||||||||||
Total Assets | $ | 34,809,789 | $ | 167,408 | $ | — | $ | 34,977,197 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BANKING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $198,823 of securities loaned (cost $30,833,072) | $ | 34,809,789 | ||
Repurchase agreements, at value (cost $167,408) | 167,408 | |||
Cash | 1,974 | |||
Receivables: | ||||
Fund shares sold | 512,867 | |||
Dividends | 42,159 | |||
Foreign taxes reclaim | 4,119 | |||
Securities lending income | 94 | |||
Interest | 9 | |||
Total assets | 35,538,419 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 321,519 | |||
Return of securities loaned | 202,481 | |||
Fund shares redeemed | 65,036 | |||
Management fees | 25,255 | |||
Transfer agent and administrative fees | 7,428 | |||
Distribution and service fees | 5,110 | |||
Portfolio accounting fees | 2,971 | |||
Miscellaneous | 5,018 | |||
Total liabilities | 634,818 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 34,903,601 | ||
Net assets consist of: | ||||
Paid in capital | $ | 44,012,629 | ||
Undistributed net investment income | 385,117 | |||
Accumulated net realized loss on investments | (13,470,862 | ) | ||
Net unrealized appreciation on investments | 3,976,717 | |||
Net assets | $ | 34,903,601 | ||
Investor Class: | ||||
Net assets | $ | 24,074,075 | ||
Capital shares outstanding | 292,999 | |||
Net asset value per share | $ | 82.16 | ||
A-Class: | ||||
Net assets | $ | 4,077,841 | ||
Capital shares outstanding | 54,247 | |||
Net asset value per share | $ | 75.17 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 78.92 | ||
C-Class: | ||||
Net assets | $ | 4,151,191 | ||
Capital shares outstanding | 60,998 | |||
Net asset value per share | $ | 68.05 | ||
H-Class: | ||||
Net assets | $ | 2,600,494 | ||
Capital shares outstanding | 35,505 | |||
Net asset value per share | $ | 73.24 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $7,468) | 482,415 | |||
Interest | 804 | |||
Income from securities lending, net | 1,534 | |||
Total investment income | 484,753 | |||
Expenses: | ||||
Management fees | 183,079 | |||
Distribution and service fees: | ||||
A-Class | 5,680 | |||
C-Class | 23,703 | |||
H-Class | 8,447 | |||
Transfer agent and administrative fees | 53,847 | |||
Registration fees | 37,167 | |||
Portfolio accounting fees | 21,538 | |||
Custodian fees | 3,077 | |||
Trustees’ fees* | 3,001 | |||
Line of credit fees | 500 | |||
Miscellaneous | (2,118 | ) | ||
Total expenses | 337,921 | |||
Net investment income | 146,832 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 11,458,249 | |||
Net realized gain | 11,458,249 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (8,558,814 | ) | ||
Net change in unrealized appreciation (depreciation) | (8,558,814 | ) | ||
Net realized and unrealized gain | 2,899,435 | |||
Net increase in net assets resulting from operations | $ | 3,046,267 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
BANKING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 146,832 | $ | 238,285 | ||||
Net realized gain on investments | 11,458,249 | 1,464,242 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (8,558,814 | ) | 8,815,507 | |||||
Net increase in net assets resulting from operations | 3,046,267 | 10,518,034 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (184,641 | ) | |||||
A-Class | — | (30,326 | ) | |||||
C-Class | — | (19,058 | ) | |||||
H-Class | — | (35,023 | ) | |||||
Total distributions to shareholders | — | (269,048 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 95,434,434 | 231,950,491 | ||||||
A-Class | 4,138,848 | 12,517,711 | ||||||
C-Class | 2,092,653 | 5,972,804 | ||||||
H-Class | 204,220,706 | 248,740,610 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 183,226 | ||||||
A-Class | — | 20,961 | ||||||
C-Class | — | 18,821 | ||||||
H-Class | — | 35,011 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (113,780,855 | ) | (205,535,966 | ) | ||||
A-Class | (6,206,313 | ) | (8,453,891 | ) | ||||
C-Class | (3,820,964 | ) | (4,560,750 | ) | ||||
H-Class | (211,730,004 | ) | (242,259,106 | ) | ||||
Net increase (decrease) from capital share transactions | (29,651,495 | ) | 38,629,922 | |||||
Net increase (decrease) in net assets | (26,605,228 | ) | 48,878,908 | |||||
Net assets: | ||||||||
Beginning of period | 61,508,829 | 12,629,921 | ||||||
End of period | $ | 34,903,601 | $ | 61,508,829 | ||||
Undistributed net investment income at end of period | $ | 385,117 | $ | 238,285 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,226,476 | 3,510,748 | ||||||
A-Class | 58,317 | 195,570 | ||||||
C-Class | 32,688 | 105,363 | ||||||
H-Class | 3,042,590 | 4,361,031 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 2,544 | ||||||
A-Class | — | 317 | ||||||
C-Class | — | 313 | ||||||
H-Class | — | 544 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,473,059 | ) | (3,102,087 | ) | ||||
A-Class | (88,344 | ) | (128,613 | ) | ||||
C-Class | (59,753 | ) | (85,128 | ) | ||||
H-Class | (3,130,505 | ) | (4,265,233 | ) | ||||
Net increase (decrease) in shares | (391,590 | ) | 595,369 |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BANKING FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 76.86 | $ | 56.13 | $ | 62.71 | $ | 63.60 | $ | 52.58 | $ | 46.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .33 | .53 | .68 | .51 | .54 | .54 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.97 | 20.51 | (6.97 | ) | (.98 | ) | 11.09 | 5.44 | ||||||||||||||||
Total from investment operations | 5.30 | 21.04 | (6.29 | ) | (.47 | ) | 11.63 | 5.98 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Total distributions | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Net asset value, end of period | $ | 82.16 | $ | 76.86 | $ | 56.13 | $ | 62.71 | $ | 63.60 | $ | 52.58 | ||||||||||||
Total Returnc | 6.90 | % | 37.53 | % | (10.10 | %) | (0.73 | %) | 22.17 | % | 12.84 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,074 | $ | 41,473 | $ | 7,206 | $ | 43,989 | $ | 11,241 | $ | 8,915 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.86 | % | 0.74 | % | 1.07 | % | 0.82 | % | 0.92 | % | 1.16 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.34 | % | 1.34 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 612 | % | 907 | % | 514 | % | 583 | % | 481 | % | 382 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.41 | $ | 51.55 | $ | 57.76 | $ | 58.75 | $ | 48.74 | $ | 43.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .22 | .33 | .40 | .26 | .39 | .36 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.54 | 18.84 | (6.32 | ) | (.83 | ) | 10.23 | 5.08 | ||||||||||||||||
Total from investment operations | 4.76 | 19.17 | (5.92 | ) | (.57 | ) | 10.62 | 5.44 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Total distributions | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Net asset value, end of period | $ | 75.17 | $ | 70.41 | $ | 51.55 | $ | 57.76 | $ | 58.75 | $ | 48.74 | ||||||||||||
Total Returnc | 6.78 | % | 37.21 | % | (10.31 | %) | (0.98 | %) | 21.84 | % | 12.60 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,078 | $ | 5,934 | $ | 876 | $ | 1,054 | $ | 8,305 | $ | 2,103 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.61 | % | 0.51 | % | 0.69 | % | 0.45 | % | 0.71 | % | 0.88 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.59 | % | 1.60 | % | 1.62 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 612 | % | 907 | % | 514 | % | 583 | % | 481 | % | 382 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
BANKING FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 63.98 | $ | 47.22 | $ | 53.34 | $ | 54.69 | $ | 45.74 | $ | 41.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.05 | ) | .03 | (.14 | ) | (.05 | ) | .01 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.11 | 17.12 | (5.86 | ) | (.79 | ) | 9.61 | 4.79 | ||||||||||||||||
Total from investment operations | 4.07 | 17.07 | (5.83 | ) | (.93 | ) | 9.56 | 4.80 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Total distributions | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Net asset value, end of period | $ | 68.05 | $ | 63.98 | $ | 47.22 | $ | 53.34 | $ | 54.69 | $ | 45.74 | ||||||||||||
Total Returnc | 6.38 | % | 36.18 | % | (10.99 | %) | (1.71 | %) | 20.95 | % | 11.74 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,151 | $ | 5,634 | $ | 3,188 | $ | 3,131 | $ | 4,307 | $ | 4,036 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.13 | %) | (0.09 | %) | 0.05 | % | (0.26 | %) | (0.10 | %) | 0.02 | % | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 612 | % | 907 | % | 514 | % | 583 | % | 481 | % | 382 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 68.61 | $ | 50.22 | $ | 56.30 | $ | 57.40 | $ | 47.71 | $ | 42.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .20 | .29 | .33 | (.01 | ) | .23 | .17 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.43 | 18.41 | (6.12 | ) | (.67 | ) | 10.07 | 5.06 | ||||||||||||||||
Total from investment operations | 4.63 | 18.70 | (5.79 | ) | (.68 | ) | 10.30 | 5.23 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Total distributions | — | (.31 | ) | (.29 | ) | (.42 | ) | (.61 | ) | (.15 | ) | |||||||||||||
Net asset value, end of period | $ | 73.24 | $ | 68.61 | $ | 50.22 | $ | 56.30 | $ | 57.40 | $ | 47.71 | ||||||||||||
Total Returnc | 6.76 | % | 37.26 | % | (10.34 | %) | (1.19 | %) | 21.64 | % | 12.32 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,600 | $ | 8,467 | $ | 1,360 | $ | 847 | $ | 540 | $ | 4,235 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.58 | % | 0.45 | % | 0.57 | % | (0.02 | %) | 0.44 | % | 0.38 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.68 | % | 1.85 | % | 1.87 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 612 | % | 907 | % | 514 | % | 583 | % | 481 | % | 382 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_17.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | May 3, 2001 |
H-Class | April 14, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
DowDuPont, Inc. | 4.4% |
Monsanto Co. | 2.6% |
Praxair, Inc. | 2.3% |
LyondellBasell Industries N.V. — Class A | 2.2% |
Ecolab, Inc. | 2.1% |
Sherwin-Williams Co. | 2.1% |
Air Products & Chemicals, Inc. | 2.0% |
PPG Industries, Inc. | 1.8% |
International Paper Co. | 1.7% |
Freeport-McMoRan, Inc. | 1.7% |
Top Ten Total | 22.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 7.28% | 17.91% | 5.03% | 2.58% |
A-Class Shares | 7.16% | 17.61% | 4.77% | 2.32% |
A-Class Shares with sales charge‡ | 2.07% | 12.03% | 3.75% | 1.83% |
C-Class Shares | 6.74% | 16.74% | 3.99% | 1.55% |
C-Class Shares with CDSC§ | 5.74% | 15.74% | 3.99% | 1.55% |
H-Class Shares** | 7.13% | 17.60% | 4.62% | 2.12% |
S&P 500 Materials Index | 9.41% | 21.26% | 11.29% | 5.47% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
BASIC MATERIALS FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Chemicals - 44.2% | ||||||||
DowDuPont, Inc. | 52,489 | $ | 3,633,814 | |||||
Monsanto Co. | 17,546 | 2,102,363 | ||||||
Praxair, Inc. | 13,222 | 1,847,643 | ||||||
LyondellBasell Industries N.V. — Class A | 18,185 | 1,801,224 | ||||||
Sherwin-Williams Co. | 4,766 | 1,706,419 | ||||||
Air Products & Chemicals, Inc. | 10,798 | 1,632,874 | ||||||
PPG Industries, Inc. | 13,920 | 1,512,547 | ||||||
Albemarle Corp. | 8,149 | 1,110,790 | ||||||
Celanese Corp. — Class A | 10,533 | 1,098,276 | ||||||
Eastman Chemical Co. | 11,868 | 1,073,935 | ||||||
FMC Corp. | 10,730 | 958,296 | ||||||
International Flavors & Fragrances, Inc. | 6,591 | 941,920 | ||||||
Westlake Chemical Corp. | 11,160 | 927,284 | ||||||
Chemours Co. | 17,014 | 861,079 | ||||||
Mosaic Co. | 37,823 | 816,599 | ||||||
CF Industries Holdings, Inc. | 23,120 | 812,899 | ||||||
Potash Corporation of Saskatchewan, Inc. | 40,375 | 776,815 | ||||||
Axalta Coating Systems Ltd.* | 26,475 | 765,657 | ||||||
RPM International, Inc. | 14,777 | 758,651 | ||||||
Huntsman Corp. | 26,158 | 717,252 | ||||||
Olin Corp. | 20,617 | 706,132 | ||||||
NewMarket Corp. | 1,606 | 683,755 | ||||||
Methanex Corp. | 12,670 | 637,301 | ||||||
WR Grace & Co. | 8,756 | 631,745 | ||||||
Valvoline, Inc. | 26,383 | 618,681 | ||||||
Agrium, Inc. | 5,533 | 593,193 | ||||||
Ashland Global Holdings, Inc. | 8,852 | 578,832 | ||||||
Cabot Corp. | 9,828 | 548,402 | ||||||
PolyOne Corp. | 13,312 | 532,879 | ||||||
Sensient Technologies Corp. | 6,820 | 524,594 | ||||||
Platform Specialty Products Corp.* | 45,440 | 506,656 | ||||||
Ingevity Corp.* | 7,799 | 487,204 | ||||||
HB Fuller Co. | 8,380 | 486,543 | ||||||
Balchem Corp. | 5,860 | 476,359 | ||||||
Minerals Technologies, Inc. | 6,375 | 450,394 | ||||||
GCP Applied Technologies, Inc.* | 13,700 | 420,590 | ||||||
Tronox Ltd. — Class A | 19,700 | 415,670 | ||||||
Kraton Corp.* | 9,000 | 363,960 | ||||||
Innospec, Inc. | 5,900 | 363,735 | ||||||
A. Schulman, Inc. | 8,900 | 303,935 | ||||||
Total Chemicals | 36,186,897 | |||||||
Mining - 19.6% | ||||||||
Freeport-McMoRan, Inc.* | 97,556 | 1,369,685 | ||||||
Newmont Mining Corp. | 33,533 | 1,257,823 | ||||||
Barrick Gold Corp. | 76,775 | 1,235,310 | ||||||
Rio Tinto plc ADR | 21,275 | 1,003,967 | ||||||
Goldcorp, Inc. | 70,694 | 916,194 | ||||||
Alcoa Corp.* | 17,719 | 826,060 | ||||||
BHP Billiton Ltd. ADR1 | 19,115 | 774,731 | ||||||
Teck Resources Ltd. — Class B | 35,341 | 745,342 | ||||||
Randgold Resources Ltd. ADR1 | 7,604 | 742,607 | ||||||
Agnico Eagle Mines Ltd. | 15,240 | 689,000 | ||||||
Royal Gold, Inc. | 7,701 | 662,594 | ||||||
Wheaton Precious Metals Corp. | 34,474 | 658,109 | ||||||
Pan American Silver Corp. | 37,959 | 647,201 | ||||||
Franco-Nevada Corp. | 8,282 | 641,689 | ||||||
AngloGold Ashanti Ltd. ADR | 65,541 | 608,876 | ||||||
SSR Mining, Inc.* | 52,300 | 554,903 | ||||||
First Majestic Silver Corp.*,1 | 77,239 | 528,315 | ||||||
Compass Minerals International, Inc.1 | 6,368 | 413,283 | ||||||
Hecla Mining Co. | 79,831 | 400,752 | ||||||
Kaiser Aluminum Corp. | 3,857 | 397,811 | ||||||
Coeur Mining, Inc.* | 37,977 | 349,009 | ||||||
Tahoe Resources, Inc. | 59,268 | 312,342 | ||||||
Century Aluminum Co.* | 18,708 | 310,179 | ||||||
Total Mining | 16,045,782 | |||||||
Packaging & Containers - 11.3% | ||||||||
Ball Corp. | 26,368 | 1,088,998 | ||||||
WestRock Co. | 18,769 | 1,064,765 | ||||||
Packaging Corporation of America | 8,014 | 919,046 | ||||||
Sealed Air Corp. | 19,443 | 830,605 | ||||||
Crown Holdings, Inc.* | 13,334 | 796,306 | ||||||
Berry Global Group, Inc.* | 13,837 | 783,866 | ||||||
Sonoco Products Co. | 12,830 | 647,274 | ||||||
Graphic Packaging Holding Co. | 44,428 | 619,771 | ||||||
Owens-Illinois, Inc.* | 22,968 | 577,875 | ||||||
Bemis Company, Inc.1 | 11,866 | 540,734 | ||||||
Silgan Holdings, Inc. | 17,700 | 520,911 | ||||||
Greif, Inc. — Class A | 8,600 | 503,444 | ||||||
KapStone Paper and Packaging Corp. | 18,090 | 388,754 | ||||||
Total Packaging & Containers | 9,282,349 | |||||||
Iron & Steel - 9.7% | ||||||||
Vale S.A. ADR | 131,238 | 1,321,566 | ||||||
Nucor Corp. | 22,329 | 1,251,316 | ||||||
Steel Dynamics, Inc.1 | 24,755 | 853,305 | ||||||
ArcelorMittal*,1 | 30,071 | 774,629 | ||||||
Reliance Steel & Aluminum Co. | 9,033 | 688,044 | ||||||
United States Steel Corp. | 23,429 | 601,188 | ||||||
Carpenter Technology Corp. | 9,688 | 465,315 | ||||||
Allegheny Technologies, Inc.*,1 | 19,419 | 464,114 | ||||||
Commercial Metals Co. | 23,291 | 443,228 | ||||||
Cleveland-Cliffs, Inc.* | 61,014 | 436,250 | ||||||
AK Steel Holding Corp.*,1 | 66,420 | 371,288 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 9,230 | 259,825 | ||||||
Total Iron & Steel | 7,930,068 | |||||||
Building Materials - 6.6% | ||||||||
Vulcan Materials Co. | 9,723 | 1,162,871 | ||||||
Martin Marietta Materials, Inc. | 5,049 | 1,041,255 | ||||||
Cemex SAB de CV ADR* | 92,120 | 836,450 | ||||||
Eagle Materials, Inc. | 5,861 | 625,369 | ||||||
Summit Materials, Inc. — Class A* | 17,107 | 547,937 | ||||||
Louisiana-Pacific Corp.* | 20,053 | 543,035 | ||||||
Boise Cascade Co.* | 9,700 | 338,530 | ||||||
US Concrete, Inc.*,1 | 4,420 | 337,246 | ||||||
Total Building Materials | 5,432,693 |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
BASIC MATERIALS FUND |
Shares | Value | |||||||
Forest Products & Paper - 2.3% | ||||||||
International Paper Co. | 24,223 | $ | 1,376,350 | |||||
Domtar Corp. | 10,881 | 472,127 | ||||||
Total Forest Products & Paper | 1,848,477 | |||||||
Commercial Services - 2.2% | ||||||||
Ecolab, Inc. | 13,504 | 1,736,749 | ||||||
Miscellaneous Manufacturing - 1.4% | ||||||||
AptarGroup, Inc. | 7,714 | 665,795 | ||||||
Trinseo S.A. | 7,030 | 471,713 | ||||||
Total Miscellaneous Manufacturing | 1,137,508 | |||||||
Household Products & Housewares - 1.0% | ||||||||
Avery Dennison Corp. | 8,655 | 851,133 | ||||||
Housewares - 0.8% | ||||||||
Scotts Miracle-Gro Co. — Class A | 7,140 | 695,008 | ||||||
Metal Fabricate & Hardware - 0.6% | ||||||||
Worthington Industries, Inc. | 10,100 | 464,600 | ||||||
Total Common Stocks | ||||||||
(Cost $68,163,810) | 81,611,264 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.0% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 413,455 | 413,455 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 206,728 | 206,728 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 206,569 | 206,569 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $826,752) | 826,752 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 3,088,603 | 3,088,603 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $3,088,603) | 3,088,603 | |||||||
Total Investments - 104.5% | ||||||||
(Cost $72,079,165) | $ | 85,526,619 | ||||||
Other Assets & Liabilities, net - (4.5)% | (3,674,019 | ) | ||||||
Total Net Assets - 100.0% | $ | 81,852,600 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
BASIC MATERIALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 81,611,264 | $ | — | $ | — | $ | 81,611,264 | ||||||||
Repurchase Agreements | — | 826,752 | — | 826,752 | ||||||||||||
Securities Lending Collateral | 3,088,603 | — | — | 3,088,603 | ||||||||||||
Total Assets | $ | 84,699,867 | $ | 826,752 | $ | — | $ | 85,526,619 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BASIC MATERIALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $3,008,496 of securities loaned (cost $71,252,413) | $ | 84,699,867 | ||
Repurchase agreements, at value (cost $826,752) | 826,752 | |||
Cash | 5,991 | |||
Receivables: | ||||
Securities sold | 1,582,944 | |||
Fund shares sold | 185,947 | |||
Dividends | 76,137 | |||
Securities lending income | 690 | |||
Foreign taxes reclaim | 339 | |||
Interest | 45 | |||
Total assets | 87,378,712 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 3,088,603 | |||
Fund shares redeemed | 2,169,660 | |||
Deferred foreign capital gain taxes | 156,725 | |||
Management fees | 56,051 | |||
Transfer agent and administrative fees | 16,485 | |||
Distribution and service fees | 8,620 | |||
Portfolio accounting fees | 6,594 | |||
Miscellaneous | 23,374 | |||
Total liabilities | 5,526,112 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 81,852,600 | ||
Net assets consist of: | ||||
Paid in capital | $ | 77,163,236 | ||
Accumulated net investment loss | (63,432 | ) | ||
Accumulated net realized loss on investments | (8,694,658 | ) | ||
Net unrealized appreciation on investments | 13,447,454 | |||
Net assets | $ | 81,852,600 | ||
Investor Class: | ||||
Net assets | $ | 57,477,730 | ||
Capital shares outstanding | 960,200 | |||
Net asset value per share | $ | 59.86 | ||
A-Class: | ||||
Net assets | $ | 9,338,564 | ||
Capital shares outstanding | 165,990 | |||
Net asset value per share | $ | 56.26 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 59.07 | ||
C-Class: | ||||
Net assets | $ | 5,360,990 | ||
Capital shares outstanding | 106,832 | |||
Net asset value per share | $ | 50.18 | ||
H-Class: | ||||
Net assets | $ | 9,675,316 | ||
Capital shares outstanding | 177,331 | |||
Net asset value per share | $ | 54.56 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $9,626) | $ | 664,919 | ||
Interest | 2,389 | |||
Income from securities lending, net | 5,189 | |||
Total investment income | 672,497 | |||
Expenses: | ||||
Management fees | 356,850 | |||
Distribution and service fees: | ||||
A-Class | 14,806 | |||
C-Class | 27,009 | |||
H-Class | 12,064 | |||
Transfer agent and administrative fees | 104,955 | |||
Registration fees | 50,514 | |||
Portfolio accounting fees | 41,982 | |||
Custodian fees | 5,676 | |||
Trustees’ fees* | 4,054 | |||
Tax expense | 2,039 | |||
Line of credit fees | 122 | |||
Miscellaneous | 19,963 | |||
Total expenses | 640,034 | |||
Net investment income | 32,463 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 7,454,388 | |||
Net realized gain | 7,454,388 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,070,797 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,070,797 | ) | ||
Net realized and unrealized gain | 5,383,591 | |||
Net increase in net assets resulting from operations | $ | 5,416,054 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
BASIC MATERIALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 32,463 | $ | 206,434 | ||||
Net realized gain on investments | 7,454,388 | 9,183,264 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,070,797 | ) | 5,660,263 | |||||
Net increase in net assets resulting from operations | 5,416,054 | 15,049,961 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (445,649 | ) | |||||
A-Class | — | (129,410 | ) | |||||
C-Class | — | (50,406 | ) | |||||
H-Class | — | (44,931 | ) | |||||
Total distributions to shareholders | — | (670,396 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 75,396,810 | 366,654,182 | ||||||
A-Class | 7,792,009 | 60,038,778 | ||||||
C-Class | 1,531,442 | 7,777,261 | ||||||
H-Class | 38,717,835 | 46,556,397 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 442,343 | ||||||
A-Class | — | 124,774 | ||||||
C-Class | — | 47,851 | ||||||
H-Class | — | 44,870 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (78,248,330 | ) | (349,084,142 | ) | ||||
A-Class | (15,513,511 | ) | (50,808,000 | ) | ||||
C-Class | (2,350,826 | ) | (5,202,949 | ) | ||||
H-Class | (37,998,291 | ) | (43,707,838 | ) | ||||
Net increase (decrease) from capital share transactions | (10,672,862 | ) | 32,883,527 | |||||
Net increase (decrease) in net assets | (5,256,808 | ) | 47,263,092 | |||||
Net assets: | ||||||||
Beginning of period | 87,109,408 | 39,846,316 | ||||||
End of period | $ | 81,852,600 | $ | 87,109,408 | ||||
Accumulated net investment loss at end of period | $ | (63,432 | ) | $ | (95,895 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,319,652 | 7,143,060 | ||||||
A-Class | 145,154 | 1,268,197 | ||||||
C-Class | 31,671 | 179,237 | ||||||
H-Class | 759,798 | 1,009,782 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 8,544 | ||||||
A-Class | — | 2,559 | ||||||
C-Class | — | 1,093 | ||||||
H-Class | — | 949 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,380,064 | ) | (6,809,481 | ) | ||||
A-Class | (291,197 | ) | (1,056,076 | ) | ||||
C-Class | (48,923 | ) | (119,321 | ) | ||||
H-Class | (741,322 | ) | (915,003 | ) | ||||
Net increase (decrease) in shares | (205,231 | ) | 713,540 |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.71 | $ | 45.18 | $ | 50.18 | $ | 52.53 | $ | 49.94 | $ | 49.80 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .06 | .18 | .26 | .29 | .32 | .46 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.09 | 10.92 | (4.39 | ) | (2.26 | ) | 2.58 | (.15 | ) | |||||||||||||||
Total from investment operations | 4.15 | 11.10 | (4.13 | ) | (1.97 | ) | 2.90 | .31 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Total distributions | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Net asset value, end of period | $ | 59.86 | $ | 55.71 | $ | 45.18 | $ | 50.18 | $ | 52.53 | $ | 49.94 | ||||||||||||
Total Returnc | 7.28 | % | 24.65 | % | (8.07 | %) | (3.77 | %) | 5.84 | % | 0.65 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 57,478 | $ | 56,854 | $ | 30,653 | $ | 46,509 | $ | 33,687 | $ | 36,012 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.21 | % | 0.35 | % | 0.55 | % | 0.56 | % | 0.66 | % | 0.95 | % | ||||||||||||
Total expenses | 1.40 | % | 1.37 | % | 1.35 | % | 1.34 | % | 1.38 | % | 1.36 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 361 | % | 471 | % | 358 | % | 349 | % | 251 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 52.42 | $ | 42.65 | $ | 47.54 | $ | 49.93 | $ | 47.60 | $ | 47.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | .03 | .10 | .13 | .22 | .32 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.85 | 10.31 | (4.12 | ) | (2.14 | ) | 2.42 | (.13 | ) | |||||||||||||||
Total from investment operations | 3.84 | 10.34 | (4.02 | ) | (2.01 | ) | 2.64 | .19 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Total distributions | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Net asset value, end of period | $ | 56.26 | $ | 52.42 | $ | 42.65 | $ | 47.54 | $ | 49.93 | $ | 47.60 | ||||||||||||
Total Returnc | 7.16 | % | 24.33 | % | (8.29 | %) | (4.05 | %) | 5.58 | % | 0.41 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,339 | $ | 16,355 | $ | 4,152 | $ | 6,194 | $ | 13,347 | $ | 11,104 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | %) | 0.06 | % | 0.24 | % | 0.27 | % | 0.47 | % | 0.69 | % | ||||||||||||
Total expenses | 1.65 | % | 1.62 | % | 1.60 | % | 1.60 | % | 1.63 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 361 | % | 471 | % | 358 | % | 349 | % | 251 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 46.93 | $ | 38.52 | $ | 43.36 | $ | 45.91 | $ | 44.12 | $ | 44.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.19 | ) | (.29 | ) | (.17 | ) | (.23 | ) | (.15 | ) | (.03 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.44 | 9.27 | (3.80 | ) | (1.94 | ) | 2.25 | (.13 | ) | |||||||||||||||
Total from investment operations | 3.25 | 8.98 | (3.97 | ) | (2.17 | ) | 2.10 | (.16 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Total distributions | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Net asset value, end of period | $ | 50.18 | $ | 46.93 | $ | 38.52 | $ | 43.36 | $ | 45.91 | $ | 44.12 | ||||||||||||
Total Returnc | 6.74 | % | 23.41 | % | (8.98 | %) | (4.76 | %) | 4.80 | % | (0.35 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,361 | $ | 5,824 | $ | 2,430 | $ | 3,133 | $ | 5,150 | $ | 6,666 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.78 | %) | (0.66 | %) | (0.43 | %) | (0.49 | %) | (0.34 | %) | (0.07 | %) | ||||||||||||
Total expenses | 2.40 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.38 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 361 | % | 471 | % | 358 | % | 349 | % | 251 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.84 | $ | 41.37 | $ | 46.19 | $ | 48.64 | $ | 46.50 | $ | 46.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | .01 | .09 | — | d | .08 | .19 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.74 | 10.03 | (4.04 | ) | (2.07 | ) | 2.37 | (.13 | ) | |||||||||||||||
Total from investment operations | 3.72 | 10.04 | (3.95 | ) | (2.07 | ) | 2.45 | .06 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Total distributions | — | (.57 | ) | (.87 | ) | (.38 | ) | (.31 | ) | (.17 | ) | |||||||||||||
Net asset value, end of period | $ | 54.56 | $ | 50.84 | $ | 41.37 | $ | 46.19 | $ | 48.64 | $ | 46.50 | ||||||||||||
Total Returnc | 7.13 | % | 24.36 | % | (8.36 | %) | (4.30 | %) | 5.31 | % | 0.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,675 | $ | 8,077 | $ | 2,612 | $ | 2,073 | $ | 2,678 | $ | 3,616 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.06 | %) | 0.03 | % | 0.24 | % | — | f | 0.18 | % | 0.43 | % | ||||||||||||
Total expenses | 1.65 | % | 1.62 | % | 1.64 | % | 1.85 | % | 1.88 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 361 | % | 471 | % | 358 | % | 349 | % | 251 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Net investment income (loss) is less than $0.01 per share. | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. | |
f | Less than 0.01%. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_25.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 1, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Amgen, Inc. | 5.6% |
AbbVie, Inc. | 5.5% |
Celgene Corp. | 5.3% |
Gilead Sciences, Inc. | 4.9% |
Biogen, Inc. | 3.8% |
Regeneron Pharmaceuticals, Inc. | 3.7% |
Shire plc ADR | 3.3% |
Vertex Pharmaceuticals, Inc. | 3.1% |
Alexion Pharmaceuticals, Inc. | 2.7% |
Illumina, Inc. | 2.6% |
Top Ten Total | 40.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 16.82% | 19.23% | 18.01% | 15.17% |
A-Class Shares | 16.68% | 18.94% | 17.72% | 14.88% |
A-Class Shares with sales charge‡ | 11.14% | 13.29% | 16.58% | 14.32% |
C-Class Shares | 16.25% | 18.07% | 16.84% | 14.04% |
C-Class Shares with CDSC§ | 15.25% | 17.07% | 16.84% | 14.04% |
H-Class Shares** | 16.67% | 18.95% | 17.55% | 14.66% |
S&P 500 Health Care Index | 11.01% | 15.49% | 17.30% | 10.86% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
BIOTECHNOLOGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Biotechnology - 63.9% | ||||||||
Amgen, Inc. | 120,899 | $ | 22,541,620 | |||||
Celgene Corp.* | 147,479 | 21,505,389 | ||||||
Gilead Sciences, Inc. | 246,365 | 19,960,493 | ||||||
Biogen, Inc.* | 49,475 | 15,491,613 | ||||||
Regeneron Pharmaceuticals, Inc.* | 33,512 | 14,983,885 | ||||||
Vertex Pharmaceuticals, Inc.* | 83,387 | 12,678,159 | ||||||
Alexion Pharmaceuticals, Inc.* | 78,962 | 11,077,579 | ||||||
Illumina, Inc.* | 51,697 | 10,298,042 | ||||||
Incyte Corp.* | 85,917 | 10,029,951 | ||||||
Alnylam Pharmaceuticals, Inc.*,1 | 72,271 | 8,491,120 | ||||||
BioMarin Pharmaceutical, Inc.* | 84,762 | 7,888,799 | ||||||
Kite Pharma, Inc.* | 32,534 | 5,849,939 | ||||||
Seattle Genetics, Inc.* | 101,027 | 5,496,879 | ||||||
Exelixis, Inc.* | 214,167 | 5,189,266 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 23,182 | 5,151,504 | ||||||
Bioverativ, Inc.* | 89,547 | 5,110,447 | ||||||
Exact Sciences Corp.* | 108,444 | 5,109,881 | ||||||
United Therapeutics Corp.* | 39,946 | 4,681,272 | ||||||
Charles River Laboratories International, Inc.* | 43,218 | 4,668,408 | ||||||
Bluebird Bio, Inc.* | 33,220 | 4,562,767 | ||||||
Ionis Pharmaceuticals, Inc.* | 86,641 | 4,392,699 | ||||||
Puma Biotechnology, Inc.* | 35,210 | 4,216,398 | ||||||
Spark Therapeutics, Inc.* | 43,020 | 3,835,663 | ||||||
Prothena Corporation plc*,1 | 58,533 | 3,791,182 | ||||||
Medicines Co.*,1 | 101,908 | 3,774,672 | ||||||
Juno Therapeutics, Inc.* | 83,350 | 3,739,081 | ||||||
Sage Therapeutics, Inc.* | 54,620 | 3,402,826 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 24,635 | 3,354,055 | ||||||
Myriad Genetics, Inc.* | 89,596 | 3,241,583 | ||||||
Halozyme Therapeutics, Inc.* | 176,675 | 3,068,845 | ||||||
Intrexon Corp.*,1 | 159,720 | 3,036,277 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 57,006 | 3,036,140 | ||||||
Esperion Therapeutics, Inc.* | 45,837 | 2,297,350 | ||||||
Five Prime Therapeutics, Inc.* | 56,031 | 2,292,228 | ||||||
Acorda Therapeutics, Inc.* | 96,491 | 2,282,012 | ||||||
Intercept Pharmaceuticals, Inc.*,1 | 39,060 | 2,267,042 | ||||||
Acceleron Pharma, Inc.* | 59,660 | 2,226,511 | ||||||
Dynavax Technologies Corp.* | 99,800 | 2,145,700 | ||||||
AMAG Pharmaceuticals, Inc.* | 76,401 | 1,409,598 | ||||||
Total Biotechnology | 258,576,875 | |||||||
Pharmaceuticals - 29.8% | ||||||||
AbbVie, Inc. | 249,634 | 22,182,477 | ||||||
Shire plc ADR | 86,180 | 13,197,605 | ||||||
TESARO, Inc.* | 46,513 | 6,004,828 | ||||||
Jazz Pharmaceuticals plc* | 34,060 | 4,981,275 | ||||||
Neurocrine Biosciences, Inc.* | 78,221 | 4,793,383 | ||||||
Alkermes plc* | 93,978 | 4,777,842 | ||||||
PRA Health Sciences, Inc.* | 60,730 | 4,625,804 | ||||||
Clovis Oncology, Inc.* | 55,900 | 4,606,160 | ||||||
ACADIA Pharmaceuticals, Inc.* | 113,108 | 4,260,778 | ||||||
Akorn, Inc.* | 125,093 | 4,151,837 | ||||||
Avexis, Inc.*,1 | 40,440 | 3,911,761 | ||||||
Nektar Therapeutics* | 160,647 | 3,855,528 | ||||||
Portola Pharmaceuticals, Inc.* | 67,835 | 3,665,125 | ||||||
Agios Pharmaceuticals, Inc.* | 52,248 | 3,487,554 | ||||||
Amicus Therapeutics, Inc.*,1 | 224,610 | 3,387,119 | ||||||
Horizon Pharma plc* | 247,636 | 3,140,024 | ||||||
Sarepta Therapeutics, Inc.* | 68,900 | 3,125,304 | ||||||
Radius Health, Inc.*,1 | 79,393 | 3,060,600 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 193,501 | 3,051,511 | ||||||
Array BioPharma, Inc.* | 247,150 | 3,039,945 | ||||||
Global Blood Therapeutics, Inc.* | 85,875 | 2,666,419 | ||||||
Pacira Pharmaceuticals, Inc.* | 65,540 | 2,461,027 | ||||||
Impax Laboratories, Inc.* | 113,707 | 2,308,252 | ||||||
Heron Therapeutics, Inc.*,1 | 132,650 | 2,142,298 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 32,160 | 1,918,022 | ||||||
Cara Therapeutics, Inc.*,1 | 100,700 | 1,378,583 | ||||||
Total Pharmaceuticals | 120,181,061 | |||||||
Healthcare-Products - 2.6% | ||||||||
Bio-Techne Corp. | 35,452 | 4,285,792 | ||||||
QIAGEN N.V.* | 120,517 | 3,796,286 | ||||||
MiMedx Group, Inc.*,1 | 200,575 | 2,382,831 | ||||||
Total Healthcare-Products | 10,464,909 | |||||||
Healthcare-Services - 2.3% | ||||||||
Quintiles IMS Holdings, Inc.* | 99,644 | 9,473,155 | ||||||
Commercial Services - 1.2% | ||||||||
Incorporated Research Holdings, Inc. — Class A* | 91,710 | 4,796,433 | ||||||
Total Common Stocks | ||||||||
(Cost $234,323,789) | 403,492,433 | |||||||
RIGHTS††† - 0.0% | ||||||||
Chelsea Therapeutics International | ||||||||
Expires 12/31/17*,5 | 231,107 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/18*,5 | 167,165 | — | ||||||
Clinical Data, Inc. | ||||||||
Expires 12/31/20*,5 | 24,000 | — | ||||||
Total Rights | ||||||||
(Cost $17,304) | — |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
BIOTECHNOLOGY FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.2% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 308,553 | $ | 308,553 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 154,277 | 154,277 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 154,158 | 154,158 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $616,988) | 616,988 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 22,839,008 | 22,839,008 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $22,839,008) | 22,839,008 | |||||||
Total Investments - 105.7% | ||||||||
(Cost $257,797,089) | $ | 426,948,429 | ||||||
Other Assets & Liabilities, net - (5.7)% | (23,196,103 | ) | ||||||
Total Net Assets - 100.0% | $ | 403,752,326 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
††† | Value determined based on Level 3 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
5 | Security was fair valued by the valuation committee at September 30, 2017. The total market value of fair valued securities amounts to $0, (cost $17,304) or 0.0% of total net assets. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 403,492,433 | $ | — | $ | — | $ | 403,492,433 | ||||||||
Repurchase Agreements | — | 616,988 | — | 616,988 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 22,839,008 | — | — | 22,839,008 | ||||||||||||
Total Assets | $ | 426,331,441 | $ | 616,988 | $ | — | $ | 426,948,429 |
* | Market value of securities is $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
BIOTECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $22,326,563 of securities loaned (cost $257,180,101) | $ | 426,331,441 | ||
Repurchase agreements, at value (cost $616,988) | 616,988 | |||
Receivables: | ||||
Fund shares sold | 812,001 | |||
Securities lending income | 13,562 | |||
Dividends | 12,564 | |||
Interest | 34 | |||
Total assets | 427,786,590 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 22,839,008 | |||
Fund shares redeemed | 643,652 | |||
Management fees | 276,561 | |||
Transfer agent and administrative fees | 81,341 | |||
Distribution and service fees | 34,251 | |||
Portfolio accounting fees | 29,539 | |||
Miscellaneous | 129,912 | |||
Total liabilities | 24,034,264 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 403,752,326 | ||
Net assets consist of: | ||||
Paid in capital | $ | 219,223,180 | ||
Accumulated net investment loss | (1,772,095 | ) | ||
Accumulated net realized gain on investments | 17,149,901 | |||
Net unrealized appreciation on investments | 169,151,340 | |||
Net assets | $ | 403,752,326 | ||
Investor Class: | ||||
Net assets | $ | 308,235,904 | ||
Capital shares outstanding | 3,309,959 | |||
Net asset value per share | $ | 93.12 | ||
A-Class: | ||||
Net assets | $ | 36,580,793 | ||
Capital shares outstanding | 422,806 | |||
Net asset value per share | $ | 86.52 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 90.83 | ||
C-Class: | ||||
Net assets | $ | 23,578,385 | ||
Capital shares outstanding | 301,238 | |||
Net asset value per share | $ | 78.27 | ||
H-Class: | ||||
Net assets | $ | 35,357,244 | ||
Capital shares outstanding | 419,936 | |||
Net asset value per share | $ | 84.20 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 1,289,980 | ||
Interest | 8,217 | |||
Income from securities lending, net | 67,298 | |||
Total investment income | 1,365,495 | |||
Expenses: | ||||
Management fees | 1,498,972 | |||
Distribution and service fees: | ||||
A-Class | 46,963 | |||
C-Class | 109,477 | |||
H-Class | 37,990 | |||
Transfer agent and administrative fees | 440,872 | |||
Registration fees | 173,839 | |||
Portfolio accounting fees | 163,597 | |||
Custodian fees | 23,221 | |||
Trustees’ fees* | 13,403 | |||
Line of credit fees | 18 | |||
Miscellaneous | 126,453 | |||
Total expenses | 2,634,805 | |||
Net investment loss | (1,269,310 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 29,531,787 | |||
Net realized gain | 29,531,787 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 24,749,893 | |||
Net change in unrealized appreciation (depreciation) | 24,749,893 | |||
Net realized and unrealized gain | 54,281,680 | |||
Net increase in net assets resulting from operations | $ | 53,012,370 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,269,310 | ) | $ | (3,016,948 | ) | ||
Net realized gain on investments | 29,531,787 | 33,962,436 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 24,749,893 | 16,030,019 | ||||||
Net increase in net assets resulting from operations | 53,012,370 | 46,975,507 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 158,890,316 | 566,789,465 | ||||||
A-Class | 8,675,161 | 12,173,169 | ||||||
C-Class | 2,415,471 | 6,487,269 | ||||||
H-Class | 126,040,381 | 248,519,397 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (129,712,544 | ) | (624,179,693 | ) | ||||
A-Class | (14,685,381 | ) | (30,279,707 | ) | ||||
C-Class | (3,143,895 | ) | (15,081,301 | ) | ||||
H-Class | (113,507,621 | ) | (258,314,588 | ) | ||||
Net increase (decrease) from capital share transactions | 34,971,888 | (93,885,989 | ) | |||||
Net increase (decrease) in net assets | 87,984,258 | (46,910,482 | ) | |||||
Net assets: | ||||||||
Beginning of period | 315,768,068 | 362,678,550 | ||||||
End of period | $ | 403,752,326 | $ | 315,768,068 | ||||
Accumulated net investment loss at end of period | $ | (1,772,095 | ) | $ | (502,785 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,840,723 | 7,604,195 | ||||||
A-Class | 109,947 | 171,354 | ||||||
C-Class | 33,479 | 102,310 | ||||||
H-Class | 1,705,439 | 3,763,839 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,523,890 | ) | (8,424,736 | ) | ||||
A-Class | (184,030 | ) | (438,604 | ) | ||||
C-Class | (44,036 | ) | (239,863 | ) | ||||
H-Class | (1,553,058 | ) | (3,937,371 | ) | ||||
Net increase (decrease) in shares | 384,574 | (1,398,876 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 79.72 | $ | 68.30 | $ | 93.63 | $ | 68.47 | $ | 48.97 | $ | 36.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.26 | ) | (.57 | ) | (.75 | ) | (.27 | ) | (.51 | ) | (.40 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.66 | 11.99 | (23.30 | ) | 28.59 | 20.01 | 12.47 | |||||||||||||||||
Total from investment operations | 13.40 | 11.42 | (24.05 | ) | 28.32 | 19.50 | 12.07 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 93.12 | $ | 79.72 | $ | 68.30 | $ | 93.63 | $ | 68.47 | $ | 48.97 | ||||||||||||
Total Returnc | 16.82 | % | 16.71 | % | (25.98 | %) | 42.19 | % | 39.82 | % | 32.71 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 308,236 | $ | 238,614 | $ | 260,476 | $ | 498,068 | $ | 313,324 | $ | 171,844 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.62 | %) | (0.76 | %) | (0.84 | %) | (0.34 | %) | (0.82 | %) | (0.98 | %) | ||||||||||||
Total expenses | 1.38 | % | 1.37 | % | 1.32 | % | 1.33 | % | 1.36 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 207 | % | 83 | % | 107 | % | 119 | % | 197 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.16 | $ | 63.69 | $ | 87.63 | $ | 64.41 | $ | 46.18 | $ | 34.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.34 | ) | (.70 | ) | (.91 | ) | (.44 | ) | (.62 | ) | (.48 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.70 | 11.17 | (21.75 | ) | 26.82 | 18.85 | 11.78 | |||||||||||||||||
Total from investment operations | 12.36 | 10.47 | (22.66 | ) | 26.38 | 18.23 | 11.30 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 86.52 | $ | 74.16 | $ | 63.69 | $ | 87.63 | $ | 64.41 | $ | 46.18 | ||||||||||||
Total Returnc | 16.68 | % | 16.42 | % | (26.17 | %) | 41.83 | % | 39.48 | % | 32.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 36,581 | $ | 36,849 | $ | 48,672 | $ | 89,260 | $ | 51,270 | $ | 26,391 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.85 | %) | (1.01 | %) | (1.09 | %) | (0.59 | %) | (1.07 | %) | (1.21 | %) | ||||||||||||
Total expenses | 1.63 | % | 1.61 | % | 1.57 | % | 1.58 | % | 1.61 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 207 | % | 83 | % | 107 | % | 119 | % | 197 | % |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.34 | $ | 58.27 | $ | 80.88 | $ | 60.10 | $ | 43.41 | $ | 33.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.58 | ) | (1.11 | ) | (1.40 | ) | (.92 | ) | (.99 | ) | (.73 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.51 | 10.18 | (19.93 | ) | 24.86 | 17.68 | 11.10 | |||||||||||||||||
Total from investment operations | 10.93 | 9.07 | (21.33 | ) | 23.94 | 16.69 | 10.37 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 78.27 | $ | 67.34 | $ | 58.27 | $ | 80.88 | $ | 60.10 | $ | 43.41 | ||||||||||||
Total Returnc | 16.25 | % | 15.55 | % | (26.72 | %) | 40.75 | % | 38.45 | % | 31.39 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,578 | $ | 20,997 | $ | 26,185 | $ | 41,424 | $ | 27,170 | $ | 13,677 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.61 | %) | (1.76 | %) | (1.84 | %) | (1.34 | %) | (1.82 | %) | (1.96 | %) | ||||||||||||
Total expenses | 2.38 | % | 2.36 | % | 2.33 | % | 2.33 | % | 2.36 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 207 | % | 83 | % | 107 | % | 119 | % | 197 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 72.16 | $ | 62.00 | $ | 85.38 | $ | 62.98 | $ | 45.27 | $ | 34.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.30 | ) | (.70 | ) | (.96 | ) | (.61 | ) | (.74 | ) | (.56 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.34 | 10.86 | (21.14 | ) | 26.17 | 18.45 | 11.56 | |||||||||||||||||
Total from investment operations | 12.04 | 10.16 | (22.10 | ) | 25.56 | 17.71 | 11.00 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (1.28 | ) | (3.16 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 84.20 | $ | 72.16 | $ | 62.00 | $ | 85.38 | $ | 62.98 | $ | 45.27 | ||||||||||||
Total Returnc | 16.67 | % | 16.39 | % | (26.22 | %) | 41.49 | % | 39.12 | % | 32.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,357 | $ | 19,308 | $ | 27,346 | $ | 63,196 | $ | 37,978 | $ | 22,486 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.78 | %) | (1.04 | %) | (1.17 | %) | (0.84 | %) | (1.32 | %) | (1.46 | %) | ||||||||||||
Total expenses | 1.63 | % | 1.61 | % | 1.65 | % | 1.83 | % | 1.86 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 207 | % | 83 | % | 107 | % | 119 | % | 197 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_32.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | July 6, 1998 |
A-Class | September 1, 2004 |
C-Class | July 24, 2001 |
H-Class | August 17, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Procter & Gamble Co. | 5.1% |
Coca-Cola Co. | 4.7% |
Philip Morris International, Inc. | 4.3% |
PepsiCo, Inc. | 4.3% |
Altria Group, Inc. | 3.9% |
Kraft Heinz Co. | 3.3% |
Colgate-Palmolive Co. | 2.7% |
Mondelez International, Inc. — Class A | 2.7% |
Kimberly-Clark Corp. | 2.2% |
Estee Lauder Companies, Inc. — Class A | 2.1% |
Top Ten Total | 35.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (0.70%) | 2.61% | 11.79% | 9.11% |
A-Class Shares | (0.82%) | 2.35% | 11.50% | 8.85% |
A-Class Shares with sales charge‡ | (5.53%) | (2.51%) | 10.42% | 8.32% |
C-Class Shares | (1.19%) | 1.58% | 10.67% | 8.03% |
C-Class Shares with CDSC§ | (2.17%) | 0.59% | 10.67% | 8.03% |
H-Class Shares** | (0.83%) | 2.34% | 11.34% | 8.64% |
S&P 500 Consumer Staples Index | 0.20% | 4.42% | 11.46% | 9.79% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
CONSUMER PRODUCTS FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Food - 39.6% | ||||||||
Kraft Heinz Co. | 107,593 | $ | 8,343,838 | |||||
Mondelez International, Inc. — Class A | 169,190 | 6,879,266 | ||||||
Sysco Corp. | 86,766 | 4,681,027 | ||||||
Tyson Foods, Inc. — Class A | 65,221 | 4,594,820 | ||||||
General Mills, Inc. | 88,673 | 4,589,714 | ||||||
Hershey Co. | 37,657 | 4,111,015 | ||||||
Kellogg Co. | 62,231 | 3,881,347 | ||||||
Hormel Foods Corp. | 114,229 | 3,671,320 | ||||||
Kroger Co. | 180,283 | 3,616,477 | ||||||
Campbell Soup Co. | 71,977 | 3,369,963 | ||||||
McCormick & Company, Inc. | 31,116 | 3,193,746 | ||||||
Conagra Brands, Inc. | 93,478 | 3,153,948 | ||||||
JM Smucker Co. | 27,673 | 2,903,728 | ||||||
Ingredion, Inc. | 20,647 | 2,490,854 | ||||||
BRF S.A. ADR*,1 | 160,700 | 2,315,687 | ||||||
Pilgrim’s Pride Corp.* | 80,289 | 2,281,010 | ||||||
Lamb Weston Holdings, Inc. | 48,510 | 2,274,634 | ||||||
Pinnacle Foods, Inc. | 39,500 | 2,258,215 | ||||||
Blue Buffalo Pet Products, Inc.*,1 | 76,519 | 2,169,314 | ||||||
Post Holdings, Inc.* | 24,200 | 2,136,134 | ||||||
US Foods Holding Corp.* | 79,200 | 2,114,640 | ||||||
Hain Celestial Group, Inc.* | 43,525 | 1,791,054 | ||||||
Flowers Foods, Inc. | 91,982 | 1,730,181 | ||||||
TreeHouse Foods, Inc.* | 25,491 | 1,726,505 | ||||||
Snyder’s-Lance, Inc. | 44,600 | 1,701,044 | ||||||
Sanderson Farms, Inc. | 9,998 | 1,614,877 | ||||||
Lancaster Colony Corp. | 13,052 | 1,567,806 | ||||||
Sprouts Farmers Market, Inc.* | 78,800 | 1,479,076 | ||||||
Darling Ingredients, Inc.* | 83,464 | 1,462,289 | ||||||
Performance Food Group Co.* | 51,100 | 1,443,575 | ||||||
J&J Snack Foods Corp. | 10,500 | 1,378,650 | ||||||
Fresh Del Monte Produce, Inc. | 29,200 | 1,327,432 | ||||||
B&G Foods, Inc.1 | 40,131 | 1,278,172 | ||||||
Cal-Maine Foods, Inc.*,1 | 29,800 | 1,224,780 | ||||||
Hostess Brands, Inc.* | 85,300 | 1,165,198 | ||||||
United Natural Foods, Inc.*,1 | 27,630 | 1,149,132 | ||||||
Calavo Growers, Inc. | 13,800 | 1,010,160 | ||||||
SpartanNash Co. | 33,700 | 888,669 | ||||||
Dean Foods Co. | 78,663 | 855,853 | ||||||
SUPERVALU, Inc.* | 38,000 | 826,500 | ||||||
Total Food | 100,651,650 | |||||||
Beverages - 23.0% | ||||||||
Coca-Cola Co. | 262,940 | 11,834,930 | ||||||
PepsiCo, Inc. | 97,905 | 10,909,554 | ||||||
Constellation Brands, Inc. — Class A | 26,405 | 5,266,477 | ||||||
Monster Beverage Corp.* | 86,617 | 4,785,589 | ||||||
Brown-Forman Corp. — Class B | 71,356 | 3,874,631 | ||||||
Molson Coors Brewing Co. — Class B | 43,858 | 3,580,567 | ||||||
Dr Pepper Snapple Group, Inc. | 38,498 | 3,405,918 | ||||||
Anheuser-Busch InBev S.A. ADR | 27,390 | 3,267,627 | ||||||
Coca-Cola European Partners plc | 66,354 | 2,761,653 | ||||||
Diageo plc ADR | 17,090 | 2,258,102 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 22,983 | 2,195,566 | ||||||
National Beverage Corp. | 16,614 | 2,060,967 | ||||||
Coca-Cola Bottling Company Consolidated | 5,700 | 1,229,775 | ||||||
Boston Beer Company, Inc. — Class A*,1 | 7,532 | 1,176,498 | ||||||
Total Beverages | 58,607,854 | |||||||
Agriculture - 13.8% | ||||||||
Philip Morris International, Inc. | 99,294 | 11,022,628 | ||||||
Altria Group, Inc. | 154,801 | 9,817,479 | ||||||
Archer-Daniels-Midland Co. | 97,035 | 4,124,958 | ||||||
British American Tobacco plc ADR | 62,967 | 3,932,289 | ||||||
Bunge Ltd. | 39,044 | 2,711,996 | ||||||
Vector Group Ltd. | 69,169 | 1,415,881 | ||||||
Universal Corp. | 18,000 | 1,031,400 | ||||||
Andersons, Inc. | 25,100 | 859,675 | ||||||
Total Agriculture | 34,916,306 | |||||||
Cosmetics & Personal Care - 13.2% | ||||||||
Procter & Gamble Co. | 142,774 | 12,989,578 | ||||||
Colgate-Palmolive Co. | 95,516 | 6,958,341 | ||||||
Estee Lauder Companies, Inc. — Class A1 | 49,567 | 5,345,305 | ||||||
Coty, Inc. — Class A | 177,855 | 2,939,943 | ||||||
Unilever N.V. — Class Y | 45,551 | 2,689,331 | ||||||
Edgewell Personal Care Co.* | 24,188 | 1,760,161 | ||||||
e.l.f. Beauty, Inc.*,1 | 41,500 | 935,825 | ||||||
Total Cosmetics & Personal Care | 33,618,484 | |||||||
Household Products & Housewares - 6.6% | ||||||||
Kimberly-Clark Corp. | 47,190 | 5,553,319 | ||||||
Clorox Co. | 27,224 | 3,591,118 | ||||||
Church & Dwight Company, Inc. | 61,844 | 2,996,342 | ||||||
Spectrum Brands Holdings, Inc. | 20,700 | 2,192,544 | ||||||
Central Garden & Pet Co. — Class A* | 33,900 | 1,260,741 | ||||||
WD-40 Co. | 9,700 | 1,085,430 | ||||||
Total Household Products & Housewares | 16,679,494 | |||||||
Retail - 1.3% | ||||||||
Casey’s General Stores, Inc. | 16,523 | 1,808,443 | ||||||
Nu Skin Enterprises, Inc. — Class A | 24,830 | 1,526,548 | ||||||
Total Retail | 3,334,991 | |||||||
Pharmaceuticals - 0.9% | ||||||||
Herbalife Ltd.* | 32,375 | 2,195,996 | ||||||
Holding Companies-Diversified - 0.6% | ||||||||
HRG Group, Inc.* | 101,200 | 1,579,732 | ||||||
Electrical Components & Equipment - 0.6% | ||||||||
Energizer Holdings, Inc. | 31,335 | 1,442,977 | ||||||
Total Common Stocks | ||||||||
(Cost $178,371,800) | 253,027,484 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
CONSUMER PRODUCTS FUND |
Shares | Value | |||||||
RIGHTS††† - 0.0% | ||||||||
PDC | ||||||||
Expires 10/19/17* | 93,765 | $ | — | |||||
Casa Ley | ||||||||
Expires 01/17/19* | 93,765 | — | ||||||
Total Rights | ||||||||
(Cost $23,055) | — |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 319,560 | 319,560 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 159,780 | 159,780 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 159,658 | 159,658 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $638,998) | 638,998 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 4,523,114 | 4,523,114 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $4,523,114) | 4,523,114 | |||||||
Total Investments - 101.7% | ||||||||
(Cost $183,556,967) | $ | 258,189,596 | ||||||
Other Assets & Liabilities, net - (1.7)% | (4,346,855 | ) | ||||||
Total Net Assets - 100.0% | $ | 253,842,741 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
††† | Value determined based on Level 3 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
CONSUMER PRODUCTS FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 253,027,484 | $ | — | $ | — | $ | 253,027,484 | ||||||||
Repurchase Agreement | — | 638,998 | — | 638,998 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 4,523,114 | — | — | 4,523,114 | ||||||||||||
Total Assets | $ | 257,550,598 | $ | 638,998 | $ | — | $ | 258,189,596 |
* | Market value of securities is $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
CONSUMER PRODUCTS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $4,468,128 of securities loaned (cost $182,917,969) | $ | 257,550,598 | ||
Repurchase agreements, at value (cost $638,998) | 638,998 | |||
Receivables: | ||||
Dividends | 603,389 | |||
Fund shares sold | 174,565 | |||
Foreign taxes reclaim | 25,954 | |||
Securities lending income | 3,403 | |||
Interest | 35 | |||
Total assets | 258,996,942 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 4,523,114 | |||
Fund shares redeemed | 249,947 | |||
Management fees | 181,486 | |||
Transfer agent and administrative fees | 53,378 | |||
Distribution and service fees | 31,104 | |||
Portfolio accounting fees | 21,150 | |||
Miscellaneous | 94,022 | |||
Total liabilities | 5,154,201 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 253,842,741 | ||
Net assets consist of: | ||||
Paid in capital | $ | 167,337,518 | ||
Undistributed net investment income | 2,088,737 | |||
Accumulated net realized gain on investments | 9,783,857 | |||
Net unrealized appreciation on investments | 74,632,629 | |||
Net assets | $ | 253,842,741 | ||
Investor Class: | ||||
Net assets | $ | 181,507,339 | ||
Capital shares outstanding | 2,766,806 | |||
Net asset value per share | $ | 65.60 | ||
A-Class: | ||||
Net assets | $ | 34,572,351 | ||
Capital shares outstanding | 569,505 | |||
Net asset value per share | $ | 60.71 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 63.73 | ||
C-Class: | ||||
Net assets | $ | 25,263,660 | ||
Capital shares outstanding | 473,494 | |||
Net asset value per share | $ | 53.36 | ||
H-Class: | ||||
Net assets | $ | 12,499,391 | ||
Capital shares outstanding | 213,089 | |||
Net asset value per share | $ | 58.66 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,991) | $ | 3,314,850 | ||
Interest | 4,921 | |||
Income from securities lending, net | 61,678 | |||
Other income | 1,593 | |||
Total investment income | 3,383,042 | |||
Expenses: | ||||
Management fees | 1,280,570 | |||
Distribution and service fees: | ||||
A-Class | 47,748 | |||
C-Class | 137,922 | |||
H-Class | 34,060 | |||
Transfer agent and administrative fees | 376,637 | |||
Registration fees | 149,672 | |||
Portfolio accounting fees | 144,327 | |||
Custodian fees | 19,956 | |||
Trustees’ fees* | 13,605 | |||
Line of credit fees | 98 | |||
Miscellaneous | 104,287 | |||
Total expenses | 2,308,882 | |||
Net investment income | 1,074,160 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 13,896,698 | |||
Net realized gain | 13,896,698 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (17,081,117 | ) | ||
Net change in unrealized appreciation (depreciation) | (17,081,117 | ) | ||
Net realized and unrealized loss | (3,184,419 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,110,259 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,074,160 | $ | 2,717,518 | ||||
Net realized gain on investments | 13,896,698 | 30,636,934 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (17,081,117 | ) | (15,544,633 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (2,110,259 | ) | 17,809,819 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (2,259,234 | ) | |||||
A-Class | — | (473,017 | ) | |||||
C-Class | — | (350,535 | ) | |||||
H-Class | — | (619,330 | ) | |||||
Net realized gains | ||||||||
Investor Class | — | (1,131,947 | ) | |||||
A-Class | — | (236,997 | ) | |||||
C-Class | — | (175,629 | ) | |||||
H-Class | — | (310,304 | ) | |||||
Total distributions to shareholders | — | (5,556,993 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 83,627,217 | 276,892,039 | ||||||
A-Class | 4,228,473 | 33,790,536 | ||||||
C-Class | 2,286,879 | 16,171,468 | ||||||
H-Class | 67,133,878 | 114,109,709 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 3,294,770 | ||||||
A-Class | — | 587,359 | ||||||
C-Class | — | 490,705 | ||||||
H-Class | — | 886,577 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (108,329,430 | ) | (357,313,404 | ) | ||||
A-Class | (9,672,111 | ) | (49,406,491 | ) | ||||
C-Class | (5,105,985 | ) | (12,830,920 | ) | ||||
H-Class | (89,936,948 | ) | (146,843,066 | ) | ||||
Net decrease from capital share transactions | (55,768,027 | ) | (120,170,718 | ) | ||||
Net decrease in net assets | (57,878,286 | ) | (107,917,892 | ) | ||||
Net assets: | ||||||||
Beginning of period | 311,721,027 | 419,638,919 | ||||||
End of period | $ | 253,842,741 | $ | 311,721,027 | ||||
Undistributed net investment income at end of period | $ | 2,088,737 | $ | 1,014,577 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
CONSUMER PRODUCTS FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,252,644 | 4,295,268 | ||||||
A-Class | 68,455 | 566,319 | ||||||
C-Class | 42,112 | 304,356 | ||||||
H-Class | 1,141,475 | 2,015,223 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 54,119 | ||||||
A-Class | — | 10,403 | ||||||
C-Class | — | 9,824 | ||||||
H-Class | — | 16,250 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,629,486 | ) | (5,607,116 | ) | ||||
A-Class | (156,869 | ) | (835,458 | ) | ||||
C-Class | (94,154 | ) | (245,971 | ) | ||||
H-Class | (1,526,595 | ) | (2,596,061 | ) | ||||
Net decrease in shares | (902,418 | ) | (2,012,844 | ) |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.06 | $ | 62.84 | $ | 58.55 | $ | 52.08 | $ | 47.79 | $ | 40.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .28 | .51 | .61 | .71 | .46 | .57 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.74 | ) | 3.58 | 4.92 | 6.44 | 5.81 | 7.14 | |||||||||||||||||
Total from investment operations | (.46 | ) | 4.09 | 5.53 | 7.15 | 6.27 | 7.71 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.58 | ) | (.49 | ) | (.24 | ) | (.46 | ) | (.11 | ) | |||||||||||||
Net realized gains | — | (.29 | ) | (.75 | ) | (.44 | ) | (1.52 | ) | — | ||||||||||||||
Total distributions | — | (.87 | ) | (1.24 | ) | (.68 | ) | (1.98 | ) | (.11 | ) | |||||||||||||
Net asset value, end of period | $ | 65.60 | $ | 66.06 | $ | 62.84 | $ | 58.55 | $ | 52.08 | $ | 47.79 | ||||||||||||
Total Returnc | (0.70 | %) | 6.62 | % | 9.65 | % | 13.77 | % | 13.24 | % | 19.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 181,507 | $ | 207,683 | $ | 276,578 | $ | 222,954 | $ | 102,231 | $ | 181,945 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.85 | % | 0.79 | % | 1.03 | % | 1.27 | % | 0.91 | % | 1.38 | % | ||||||||||||
Total expenses | 1.39 | % | 1.36 | % | 1.34 | % | 1.34 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 75 | % | 104 | % | 87 | % | 112 | % | 230 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.21 | $ | 58.43 | $ | 54.66 | $ | 48.79 | $ | 45.00 | $ | 37.93 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .19 | .33 | .45 | .48 | .33 | .44 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.69 | ) | 3.32 | 4.56 | 6.07 | 5.44 | 6.74 | |||||||||||||||||
Total from investment operations | (.50 | ) | 3.65 | 5.01 | 6.55 | 5.77 | 7.18 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.58 | ) | (.49 | ) | (.24 | ) | (.46 | ) | (.11 | ) | |||||||||||||
Net realized gains | — | (.29 | ) | (.75 | ) | (.44 | ) | (1.52 | ) | — | ||||||||||||||
Total distributions | — | (.87 | ) | (1.24 | ) | (.68 | ) | (1.98 | ) | (.11 | ) | |||||||||||||
Net asset value, end of period | $ | 60.71 | $ | 61.21 | $ | 58.43 | $ | 54.66 | $ | 48.79 | $ | 45.00 | ||||||||||||
Total Returnc | (0.82 | %) | 6.35 | % | 9.38 | % | 13.47 | % | 12.95 | % | 18.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 34,572 | $ | 40,272 | $ | 53,560 | $ | 32,762 | $ | 25,538 | $ | 21,604 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.60 | % | 0.56 | % | 0.82 | % | 0.92 | % | 0.70 | % | 1.12 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.60 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 75 | % | 104 | % | 87 | % | 112 | % | 230 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
CONSUMER PRODUCTS FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 54.00 | $ | 52.04 | $ | 49.18 | $ | 44.29 | $ | 41.32 | $ | 35.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.10 | ) | .03 | .09 | (.01 | ) | .13 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.60 | ) | 2.93 | 4.07 | 5.48 | 4.96 | 6.19 | |||||||||||||||||
Total from investment operations | (.64 | ) | 2.83 | 4.10 | 5.57 | 4.95 | 6.32 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.58 | ) | (.49 | ) | (.24 | ) | (.46 | ) | (.11 | ) | |||||||||||||
Net realized gains | — | (.29 | ) | (.75 | ) | (.44 | ) | (1.52 | ) | — | ||||||||||||||
Total distributions | — | (.87 | ) | (1.24 | ) | (.68 | ) | (1.98 | ) | (.11 | ) | |||||||||||||
Net asset value, end of period | $ | 53.36 | $ | 54.00 | $ | 52.04 | $ | 49.18 | $ | 44.29 | $ | 41.32 | ||||||||||||
Total Returnc | (1.19 | %) | 5.55 | % | 8.57 | % | 12.62 | % | 12.11 | % | 18.06 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,264 | $ | 28,380 | $ | 23,799 | $ | 17,717 | $ | 14,125 | $ | 11,699 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.14 | %) | (0.20 | %) | 0.05 | % | 0.20 | % | (0.02 | %) | 0.37 | % | ||||||||||||
Total expenses | 2.39 | % | 2.36 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 75 | % | 104 | % | 87 | % | 112 | % | 230 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 59.15 | $ | 56.50 | $ | 52.94 | $ | 47.39 | $ | 43.87 | $ | 37.08 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .31 | .39 | .37 | .24 | .35 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.70 | ) | 3.21 | 4.41 | 5.86 | 5.26 | 6.55 | |||||||||||||||||
Total from investment operations | (.49 | ) | 3.52 | 4.80 | 6.23 | 5.50 | 6.90 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.58 | ) | (.49 | ) | (.24 | ) | (.46 | ) | (.11 | ) | |||||||||||||
Net realized gains | — | (.29 | ) | (.75 | ) | (.44 | ) | (1.52 | ) | — | ||||||||||||||
Total distributions | — | (.87 | ) | (1.24 | ) | (.68 | ) | (1.98 | ) | (.11 | ) | |||||||||||||
Net asset value, end of period | $ | 58.66 | $ | 59.15 | $ | 56.50 | $ | 52.94 | $ | 47.39 | $ | 43.87 | ||||||||||||
Total Returnc | (0.83 | %) | 6.35 | % | 9.29 | % | 13.19 | % | 12.66 | % | 18.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,499 | $ | 35,387 | $ | 65,702 | $ | 49,751 | $ | 27,162 | $ | 10,148 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.72 | % | 0.54 | % | 0.72 | % | 0.74 | % | 0.51 | % | 0.93 | % | ||||||||||||
Total expenses | 1.64 | % | 1.61 | % | 1.66 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 75 | % | 104 | % | 87 | % | 112 | % | 230 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
ELECTRONICS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_41.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 26, 2001 |
H-Class | April 2, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Intel Corp. | 7.5% |
NVIDIA Corp. | 5.9% |
Broadcom Ltd. | 5.6% |
Texas Instruments, Inc. | 5.5% |
QUALCOMM, Inc. | 5.0% |
Applied Materials, Inc. | 4.3% |
Micron Technology, Inc. | 3.7% |
Analog Devices, Inc. | 3.2% |
Lam Research Corp. | 3.1% |
Microchip Technology, Inc. | 2.5% |
Top Ten Total | 46.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 12.59% | 29.54% | 22.00% | 6.11% |
A-Class Shares | 12.45% | 29.21% | 21.71% | 5.83% |
A-Class Shares with sales charge‡ | 7.11% | 23.07% | 20.53% | 5.31% |
C-Class Shares | 12.03% | 28.25% | 20.77% | 5.07% |
C-Class Shares with CDSC§ | 11.03% | 27.25% | 20.77% | 5.07% |
H-Class Shares** | 12.45% | 29.22% | 21.49% | 5.65% |
S&P 500 Information Technology Index | 13.14% | 28.88% | 17.44% | 10.94% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
ELECTRONICS FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Semiconductors - 93.8% | ||||||||
Intel Corp. | 63,612 | $ | 2,422,345 | |||||
NVIDIA Corp. | 10,582 | 1,891,744 | ||||||
Broadcom Ltd. | 7,382 | 1,790,430 | ||||||
Texas Instruments, Inc. | 19,567 | 1,753,986 | ||||||
QUALCOMM, Inc. | 31,072 | 1,610,772 | ||||||
Applied Materials, Inc. | 26,274 | 1,368,613 | ||||||
Micron Technology, Inc.* | 30,469 | 1,198,346 | ||||||
Analog Devices, Inc. | 11,862 | 1,022,149 | ||||||
Lam Research Corp. | 5,310 | 982,562 | ||||||
Microchip Technology, Inc. | 8,924 | 801,197 | ||||||
Xilinx, Inc. | 10,762 | 762,272 | ||||||
Skyworks Solutions, Inc. | 7,358 | 749,780 | ||||||
KLA-Tencor Corp. | 7,046 | 746,876 | ||||||
Maxim Integrated Products, Inc. | 13,862 | 661,356 | ||||||
Advanced Micro Devices, Inc.* | 50,769 | 647,305 | ||||||
NXP Semiconductor N.V.* | 5,647 | 638,619 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 15,704 | 589,685 | ||||||
Qorvo, Inc.* | 7,436 | 525,576 | ||||||
Marvell Technology Group Ltd. | 29,057 | 520,120 | ||||||
ON Semiconductor Corp.* | 27,974 | 516,680 | ||||||
Teradyne, Inc. | 13,194 | 492,004 | ||||||
ASML Holding N.V. — Class G | 2,852 | 488,262 | ||||||
Microsemi Corp.* | 8,765 | 451,222 | ||||||
MKS Instruments, Inc. | 4,356 | 411,424 | ||||||
STMicroelectronics N.V. — Class Y | 21,100 | 409,762 | ||||||
Cypress Semiconductor Corp. | 26,791 | 402,401 | ||||||
Silicon Motion Technology Corp. ADR1 | 8,330 | 400,090 | ||||||
Mellanox Technologies Ltd.* | 8,309 | 391,769 | ||||||
Cavium, Inc.* | 5,853 | 385,947 | ||||||
Monolithic Power Systems, Inc. | 3,551 | 378,359 | ||||||
Entegris, Inc.* | 12,391 | 357,480 | ||||||
Silicon Laboratories, Inc.* | 4,133 | 330,227 | ||||||
Cirrus Logic, Inc.* | 6,005 | 320,187 | ||||||
Integrated Device Technology, Inc.* | 11,827 | 314,362 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 7,012 | 312,805 | ||||||
Semtech Corp.* | 8,069 | 302,991 | ||||||
Amkor Technology, Inc.* | 27,750 | 292,763 | ||||||
Power Integrations, Inc. | 3,639 | 266,375 | ||||||
Cabot Microelectronics Corp. | 3,278 | 262,011 | ||||||
Ambarella, Inc.*,1 | 5,342 | 261,811 | ||||||
Brooks Automation, Inc. | 8,390 | 254,720 | ||||||
MaxLinear, Inc. — Class A* | 10,210 | 242,488 | ||||||
Inphi Corp.* | 5,930 | 235,362 | ||||||
Rambus, Inc.* | 16,402 | 218,967 | ||||||
Synaptics, Inc.* | 5,263 | 206,204 | ||||||
Xperi Corp. | 7,616 | 192,685 | ||||||
Veeco Instruments, Inc.* | 8,320 | 178,048 | ||||||
Impinj, Inc.*,1 | 4,160 | 173,098 | ||||||
Total Semiconductors | 30,134,237 | |||||||
Electrical Components & Equipment - 1.6% | ||||||||
Advanced Energy Industries, Inc.* | 4,042 | 326,432 | ||||||
SunPower Corp. — Class A*,1 | 24,135 | 175,944 | ||||||
Total Electrical Components & Equipment | 502,376 | |||||||
Energy-Alternate Sources - 1.2% | ||||||||
First Solar, Inc.* | 8,433 | 386,906 | ||||||
Chemicals - 1.1% | ||||||||
Versum Materials, Inc. | 9,470 | 367,625 | ||||||
Building Materials - 1.0% | ||||||||
Cree, Inc.* | 11,368 | 320,464 | ||||||
Telecommunications - 0.8% | ||||||||
Acacia Communications, Inc.*,1 | 5,682 | 267,622 | ||||||
Total Common Stocks | ||||||||
(Cost $25,657,344) | 31,979,230 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 86,334 | 86,334 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 43,167 | 43,167 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 43,134 | 43,134 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $172,635) | 172,635 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 818,235 | 818,235 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $818,235) | 818,235 | |||||||
Total Investments - 102.6% | ||||||||
(Cost $26,648,214) | $ | 32,970,100 | ||||||
Other Assets & Liabilities, net - (2.6)% | (822,642 | ) | ||||||
Total Net Assets - 100.0% | $ | 32,147,458 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
ELECTRONICS FUND |
Non-income producing security. | ||
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 31,979,230 | $ | — | $ | — | $ | 31,979,230 | ||||||||
Repurchase Agreement | — | 172,635 | — | 172,635 | ||||||||||||
Securities Lending Collateral | 818,235 | — | — | 818,235 | ||||||||||||
Total Assets | $ | 32,797,465 | $ | 172,635 | $ | — | $ | 32,970,100 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
ELECTRONICS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $805,663 of securities loaned (cost $26,475,579) | $ | 32,797,465 | ||
Repurchase agreements, at value (cost $172,635) | 172,635 | |||
Cash | 7,611 | |||
Receivables: | ||||
Fund shares sold | 24,940 | |||
Dividends | 6,892 | |||
Securities lending income | 3,665 | |||
Interest | 10 | |||
Total assets | 33,013,218 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 818,235 | |||
Management fees | 20,131 | |||
Transfer agent and administrative fees | 5,921 | |||
Fund shares redeemed | 5,160 | |||
Distribution and service fees | 3,021 | |||
Portfolio accounting fees | 2,368 | |||
Miscellaneous | 10,924 | |||
Total liabilities | 865,760 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 32,147,458 | ||
Net assets consist of: | ||||
Paid in capital | $ | 23,635,742 | ||
Undistributed net investment income | 18,721 | |||
Accumulated net realized gain on investments | 2,171,109 | |||
Net unrealized appreciation on investments | 6,321,886 | |||
Net assets | $ | 32,147,458 | ||
Investor Class: | ||||
Net assets | $ | 22,921,013 | ||
Capital shares outstanding | 185,086 | |||
Net asset value per share | $ | 123.84 | ||
A-Class: | ||||
Net assets | $ | 2,346,973 | ||
Capital shares outstanding | 20,258 | |||
Net asset value per share | $ | 115.85 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 121.63 | ||
C-Class: | ||||
Net assets | $ | 2,115,721 | ||
Capital shares outstanding | 20,114 | |||
Net asset value per share | $ | 105.19 | ||
H-Class: | ||||
Net assets | $ | 4,763,751 | ||
Capital shares outstanding | 42,225 | |||
Net asset value per share | $ | 112.82 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 383,576 | ||
Interest | 1,089 | |||
Income from securities lending, net | 46,294 | |||
Total investment income | 430,959 | |||
Expenses: | ||||
Management fees | 246,863 | |||
Distribution and service fees: | ||||
A-Class | 5,035 | |||
C-Class | 11,864 | |||
H-Class | 18,811 | |||
Transfer agent and administrative fees | 72,606 | |||
Registration fees | 41,615 | |||
Portfolio accounting fees | 29,042 | |||
Custodian fees | 4,028 | |||
Trustees’ fees* | 3,218 | |||
Line of credit fees | 493 | |||
Miscellaneous | 6,495 | |||
Total expenses | 440,070 | |||
Net investment loss | (9,111 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 10,997,218 | |||
Net realized gain | 10,997,218 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (7,674,237 | ) | ||
Net change in unrealized appreciation (depreciation) | (7,674,237 | ) | ||
Net realized and unrealized gain | 3,322,981 | |||
Net increase in net assets resulting from operations | $ | 3,313,870 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (9,111 | ) | $ | 27,832 | |||
Net realized gain on investments | 10,997,218 | 1,912,633 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (7,674,237 | ) | 8,829,509 | |||||
Net increase in net assets resulting from operations | 3,313,870 | 10,769,974 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 79,265,685 | 256,339,415 | ||||||
A-Class | 3,439,024 | 11,788,211 | ||||||
C-Class | 1,379,847 | 4,290,342 | ||||||
H-Class | 133,818,979 | 135,688,569 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (110,414,692 | ) | (221,085,468 | ) | ||||
A-Class | (5,843,991 | ) | (9,887,302 | ) | ||||
C-Class | (2,058,663 | ) | (2,834,033 | ) | ||||
H-Class | (152,572,583 | ) | (125,204,966 | ) | ||||
Net increase (decrease) from capital share transactions | (52,986,394 | ) | 49,094,768 | |||||
Net increase (decrease) in net assets | (49,672,524 | ) | 59,864,742 | |||||
Net assets: | ||||||||
Beginning of period | 81,819,982 | 21,955,240 | ||||||
End of period | $ | 32,147,458 | $ | 81,819,982 | ||||
Undistributed net investment income at end of period | $ | 18,721 | $ | 27,832 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 690,289 | 2,814,942 | ||||||
A-Class | 32,826 | 134,060 | ||||||
C-Class | 14,090 | 53,496 | ||||||
H-Class | 1,309,827 | 1,726,169 | ||||||
Shares redeemed | ||||||||
Investor Class | (975,405 | ) | (2,445,893 | ) | ||||
A-Class | (55,354 | ) | (114,387 | ) | ||||
C-Class | (21,193 | ) | (36,554 | ) | ||||
H-Class | (1,498,172 | ) | (1,647,057 | ) | ||||
Net increase (decrease) in shares | (503,092 | ) | 484,776 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 110.00 | $ | 81.23 | $ | 83.54 | $ | 69.82 | $ | 52.11 | $ | 55.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | .15 | .02 | .29 | (.04 | ) | .22 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.79 | 28.62 | (2.20 | ) | 13.43 | 17.79 | (3.20 | ) | ||||||||||||||||
Total from investment operations | 13.84 | 28.77 | (2.18 | ) | 13.72 | 17.75 | (2.98 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Total distributions | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 123.84 | $ | 110.00 | $ | 81.23 | $ | 83.54 | $ | 69.82 | $ | 52.11 | ||||||||||||
Total Returnc | 12.59 | % | 35.41 | % | (2.61 | %) | 19.65 | % | 34.07 | % | (5.41 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,921 | $ | 51,722 | $ | 8,217 | $ | 18,144 | $ | 9,655 | $ | 2,942 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.09 | % | 0.16 | % | 0.02 | % | 0.38 | % | (0.07 | %) | 0.45 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.34 | % | 1.35 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 280 | % | 643 | % | 769 | % | 562 | % | 1,436 | % | 1,640 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 103.03 | $ | 76.25 | $ | 78.62 | $ | 65.87 | $ | 49.29 | $ | 52.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.18 | ) | (.20 | ) | (.17 | ) | (.33 | ) | .24 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.86 | 26.96 | (2.04 | ) | 12.92 | 16.95 | (3.18 | ) | ||||||||||||||||
Total from investment operations | 12.82 | 26.78 | (2.24 | ) | 12.75 | 16.62 | (2.94 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Total distributions | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 115.85 | $ | 103.03 | $ | 76.25 | $ | 78.62 | $ | 65.87 | $ | 49.29 | ||||||||||||
Total Returnc | 12.45 | % | 35.11 | % | (2.84 | %) | 19.36 | % | 33.72 | % | (5.63 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,347 | $ | 4,408 | $ | 1,762 | $ | 1,680 | $ | 5,329 | $ | 299 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.07 | %) | (0.19 | %) | (0.26 | %) | (0.24 | %) | (0.59 | %) | 0.51 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.60 | % | 1.61 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 280 | % | 643 | % | 769 | % | 562 | % | 1,436 | % | 1,640 | % |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 93.90 | $ | 70.02 | $ | 72.76 | $ | 61.40 | $ | 46.32 | $ | 49.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.42 | ) | (.69 | ) | (.63 | ) | (.35 | ) | (.54 | ) | (.18 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.71 | 24.57 | (1.98 | ) | 11.71 | 15.66 | (3.00 | ) | ||||||||||||||||
Total from investment operations | 11.29 | 23.88 | (2.61 | ) | 11.36 | 15.12 | (3.18 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Total distributions | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 105.19 | $ | 93.90 | $ | 70.02 | $ | 72.76 | $ | 61.40 | $ | 46.32 | ||||||||||||
Total Returnc | 12.03 | % | 34.09 | % | (3.58 | %) | 18.50 | % | 32.65 | % | (6.44 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,116 | $ | 2,556 | $ | 719 | $ | 1,280 | $ | 1,043 | $ | 667 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.86 | %) | (0.85 | %) | (0.91 | %) | (0.55 | %) | (1.03 | %) | (0.41 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.38 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 280 | % | 643 | % | 769 | % | 562 | % | 1,436 | % | 1,640 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 100.33 | $ | 74.32 | $ | 76.66 | $ | 64.40 | $ | 48.33 | $ | 51.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.08 | ) | (.30 | ) | .06 | (.17 | ) | (.12 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.59 | 26.09 | (1.91 | ) | 12.20 | 16.28 | (2.95 | ) | ||||||||||||||||
Total from investment operations | 12.49 | 26.01 | (2.21 | ) | 12.26 | 16.11 | (3.07 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Total distributions | — | — | (.13 | ) | — | (.04 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 112.82 | $ | 100.33 | $ | 74.32 | $ | 76.66 | $ | 64.40 | $ | 48.33 | ||||||||||||
Total Returnc | 12.45 | % | 34.98 | % | (2.88 | %) | 19.04 | % | 33.34 | % | (5.97 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,764 | $ | 23,134 | $ | 11,257 | $ | 6,285 | $ | 3,577 | $ | 1,288 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.19 | %) | (0.09 | %) | (0.40 | %) | 0.09 | % | (0.29 | %) | (0.26 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.74 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 280 | % | 643 | % | 769 | % | 562 | % | 1,436 | % | 1,640 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_48.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 21, 1998 |
A-Class | September 1, 2004 |
C-Class | April 19, 2001 |
H-Class | May 5, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Exxon Mobil Corp. | 6.0% |
Chevron Corp. | 4.8% |
Schlumberger Ltd. | 3.2% |
ConocoPhillips | 2.6% |
EOG Resources, Inc. | 2.4% |
Occidental Petroleum Corp. | 2.3% |
Phillips 66 | 2.3% |
Kinder Morgan, Inc. | 2.1% |
Halliburton Co. | 2.1% |
Baker Hughes a GE Co. | 2.0% |
Top Ten Total | 29.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (5.73%) | (6.00%) | (4.39%) | (2.77%) |
A-Class Shares | (5.84%) | (6.23%) | (4.60%) | (3.01%) |
A-Class Shares with sales charge‡ | (10.31%) | (10.68%) | (5.53%) | (3.48%) |
C-Class Shares | (6.19%) | (6.96%) | (5.35%) | (3.74%) |
C-Class Shares with CDSC§ | (7.13%) | (7.89%) | (5.35%) | (3.74%) |
H-Class Shares** | (5.85%) | (6.28%) | (4.78%) | (3.21%) |
S&P 500 Energy Index | 0.05% | 0.16% | 1.02% | 1.00% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
ENERGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Oil & Gas - 71.8% | ||||||||
Exxon Mobil Corp. | 27,852 | $ | 2,283,306 | |||||
Chevron Corp. | 15,455 | 1,815,962 | ||||||
ConocoPhillips | 19,651 | 983,533 | ||||||
EOG Resources, Inc. | 9,419 | 911,194 | ||||||
Occidental Petroleum Corp. | 13,482 | 865,679 | ||||||
Phillips 66 | 9,363 | 857,744 | ||||||
Valero Energy Corp. | 9,671 | 743,990 | ||||||
Anadarko Petroleum Corp. | 13,851 | 676,621 | ||||||
Marathon Petroleum Corp. | 11,993 | 672,567 | ||||||
Pioneer Natural Resources Co. | 4,156 | 613,176 | ||||||
Devon Energy Corp. | 14,785 | 542,757 | ||||||
Concho Resources, Inc.* | 4,023 | 529,910 | ||||||
Apache Corp. | 11,400 | 522,120 | ||||||
Hess Corp. | 10,219 | 479,169 | ||||||
Andeavor | 4,608 | 475,315 | ||||||
Continental Resources, Inc.* | 12,129 | 468,301 | ||||||
Noble Energy, Inc. | 16,095 | 456,454 | ||||||
Marathon Oil Corp. | 31,698 | 429,825 | ||||||
Cabot Oil & Gas Corp. — Class A | 15,800 | 422,650 | ||||||
Equities Corp. | 6,247 | 407,554 | ||||||
Petroleo Brasileiro S.A. ADR* | 39,548 | 397,062 | ||||||
Cimarex Energy Co. | 3,490 | 396,708 | ||||||
Transocean Ltd.*,1 | 36,781 | 395,764 | ||||||
BP plc ADR | 10,243 | 393,638 | ||||||
Royal Dutch Shell plc — Class A ADR | 6,470 | 391,953 | ||||||
Diamondback Energy, Inc.* | 3,802 | 372,444 | ||||||
Parsley Energy, Inc. — Class A* | 13,746 | 362,070 | ||||||
Encana Corp. | 29,997 | 353,365 | ||||||
Suncor Energy, Inc. | 9,591 | 335,973 | ||||||
Ensco plc — Class A1 | 54,229 | 323,747 | ||||||
HollyFrontier Corp. | 8,784 | 315,960 | ||||||
RSP Permian, Inc.* | 8,839 | 305,741 | ||||||
Newfield Exploration Co.* | 10,227 | 303,435 | ||||||
Antero Resources Corp.* | 15,042 | 299,336 | ||||||
Rice Energy, Inc.* | 10,341 | 299,269 | ||||||
Energen Corp.* | 5,142 | 281,165 | ||||||
Helmerich & Payne, Inc.1 | 5,381 | 280,404 | ||||||
Range Resources Corp. | 14,047 | 274,900 | ||||||
Centennial Resource Development, Inc. — Class A*,1 | 15,098 | 271,311 | ||||||
WPX Energy, Inc.* | 23,413 | 269,250 | ||||||
Patterson-UTI Energy, Inc. | 12,282 | 257,185 | ||||||
Murphy Oil Corp. | 9,675 | 256,968 | ||||||
Canadian Natural Resources Ltd. | 7,646 | 256,065 | ||||||
Chesapeake Energy Corp.*,1 | 56,288 | 242,038 | ||||||
Laredo Petroleum, Inc.* | 17,506 | 226,353 | ||||||
Kosmos Energy Ltd.* | 27,830 | 221,527 | ||||||
PDC Energy, Inc.* | 4,457 | 218,527 | ||||||
Matador Resources Co.* | 7,953 | 215,924 | ||||||
Southwestern Energy Co.* | 34,755 | 212,353 | ||||||
PBF Energy, Inc. — Class A1 | 7,568 | 208,952 | ||||||
Extraction Oil & Gas, Inc.* | 13,212 | 203,333 | ||||||
Gulfport Energy Corp.* | 13,638 | 195,569 | ||||||
Nabors Industries Ltd. | 23,276 | 187,837 | ||||||
Callon Petroleum Co.* | 16,570 | 186,247 | ||||||
SRC Energy, Inc.* | 19,183 | 185,500 | ||||||
Delek US Holdings, Inc. | 6,678 | 178,503 | ||||||
Oasis Petroleum, Inc.* | 19,543 | 178,232 | ||||||
Whiting Petroleum Corp.* | 32,471 | 177,292 | ||||||
QEP Resources, Inc.* | 20,664 | 177,090 | ||||||
SM Energy Co.1 | 9,670 | 171,546 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 11,426 | 165,677 | ||||||
Rowan Companies plc — Class A* | 12,347 | 158,659 | ||||||
Statoil ASA ADR | 7,830 | 157,305 | ||||||
Carrizo Oil & Gas, Inc.* | 9,157 | 156,859 | ||||||
Ultra Petroleum Corp.* | 17,120 | 148,430 | ||||||
Halcon Resources Corp.* | 18,390 | 125,052 | ||||||
Atwood Oceanics, Inc.*,1 | 11,313 | 106,229 | ||||||
Resolute Energy Corp.*,1 | 3,541 | 105,132 | ||||||
California Resources Corp.*,1 | 8,353 | 87,372 | ||||||
Sanchez Energy Corp.*,1 | 16,463 | 79,352 | ||||||
Total Oil & Gas | 27,228,430 | |||||||
Oil & Gas Services - 14.1% | ||||||||
Schlumberger Ltd. | 17,241 | 1,202,732 | ||||||
Halliburton Co. | 17,042 | 784,443 | ||||||
Baker Hughes a GE Co. | 20,842 | 763,234 | ||||||
National Oilwell Varco, Inc. | 12,446 | 444,696 | ||||||
TechnipFMC plc* | 11,212 | 313,039 | ||||||
RPC, Inc.1 | 11,225 | 278,268 | ||||||
Core Laboratories N.V.1 | 2,129 | 210,132 | ||||||
Oceaneering International, Inc. | 7,186 | 188,776 | ||||||
Keane Group, Inc.*,1 | 10,768 | 179,610 | ||||||
McDermott International, Inc.* | 23,752 | 172,677 | ||||||
C&J Energy Services, Inc.* | 5,410 | 162,138 | ||||||
Superior Energy Services, Inc.* | 13,887 | 148,313 | ||||||
Dril-Quip, Inc.* | 3,300 | 145,695 | ||||||
Forum Energy Technologies, Inc.* | 8,990 | 142,941 | ||||||
Oil States International, Inc.* | 5,199 | 131,795 | ||||||
Basic Energy Services, Inc.*,1 | 5,030 | 97,079 | ||||||
Total Oil & Gas Services | 5,365,568 | |||||||
Pipelines - 9.6% | ||||||||
Kinder Morgan, Inc. | 41,760 | 800,956 | ||||||
Williams Companies, Inc. | 20,004 | 600,320 | ||||||
ONEOK, Inc. | 9,807 | 543,406 | ||||||
Cheniere Energy, Inc.* | 8,782 | 395,541 | ||||||
Targa Resources Corp. | 7,985 | 377,691 | ||||||
Enbridge, Inc. | 7,153 | 299,282 | ||||||
Plains GP Holdings, LP — Class A | 13,071 | 285,863 | ||||||
TransCanada Corp. | 3,608 | 178,343 | ||||||
SemGroup Corp. — Class A | 6,190 | 177,963 | ||||||
Total Pipelines | 3,659,365 | |||||||
Coal - 1.6% | ||||||||
CONSOL Energy, Inc.* | 14,494 | 245,528 | ||||||
Peabody Energy Corp.* | 6,860 | 199,009 | ||||||
Arch Coal, Inc. — Class A1 | 2,204 | 158,115 | ||||||
Total Coal | 602,652 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
ENERGY FUND |
Shares | Value | |||||||
Mining - 0.9% | ||||||||
US Silica Holdings, Inc. | 6,116 | $ | 190,024 | |||||
Fairmount Santrol Holdings, Inc.*,1 | 28,142 | 134,519 | ||||||
Total Mining | 324,543 | |||||||
Metal Fabricate & Hardware - 0.5% | ||||||||
Tenaris S.A. ADR | 7,195 | 203,691 | ||||||
Transportation - 0.5% | ||||||||
Golar LNG Ltd. | 7,999 | 180,857 | ||||||
Retail - 0.5% | ||||||||
World Fuel Services Corp. | 5,219 | 176,976 | ||||||
Energy-Alternate Sources - 0.2% | ||||||||
Green Plains, Inc. | 3,466 | 69,840 | ||||||
Total Common Stocks | ||||||||
(Cost $34,484,463) | 37,811,922 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.4% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 83,489 | 83,489 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 41,745 | 41,745 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 41,713 | 41,713 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $166,947) | 166,947 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 2,136,508 | 2,136,508 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $2,136,508) | 2,136,508 | |||||||
Total Investments - 105.7% | ||||||||
(Cost $36,787,918) | $ | 40,115,377 | ||||||
Other Assets & Liabilities, net - (5.7)% | (2,159,987 | ) | ||||||
Total Net Assets - 100.0% | $ | 37,955,390 |
* | 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 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
ENERGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 37,811,922 | $ | — | $ | — | $ | 37,811,922 | ||||||||
Repurchase Agreement | — | 166,947 | — | 166,947 | ||||||||||||
Securities Lending Collateral | 2,136,508 | — | — | 2,136,508 | ||||||||||||
Total Assets | $ | 39,948,430 | $ | 166,947 | $ | — | $ | 40,115,377 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
ENERGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $2,067,543 of securities loaned (cost $36,620,971) | $ | 39,948,430 | ||
Repurchase agreements, at value (cost $166,947) | 166,947 | |||
Cash | 271 | |||
Receivables: | ||||
Fund shares sold | 267,828 | |||
Dividends | 17,254 | |||
Securities lending income | 1,395 | |||
Interest | 9 | |||
Total assets | 40,402,134 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 2,136,508 | |||
Fund shares redeemed | 275,083 | |||
Management fees | 18,118 | |||
Transfer agent and administrative fees | 5,329 | |||
Distribution and service fees | 4,116 | |||
Portfolio accounting fees | 2,131 | |||
Miscellaneous | 5,459 | |||
Total liabilities | 2,446,744 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 37,955,390 | ||
Net assets consist of: | ||||
Paid in capital | $ | 45,855,263 | ||
Undistributed net investment income | 437,629 | |||
Accumulated net realized loss on investments | (11,664,961 | ) | ||
Net unrealized appreciation on investments | 3,327,459 | |||
Net assets | $ | 37,955,390 | ||
Investor Class: | ||||
Net assets | $ | 27,547,418 | ||
Capital shares outstanding | 371,131 | |||
Net asset value per share | $ | 74.23 | ||
A-Class: | ||||
Net assets | $ | 4,064,711 | ||
Capital shares outstanding | 58,451 | |||
Net asset value per share | $ | 69.54 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 73.01 | ||
C-Class: | ||||
Net assets | $ | 3,791,284 | ||
Capital shares outstanding | 61,150 | |||
Net asset value per share | $ | 62.00 | ||
H-Class: | ||||
Net assets | $ | 2,551,977 | ||
Capital shares outstanding | 37,819 | |||
Net asset value per share | $ | 67.48 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $4,110) | $ | 449,796 | ||
Interest | 568 | |||
Income from securities lending, net | 5,589 | |||
Total investment income | 455,953 | |||
Expenses: | ||||
Management fees | 126,192 | |||
Distribution and service fees: | ||||
A-Class | 4,933 | |||
C-Class | 18,251 | |||
H-Class | 5,487 | |||
Transfer agent and administrative fees | 37,115 | |||
Registration fees | 15,786 | |||
Portfolio accounting fees | 14,846 | |||
Trustees’ fees* | 2,128 | |||
Custodian fees | 2,037 | |||
Line of credit fees | 39 | |||
Miscellaneous | 8,417 | |||
Total expenses | 235,231 | |||
Net investment income | 220,722 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (2,893,433 | ) | ||
Net realized loss | (2,893,433 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,393,712 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,393,712 | ) | ||
Net realized and unrealized loss | (4,287,145 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,066,423 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 220,722 | $ | 216,907 | ||||
Net realized gain (loss) on investments | (2,893,433 | ) | 16,836,670 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,393,712 | ) | (7,539,822 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (4,066,423 | ) | 9,513,755 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (351,546 | ) | |||||
A-Class | — | (49,747 | ) | |||||
C-Class | — | (41,247 | ) | |||||
H-Class | — | (34,258 | ) | |||||
Total distributions to shareholders | — | (476,798 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 54,718,730 | 493,753,144 | ||||||
A-Class | 2,273,179 | 16,971,738 | ||||||
C-Class | 964,116 | 3,666,194 | ||||||
H-Class | 142,441,844 | 171,920,788 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 348,105 | ||||||
A-Class | — | 48,237 | ||||||
C-Class | — | 40,264 | ||||||
H-Class | — | 34,251 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (49,819,261 | ) | (498,261,928 | ) | ||||
A-Class | (2,817,124 | ) | (19,236,171 | ) | ||||
C-Class | (1,240,143 | ) | (4,323,277 | ) | ||||
H-Class | (140,651,726 | ) | (173,329,752 | ) | ||||
Net increase (decrease) from capital share transactions | 5,869,615 | (8,368,407 | ) | |||||
Net increase in net assets | 1,803,192 | 668,550 | ||||||
Net assets: | ||||||||
Beginning of period | 36,152,198 | 35,483,648 | ||||||
End of period | $ | 37,955,390 | $ | 36,152,198 | ||||
Undistributed net investment income at end of period | $ | 437,629 | $ | 216,907 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 765,198 | 6,399,342 | * | |||||
A-Class | 33,266 | 236,733 | * | |||||
C-Class | 16,437 | 56,272 | * | |||||
H-Class | 2,190,820 | 2,421,978 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 4,391 | * | |||||
A-Class | — | 648 | * | |||||
C-Class | — | 603 | * | |||||
H-Class | — | 474 | * | |||||
Shares redeemed | ||||||||
Investor Class | (702,499 | ) | (6,428,844 | )* | ||||
A-Class | (42,246 | ) | (270,062 | )* | ||||
C-Class | (20,820 | ) | (65,587 | )* | ||||
H-Class | (2,188,667 | ) | (2,432,686 | )* | ||||
Net increase (decrease) in shares | 51,489 | (76,738 | )* |
* | Capital share activity for the period presented through March 31, 2017, has been restated to reflect a 1:4 reverse share split effective November 7, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 78.73 | $ | 66.61 | $ | 92.98 | $ | 118.79 | $ | 104.48 | $ | 98.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .53 | .40 | 1.12 | .84 | .60 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.03 | ) | 12.24 | (26.37 | ) | (26.21 | ) | 13.71 | 7.58 | |||||||||||||||
Total from investment operations | (4.50 | ) | 12.64 | (25.25 | ) | (25.37 | ) | 14.31 | 8.06 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.52 | ) | (.52 | ) | (.44 | ) | — | (.28 | ) | ||||||||||||||
Net realized gains | — | — | (.60 | ) | — | — | — | |||||||||||||||||
Return of capital | — | — | — | — | — | (1.60 | ) | |||||||||||||||||
Total distributions | — | (.52 | ) | (1.12 | ) | (.44 | ) | — | (1.88 | ) | ||||||||||||||
Net asset value, end of period | $ | 74.23 | $ | 78.73 | $ | 66.61 | $ | 92.98 | $ | 118.79 | $ | 104.48 | ||||||||||||
Total Returnc | (5.73 | %) | 18.99 | % | (27.30 | %) | (21.42 | %) | 13.71 | % | 8.50 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 27,547 | $ | 24,284 | $ | 22,216 | $ | 28,123 | $ | 35,546 | $ | 49,160 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.49 | % | 0.52 | % | 1.38 | % | 0.72 | % | 0.55 | % | 0.52 | % | ||||||||||||
Total expenses | 1.39 | % | 1.37 | % | 1.35 | % | 1.35 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 604 | % | 996 | % | 595 | % | 463 | % | 231 | % | 248 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 73.86 | $ | 62.67 | $ | 87.76 | $ | 112.30 | $ | 99.06 | $ | 93.54 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .47 | .23 | .76 | .48 | .32 | .32 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.79 | ) | 11.48 | (24.73 | ) | (24.58 | ) | 12.92 | 7.08 | |||||||||||||||
Total from investment operations | (4.32 | ) | 11.71 | (23.97 | ) | (24.10 | ) | 13.24 | 7.40 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.52 | ) | (.52 | ) | (.44 | ) | — | (.28 | ) | ||||||||||||||
Net realized gains | — | — | (.60 | ) | — | — | — | |||||||||||||||||
Return of capital | — | — | — | — | — | (1.60 | ) | |||||||||||||||||
Total distributions | — | (.52 | ) | (1.12 | ) | (.44 | ) | — | (1.88 | ) | ||||||||||||||
Net asset value, end of period | $ | 69.54 | $ | 73.86 | $ | 62.67 | $ | 87.76 | $ | 112.30 | $ | 99.06 | ||||||||||||
Total Returnc | (5.84 | %) | 18.65 | % | (27.46 | %) | (21.49 | %) | 13.37 | % | 8.20 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,065 | $ | 4,980 | $ | 6,274 | $ | 4,671 | $ | 6,624 | $ | 5,586 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.40 | % | 0.31 | % | 1.02 | % | 0.43 | % | 0.30 | % | 0.38 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.60 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 604 | % | 996 | % | 595 | % | 463 | % | 231 | % | 248 | % |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY 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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.10 | $ | 56.55 | $ | 79.93 | $ | 103.21 | $ | 91.72 | $ | 87.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .18 | (.29 | ) | .08 | (.02 | ) | (.48 | ) | (.36 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.28 | ) | 10.36 | (22.34 | ) | (22.64 | ) | 11.97 | 6.56 | |||||||||||||||
Total from investment operations | (4.10 | ) | 10.07 | (22.26 | ) | (22.84 | ) | 11.49 | 6.20 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.52 | ) | (.52 | ) | (.44 | ) | — | (.28 | ) | ||||||||||||||
Net realized gains | — | — | (.60 | ) | — | — | — | |||||||||||||||||
Return of capital | — | — | — | — | — | (1.60 | ) | |||||||||||||||||
Total distributions | — | (.52 | ) | (1.12 | ) | (.44 | ) | — | (1.88 | ) | ||||||||||||||
Net asset value, end of period | $ | 62.00 | $ | 66.10 | $ | 56.55 | $ | 79.93 | $ | 103.21 | $ | 91.72 | ||||||||||||
Total Returnc | (6.19 | %) | 17.76 | % | (28.01 | %) | (22.18 | %) | 12.52 | % | 7.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,791 | $ | 4 | $ | 4,198 | $ | 6,754 | $ | 8,357 | $ | 9,693 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.62 | % | (0.45 | %) | 0.15 | % | (0.20 | %) | (0.52 | %) | (0.45 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 604 | % | 996 | % | 595 | % | 463 | % | 231 | % | 248 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
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.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d,e | Year Ended March 31, 2015d,e | Year Ended March 31, 2014d,e | Year Ended March 28, 2013d,e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 71.68 | $ | 60.90 | $ | 85.36 | $ | 109.61 | $ | 96.92 | $ | 91.78 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .72 | .02 | .40 | .28 | (.08 | ) | .04 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.92 | ) | 11.28 | (23.74 | ) | (24.09 | ) | 12.77 | 6.98 | |||||||||||||||
Total from investment operations | (4.20 | ) | 11.30 | (23.34 | ) | (23.81 | ) | 12.69 | 7.02 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.52 | ) | (.52 | ) | (.44 | ) | — | (.28 | ) | ||||||||||||||
Net realized gains | — | — | (.60 | ) | — | — | — | |||||||||||||||||
Return of capital | — | — | — | — | — | (1.60 | ) | |||||||||||||||||
Total distributions | — | (.52 | ) | (1.12 | ) | (.44 | ) | — | (1.88 | ) | ||||||||||||||
Net asset value, end of period | $ | 67.48 | $ | 71.68 | $ | 60.90 | $ | 85.36 | $ | 109.61 | $ | 96.92 | ||||||||||||
Total Returnc | (5.85 | %) | 18.57 | % | (27.53 | %) | (21.76 | %) | 13.08 | % | 7.92 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,552 | $ | 2,556 | $ | 2,795 | $ | 6,452 | $ | 4,764 | $ | 5,272 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 2.27 | % | 0.03 | % | 0.55 | % | 0.27 | % | (0.09 | %) | 0.06 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.70 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 604 | % | 996 | % | 595 | % | 463 | % | 231 | % | 248 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 reverse share split effective November 7, 2016 — See Note 9. | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_57.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | April 2, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Schlumberger Ltd. | 12.9% |
Halliburton Co. | 10.0% |
Baker Hughes a GE Co. | 9.7% |
National Oilwell Varco, Inc. | 5.7% |
Transocean Ltd. | 4.0% |
Helmerich & Payne, Inc. | 3.6% |
RPC, Inc. | 3.5% |
Ensco plc — Class A | 3.4% |
Patterson-UTI Energy, Inc. | 3.3% |
TechnipFMC plc | 3.2% |
Top Ten Total | 59.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (14.52%) | (9.40%) | (10.59%) | (7.38%) |
A-Class Shares | (14.61%) | (9.55%) | (10.80%) | (7.61%) |
A-Class Shares with sales charge‡ | (18.68%) | (13.84%) | (11.67%) | (8.06%) |
C-Class Shares | (14.94%) | (10.26%) | (11.48%) | (8.30%) |
C-Class Shares with CDSC§ | (15.79%) | (11.15%) | (11.48%) | (8.30%) |
H-Class Shares** | (14.69%) | (9.66%) | (10.98%) | (7.82%) |
S&P 500 Energy Index | 0.05% | 0.16% | 1.02% | 1.00% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
ENERGY SERVICES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.4% | ||||||||
Oil & Gas Services - 69.2% | ||||||||
Schlumberger Ltd. | 35,157 | $ | 2,452,553 | |||||
Halliburton Co. | 41,340 | 1,902,880 | ||||||
Baker Hughes a GE Co. | 50,556 | 1,851,361 | ||||||
National Oilwell Varco, Inc. | 30,176 | 1,078,188 | ||||||
RPC, Inc.1 | 27,229 | 675,007 | ||||||
TechnipFMC plc* | 22,174 | 619,098 | ||||||
Core Laboratories N.V.1 | 4,644 | 458,363 | ||||||
Oceaneering International, Inc. | 17,427 | 457,807 | ||||||
Keane Group, Inc.*,1 | 26,135 | 435,932 | ||||||
McDermott International, Inc.* | 57,616 | 418,868 | ||||||
C&J Energy Services, Inc.* | 13,392 | 401,358 | ||||||
Dril-Quip, Inc.* | 8,183 | 361,279 | ||||||
Superior Energy Services, Inc.* | 33,678 | 359,681 | ||||||
Forum Energy Technologies, Inc.* | 21,814 | 346,843 | ||||||
ProPetro Holding Corp.* | 24,040 | 344,974 | ||||||
Oil States International, Inc.* | 12,876 | 326,407 | ||||||
Helix Energy Solutions Group, Inc.* | 39,867 | 294,617 | ||||||
Basic Energy Services, Inc.*,1 | 12,457 | 240,420 | ||||||
Bristow Group, Inc.1 | 17,625 | 164,794 | ||||||
Total Oil & Gas Services | 13,190,430 | |||||||
Oil & Gas - 23.9% | ||||||||
Transocean Ltd.*,1 | 71,652 | 770,975 | ||||||
Helmerich & Payne, Inc.1 | 13,318 | 694,001 | ||||||
Ensco plc — Class A1 | 108,335 | 646,760 | ||||||
Patterson-UTI Energy, Inc. | 29,798 | 623,970 | ||||||
Nabors Industries Ltd. | 56,459 | 455,624 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 27,706 | 401,737 | ||||||
Rowan Companies plc — Class A* | 29,955 | 384,922 | ||||||
Unit Corp.* | 15,451 | 317,982 | ||||||
Atwood Oceanics, Inc.*,1 | 27,438 | 257,643 | ||||||
Total Oil & Gas | 4,553,614 | |||||||
Mining - 4.1% | ||||||||
US Silica Holdings, Inc. | 14,819 | 460,427 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 68,253 | 326,249 | ||||||
Total Mining | 786,676 | |||||||
Metal Fabricate & Hardware - 2.2% | ||||||||
Tenaris S.A. ADR | 15,026 | 425,386 | ||||||
Total Common Stocks | ||||||||
(Cost $16,381,483) | 18,956,106 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 30,332 | 30,332 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 15,166 | 15,166 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 15,154 | 15,154 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $60,652) | 60,652 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 16.9% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 3,214,384 | 3,214,384 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $3,214,384) | 3,214,384 | |||||||
Total Investments - 116.6% | ||||||||
(Cost $19,656,519) | $ | 22,231,142 | ||||||
Other Assets & Liabilities, net - (16.6)% | (3,162,316 | ) | ||||||
Total Net Assets - 100.0% | $ | 19,068,826 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
ENERGY SERVICES FUND |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 18,956,106 | $ | — | $ | — | $ | 18,956,106 | ||||||||
Repurchase Agreement | — | 60,652 | — | 60,652 | ||||||||||||
Securities Lending Collateral | 3,214,384 | — | — | 3,214,384 | ||||||||||||
Total Assets | $ | 22,170,490 | $ | 60,652 | $ | — | $ | 22,231,142 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
ENERGY SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $3,143,621 of securities loaned (cost $19,595,867) | $ | 22,170,490 | ||
Repurchase agreements, at value (cost $60,652) | 60,652 | |||
Receivables: | ||||
Fund shares sold | 176,239 | |||
Dividends | 18,321 | |||
Securities lending income | 2,237 | |||
Interest | 3 | |||
Total assets | 22,427,942 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 3,214,384 | |||
Fund shares redeemed | 128,576 | |||
Management fees | 9,516 | |||
Transfer agent and administrative fees | 2,799 | |||
Distribution and service fees | 2,267 | |||
Portfolio accounting fees | 1,120 | |||
Miscellaneous | 454 | |||
Total liabilities | 3,359,116 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 19,068,826 | ||
Net assets consist of: | ||||
Paid in capital | $ | 40,173,319 | ||
Undistributed net investment income | 267,489 | |||
Accumulated net realized loss on investments | (23,946,605 | ) | ||
Net unrealized appreciation on investments | 2,574,623 | |||
Net assets | $ | 19,068,826 | ||
Investor Class: | ||||
Net assets | $ | 12,834,817 | ||
Capital shares outstanding | 465,670 | |||
Net asset value per share | $ | 27.56 | ||
A-Class: | ||||
Net assets | $ | 1,016,061 | ||
Capital shares outstanding | 39,157 | |||
Net asset value per share | $ | 25.95 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 27.24 | ||
C-Class: | ||||
Net assets | $ | 2,439,000 | ||
Capital shares outstanding | 104,485 | |||
Net asset value per share | $ | 23.34 | ||
H-Class: | ||||
Net assets | $ | 2,778,948 | ||
Capital shares outstanding | 110,517 | |||
Net asset value per share | $ | 25.14 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $438) | $ | 411,854 | ||
Interest | 472 | |||
Income from securities lending, net | 7,220 | |||
Total investment income | 419,546 | |||
Expenses: | ||||
Management fees | 70,285 | |||
Distribution and service fees: | ||||
A-Class | 1,272 | |||
C-Class | 12,180 | |||
H-Class | 4,057 | |||
Transfer agent and administrative fees | 20,672 | |||
Registration fees | 19,357 | |||
Portfolio accounting fees | 8,269 | |||
Custodian fees | 1,244 | |||
Trustees’ fees* | 1,199 | |||
Line of credit fees | 112 | |||
Miscellaneous | (5,982 | ) | ||
Total expenses | 132,665 | |||
Net investment income | 286,881 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (4,510,955 | ) | ||
Net realized loss | (4,510,955 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 910,664 | |||
Net change in unrealized appreciation (depreciation) | 910,664 | |||
Net realized and unrealized loss | (3,600,291 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,313,410 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 286,881 | $ | (57,835 | ) | |||
Net realized gain (loss) on investments | (4,510,955 | ) | 2,496,264 | |||||
Net change in unrealized appreciation (depreciation) on investments | 910,664 | (5,748,250 | ) | |||||
Net decrease in net assets resulting from operations | (3,313,410 | ) | (3,309,821 | ) | ||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (72,838 | ) | |||||
A-Class | — | (10,527 | ) | |||||
C-Class | — | (24,559 | ) | |||||
H-Class | — | (17,351 | ) | |||||
Total distributions to shareholders | — | (125,275 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 58,686,183 | 263,468,153 | ||||||
A-Class | 1,089,368 | 8,139,379 | ||||||
C-Class | 673,390 | 2,698,788 | ||||||
H-Class | 123,542,632 | 250,508,623 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 70,070 | ||||||
A-Class | — | 10,195 | ||||||
C-Class | — | 24,152 | ||||||
H-Class | — | 17,345 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (55,693,016 | ) | (260,388,533 | ) | ||||
A-Class | (1,188,304 | ) | (9,647,003 | ) | ||||
C-Class | (1,027,394 | ) | (2,189,013 | ) | ||||
H-Class | (124,204,266 | ) | (245,387,042 | ) | ||||
Net increase from capital share transactions | 1,878,593 | 7,325,114 | ||||||
Net increase (decrease) in net assets | (1,434,817 | ) | 3,890,018 | |||||
Net assets: | ||||||||
Beginning of period | 20,503,643 | 16,613,625 | ||||||
End of period | $ | 19,068,826 | $ | 20,503,643 | ||||
Undistributed net investment income/Accumulated net investment loss at end of period | $ | 267,489 | $ | (19,392 | ) | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 2,205,000 | 8,714,449 | ||||||
A-Class | 41,378 | 268,911 | ||||||
C-Class | 29,741 | 95,397 | ||||||
H-Class | 5,233,309 | 8,533,238 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 2,229 | ||||||
A-Class | — | 344 | ||||||
C-Class | — | 899 | ||||||
H-Class | — | 603 | ||||||
Shares redeemed | ||||||||
Investor Class | (2,104,005 | ) | (8,687,119 | ) | ||||
A-Class | (44,845 | ) | (332,719 | ) | ||||
C-Class | (43,973 | ) | (81,589 | ) | ||||
H-Class | (5,265,069 | ) | (8,456,785 | ) | ||||
Net increase in shares | 51,536 | 57,858 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 32.24 | $ | 28.41 | $ | 39.36 | $ | 62.43 | $ | 54.43 | $ | 50.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .54 | .01 | .29 | .48 | .02 | (.05 | ) | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.22 | ) | 4.07 | (10.90 | ) | (23.55 | ) | 7.98 | 3.61 | |||||||||||||||
Total from investment operations | (4.68 | ) | 4.08 | (10.61 | ) | (23.07 | ) | 8.00 | 3.56 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 27.56 | $ | 32.24 | $ | 28.41 | $ | 39.36 | $ | 62.43 | $ | 54.43 | ||||||||||||
Total Returnc | (14.52 | %) | 14.38 | % | (27.05 | %) | (36.95 | %) | 14.70 | % | 7.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,835 | $ | 11,757 | $ | 9,521 | $ | 16,144 | $ | 33,244 | $ | 26,097 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 4.05 | % | 0.03 | % | 0.83 | % | 0.86 | % | 0.03 | % | (0.10 | %) | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.35 | % | 1.36 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 960 | % | 1,830 | % | 1,241 | % | 494 | % | 350 | % | 275 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.39 | $ | 26.86 | $ | 37.32 | $ | 59.34 | $ | 51.86 | $ | 48.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .58 | (.14 | ) | .24 | .25 | (.13 | ) | (.17 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.02 | ) | 3.92 | (10.36 | ) | (22.27 | ) | 7.61 | 3.44 | |||||||||||||||
Total from investment operations | (4.44 | ) | 3.78 | (10.12 | ) | (22.02 | ) | 7.48 | 3.27 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 25.95 | $ | 30.39 | $ | 26.86 | $ | 37.32 | $ | 59.34 | $ | 51.86 | ||||||||||||
Total Returnc | (14.61 | %) | 14.09 | % | (27.22 | %) | (37.11 | %) | 14.42 | % | 6.73 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,016 | $ | 1,295 | $ | 2,849 | $ | 3,545 | $ | 7,557 | $ | 5,535 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 4.60 | % | (0.47 | %) | 0.73 | % | 0.47 | % | (0.23 | %) | (0.37 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.59 | % | 1.60 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 960 | % | 1,830 | % | 1,241 | % | 494 | % | 350 | % | 275 | % |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.44 | $ | 24.46 | $ | 34.28 | $ | 54.92 | $ | 48.37 | $ | 45.66 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .45 | (.33 | ) | (.05 | ) | (.12 | ) | (.50 | ) | (.49 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.55 | ) | 3.56 | (9.43 | ) | (20.52 | ) | 7.05 | 3.20 | |||||||||||||||
Total from investment operations | (4.10 | ) | 3.23 | (9.48 | ) | (20.64 | ) | 6.55 | 2.71 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 23.34 | $ | 27.44 | $ | 24.46 | $ | 34.28 | $ | 54.92 | $ | 48.37 | ||||||||||||
Total Returnc | (14.94 | %) | 13.22 | % | (27.76 | %) | (37.58 | %) | 13.54 | % | 5.94 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,439 | $ | 3,258 | $ | 2,544 | $ | 3,889 | $ | 8,616 | $ | 8,654 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 3.91 | % | (1.23 | %) | (0.16 | %) | (0.24 | %) | (0.97 | %) | (1.11 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.36 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 960 | % | 1,830 | % | 1,241 | % | 494 | % | 350 | % | 275 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.47 | $ | 26.07 | $ | 36.29 | $ | 57.89 | $ | 50.72 | $ | 47.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .13 | (.08 | ) | .05 | .07 | (.27 | ) | (.25 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.46 | ) | 3.73 | (9.93 | ) | (21.67 | ) | 7.44 | 3.33 | |||||||||||||||
Total from investment operations | (4.33 | ) | 3.65 | (9.88 | ) | (21.60 | ) | 7.17 | 3.08 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.25 | ) | (.34 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 25.14 | $ | 29.47 | $ | 26.07 | $ | 36.29 | $ | 57.89 | $ | 50.72 | ||||||||||||
Total Returnc | (14.69 | %) | 14.02 | % | (27.31 | %) | (37.33 | %) | 14.14 | % | 6.47 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,779 | $ | 4,193 | $ | 1,700 | $ | 1,814 | $ | 4,933 | $ | 9,685 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.03 | % | (0.29 | %) | 0.15 | % | 0.13 | % | (0.50 | %) | (0.54 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.67 | % | 1.86 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 960 | % | 1,830 | % | 1,241 | % | 494 | % | 350 | % | 275 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_64.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 2, 1998 |
A-Class | September 1, 2004 |
C-Class | April 19, 2001 |
H-Class | April 6, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Berkshire Hathaway, Inc. — Class B | 2.4% |
JPMorgan Chase & Co. | 2.1% |
Wells Fargo & Co. | 1.9% |
Bank of America Corp. | 1.6% |
Citigroup, Inc. | 1.5% |
Goldman Sachs Group, Inc. | 1.1% |
U.S. Bancorp | 1.1% |
Morgan Stanley | 1.1% |
BlackRock, Inc. — Class A | 1.0% |
American Express Co. | 1.0% |
Top Ten Total | 14.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 7.31% | 21.80% | 12.96% | 1.46% |
A-Class Shares | 7.16% | 21.48% | 12.68% | 1.22% |
A-Class Shares with sales charge‡ | 2.08% | 15.71% | 11.59% | 0.73% |
C-Class Shares | 6.77% | 20.59% | 11.85% | 0.48% |
C-Class Shares with CDSC§ | 5.77% | 19.59% | 11.85% | 0.48% |
H-Class Shares** | 7.19% | 21.52% | 12.54% | 1.00% |
S&P 500 Financials Index | 9.71% | 36.21% | 17.62% | 1.34% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
FINANCIAL SERVICES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 98.9% | ||||||||
Banks - 30.3% | ||||||||
JPMorgan Chase & Co. | 11,478 | $ | 1,096,263 | |||||
Wells Fargo & Co. | 18,189 | 1,003,122 | ||||||
Bank of America Corp. | 33,587 | 851,094 | ||||||
Citigroup, Inc. | 10,390 | 755,768 | ||||||
Goldman Sachs Group, Inc. | 2,435 | 577,557 | ||||||
U.S. Bancorp | 10,503 | 562,856 | ||||||
Morgan Stanley | 11,490 | 553,473 | ||||||
PNC Financial Services Group, Inc. | 3,515 | 473,717 | ||||||
Bank of New York Mellon Corp. | 8,323 | 441,285 | ||||||
Capital One Financial Corp. | 4,610 | 390,283 | ||||||
BB&T Corp. | 8,006 | 375,802 | ||||||
State Street Corp. | 3,661 | 349,772 | ||||||
SunTrust Banks, Inc. | 5,507 | 329,153 | ||||||
M&T Bank Corp. | 1,940 | 312,418 | ||||||
Northern Trust Corp. | 3,033 | 278,824 | ||||||
Fifth Third Bancorp | 9,815 | 274,624 | ||||||
Royal Bank of Canada | 3,450 | 266,858 | ||||||
Citizens Financial Group, Inc. | 6,875 | 260,356 | ||||||
Toronto-Dominion Bank | 4,587 | 258,110 | ||||||
HSBC Holdings plc ADR | 5,213 | 257,574 | ||||||
Regions Financial Corp. | 16,331 | 248,721 | ||||||
KeyCorp | 13,200 | 248,424 | ||||||
First Republic Bank | 2,367 | 247,257 | ||||||
Banco Bradesco S.A. ADR | 22,277 | 246,606 | ||||||
Canadian Imperial Bank of Commerce | 2,758 | 241,380 | ||||||
Deutsche Bank AG | 13,757 | 237,721 | ||||||
ICICI Bank Ltd. ADR | 26,739 | 228,886 | ||||||
Credit Suisse Group AG ADR* | 14,421 | 227,852 | ||||||
Comerica, Inc. | 2,980 | 227,255 | ||||||
Huntington Bancshares, Inc. | 15,873 | 221,587 | ||||||
SVB Financial Group* | 1,059 | 198,128 | ||||||
Zions Bancorporation | 4,076 | 192,306 | ||||||
East West Bancorp, Inc. | 2,929 | 175,096 | ||||||
Signature Bank* | 1,293 | 165,556 | ||||||
CIT Group, Inc. | 3,135 | 153,772 | ||||||
Cullen/Frost Bankers, Inc. | 1,619 | 153,675 | ||||||
PacWest Bancorp | 2,962 | 149,611 | ||||||
Commerce Bancshares, Inc. | 2,540 | 146,736 | ||||||
Bank of the Ozarks | 3,003 | 144,294 | ||||||
Synovus Financial Corp. | 3,026 | 139,378 | ||||||
Webster Financial Corp. | 2,574 | 135,264 | ||||||
Pinnacle Financial Partners, Inc. | 1,970 | 131,892 | ||||||
FNB Corp. | 9,360 | 131,321 | ||||||
Prosperity Bancshares, Inc. | 1,994 | 131,066 | ||||||
Wintrust Financial Corp. | 1,660 | 129,995 | ||||||
IBERIABANK Corp. | 1,577 | 129,551 | ||||||
Texas Capital Bancshares, Inc.* | 1,509 | 129,472 | ||||||
First Horizon National Corp. | 6,641 | 127,175 | ||||||
Hancock Holding Co. | 2,600 | 125,970 | ||||||
Umpqua Holdings Corp. | 6,270 | 122,328 | ||||||
UMB Financial Corp. | 1,627 | 121,195 | ||||||
Home BancShares, Inc. | 4,770 | 120,299 | ||||||
United Bankshares, Inc. | 3,230 | 119,995 | ||||||
Chemical Financial Corp. | 2,190 | 114,449 | ||||||
MB Financial, Inc. | 2,490 | 112,100 | ||||||
Fulton Financial Corp. | 5,848 | 109,650 | ||||||
Cathay General Bancorp | 2,672 | 107,414 | ||||||
Total Banks | 15,762,286 | |||||||
REITs - 29.9% | ||||||||
American Tower Corp. — Class A | 3,172 | 433,548 | ||||||
Simon Property Group, Inc.1 | 2,465 | 396,890 | ||||||
Crown Castle International Corp. | 3,668 | 366,727 | ||||||
Public Storage | 1,636 | 350,088 | ||||||
Equinix, Inc. | 775 | 345,883 | ||||||
Prologis, Inc. | 5,096 | 323,392 | ||||||
AvalonBay Communities, Inc. | 1,699 | 303,136 | ||||||
Weyerhaeuser Co. | 8,573 | 291,739 | ||||||
Equity Residential | 4,323 | 285,015 | ||||||
Welltower, Inc. | 4,038 | 283,791 | ||||||
Ventas, Inc. | 4,110 | 267,684 | ||||||
Digital Realty Trust, Inc. | 2,161 | 255,711 | ||||||
Essex Property Trust, Inc. | 984 | 249,966 | ||||||
Boston Properties, Inc. | 2,030 | 249,446 | ||||||
SBA Communications Corp.* | 1,666 | 239,987 | ||||||
GGP, Inc. | 11,504 | 238,938 | ||||||
Vornado Realty Trust | 2,922 | 224,643 | ||||||
Realty Income Corp. | 3,886 | 222,240 | ||||||
Annaly Capital Management, Inc. | 17,432 | 212,496 | ||||||
Host Hotels & Resorts, Inc. | 11,452 | 211,747 | ||||||
HCP, Inc. | 7,277 | 202,519 | ||||||
Alexandria Real Estate Equities, Inc. | 1,670 | 198,680 | ||||||
Mid-America Apartment Communities, Inc. | 1,855 | 198,262 | ||||||
SL Green Realty Corp. | 1,941 | 196,662 | ||||||
Extra Space Storage, Inc. | 2,313 | 184,855 | ||||||
Regency Centers Corp. | 2,959 | 183,576 | ||||||
Iron Mountain, Inc. | 4,718 | 183,530 | ||||||
Duke Realty Corp. | 6,346 | 182,892 | ||||||
UDR, Inc. | 4,763 | 181,137 | ||||||
Federal Realty Investment Trust | 1,432 | 177,869 | ||||||
AGNC Investment Corp. | 7,659 | 166,047 | ||||||
Kimco Realty Corp. | 8,261 | 161,503 | ||||||
Gaming and Leisure Properties, Inc. | 4,349 | 160,435 | ||||||
Camden Property Trust | 1,746 | 159,672 | ||||||
Macerich Co. | 2,872 | 157,874 | ||||||
Invitation Homes, Inc.1 | 6,940 | 157,191 | ||||||
Lamar Advertising Co. — Class A | 2,274 | 155,837 | ||||||
Kilroy Realty Corp. | 2,189 | 155,682 | ||||||
Sun Communities, Inc. | 1,800 | 154,224 | ||||||
Equity LifeStyle Properties, Inc. | 1,799 | 153,059 | ||||||
VEREIT, Inc. | 18,434 | 152,818 | ||||||
Colony NorthStar, Inc. — Class A | 11,970 | 150,343 | ||||||
Apartment Investment & Management Co. — Class A | 3,427 | 150,308 | ||||||
CoreSite Realty Corp. | 1,320 | 147,708 | ||||||
Douglas Emmett, Inc. | 3,731 | 147,076 | ||||||
Forest City Realty Trust, Inc. — Class A | 5,761 | 146,963 | ||||||
American Homes 4 Rent — Class A | 6,626 | 143,850 | ||||||
Omega Healthcare Investors, Inc.1 | 4,481 | 142,989 | ||||||
Starwood Property Trust, Inc. | 6,452 | 140,137 | ||||||
National Retail Properties, Inc. | 3,357 | 139,853 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
FINANCIAL SERVICES FUND |
Shares | Value | |||||||
Liberty Property Trust | 3,393 | $ | 139,317 | |||||
Healthcare Trust of America, Inc. — Class A | 4,640 | 138,272 | ||||||
Park Hotels & Resorts, Inc. | 5,010 | 138,076 | ||||||
American Campus Communities, Inc. | 3,073 | 135,673 | ||||||
Hudson Pacific Properties, Inc. | 4,005 | 134,288 | ||||||
Highwoods Properties, Inc. | 2,562 | 133,455 | ||||||
Brixmor Property Group, Inc. | 7,060 | 132,728 | ||||||
New Residential Investment Corp. | 7,908 | 132,301 | ||||||
DCT Industrial Trust, Inc. | 2,271 | 131,536 | ||||||
CyrusOne, Inc. | 2,201 | 129,705 | ||||||
EPR Properties | 1,836 | 128,043 | ||||||
Starwood Waypoint Homes | 3,500 | 127,295 | ||||||
Medical Properties Trust, Inc. | 9,541 | 125,273 | ||||||
Hospitality Properties Trust | 4,320 | 123,077 | ||||||
Senior Housing Properties Trust | 6,249 | 122,168 | ||||||
STORE Capital Corp. | 4,906 | 122,012 | ||||||
CubeSmart | 4,646 | 120,610 | ||||||
Gramercy Property Trust | 3,968 | 120,032 | ||||||
Cousins Properties, Inc. | 12,437 | 116,162 | ||||||
Life Storage, Inc. | 1,409 | 115,270 | ||||||
Weingarten Realty Investors | 3,597 | 114,169 | ||||||
Spirit Realty Capital, Inc. | 13,248 | 113,535 | ||||||
Equity Commonwealth* | 3,720 | 113,088 | ||||||
Healthcare Realty Trust, Inc. | 3,461 | 111,929 | ||||||
Sunstone Hotel Investors, Inc. | 6,877 | 110,513 | ||||||
Corporate Office Properties Trust | 3,221 | 105,745 | ||||||
GEO Group, Inc. | 3,910 | 105,179 | ||||||
Brandywine Realty Trust | 5,930 | 103,716 | ||||||
CoreCivic, Inc. | 3,874 | 103,707 | ||||||
LaSalle Hotel Properties | 3,538 | 102,673 | ||||||
Taubman Centers, Inc. | 2,053 | 102,034 | ||||||
DDR Corp. | 11,071 | 101,410 | ||||||
Sabra Health Care REIT, Inc. | 4,600 | 100,924 | ||||||
Physicians Realty Trust | 5,670 | 100,529 | ||||||
Pebblebrook Hotel Trust1 | 2,561 | 92,555 | ||||||
RLJ Lodging Trust | 4,190 | 92,180 | ||||||
Tanger Factory Outlet Centers, Inc. | 3,570 | 87,179 | ||||||
Education Realty Trust, Inc. | 2,426 | 87,166 | ||||||
DiamondRock Hospitality Co. | 7,838 | 85,826 | ||||||
Uniti Group, Inc. | 5,832 | 85,497 | ||||||
Retail Opportunity Investments Corp. | 4,362 | 82,922 | ||||||
Government Properties Income Trust | 4,112 | 77,182 | ||||||
Washington Prime Group, Inc. | 8,743 | 72,829 | ||||||
CBL & Associates Properties, Inc.1 | 8,050 | 67,540 | ||||||
Total REITs | 15,571,938 | |||||||
Insurance - 19.7% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 6,857 | 1,257,024 | ||||||
MetLife, Inc. | 8,516 | 442,405 | ||||||
American International Group, Inc. | 7,174 | 440,411 | ||||||
Prudential Financial, Inc. | 3,737 | 397,318 | ||||||
Hartford Financial Services Group, Inc. | 6,818 | 377,922 | ||||||
Marsh & McLennan Companies, Inc. | 4,488 | 376,139 | ||||||
Travelers Companies, Inc. | 2,901 | 355,431 | ||||||
Chubb Ltd. | 2,385 | 339,982 | ||||||
Willis Towers Watson plc | 2,183 | 336,684 | ||||||
Allstate Corp. | 3,661 | 336,483 | ||||||
Aflac, Inc. | 4,006 | 326,048 | ||||||
Progressive Corp. | 6,708 | 324,801 | ||||||
Everest Re Group Ltd. | 1,269 | 289,827 | ||||||
Arch Capital Group Ltd.* | 2,941 | 289,689 | ||||||
Aon plc | 1,971 | 287,963 | ||||||
Markel Corp.* | 265 | 283,015 | ||||||
XL Group Ltd. | 6,727 | 265,380 | ||||||
Principal Financial Group, Inc. | 4,012 | 258,132 | ||||||
Lincoln National Corp. | 3,203 | 235,356 | ||||||
Loews Corp. | 4,910 | 234,993 | ||||||
Cincinnati Financial Corp. | 2,717 | 208,041 | ||||||
Unum Group | 3,972 | 203,088 | ||||||
Reinsurance Group of America, Inc. — Class A | 1,370 | 191,156 | ||||||
American Financial Group, Inc. | 1,846 | 190,969 | ||||||
Arthur J Gallagher & Co. | 3,100 | 190,805 | ||||||
Athene Holding Ltd. — Class A* | 3,420 | 184,133 | ||||||
Torchmark Corp. | 2,296 | 183,887 | ||||||
WR Berkley Corp. | 2,562 | 170,988 | ||||||
Voya Financial, Inc. | 4,057 | 161,834 | ||||||
Brown & Brown, Inc. | 3,162 | 152,377 | ||||||
Assurant, Inc. | 1,482 | 141,561 | ||||||
First American Financial Corp. | 2,800 | 139,916 | ||||||
Old Republic International Corp. | 6,712 | 132,159 | ||||||
MGIC Investment Corp.* | 10,420 | 130,563 | ||||||
Radian Group, Inc. | 6,594 | 123,242 | ||||||
Primerica, Inc. | 1,480 | 120,694 | ||||||
AmTrust Financial Services, Inc. | 7,243 | 97,491 | ||||||
Selective Insurance Group, Inc. | 1,160 | 62,466 | ||||||
Total Insurance | 10,240,373 | |||||||
Diversified Financial Services - 13.7% | ||||||||
BlackRock, Inc. — Class A | 1,196 | 534,721 | ||||||
American Express Co. | 5,865 | 530,548 | ||||||
Charles Schwab Corp. | 10,538 | 460,932 | ||||||
CME Group, Inc. — Class A | 2,937 | 398,492 | ||||||
Intercontinental Exchange, Inc. | 5,468 | 375,652 | ||||||
Synchrony Financial | 9,878 | 306,712 | ||||||
TD Ameritrade Holding Corp. | 6,216 | 303,341 | ||||||
Discover Financial Services | 4,639 | 299,123 | ||||||
Franklin Resources, Inc. | 6,699 | 298,172 | ||||||
T. Rowe Price Group, Inc. | 3,092 | 280,290 | ||||||
Interactive Brokers Group, Inc. — Class A | 5,760 | 259,430 | ||||||
Invesco Ltd. | 6,413 | 224,712 | ||||||
Nasdaq, Inc. | 2,779 | 215,567 | ||||||
Raymond James Financial, Inc. | 2,453 | 206,861 | ||||||
E*TRADE Financial Corp.* | 4,730 | 206,275 | ||||||
Ally Financial, Inc. | 8,253 | 200,218 | ||||||
Affiliated Managers Group, Inc. | 1,029 | 195,335 | ||||||
CBOE Holdings, Inc. | 1,787 | 192,335 | ||||||
SEI Investments Co. | 3,062 | 186,966 | ||||||
Ameriprise Financial, Inc. | 1,095 | 162,618 | ||||||
Santander Consumer USA Holdings, Inc.*,1 | 9,290 | 142,787 | ||||||
Eaton Vance Corp. | 2,834 | 139,915 | ||||||
Credit Acceptance Corp.* | 490 | 137,283 | ||||||
LPL Financial Holdings, Inc. | 2,570 | 132,535 |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
FINANCIAL SERVICES FUND |
Shares | Value | |||||||
SLM Corp.* | 11,447 | $ | 131,297 | |||||
BGC Partners, Inc. — Class A | 8,399 | 121,534 | ||||||
Navient Corp. | 8,064 | 121,121 | ||||||
Legg Mason, Inc. | 2,907 | 114,274 | ||||||
Federated Investors, Inc. — Class B | 3,479 | 103,326 | ||||||
LendingClub Corp.* | 14,048 | 85,552 | ||||||
WisdomTree Investments, Inc.1 | 7,113 | 72,410 | ||||||
Total Diversified Financial Services | 7,140,334 | |||||||
Commercial Services - 1.8% | ||||||||
S&P Global, Inc. | 2,317 | 362,171 | ||||||
Moody’s Corp. | 2,127 | 296,100 | ||||||
MarketAxess Holdings, Inc. | 940 | 173,439 | ||||||
LendingTree, Inc.*,1 | 474 | 115,869 | ||||||
Total Commercial Services | 947,579 | |||||||
Savings & Loans - 1.2% | ||||||||
People’s United Financial, Inc. | 8,347 | 151,415 | ||||||
New York Community Bancorp, Inc. | 11,545 | 148,815 | ||||||
Investors Bancorp, Inc. | 8,806 | 120,114 | ||||||
Washington Federal, Inc. | 3,023 | 101,724 | ||||||
BofI Holding, Inc.*,1 | 2,835 | 80,712 | ||||||
Total Savings & Loans | 602,780 | |||||||
Real Estate - 0.9% | ||||||||
CBRE Group, Inc. — Class A* | 5,444 | 206,218 | ||||||
Jones Lang LaSalle, Inc. | 1,183 | 146,101 | ||||||
Realogy Holdings Corp. | 3,658 | 120,531 | ||||||
Total Real Estate | 472,850 | |||||||
Software - 0.4% | ||||||||
MSCI, Inc. — Class A | 1,720 | 201,068 | ||||||
Holding Companies-Diversified - 0.4% | ||||||||
Leucadia National Corp. | 7,358 | 185,790 | ||||||
Media - 0.3% | ||||||||
FactSet Research Systems, Inc. | 957 | 172,365 | ||||||
Investment Companies - 0.3% | ||||||||
Ares Capital Corp. | 9,583 | 157,065 | ||||||
Total Common Stocks | ||||||||
(Cost $41,913,310) | 51,454,428 |
PREFERRED STOCKS†† - 0.5% | ||||||||
Banks - 0.5% | ||||||||
Itau Unibanco Holding S.A. ADR | 19,348 | 265,068 | ||||||
Total Preferred Stocks | ||||||||
(Cost $173,948) | 265,068 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 179,064 | 179,064 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 89,532 | 89,532 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 89,464 | 89,464 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $358,060) | 358,060 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 747,201 | 747,201 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $747,201) | 747,201 | |||||||
Total Investments - 101.5% | ||||||||
(Cost $43,192,519) | $ | 52,824,757 | ||||||
Other Assets & Liabilities, net - (1.5)% | (762,299 | ) | ||||||
Total Net Assets - 100.0% | $ | 52,062,458 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
FINANCIAL SERVICES FUND |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
REIT — Real Estate Investment Trust | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 51,454,428 | $ | — | $ | — | $ | 51,454,428 | ||||||||
Preferred Stocks | 265,068 | — | — | 265,068 | ||||||||||||
Repurchase Agreements | — | 358,060 | — | 358,060 | ||||||||||||
Securities Lending Collateral | 747,201 | — | — | 747,201 | ||||||||||||
Total Assets | $ | 52,466,697 | $ | 358,060 | $ | — | $ | 52,824,757 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $731,644 of securities loaned (cost $42,834,459) | $ | 52,466,697 | ||
Repurchase agreements, at value (cost $358,060) | 358,060 | |||
Receivables: | ||||
Dividends | 109,274 | |||
Fund shares sold | 52,640 | |||
Foreign taxes reclaim | 416 | |||
Securities lending income | 277 | |||
Interest | 19 | |||
Total assets | 52,987,383 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 747,201 | |||
Fund shares redeemed | 100,731 | |||
Management fees | 39,211 | |||
Transfer agent and administrative fees | 11,533 | |||
Portfolio accounting fees | 4,613 | |||
Distribution and service fees | 4,531 | |||
Miscellaneous | 17,105 | |||
Total liabilities | 924,925 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 52,062,458 | ||
Net assets consist of: | ||||
Paid in capital | $ | 46,512,294 | ||
Undistributed net investment income | 566,663 | |||
Accumulated net realized loss on investments | (4,648,737 | ) | ||
Net unrealized appreciation on investments | 9,632,238 | |||
Net assets | $ | 52,062,458 | ||
Investor Class: | ||||
Net assets | $ | 38,522,054 | ||
Capital shares outstanding | 551,165 | |||
Net asset value per share | $ | 69.89 | ||
A-Class: | ||||
Net assets | $ | 7,858,781 | ||
Capital shares outstanding | 119,365 | |||
Net asset value per share | $ | 65.84 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 69.12 | ||
C-Class: | ||||
Net assets | $ | 2,037,637 | ||
Capital shares outstanding | 34,541 | |||
Net asset value per share | $ | 58.99 | ||
H-Class: | ||||
Net assets | $ | 3,643,986 | ||
Capital shares outstanding | 56,975 | |||
Net asset value per share | $ | 63.96 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,297) | $ | 591,868 | ||
Interest | 1,169 | |||
Income from securities lending, net | 2,391 | |||
Total investment income | 595,428 | |||
Expenses: | ||||
Management fees | 228,888 | |||
Distribution and service fees: | ||||
A-Class | 8,500 | |||
C-Class | 9,104 | |||
H-Class | 9,545 | |||
Transfer agent and administrative fees | 67,320 | |||
Registration fees | 36,641 | |||
Portfolio accounting fees | 26,928 | |||
Custodian fees | 3,696 | |||
Trustees’ fees* | 2,464 | |||
Line of credit fees | 97 | |||
Miscellaneous | 8,635 | |||
Total expenses | 401,818 | |||
Net investment income | 193,610 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,608,727 | |||
Net realized gain | 5,608,727 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,029,264 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,029,264 | ) | ||
Net realized and unrealized gain | 2,579,463 | |||
Net increase in net assets resulting from operations | $ | 2,773,073 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
FINANCIAL SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 193,610 | $ | 372,885 | ||||
Net realized gain on investments | 5,608,727 | 1,172,406 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (3,029,264 | ) | 6,199,242 | |||||
Net increase in net assets resulting from operations | 2,773,073 | 7,744,533 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (503,291 | ) | |||||
A-Class | — | (14,974 | ) | |||||
C-Class | — | (13,362 | ) | |||||
H-Class | — | (38,626 | ) | |||||
Total distributions to shareholders | — | (570,253 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 81,777,008 | 181,145,547 | ||||||
A-Class | 8,196,189 | 11,484,050 | ||||||
C-Class | 1,853,865 | 3,885,372 | ||||||
H-Class | 34,113,470 | 67,386,302 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 470,098 | ||||||
A-Class | — | 14,646 | ||||||
C-Class | — | 13,227 | ||||||
H-Class | — | 38,622 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (83,944,784 | ) | (163,986,478 | ) | ||||
A-Class | (2,738,639 | ) | (10,860,355 | ) | ||||
C-Class | (2,201,755 | ) | (2,920,279 | ) | ||||
H-Class | (49,341,546 | ) | (52,510,413 | ) | ||||
Net increase (decrease) from capital share transactions | (12,286,192 | ) | 34,160,339 | |||||
Net increase (decrease) in net assets | (9,513,119 | ) | 41,334,619 | |||||
Net assets: | ||||||||
Beginning of period | 61,575,577 | 20,240,958 | ||||||
End of period | $ | 52,062,458 | $ | 61,575,577 | ||||
Undistributed net investment income at end of period | $ | 566,664 | $ | 373,053 |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,210,370 | 3,001,546 | * | |||||
A-Class | 132,897 | 206,206 | * | |||||
C-Class | 32,657 | 76,106 | * | |||||
H-Class | 558,104 | 1,149,247 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 7,770 | * | |||||
A-Class | — | 256 | * | |||||
C-Class | — | 257 | * | |||||
H-Class | — | 696 | * | |||||
Shares redeemed | ||||||||
Investor Class | (1,261,228 | ) | (2,687,599 | )* | ||||
A-Class | (43,374 | ) | (196,995 | )* | ||||
C-Class | (39,191 | ) | (58,308 | )* | ||||
H-Class | (807,144 | ) | (905,056 | )* | ||||
Net increase (decrease) in shares | (216,908 | ) | 594,126 | * |
* | Capital share activity for the period presented through March 31, 2017, has been restated to reflect a 2:1 share split effective October 31, 2016 — See Note 9. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
FINANCIAL SERVICES FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.14 | $ | 53.90 | $ | 57.78 | $ | 53.05 | $ | 45.33 | $ | 39.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .27 | .55 | .77 | .46 | .39 | .38 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.48 | 11.14 | (4.19 | ) | 4.40 | 7.61 | 6.00 | |||||||||||||||||
Total from investment operations | 4.75 | 11.69 | (3.42 | ) | 4.86 | 8.00 | 6.38 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.30 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net realized gains | — | — | (.16 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.45 | ) | (.46 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net asset value, end of period | $ | 69.89 | $ | 65.14 | $ | 53.90 | $ | 57.78 | $ | 53.05 | $ | 45.33 | ||||||||||||
Total Returnc | 7.31 | % | 21.72 | % | (5.95 | %) | 9.17 | % | 17.67 | % | 16.37 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 38,522 | $ | 39,214 | $ | 15,110 | $ | 49,897 | $ | 17,688 | $ | 17,007 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.82 | % | 0.90 | % | 1.36 | % | 0.82 | % | 0.81 | % | 0.95 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.34 | % | 1.34 | % | 1.37 | % | 1.36 | % | ||||||||||||
Portfolio turnover rate | 195 | % | 389 | % | 268 | % | 326 | % | 414 | % | 590 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.44 | $ | 51.00 | $ | 54.83 | $ | 50.47 | $ | 43.24 | $ | 37.53 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .26 | .41 | .46 | .21 | .29 | .26 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.14 | 10.48 | (3.83 | ) | 4.28 | 7.22 | 5.73 | |||||||||||||||||
Total from investment operations | 4.40 | 10.89 | (3.37 | ) | 4.49 | 7.51 | 5.99 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.30 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net realized gains | — | — | (.16 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.45 | ) | (.46 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net asset value, end of period | $ | 65.84 | $ | 61.44 | $ | 51.00 | $ | 54.83 | $ | 50.47 | $ | 43.24 | ||||||||||||
Total Returnc | 7.16 | % | 21.42 | % | (6.17 | %) | 8.89 | % | 17.41 | % | 16.06 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,859 | $ | 1,834 | $ | 1,039 | $ | 2,734 | $ | 7,698 | $ | 1,826 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.84 | % | 0.73 | % | 0.87 | % | 0.41 | % | 0.62 | % | 0.66 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.59 | % | 1.62 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 195 | % | 389 | % | 268 | % | 326 | % | 414 | % | 590 | % |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES 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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.26 | $ | 46.24 | $ | 50.14 | $ | 46.51 | $ | 40.15 | $ | 35.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | d | (.07 | ) | .11 | (.11 | ) | (.08 | ) | .02 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.73 | 9.54 | (3.55 | ) | 3.87 | 6.72 | 5.28 | |||||||||||||||||
Total from investment operations | 3.73 | 9.47 | (3.44 | ) | 3.76 | 6.64 | 5.30 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.30 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net realized gains | — | — | (.16 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.45 | ) | (.46 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net asset value, end of period | $ | 58.99 | $ | 55.26 | $ | 46.24 | $ | 50.14 | $ | 46.51 | $ | 40.15 | ||||||||||||
Total Returnc | 6.77 | % | 20.51 | % | (6.89 | %) | 8.08 | % | 16.58 | % | 15.21 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,038 | $ | 2,270 | $ | 1,065 | $ | 1,255 | $ | 1,051 | $ | 1,440 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | %) | (0.13 | %) | 0.22 | % | (0.23 | %) | (0.18 | %) | 0.04 | % | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 195 | % | 389 | % | 268 | % | 326 | % | 414 | % | 590 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
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.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e,f | Year Ended March 31, 2015e,f | Year Ended March 31, 2014e,f | Year Ended March 28, 2013e,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 59.67 | $ | 49.53 | $ | 53.30 | $ | 49.18 | $ | 42.25 | $ | 36.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .09 | .33 | .43 | .15 | .12 | .11 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.20 | 10.26 | �� | (3.74 | ) | 4.10 | 7.09 | 5.65 | ||||||||||||||||
Total from investment operations | 4.29 | 10.59 | (3.31 | ) | 4.25 | 7.21 | 5.76 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.30 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net realized gains | — | — | (.16 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.45 | ) | (.46 | ) | (.13 | ) | (.28 | ) | (.28 | ) | |||||||||||||
Net asset value, end of period | $ | 63.96 | $ | 59.67 | $ | 49.53 | $ | 53.30 | $ | 49.18 | $ | 42.25 | ||||||||||||
Total Returnc | 7.19 | % | 21.43 | % | (6.25 | %) | 8.63 | % | 17.10 | % | 15.80 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,644 | $ | 18,259 | $ | 3,028 | $ | 4,479 | $ | 4,583 | $ | 7,103 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.29 | % | 0.58 | % | 0.83 | % | 0.28 | % | 0.26 | % | 0.29 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.65 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 195 | % | 389 | % | 268 | % | 326 | % | 414 | % | 590 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Net investment income is less than $0.01 per share. | |
e | Share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 2:1 share split effective October 31, 2016 — See Note 9. | |
f | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_75.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 17, 1998 |
A-Class | September 1, 2004 |
C-Class | March 30, 2001 |
H-Class | May 11, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Johnson & Johnson | 3.0% |
Pfizer, Inc. | 2.3% |
UnitedHealth Group, Inc. | 2.3% |
Merck & Company, Inc. | 2.1% |
Amgen, Inc. | 1.8% |
AbbVie, Inc. | 1.8% |
Celgene Corp. | 1.7% |
Bristol-Myers Squibb Co. | 1.6% |
Gilead Sciences, Inc. | 1.6% |
Eli Lilly & Co. | 1.6% |
Top Ten Total | 19.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 10.50% | 13.19% | 15.12% | 9.46% |
A-Class Shares | 10.37% | 12.90% | 14.82% | 9.20% |
A-Class Shares with sales charge‡ | 5.14% | 7.53% | 13.71% | 8.67% |
C-Class Shares | 9.92% | 12.04% | 13.96% | 8.40% |
C-Class Shares with CDSC§ | 8.92% | 11.08% | 13.96% | 8.40% |
H-Class Shares** | 10.32% | 12.84% | 14.66% | 8.99% |
S&P 500 Health Care Index | 11.01% | 15.49% | 17.30% | 10.86% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
HEALTH CARE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.7% | ||||||||
Pharmaceuticals - 34.8% | ||||||||
Johnson & Johnson | 23,926 | $ | 3,110,620 | |||||
Pfizer, Inc. | 67,237 | 2,400,361 | ||||||
Merck & Company, Inc. | 33,914 | 2,171,513 | ||||||
AbbVie, Inc. | 20,560 | 1,826,962 | ||||||
Bristol-Myers Squibb Co. | 26,535 | 1,691,341 | ||||||
Eli Lilly & Co. | 19,084 | 1,632,445 | ||||||
Allergan plc | 6,676 | 1,368,246 | ||||||
Shire plc ADR | 7,232 | 1,107,508 | ||||||
Express Scripts Holding Co.* | 16,193 | 1,025,341 | ||||||
McKesson Corp. | 6,387 | 981,107 | ||||||
Zoetis, Inc. | 14,374 | 916,486 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 49,303 | 867,733 | ||||||
AstraZeneca plc ADR | 23,316 | 789,946 | ||||||
Cardinal Health, Inc. | 11,582 | 775,067 | ||||||
Jazz Pharmaceuticals plc* | 5,078 | 742,658 | ||||||
AmerisourceBergen Corp. — Class A | 8,902 | 736,641 | ||||||
GlaxoSmithKline plc ADR | 17,917 | 727,430 | ||||||
Endo International plc* | 84,343 | 722,398 | ||||||
Alkermes plc* | 14,150 | 719,386 | ||||||
Novartis AG ADR | 8,331 | 715,216 | ||||||
Perrigo Company plc | 8,313 | 703,695 | ||||||
Novo Nordisk A/S ADR | 13,720 | 660,618 | ||||||
Mylan N.V.* | 20,828 | 653,374 | ||||||
TESARO, Inc.* | 3,930 | 507,363 | ||||||
Neurocrine Biosciences, Inc.* | 6,580 | 403,222 | ||||||
Valeant Pharmaceuticals International, Inc.* | 27,114 | 388,544 | ||||||
PRA Health Sciences, Inc.* | 5,070 | 386,182 | ||||||
Clovis Oncology, Inc.* | 4,660 | 383,984 | ||||||
Premier, Inc. — Class A* | 11,330 | 369,018 | ||||||
Catalent, Inc.*,1 | 9,000 | 359,280 | ||||||
ACADIA Pharmaceuticals, Inc.* | 9,499 | 357,827 | ||||||
Mallinckrodt plc* | 9,557 | 357,145 | ||||||
Akorn, Inc.* | 10,540 | 349,823 | ||||||
Nektar Therapeutics* | 13,500 | 324,000 | ||||||
Avexis, Inc.* | 3,200 | 309,536 | ||||||
Portola Pharmaceuticals, Inc.* | 5,700 | 307,971 | ||||||
DexCom, Inc.* | 6,115 | 299,176 | ||||||
Agios Pharmaceuticals, Inc.* | 4,392 | 293,166 | ||||||
Amicus Therapeutics, Inc.*,1 | 18,584 | 280,247 | ||||||
Prestige Brands Holdings, Inc.* | 5,506 | 275,796 | ||||||
Sarepta Therapeutics, Inc.* | 5,850 | 265,356 | ||||||
Horizon Pharma plc* | 20,488 | 259,788 | ||||||
Radius Health, Inc.*,1 | 6,688 | 257,822 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 16,070 | 253,424 | ||||||
Array BioPharma, Inc.* | 20,358 | 250,403 | ||||||
Owens & Minor, Inc. | 7,961 | 232,461 | ||||||
Global Blood Therapeutics, Inc.* | 7,200 | 223,560 | ||||||
Pacira Pharmaceuticals, Inc.* | 5,548 | 208,327 | ||||||
Supernus Pharmaceuticals, Inc.* | 5,200 | 208,000 | ||||||
Aerie Pharmaceuticals, Inc.* | 4,200 | 204,120 | ||||||
Impax Laboratories, Inc.* | 9,537 | 193,601 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 2,740 | 163,414 | ||||||
Synergy Pharmaceuticals, Inc.*,1 | 54,040 | 156,716 | ||||||
Depomed, Inc.* | 16,345 | 94,638 | ||||||
Total Pharmaceuticals | 35,970,002 | |||||||
Healthcare-Products - 23.5% | ||||||||
Abbott Laboratories | 30,518 | 1,628,439 | ||||||
Thermo Fisher Scientific, Inc. | 7,611 | 1,440,001 | ||||||
Danaher Corp. | 14,585 | 1,251,101 | ||||||
Stryker Corp. | 8,689 | 1,234,012 | ||||||
Becton Dickinson and Co. | 5,930 | 1,161,984 | ||||||
Medtronic plc | 14,935 | 1,161,495 | ||||||
Intuitive Surgical, Inc.* | 1,078 | 1,127,459 | ||||||
Boston Scientific Corp.* | 35,757 | 1,043,032 | ||||||
Baxter International, Inc. | 15,549 | 975,700 | ||||||
Zimmer Biomet Holdings, Inc. | 7,166 | 839,067 | ||||||
Edwards Lifesciences Corp.* | 7,543 | 824,525 | ||||||
CR Bard, Inc. | 2,398 | 768,559 | ||||||
Align Technology, Inc.* | 3,502 | 652,318 | ||||||
Henry Schein, Inc.* | 7,946 | 651,493 | ||||||
Dentsply Sirona, Inc. | 10,662 | 637,694 | ||||||
IDEXX Laboratories, Inc.* | 3,989 | 620,250 | ||||||
Cooper Companies, Inc. | 2,500 | 592,775 | ||||||
Teleflex, Inc.1 | 2,330 | 563,790 | ||||||
Hologic, Inc.* | 14,968 | 549,176 | ||||||
ResMed, Inc. | 6,962 | 535,796 | ||||||
Varian Medical Systems, Inc.* | 4,948 | 495,097 | ||||||
ABIOMED, Inc.* | 2,840 | 478,824 | ||||||
West Pharmaceutical Services, Inc. | 4,750 | 457,235 | ||||||
Hill-Rom Holdings, Inc. | 5,030 | 372,220 | ||||||
Alere, Inc.* | 7,155 | 364,833 | ||||||
Bruker Corp. | 12,200 | 362,950 | ||||||
OPKO Health, Inc.*,1 | 52,827 | 362,393 | ||||||
Masimo Corp.* | 4,160 | 360,090 | ||||||
ICU Medical, Inc.* | 1,840 | 341,964 | ||||||
Patterson Companies, Inc. | 8,699 | 336,216 | ||||||
Bio-Techne Corp. | 2,770 | 334,865 | ||||||
Integra LifeSciences Holdings Corp.* | 6,490 | 327,615 | ||||||
VWR Corp.* | 9,000 | 297,990 | ||||||
NuVasive, Inc.* | 5,252 | 291,276 | ||||||
Insulet Corp.* | 5,280 | 290,822 | ||||||
Nevro Corp.* | 3,160 | 287,181 | ||||||
Natus Medical, Inc.* | 5,000 | 187,500 | ||||||
Total Healthcare-Products | 24,207,737 | |||||||
Biotechnology - 21.1% | ||||||||
Amgen, Inc. | 10,170 | 1,896,196 | ||||||
Celgene Corp.* | 12,225 | 1,782,649 | ||||||
Gilead Sciences, Inc. | 20,305 | 1,645,110 | ||||||
Biogen, Inc.* | 4,139 | 1,296,003 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2,857 | 1,277,422 | ||||||
Vertex Pharmaceuticals, Inc.* | 7,003 | 1,064,736 | ||||||
Alexion Pharmaceuticals, Inc.* | 6,610 | 927,317 | ||||||
Illumina, Inc.* | 4,329 | 862,337 | ||||||
Incyte Corp.* | 7,073 | 825,702 | ||||||
Alnylam Pharmaceuticals, Inc.* | 6,045 | 710,227 | ||||||
BioMarin Pharmaceutical, Inc.* | 7,102 | 660,983 | ||||||
Kite Pharma, Inc.* | 2,792 | 502,030 |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
HEALTH CARE FUND |
Shares | Value | |||||||
Seattle Genetics, Inc.* | 8,497 | $ | 462,322 | |||||
Bio-Rad Laboratories, Inc. — Class A* | 2,010 | 446,662 | ||||||
Exelixis, Inc.* | 17,750 | 430,083 | ||||||
Bioverativ, Inc.* | 7,509 | 428,539 | ||||||
Exact Sciences Corp.* | 9,094 | 428,509 | ||||||
United Therapeutics Corp.* | 3,406 | 399,149 | ||||||
Bluebird Bio, Inc.* | 2,860 | 392,821 | ||||||
Charles River Laboratories International, Inc.* | 3,605 | 389,412 | ||||||
Ionis Pharmaceuticals, Inc.* | 7,148 | 362,404 | ||||||
Puma Biotechnology, Inc.* | 2,970 | 355,658 | ||||||
FibroGen, Inc.* | 6,100 | 328,180 | ||||||
Medicines Co.* | 8,575 | 317,618 | ||||||
Juno Therapeutics, Inc.* | 7,010 | 314,469 | ||||||
Spark Therapeutics, Inc.* | 3,410 | 304,036 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 2,140 | 291,361 | ||||||
Sage Therapeutics, Inc.* | 4,640 | 289,072 | ||||||
Myriad Genetics, Inc.* | 7,539 | 272,761 | ||||||
Loxo Oncology, Inc.* | 2,800 | 257,936 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 4,840 | 257,778 | ||||||
Halozyme Therapeutics, Inc.* | 14,580 | 253,255 | ||||||
Intrexon Corp.*,1 | 13,170 | 250,362 | ||||||
Esperion Therapeutics, Inc.* | 3,900 | 195,468 | ||||||
Intercept Pharmaceuticals, Inc.*,1 | 3,360 | 195,014 | ||||||
Acorda Therapeutics, Inc.* | 7,875 | 186,244 | ||||||
Five Prime Therapeutics, Inc.* | 4,520 | 184,913 | ||||||
Alder Biopharmaceuticals, Inc.* | 14,220 | 174,195 | ||||||
AMAG Pharmaceuticals, Inc.* | 6,410 | 118,265 | ||||||
Total Biotechnology | 21,737,198 | |||||||
Healthcare-Services - 14.7% | ||||||||
UnitedHealth Group, Inc. | 12,012 | 2,352,550 | ||||||
Anthem, Inc. | 6,554 | 1,244,474 | ||||||
Aetna, Inc. | 7,629 | 1,213,087 | ||||||
Cigna Corp. | 6,296 | 1,176,974 | ||||||
Humana, Inc. | 4,202 | 1,023,733 | ||||||
HCA Healthcare, Inc.* | 11,674 | 929,134 | ||||||
Quintiles IMS Holdings, Inc.* | 8,150 | 774,821 | ||||||
Centene Corp.* | 6,903 | 668,003 | ||||||
Laboratory Corporation of America Holdings* | 4,287 | 647,208 | ||||||
Quest Diagnostics, Inc. | 6,269 | 587,029 | ||||||
DaVita, Inc.* | 9,636 | 572,282 | ||||||
Universal Health Services, Inc. — Class B | 5,029 | 557,917 | ||||||
WellCare Health Plans, Inc.* | 2,740 | 470,568 | ||||||
Envision Healthcare Corp.* | 8,813 | 396,144 | ||||||
HealthSouth Corp. | 7,870 | 364,775 | ||||||
MEDNAX, Inc.* | 8,216 | 354,274 | ||||||
Acadia Healthcare Company, Inc.*,1 | 7,140 | 341,006 | ||||||
Molina Healthcare, Inc.* | 4,906 | 337,337 | ||||||
LifePoint Health, Inc.* | 4,640 | 268,656 | ||||||
Amedisys, Inc.* | 4,100 | 229,436 | ||||||
Magellan Health, Inc.* | 2,650 | 228,695 | ||||||
Brookdale Senior Living, Inc. — Class A* | 21,544 | 228,366 | ||||||
Tenet Healthcare Corp.*,1 | 13,090 | 215,069 | ||||||
Total Healthcare-Services | 15,181,538 | |||||||
Electronics - 2.4% | ||||||||
Agilent Technologies, Inc. | 11,854 | 761,027 | ||||||
Mettler-Toledo International, Inc.*,1 | 1,100 | 688,776 | ||||||
Waters Corp.* | 3,261 | 585,415 | ||||||
PerkinElmer, Inc. | 6,751 | 465,616 | ||||||
Total Electronics | 2,500,834 | |||||||
Software - 2.2% | ||||||||
Cerner Corp.* | 11,227 | 800,710 | ||||||
Veeva Systems, Inc. — Class A* | 8,612 | 485,803 | ||||||
Medidata Solutions, Inc.* | 4,685 | 365,711 | ||||||
athenahealth, Inc.*,1 | 2,920 | 363,131 | ||||||
Allscripts Healthcare Solutions, Inc.* | 19,214 | 273,415 | ||||||
Total Software | 2,288,770 | |||||||
Commercial Services - 1.0% | ||||||||
Incorporated Research Holdings, Inc. — Class A* | 7,682 | 401,769 | ||||||
PAREXEL International Corp.* | 4,142 | 364,827 | ||||||
HealthEquity, Inc.* | 5,970 | 301,963 | ||||||
Total Commercial Services | 1,068,559 | |||||||
Total Common Stocks | ||||||||
(Cost $91,860,874) | 102,954,638 | |||||||
RIGHTS††† - 0.0% | ||||||||
Dyax Corp. | ||||||||
Expires 01/25/18* | 5,700 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 297,347 | 297,347 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 148,673 | 148,673 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 148,559 | 148,559 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $594,579) | 594,579 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
HEALTH CARE FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,3 - 2.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 2,547,280 | $ | 2,547,280 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $2,547,280) | 2,547,280 | |||||||
Total Investments - 102.8% | ||||||||
(Cost $95,002,733) | $ | 106,096,497 | ||||||
Other Assets & Liabilities, net - (2.8)% | (2,872,782 | ) | ||||||
Total Net Assets - 100.0% | $ | 103,223,715 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
††† | Value determined based on Level 3 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 102,954,638 | $ | — | $ | — | $ | 102,954,638 | ||||||||
Repurchase Agreement | — | 594,579 | — | 594,579 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 2,547,280 | — | — | 2,547,280 | ||||||||||||
Total Assets | $ | 105,501,918 | $ | 594,579 | $ | — | $ | 106,096,497 |
* | Security has market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $2,506,523 of securities loaned (cost $94,408,154) | $ | 105,501,918 | ||
Repurchase agreements, at value (cost $594,579) | 594,579 | |||
Receivables: | ||||
Fund shares sold | 185,510 | |||
Dividends | 54,574 | |||
Foreign taxes reclaim | 2,846 | |||
Securities lending income | 1,317 | |||
Interest | 33 | |||
Total assets | 106,340,777 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 2,547,280 | |||
Fund shares redeemed | 427,603 | |||
Management fees | 68,377 | |||
Transfer agent and administrative fees | 20,111 | |||
Distribution and service fees | 9,592 | |||
Portfolio accounting fees | 8,044 | |||
Miscellaneous | 36,055 | |||
Total liabilities | 3,117,062 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 103,223,715 | ||
Net assets consist of: | ||||
Paid in capital | $ | 93,439,311 | ||
Accumulated net investment loss | (242,415 | ) | ||
Accumulated net realized loss on investments | (1,066,945 | ) | ||
Net unrealized appreciation on investments | 11,093,764 | |||
Net assets | $ | 103,223,715 | ||
Investor Class: | ||||
Net assets | $ | 75,308,422 | ||
Capital shares outstanding | 2,449,901 | |||
Net asset value per share | $ | 30.74 | ||
A-Class: | ||||
Net assets | $ | 5,590,921 | ||
Capital shares outstanding | 198,164 | |||
Net asset value per share | $ | 28.21 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 29.62 | ||
C-Class: | ||||
Net assets | $ | 6,116,113 | ||
Capital shares outstanding | 246,375 | |||
Net asset value per share | $ | 24.82 | ||
H-Class: | ||||
Net assets | $ | 16,208,259 | ||
Capital shares outstanding | 594,232 | |||
Net asset value per share | $ | 27.28 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $376) | $ | 359,327 | ||
Interest | 2,035 | |||
Income from securities lending, net | 5,009 | |||
Total investment income | 366,371 | |||
Expenses: | ||||
Management fees | 341,572 | |||
Distribution and service fees: | ||||
A-Class | 5,999 | |||
C-Class | 27,749 | |||
H-Class | 15,916 | |||
Transfer agent and administrative fees | 100,462 | |||
Portfolio accounting fees | 40,184 | |||
Registration fees | 32,344 | |||
Custodian fees | 5,180 | |||
Trustees’ fees* | 2,065 | |||
Line of credit fees | 17 | |||
Miscellaneous | 37,298 | |||
Total expenses | 608,786 | |||
Net investment loss | (242,415 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,400,810 | |||
Net realized gain | 1,400,810 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,858,801 | |||
Net change in unrealized appreciation (depreciation) | 4,858,801 | |||
Net realized and unrealized gain | 6,259,611 | |||
Net increase in net assets resulting from operations | $ | 6,017,196 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
HEALTH CARE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (242,415 | ) | $ | (282,561 | ) | ||
Net realized gain on investments | 1,400,810 | 19,553,389 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,858,801 | (16,329,099 | ) | |||||
Net increase in net assets resulting from operations | 6,017,196 | 2,941,729 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
Investor Class | — | (2,956,545 | ) | |||||
A-Class | — | (740,095 | ) | |||||
C-Class | — | (877,583 | ) | |||||
H-Class | — | (1,278,405 | ) | |||||
Total distributions to shareholders | — | (5,852,628 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 146,890,174 | 365,602,869 | ||||||
A-Class | 3,149,211 | 11,961,380 | ||||||
C-Class | 2,691,454 | 3,938,169 | ||||||
H-Class | 87,905,888 | 26,745,003 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 2,909,276 | ||||||
A-Class | — | 638,573 | ||||||
C-Class | — | 867,742 | ||||||
H-Class | — | 1,278,332 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (112,749,486 | ) | (375,451,784 | ) | ||||
A-Class | (2,622,832 | ) | (14,203,527 | ) | ||||
C-Class | (2,028,728 | ) | (7,750,196 | ) | ||||
H-Class | (76,891,214 | ) | (27,362,966 | ) | ||||
Net increase (decrease) from capital share transactions | 46,344,467 | (10,827,129 | ) | |||||
Net increase (decrease) in net assets | 52,361,663 | (13,738,028 | ) | |||||
Net assets: | ||||||||
Beginning of period | 50,862,052 | 64,600,080 | ||||||
End of period | $ | 103,223,715 | $ | 50,862,052 | ||||
Accumulated net investment loss at end of period | $ | (242,415 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 4,958,518 | 12,706,162 | ||||||
A-Class | 113,895 | 436,251 | ||||||
C-Class | 112,227 | 163,495 | ||||||
H-Class | 3,317,216 | 1,045,237 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 111,467 | ||||||
A-Class | — | 26,596 | ||||||
C-Class | — | 40,816 | ||||||
H-Class | — | 55,053 | ||||||
Shares redeemed | ||||||||
Investor Class | (3,819,533 | ) | (13,065,375 | ) | ||||
A-Class | (96,680 | ) | (522,147 | ) | ||||
C-Class | (85,496 | ) | (327,952 | ) | ||||
H-Class | (2,917,481 | ) | (1,108,171 | ) | ||||
Net increase (decrease) in shares | 1,582,666 | (438,568 | ) |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.82 | $ | 28.65 | $ | 35.83 | $ | 27.76 | $ | 22.35 | $ | 18.83 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.10 | ) | (.04 | ) | (.07 | ) | (.03 | ) | .09 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.99 | 2.79 | (5.11 | ) | 8.50 | 7.00 | 3.48 | |||||||||||||||||
Total from investment operations | 2.92 | 2.69 | (5.15 | ) | 8.43 | 6.97 | 3.57 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.03 | ) | (.05 | ) | ||||||||||||||||
Net realized gains | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.53 | ) | — | ||||||||||||||
Total distributions | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.56 | ) | (.05 | ) | |||||||||||||
Net asset value, end of period | $ | 30.74 | $ | 27.82 | $ | 28.65 | $ | 35.83 | $ | 27.76 | $ | 22.35 | ||||||||||||
Total Returnc | 10.50 | % | 10.20 | % | (14.82 | %) | 30.51 | % | 31.70 | % | 18.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 75,308 | $ | 36,468 | $ | 44,663 | $ | 175,397 | $ | 98,209 | $ | 104,525 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.48 | %) | (0.36 | %) | (0.11 | %) | (0.23 | %) | (0.12 | %) | 0.45 | % | ||||||||||||
Total expenses | 1.39 | % | 1.37 | % | 1.34 | % | 1.34 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 199 | % | 699 | % | 249 | % | 176 | % | 277 | % | 266 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.56 | $ | 26.68 | $ | 33.60 | $ | 26.11 | $ | 21.15 | $ | 17.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.17 | ) | (.13 | ) | (.14 | ) | (.09 | ) | .04 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.75 | 2.57 | (4.76 | ) | 7.99 | 6.61 | 3.29 | |||||||||||||||||
Total from investment operations | 2.65 | 2.40 | (4.89 | ) | 7.85 | 6.52 | 3.33 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.03 | ) | (.05 | ) | ||||||||||||||||
Net realized gains | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.53 | ) | — | ||||||||||||||
Total distributions | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.56 | ) | (.05 | ) | |||||||||||||
Net asset value, end of period | $ | 28.21 | $ | 25.56 | $ | 26.68 | $ | 33.60 | $ | 26.11 | $ | 21.15 | ||||||||||||
Total Returnc | 10.37 | % | 9.85 | % | (15.04 | %) | 30.21 | % | 31.36 | % | 18.65 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,591 | $ | 4,626 | $ | 6,410 | $ | 28,704 | $ | 7,909 | $ | 3,660 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.72 | %) | (0.62 | %) | (0.42 | %) | (0.47 | %) | (0.37 | %) | 0.20 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.59 | % | 1.59 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 199 | % | 699 | % | 249 | % | 176 | % | 277 | % | 266 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.58 | $ | 24.13 | $ | 30.82 | $ | 24.16 | $ | 19.81 | $ | 16.86 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.33 | ) | (.33 | ) | (.33 | ) | (.26 | ) | (.09 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.41 | 2.30 | (4.33 | ) | 7.35 | 6.17 | 3.09 | |||||||||||||||||
Total from investment operations | 2.24 | 1.97 | (4.66 | ) | 7.02 | 5.91 | 3.00 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.03 | ) | (.05 | ) | ||||||||||||||||
Net realized gains | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.53 | ) | — | ||||||||||||||
Total distributions | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.56 | ) | (.05 | ) | |||||||||||||
Net asset value, end of period | $ | 24.82 | $ | 22.58 | $ | 24.13 | $ | 30.82 | $ | 24.16 | $ | 19.81 | ||||||||||||
Total Returnc | 9.92 | % | 9.07 | % | (15.67 | %) | 29.21 | % | 30.38 | % | 17.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,116 | $ | 4,959 | $ | 8,284 | $ | 11,551 | $ | 7,318 | $ | 4,589 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.46 | %) | (1.37 | %) | (1.17 | %) | (1.24 | %) | (1.14 | %) | (0.53 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.34 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 199 | % | 699 | % | 249 | % | 176 | % | 277 | % | 266 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.72 | $ | 25.91 | $ | 32.71 | $ | 25.49 | $ | 20.73 | $ | 17.55 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.16 | ) | (.14 | ) | (.21 | ) | (.15 | ) | (.06 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.66 | 2.49 | (4.63 | ) | 7.79 | 6.47 | 3.29 | |||||||||||||||||
Total from investment operations | 2.56 | 2.33 | (4.77 | ) | 7.58 | 6.32 | 3.23 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.03 | ) | (.05 | ) | ||||||||||||||||
Net realized gains | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.53 | ) | — | ||||||||||||||
Total distributions | — | (3.52 | ) | (2.03 | ) | (.36 | ) | (1.56 | ) | (.05 | ) | |||||||||||||
Net asset value, end of period | $ | 27.28 | $ | 24.72 | $ | 25.91 | $ | 32.71 | $ | 25.49 | $ | 20.73 | ||||||||||||
Total Returnc | 10.32 | % | 9.87 | % | (15.08 | %) | 29.89 | % | 31.03 | % | 18.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,208 | $ | 4,809 | $ | 5,244 | $ | 50,135 | $ | 38,480 | $ | 3,605 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.75 | %) | (0.62 | %) | (0.44 | %) | (0.73 | %) | (0.62 | %) | (0.31 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.71 | % | 1.85 | % | 1.87 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 199 | % | 699 | % | 249 | % | 176 | % | 277 | % | 266 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_83.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments
Inception Dates: | |
Investor Class | April 6, 2000 |
A-Class | September 1, 2004 |
C-Class | April 19, 2001 |
H-Class | April 6, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
Alphabet, Inc. — Class A | 6.4% |
Facebook, Inc. — Class A | 5.3% |
Amazon.com, Inc. | 5.0% |
Cisco Systems, Inc. | 3.2% |
Alibaba Group Holding Ltd. ADR | 2.9% |
Broadcom Ltd. | 2.4% |
Priceline Group, Inc. | 2.4% |
Time Warner, Inc. | 2.2% |
QUALCOMM, Inc. | 2.2% |
PayPal Holdings, Inc. | 2.1% |
Top Ten Total | 34.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 15.24% | 22.71% | 18.13% | 9.50% |
A-Class Shares | 15.11% | 22.40% | 17.83% | 9.22% |
A-Class Shares with sales charge‡ | 9.64% | 16.59% | 16.69% | 8.69% |
C-Class Shares | 14.68% | 21.49% | 16.94% | 8.41% |
C-Class Shares with CDSC§ | 13.68% | 20.49% | 16.94% | 8.41% |
H-Class Shares** | 15.11% | 22.43% | 17.65% | 9.01% |
S&P 500 Information Technology Index | 13.14% | 28.88% | 17.44% | 10.94% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INTERNET FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.1% | ||||||||
Internet - 51.3% | ||||||||
Alphabet, Inc. — Class A* | 5,239 | $ | 5,101,319 | |||||
Facebook, Inc. — Class A* | 25,010 | 4,273,459 | ||||||
Amazon.com, Inc.* | 4,200 | 4,037,670 | ||||||
Alibaba Group Holding Ltd. ADR* | 13,380 | 2,310,860 | ||||||
Priceline Group, Inc.* | 1,032 | 1,889,406 | ||||||
Netflix, Inc.* | 9,086 | 1,647,746 | ||||||
Baidu, Inc. ADR* | 6,057 | 1,500,258 | ||||||
eBay, Inc.* | 30,968 | 1,191,029 | ||||||
JD.com, Inc. ADR* | 29,722 | 1,135,380 | ||||||
Ctrip.com International Ltd. ADR* | 18,473 | 974,266 | ||||||
Expedia, Inc. | 6,468 | 931,004 | ||||||
Symantec Corp. | 25,162 | 825,565 | ||||||
YY, Inc. ADR* | 8,691 | 754,205 | ||||||
MercadoLibre, Inc. | 2,840 | 735,361 | ||||||
Wix.com Ltd.* | 9,860 | 708,441 | ||||||
Weibo Corp. ADR* | 7,145 | 706,926 | ||||||
SINA Corp.* | 6,090 | 698,219 | ||||||
Shopify, Inc. — Class A* | 5,990 | 697,775 | ||||||
Palo Alto Networks, Inc.* | 4,663 | 671,938 | ||||||
VeriSign, Inc.* | 6,013 | 639,723 | ||||||
Twitter, Inc.* | 37,567 | 633,755 | ||||||
58.com, Inc. ADR* | 9,683 | 611,385 | ||||||
Vipshop Holdings Ltd. ADR* | 69,545 | 611,301 | ||||||
IAC/InterActiveCorp* | 4,917 | 578,141 | ||||||
F5 Networks, Inc.* | 4,547 | 548,186 | ||||||
Zillow Group, Inc. — Class A* | 13,123 | 526,888 | ||||||
Zillow Group, Inc. — Class C* | 13,103 | 526,872 | ||||||
GoDaddy, Inc. — Class A* | 11,830 | 514,723 | ||||||
TripAdvisor, Inc.*,1 | 10,980 | 445,019 | ||||||
Match Group, Inc.*,1 | 18,941 | 439,242 | ||||||
GrubHub, Inc.* | 7,695 | 405,219 | ||||||
Wayfair, Inc. — Class A* | 5,983 | 403,254 | ||||||
Stamps.com, Inc.* | 1,852 | 375,308 | ||||||
Yelp, Inc. — Class A* | 8,418 | 364,499 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 6,498 | 345,109 | ||||||
Cogent Communications Holdings, Inc. | 6,086 | 297,605 | ||||||
Trade Desk, Inc. — Class A* | 4,670 | 287,252 | ||||||
Cars.com, Inc.*,1 | 9,800 | 260,778 | ||||||
Pandora Media, Inc.*,1 | 33,573 | 258,512 | ||||||
Etsy, Inc.* | 14,928 | 251,985 | ||||||
Shutterfly, Inc.* | 4,972 | 241,043 | ||||||
TrueCar, Inc.*,1 | 14,467 | 228,434 | ||||||
Blucora, Inc.* | 8,600 | 217,580 | ||||||
NIC, Inc. | 12,050 | 206,658 | ||||||
Shutterstock, Inc.* | 6,128 | 204,001 | ||||||
Total Internet | 41,213,299 | |||||||
Telecommunications - 12.2% | ||||||||
Cisco Systems, Inc. | 76,019 | 2,556,519 | ||||||
Arista Networks, Inc.* | 3,966 | 751,993 | ||||||
Motorola Solutions, Inc. | 8,693 | 737,775 | ||||||
Juniper Networks, Inc. | 22,904 | 637,418 | ||||||
CommScope Holding Company, Inc.* | 14,776 | 490,711 | ||||||
LogMeIn, Inc. | 4,238 | 466,392 | ||||||
ARRIS International plc* | 16,130 | 459,544 | ||||||
Ubiquiti Networks, Inc.*,1 | 7,716 | 432,250 | ||||||
ViaSat, Inc.*,1 | 6,020 | 387,206 | ||||||
Ciena Corp.* | 16,599 | 364,680 | ||||||
Finisar Corp.* | 15,172 | 336,363 | ||||||
InterDigital, Inc. | 4,402 | 324,648 | ||||||
Acacia Communications, Inc.*,1 | 6,088 | 286,745 | ||||||
Viavi Solutions, Inc.* | 29,611 | 280,120 | ||||||
NETGEAR, Inc.* | 5,165 | 245,854 | ||||||
Infinera Corp.* | 26,748 | 237,255 | ||||||
Oclaro, Inc.*,1 | 26,566 | 229,265 | ||||||
Extreme Networks, Inc.* | 18,805 | 223,591 | ||||||
ADTRAN, Inc. | 9,065 | 217,560 | ||||||
Gogo, Inc.*,1 | 8,123 | 95,933 | ||||||
Total Telecommunications | 9,761,822 | |||||||
Software - 11.9% | ||||||||
salesforce.com, Inc.* | 16,810 | 1,570,389 | ||||||
Intuit, Inc. | 8,197 | 1,165,122 | ||||||
NetEase, Inc. ADR | 3,915 | 1,032,816 | ||||||
Red Hat, Inc.* | 7,800 | 864,708 | ||||||
Momo, Inc. ADR* | 22,544 | 706,529 | ||||||
Citrix Systems, Inc.* | 8,597 | 660,422 | ||||||
Akamai Technologies, Inc.* | 11,629 | 566,565 | ||||||
Veeva Systems, Inc. — Class A* | 9,629 | 543,172 | ||||||
j2 Global, Inc. | 4,943 | 365,189 | ||||||
Box, Inc. — Class A* | 17,072 | 329,831 | ||||||
New Relic, Inc.* | 6,390 | 318,222 | ||||||
2U, Inc.* | 5,580 | 312,703 | ||||||
Allscripts Healthcare Solutions, Inc.* | 21,905 | 311,708 | ||||||
Twilio, Inc. — Class A*,1 | 10,260 | 306,261 | ||||||
Cornerstone OnDemand, Inc.* | 6,893 | 279,925 | ||||||
SPS Commerce, Inc.* | 3,370 | 191,113 | ||||||
Total Software | 9,524,675 | |||||||
Diversified Financial Services - 5.0% | ||||||||
Charles Schwab Corp. | 35,629 | 1,558,412 | ||||||
TD Ameritrade Holding Corp. | 20,790 | 1,014,552 | ||||||
E*TRADE Financial Corp.* | 16,067 | 700,682 | ||||||
BGC Partners, Inc. — Class A | 28,364 | 410,427 | ||||||
LendingClub Corp.* | 50,464 | 307,326 | ||||||
Total Diversified Financial Services | 3,991,399 | |||||||
Commercial Services - 4.7% | ||||||||
PayPal Holdings, Inc.* | 26,526 | 1,698,460 | ||||||
Cimpress N.V.* | 6,640 | 648,462 | ||||||
CoStar Group, Inc.* | 2,182 | 585,322 | ||||||
Live Nation Entertainment, Inc.* | 13,334 | 580,696 | ||||||
NutriSystem, Inc. | 4,756 | 265,860 | ||||||
Total Commercial Services | 3,778,800 | |||||||
Semiconductors - 4.5% | ||||||||
Broadcom Ltd. | 7,914 | 1,919,462 | ||||||
QUALCOMM, Inc. | 33,241 | 1,723,213 | ||||||
Total Semiconductors | 3,642,675 |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
INTERNET FUND |
Shares | Value | |||||||
Computers - 3.8% | ||||||||
BlackBerry Ltd.* | 72,280 | $ | 808,090 | |||||
Check Point Software Technologies Ltd.* | 7,055 | 804,411 | ||||||
Brocade Communications Systems, Inc. | 36,005 | 430,260 | ||||||
Nutanix, Inc. — Class A* | 16,506 | 369,569 | ||||||
Lumentum Holdings, Inc.* | 6,310 | 342,949 | ||||||
NetScout Systems, Inc.* | 10,261 | 331,943 | ||||||
Total Computers | 3,087,222 | |||||||
Media - 2.2% | ||||||||
Time Warner, Inc. | 17,124 | 1,754,354 | ||||||
REITs - 1.4% | ||||||||
Equinix, Inc. | 2,603 | 1,161,719 | ||||||
Aerospace & Defense - 1.0% | ||||||||
Harris Corp. | 5,998 | 789,817 | ||||||
Retail - 0.6% | ||||||||
HSN, Inc. | 7,078 | 276,396 | ||||||
PetMed Express, Inc. | 4,500 | 149,175 | ||||||
Total Retail | 425,571 | |||||||
Electronics - 0.3% | ||||||||
Applied Optoelectronics, Inc.*,1 | 3,703 | 239,473 | ||||||
Leisure Time - 0.2% | ||||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 14,318 | 176,827 | ||||||
Total Common Stocks | ||||||||
(Cost $65,737,924) | 79,547,653 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 296,770 | 296,769 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 148,385 | 148,385 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 148,271 | 148,271 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $593,425) | 593,425 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 2,097,250 | 2,097,250 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $2,097,250) | 2,097,250 | |||||||
Total Investments - 102.4% | ||||||||
(Cost $68,428,599) | $ | 82,238,328 | ||||||
Other Assets & Liabilities, net - (2.4)% | (1,946,519 | ) | ||||||
Total Net Assets - 100.0% | $ | 80,291,809 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
REIT — Real Estate Investment Trust | ||
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INTERNET FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 79,547,653 | $ | — | $ | — | $ | 79,547,653 | ||||||||
Repurchase Agreement | — | 593,425 | — | 593,425 | ||||||||||||
Securities Lending Collateral | 2,097,250 | — | — | 2,097,250 | ||||||||||||
Total Assets | $ | 81,644,904 | $ | 593,425 | $ | — | $ | 82,238,328 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $2,033,122 of securities loaned (cost $67,835,174) | $ | 81,644,903 | ||
Repurchase agreements, at value (cost $593,425) | 593,425 | |||
Cash | 8,276 | |||
Receivables: | ||||
Fund shares sold | 300,637 | |||
Securities lending income | 7,971 | |||
Dividends | 6,296 | |||
Interest | 33 | |||
Total assets | 82,561,541 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 2,097,250 | |||
Management fees | 56,867 | |||
Fund shares redeemed | 56,068 | |||
Transfer agent and administrative fees | 16,725 | |||
Portfolio accounting fees | 6,690 | |||
Distribution and service fees | 6,611 | |||
Miscellaneous | 29,521 | |||
Total liabilities | 2,269,732 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 80,291,809 | ||
Net assets consist of: | ||||
Paid in capital | $ | 69,992,650 | ||
Accumulated net investment loss | (343,967 | ) | ||
Accumulated net realized loss on investments | (3,166,603 | ) | ||
Net unrealized appreciation on investments | 13,809,729 | |||
Net assets | $ | 80,291,809 | ||
Investor Class: | ||||
Net assets | $ | 57,537,021 | ||
Capital shares outstanding | 523,691 | |||
Net asset value per share | $ | 109.87 | ||
A-Class: | ||||
Net assets | $ | 3,584,264 | ||
Capital shares outstanding | 34,694 | |||
Net asset value per share | $ | 103.31 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 108.46 | ||
C-Class: | ||||
Net assets | $ | 2,918,233 | ||
Capital shares outstanding | 31,594 | |||
Net asset value per share | $ | 92.37 | ||
H-Class: | ||||
Net assets | $ | 16,252,291 | ||
Capital shares outstanding | 161,964 | |||
Net asset value per share | $ | 100.35 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $919) | $ | 171,142 | ||
Interest | 1,554 | |||
Income from securities lending, net | 32,268 | |||
Total investment income | 204,963 | |||
Expenses: | ||||
Management fees | 242,647 | |||
Distribution and service fees: | ||||
A-Class | 3,537 | |||
C-Class | 13,029 | |||
H-Class | 12,918 | |||
Transfer agent and administrative fees | 71,367 | |||
Portfolio accounting fees | 28,546 | |||
Custodian fees | 3,584 | |||
Trustees’ fees* | 1,384 | |||
Line of credit fees | 371 | |||
Miscellaneous | 49,574 | |||
Total expenses | 426,957 | |||
Net investment loss | (221,994 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 754,368 | |||
Net realized gain | 754,368 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,907,857 | |||
Net change in unrealized appreciation (depreciation) | 6,907,857 | |||
Net realized and unrealized gain | 7,662,225 | |||
Net increase in net assets resulting from operations | $ | 7,440,231 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
INTERNET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (221,994 | ) | $ | (255,868 | ) | ||
Net realized gain on investments | 754,368 | 6,746,908 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 6,907,857 | (1,908,519 | ) | |||||
Net increase in net assets resulting from operations | 7,440,231 | 4,582,521 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 88,930,552 | 156,156,448 | ||||||
A-Class | 2,735,599 | 14,112,884 | ||||||
C-Class | 1,729,285 | 2,667,685 | ||||||
H-Class | 48,753,647 | 24,642,372 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (54,163,949 | ) | (166,115,723 | ) | ||||
A-Class | (1,647,392 | ) | (14,079,122 | ) | ||||
C-Class | (1,476,089 | ) | (3,621,718 | ) | ||||
H-Class | (36,523,936 | ) | (29,999,192 | ) | ||||
Net increase (decrease) from capital share transactions | 48,337,717 | (16,236,366 | ) | |||||
Net increase (decrease) in net assets | 55,777,948 | (11,653,845 | ) | |||||
Net assets: | ||||||||
Beginning of period | 24,513,861 | 36,167,706 | ||||||
End of period | $ | 80,291,809 | $ | 24,513,861 | ||||
Accumulated net investment loss at end of period | $ | (343,967 | ) | $ | (121,973 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 853,753 | 1,807,372 | ||||||
A-Class | 27,953 | 181,366 | ||||||
C-Class | 19,694 | 36,275 | ||||||
H-Class | 509,498 | 326,408 | ||||||
Shares redeemed | ||||||||
Investor Class | (515,409 | ) | (1,935,644 | ) | ||||
A-Class | (17,095 | ) | (182,044 | ) | ||||
C-Class | (16,916 | ) | (49,537 | ) | ||||
H-Class | (374,875 | ) | (398,950 | ) | ||||
Net increase (decrease) in shares | 486,604 | (214,754 | ) |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 95.33 | $ | 77.91 | $ | 77.87 | $ | 75.05 | $ | 55.46 | $ | 51.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.35 | ) | (.60 | ) | (.41 | ) | (.49 | ) | (.62 | ) | (.44 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 14.89 | 18.02 | .78 | 5.27 | 20.53 | 5.26 | ||||||||||||||||||
Total from investment operations | 14.54 | 17.42 | .37 | 4.78 | 19.91 | 4.82 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Total distributions | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 109.87 | $ | 95.33 | $ | 77.91 | $ | 77.87 | $ | 75.05 | $ | 55.46 | ||||||||||||
Total Returnc | 15.24 | % | 22.36 | % | 0.46 | % | 6.40 | % | 35.93 | % | 9.65 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 57,537 | $ | 17,670 | $ | 24,435 | $ | 8,328 | $ | 26,828 | $ | 6,109 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.67 | %) | (0.70 | %) | (0.52 | %) | (0.64 | %) | (0.87 | %) | (0.87 | %) | ||||||||||||
Total expenses | 1.39 | % | 1.37 | % | 1.35 | % | 1.35 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 136 | % | 518 | % | 520 | % | 495 | % | 472 | % | 442 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 89.75 | $ | 73.54 | $ | 73.71 | $ | 71.32 | $ | 52.85 | $ | 49.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.43 | ) | (.76 | ) | (.69 | ) | (.61 | ) | (.79 | ) | (.52 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.99 | 16.97 | .85 | 4.96 | 19.58 | 5.00 | ||||||||||||||||||
Total from investment operations | 13.56 | 16.21 | .16 | 4.35 | 18.79 | 4.48 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Total distributions | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 103.31 | $ | 89.75 | $ | 73.54 | $ | 73.71 | $ | 71.32 | $ | 52.85 | ||||||||||||
Total Returnc | 15.11 | % | 22.04 | % | 0.20 | % | 6.12 | % | 35.58 | % | 9.41 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,584 | $ | 2,139 | $ | 1,803 | $ | 2,022 | $ | 12,566 | $ | 1,192 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.87 | %) | (0.95 | %) | (0.92 | %) | (0.86 | %) | (1.12 | %) | (1.08 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.61 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 136 | % | 518 | % | 520 | % | 495 | % | 472 | % | 442 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 80.55 | $ | 66.49 | $ | 67.17 | $ | 65.64 | $ | 49.03 | $ | 46.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.71 | ) | (1.24 | ) | (1.03 | ) | (1.11 | ) | (1.16 | ) | (.85 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.53 | 15.30 | .68 | 4.60 | 18.09 | 4.64 | ||||||||||||||||||
Total from investment operations | 11.82 | 14.06 | (.35 | ) | 3.49 | 16.93 | 3.79 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Total distributions | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 92.37 | $ | 80.55 | $ | 66.49 | $ | 67.17 | $ | 65.64 | $ | 49.03 | ||||||||||||
Total Returnc | 14.68 | % | 21.13 | % | (0.54 | %) | 5.34 | % | 34.56 | % | 8.55 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,918 | $ | 2,321 | $ | 2,798 | $ | 2,436 | $ | 4,655 | $ | 1,111 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.61 | %) | (1.71 | %) | (1.53 | %) | (1.68 | %) | (1.85 | %) | (1.91 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 136 | % | 518 | % | 520 | % | 495 | % | 472 | % | 442 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 87.18 | $ | 71.40 | $ | 71.64 | $ | 69.58 | $ | 51.70 | $ | 48.71 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.48 | ) | (.78 | ) | (.72 | ) | (.78 | ) | (1.07 | ) | (.64 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.65 | 16.56 | .81 | 4.80 | 19.27 | 4.89 | ||||||||||||||||||
Total from investment operations | 13.17 | 15.78 | .09 | 4.02 | 18.20 | 4.25 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Total distributions | — | — | (.33 | ) | (1.96 | ) | (.32 | ) | (1.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 100.35 | $ | 87.18 | $ | 71.40 | $ | 71.64 | $ | 69.58 | $ | 51.70 | ||||||||||||
Total Returnc | 15.11 | % | 22.09 | % | 0.11 | % | 5.80 | % | 35.23 | % | 9.13 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,252 | $ | 2,384 | $ | 7,132 | $ | 1,830 | $ | 11,814 | $ | 552 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.98 | %) | (1.03 | %) | (0.97 | %) | (1.12 | %) | (1.53 | %) | (1.36 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.67 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 136 | % | 518 | % | 520 | % | 495 | % | 472 | % | 442 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_91.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | May 3, 2001 |
H-Class | June 3, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Comcast Corp. — Class A | 3.7% |
Walt Disney Co. | 3.3% |
Philip Morris International, Inc. | 3.3% |
McDonald's Corp. | 3.0% |
Altria Group, Inc. | 3.0% |
Charter Communications, Inc. — Class A | 2.8% |
Time Warner, Inc. | 2.4% |
Starbucks Corp. | 2.3% |
Twenty-First Century Fox, Inc. — Class A | 1.9% |
Las Vegas Sands Corp. | 1.8% |
Top Ten Total | 27.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 3.51% | 18.24% | 14.66% | 7.26% |
A-Class Shares | 3.38% | 17.93% | 14.37% | 6.99% |
A-Class Shares with sales charge‡ | (1.53%) | 12.33% | 13.26% | 6.47% |
C-Class Shares | 2.99% | 17.06% | 13.52% | 6.18% |
C-Class Shares with CDSC§ | 1.99% | 16.06% | 13.52% | 6.18% |
H-Class Shares** | 3.39% | 17.95% | 14.22% | 6.80% |
S&P 500 Consumer Discretionary Index | 3.21% | 14.52% | 15.93% | 11.28% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
LEISURE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Media - 29.4% | ||||||||
Comcast Corp. — Class A | 16,160 | $ | 621,836 | |||||
Walt Disney Co. | 5,707 | 562,539 | ||||||
Charter Communications, Inc. — Class A* | 1,276 | 463,724 | ||||||
Time Warner, Inc. | 3,906 | 400,170 | ||||||
Twenty-First Century Fox, Inc. — Class A | 11,839 | 312,313 | ||||||
DISH Network Corp. — Class A* | 4,336 | 235,141 | ||||||
Sirius XM Holdings, Inc.1 | 41,610 | 229,687 | ||||||
CBS Corp. — Class B | 3,895 | 225,910 | ||||||
Liberty Broadband Corp. — Class C* | 1,879 | 179,069 | ||||||
Discovery Communications, Inc. — Class A* | 7,421 | 157,993 | ||||||
Viacom, Inc. — Class B | 5,662 | 157,630 | ||||||
Scripps Networks Interactive, Inc. — Class A | 1,744 | 149,792 | ||||||
News Corp. — Class A | 9,545 | 126,567 | ||||||
Grupo Televisa SAB ADR | 5,030 | 124,090 | ||||||
Cable One, Inc. | 130 | 93,876 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 2,890 | 92,625 | ||||||
AMC Networks, Inc. — Class A* | 1,520 | 88,874 | ||||||
Tribune Media Co. — Class A | 2,090 | 85,397 | ||||||
Nexstar Media Group, Inc. — Class A | 1,309 | 81,551 | ||||||
TEGNA, Inc. | 6,079 | 81,033 | ||||||
New York Times Co. — Class A | 4,070 | 79,772 | ||||||
Meredith Corp. | 1,270 | 70,485 | ||||||
World Wrestling Entertainment, Inc. — Class A | 2,560 | 60,288 | ||||||
EW Scripps Co. — Class A* | 3,090 | 59,050 | ||||||
MSG Networks, Inc. — Class A* | 2,680 | 56,816 | ||||||
Gray Television, Inc.* | 3,330 | 52,281 | ||||||
Time, Inc. | 3,735 | 50,423 | ||||||
Scholastic Corp. | 1,320 | 49,104 | ||||||
Total Media | 4,948,036 | |||||||
Retail - 17.4% | ||||||||
McDonald’s Corp. | 3,209 | 502,787 | ||||||
Starbucks Corp. | 7,204 | 386,927 | ||||||
Yum! Brands, Inc. | 2,931 | 215,751 | ||||||
Yum China Holdings, Inc.* | 4,431 | 177,107 | ||||||
Restaurant Brands International, Inc. | 2,231 | 142,516 | ||||||
Domino’s Pizza, Inc.1 | 684 | 135,808 | ||||||
Darden Restaurants, Inc. | 1,723 | 135,738 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 428 | 131,751 | ||||||
Dunkin’ Brands Group, Inc. | 1,869 | 99,207 | ||||||
Wendy’s Co. | 5,505 | 85,493 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 560 | 84,907 | ||||||
Texas Roadhouse, Inc. — Class A | 1,683 | 82,703 | ||||||
Jack in the Box, Inc. | 770 | 78,478 | ||||||
Papa John’s International, Inc. | 1,034 | 75,554 | ||||||
Dave & Buster’s Entertainment, Inc.* | 1,346 | 70,638 | ||||||
Cheesecake Factory, Inc. | 1,530 | 64,444 | ||||||
Bloomin’ Brands, Inc. | 3,272 | 57,587 | ||||||
Buffalo Wild Wings, Inc.* | 543 | 57,395 | ||||||
Brinker International, Inc.1 | 1,714 | 54,608 | ||||||
Shake Shack, Inc. — Class A* | 1,510 | 50,177 | ||||||
Sonic Corp. | 1,859 | 47,312 | ||||||
Wingstop, Inc.1 | 1,312 | 43,624 | ||||||
Red Robin Gourmet Burgers, Inc.* | 630 | 42,210 | ||||||
DineEquity, Inc. | 910 | 39,112 | ||||||
BJ’s Restaurants, Inc.*,1 | 1,260 | 38,367 | ||||||
Fiesta Restaurant Group, Inc.* | 1,820 | 34,580 | ||||||
Total Retail | 2,934,781 | |||||||
Lodging - 12.2% | ||||||||
Las Vegas Sands Corp. | 4,777 | 306,492 | ||||||
Marriott International, Inc. — Class A | 2,547 | 280,832 | ||||||
Hilton Worldwide Holdings, Inc. | 3,020 | 209,739 | ||||||
MGM Resorts International | 5,930 | 193,259 | ||||||
Wynn Resorts Ltd. | 1,141 | 169,918 | ||||||
Melco Resorts & Entertainment Ltd. ADR | 6,983 | 168,430 | ||||||
Wyndham Worldwide Corp. | 1,361 | 143,463 | ||||||
Hyatt Hotels Corp. — Class A* | 1,970 | 121,726 | ||||||
Hilton Grand Vacations, Inc.* | 2,337 | 90,278 | ||||||
Choice Hotels International, Inc. | 1,330 | 84,987 | ||||||
ILG, Inc. | 3,064 | 81,901 | ||||||
Boyd Gaming Corp. | 2,925 | 76,196 | ||||||
Caesars Entertainment Corp.*,1 | 4,890 | 65,282 | ||||||
La Quinta Holdings, Inc.* | 3,638 | 63,665 | ||||||
Total Lodging | 2,056,168 | |||||||
Entertainment - 9.0% | ||||||||
IMAX Corp.* | 6,100 | 138,164 | ||||||
Vail Resorts, Inc.1 | 580 | 132,310 | ||||||
Lions Gate Entertainment Corp. — Class A* | 3,595 | 120,253 | ||||||
International Game Technology plc | 4,180 | 102,619 | ||||||
Six Flags Entertainment Corp. | 1,660 | 101,160 | ||||||
Madison Square Garden Co. — Class A* | 463 | 99,128 | ||||||
Scientific Games Corp. — Class A* | 2,073 | 95,047 | ||||||
Cinemark Holdings, Inc. | 2,476 | 89,656 | ||||||
Marriott Vacations Worldwide Corp. | 671 | 83,560 | ||||||
Churchill Downs, Inc. | 385 | 79,387 | ||||||
Red Rock Resorts, Inc. — Class A | 3,137 | 72,653 | ||||||
Regal Entertainment Group — Class A1 | 4,320 | 69,120 | ||||||
Penn National Gaming, Inc.* | 2,727 | 63,785 | ||||||
Eldorado Resorts, Inc.* | 2,405 | 61,688 | ||||||
International Speedway Corp. — Class A | 1,550 | 55,800 | ||||||
Pinnacle Entertainment, Inc.* | 2,486 | 52,977 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 3,570 | 52,479 | ||||||
SeaWorld Entertainment, Inc.*,1 | 3,790 | 49,232 | ||||||
Total Entertainment | 1,519,018 | |||||||
Leisure Time - 8.7% | ||||||||
Carnival Corp. | 4,529 | 292,437 | ||||||
Carnival plc ADR | 4,510 | 290,805 | ||||||
Royal Caribbean Cruises Ltd. | 1,812 | 214,794 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 2,770 | 149,719 | ||||||
Harley-Davidson, Inc. | 2,589 | 124,816 | ||||||
Polaris Industries, Inc.1 | 1,020 | 106,723 | ||||||
Brunswick Corp. | 1,805 | 101,026 | ||||||
Planet Fitness, Inc. — Class A | 2,680 | 72,306 |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
LEISURE FUND |
Shares | Value | |||||||
Vista Outdoor, Inc.* | 2,268 | $ | 52,028 | |||||
Callaway Golf Co. | 3,580 | 51,659 | ||||||
Total Leisure Time | 1,456,313 | |||||||
Agriculture - 8.1% | ||||||||
Philip Morris International, Inc. | 5,062 | 561,932 | ||||||
Altria Group, Inc. | 7,892 | 500,511 | ||||||
British American Tobacco plc ADR | 2,703 | 168,802 | ||||||
Vector Group Ltd. | 3,526 | 72,170 | ||||||
Universal Corp. | 919 | 52,659 | ||||||
Total Agriculture | 1,356,074 | |||||||
Beverages - 5.8% | ||||||||
Constellation Brands, Inc. — Class A | 1,346 | 268,460 | ||||||
Brown-Forman Corp. — Class B | 3,638 | 197,543 | ||||||
Molson Coors Brewing Co. — Class B | 2,235 | 182,465 | ||||||
Anheuser-Busch InBev S.A. ADR | 1,253 | 149,483 | ||||||
Diageo plc ADR | 900 | 118,917 | ||||||
Boston Beer Company, Inc. — Class A* | 390 | 60,918 | ||||||
Total Beverages | 977,786 | |||||||
Software - 4.2% | ||||||||
Activision Blizzard, Inc. | 4,663 | 300,810 | ||||||
Electronic Arts, Inc.* | 2,229 | 263,156 | ||||||
Take-Two Interactive Software, Inc.* | 1,409 | 144,042 | ||||||
Total Software | 708,008 | |||||||
Toys, Games & Hobbies - 1.5% | ||||||||
Hasbro, Inc. | 1,612 | 157,444 | ||||||
Mattel, Inc.1 | 6,669 | 103,236 | ||||||
Total Toys, Games & Hobbies | 260,680 | |||||||
Food Service - 0.8% | ||||||||
Aramark | 3,416 | 138,724 | ||||||
Commercial Services - 0.8% | ||||||||
Live Nation Entertainment, Inc.* | 3,041 | 132,436 | ||||||
REITs - 0.6% | ||||||||
Park Hotels & Resorts, Inc. | 3,815 | 105,141 | ||||||
Miscellaneous Manufacturing - 0.6% | ||||||||
American Outdoor Brands Corp.* | 3,150 | 48,038 | ||||||
Sturm Ruger & Company, Inc.1 | 870 | 44,979 | ||||||
Total Miscellaneous Manufacturing | 93,017 | |||||||
Internet - 0.4% | ||||||||
Cars.com, Inc.*,1 | 2,233 | 59,420 | ||||||
Food - 0.3% | ||||||||
Bob Evans Farms, Inc. | 700 | 54,257 | ||||||
Total Common Stocks | ||||||||
(Cost $12,584,765) | 16,799,859 | |||||||
RIGHTS†† - 0.0% | ||||||||
Nexstar Media Group CVR | ||||||||
Expires 01/18/19* | 8,160 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 70,737 | 70,737 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 35,369 | 35,369 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 35,342 | 35,342 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $141,448) | 141,448 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 1,040,423 | 1,040,423 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,040,423) | 1,040,423 | |||||||
Total Investments - 106.8% | ||||||||
(Cost $13,766,636) | $ | 17,981,730 | ||||||
Other Assets & Liabilities, net - (6.8)% | (1,150,971 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,830,759 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
LEISURE FUND |
* | 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. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
CVR — Contingent Value Rights | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 16,799,859 | $ | — | $ | — | $ | 16,799,859 | ||||||||
Repurchase Agreement | — | 141,448 | — | 141,448 | ||||||||||||
Rights | — | — | — | * | — | |||||||||||
Securities Lending Collateral | 1,040,423 | — | — | 1,040,423 | ||||||||||||
Total Assets | $ | 17,840,282 | $ | 141,448 | $ | — | $ | 17,981,730 |
* | Market value of security is $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LEISURE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $1,014,960 of securities loaned (cost $13,625,188) | $ | 17,840,282 | ||
Repurchase agreements, at value (cost $141,448) | 141,448 | |||
Receivables: | ||||
Securities sold | 2,339,536 | |||
Dividends | 32,624 | |||
Fund shares sold | 32,142 | |||
Foreign taxes reclaim | 3,881 | |||
Securities lending income | 858 | |||
Interest | 8 | |||
Total assets | 20,390,779 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 2,488,405 | |||
Return of securities loaned | 1,040,423 | |||
Management fees | 13,588 | |||
Transfer agent and administrative fees | 3,996 | |||
Distribution and service fees | 2,109 | |||
Portfolio accounting fees | 1,599 | |||
Miscellaneous | 9,900 | |||
Total liabilities | 3,560,020 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 16,830,759 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,598,754 | ||
Undistributed net investment income | 541,606 | |||
Accumulated net realized gain on investments | 2,475,305 | |||
Net unrealized appreciation on investments | 4,215,094 | |||
Net assets | $ | 16,830,759 | ||
Investor Class: | ||||
Net assets | $ | 11,693,400 | ||
Capital shares outstanding | 159,218 | |||
Net asset value per share | $ | 73.44 | ||
A-Class: | ||||
Net assets | $ | 1,992,950 | ||
Capital shares outstanding | 29,193 | |||
Net asset value per share | $ | 68.27 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 71.67 | ||
C-Class: | ||||
Net assets | $ | 1,684,581 | ||
Capital shares outstanding | 27,159 | |||
Net asset value per share | $ | 62.03 | ||
H-Class: | ||||
Net assets | $ | 1,459,828 | ||
Capital shares outstanding | 21,931 | |||
Net asset value per share | $ | 66.56 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $744) | $ | 361,062 | ||
Interest | 791 | |||
Income from securities lending, net | 11,006 | |||
Total investment income | 372,859 | |||
Expenses: | ||||
Management fees | 169,807 | |||
Distribution and service fees: | ||||
A-Class | 4,030 | |||
C-Class | 8,860 | |||
H-Class | 11,278 | |||
Transfer agent and administrative fees | 49,943 | |||
Portfolio accounting fees | 19,977 | |||
Custodian fees | 2,581 | |||
Trustees’ fees* | 2,367 | |||
Line of credit fees | 159 | |||
Miscellaneous | 33,074 | |||
Total expenses | 302,076 | |||
Net investment income | 70,783 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,820,745 | |||
Net realized gain | 3,820,745 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,661,067 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,661,067 | ) | ||
Net realized and unrealized gain | 2,159,678 | |||
Net increase in net assets resulting from operations | $ | 2,230,461 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
LEISURE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 70,783 | $ | 162,023 | ||||
Net realized gain on investments | 3,820,745 | 6,743,496 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,661,067 | ) | (1,727,882 | ) | ||||
Net increase in net assets resulting from operations | 2,230,461 | 5,177,637 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (79,568 | ) | |||||
A-Class | — | (31,053 | ) | |||||
C-Class | — | (6,507 | ) | |||||
H-Class | — | (14,627 | ) | |||||
Total distributions to shareholders | — | (131,755 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 62,974,266 | 73,417,889 | ||||||
A-Class | 4,694,942 | 17,978,158 | ||||||
C-Class | 654,573 | 303,924 | ||||||
H-Class | 31,746,509 | 38,389,308 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 77,283 | ||||||
A-Class | — | 29,016 | ||||||
C-Class | — | 6,322 | ||||||
H-Class | — | 14,567 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (67,169,521 | ) | (77,077,573 | ) | ||||
A-Class | (4,979,469 | ) | (24,564,037 | ) | ||||
C-Class | (352,219 | ) | (505,982 | ) | ||||
H-Class | (34,658,375 | ) | (49,153,554 | ) | ||||
Net decrease from capital share transactions | (7,089,294 | ) | (21,084,679 | ) | ||||
Net decrease in net assets | (4,858,833 | ) | (16,038,797 | ) | ||||
Net assets: | ||||||||
Beginning of period | 21,689,592 | 37,728,389 | ||||||
End of period | $ | 16,830,759 | $ | 21,689,592 | ||||
Undistributed net investment income at end of period | $ | 541,606 | $ | 470,823 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 872,411 | 1,144,896 | ||||||
A-Class | 69,911 | 304,282 | ||||||
C-Class | 10,804 | 5,480 | ||||||
H-Class | 486,736 | 661,870 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 1,225 | ||||||
A-Class | — | 494 | ||||||
C-Class | — | 118 | ||||||
H-Class | — | 254 | ||||||
Shares redeemed | ||||||||
Investor Class | (916,325 | ) | (1,190,262 | ) | ||||
A-Class | (73,736 | ) | (411,259 | ) | ||||
C-Class | (5,680 | ) | (9,257 | ) | ||||
H-Class | (523,354 | ) | (840,148 | ) | ||||
Net decrease in shares | (79,233 | ) | (332,307 | ) |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.95 | $ | 61.36 | $ | 60.75 | $ | 55.81 | $ | 44.93 | $ | 36.94 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .19 | .52 | .22 | .52 | .20 | .36 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.30 | 9.38 | .82 | 5.64 | 10.95 | 7.66 | ||||||||||||||||||
Total from investment operations | 2.49 | 9.90 | 1.04 | 6.16 | 11.15 | 8.02 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.32 | ) | (.12 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net realized gains | — | — | (.11 | ) | (1.10 | ) | — | — | ||||||||||||||||
Total distributions | — | (.31 | ) | (.43 | ) | (1.22 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net asset value, end of period | $ | 73.44 | $ | 70.95 | $ | 61.36 | $ | 60.75 | $ | 55.81 | $ | 44.93 | ||||||||||||
Total Returnc | 3.51 | % | 16.20 | % | 1.72 | % | 11.15 | % | 24.83 | % | 21.74 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,693 | $ | 14,413 | $ | 15,173 | $ | 48,494 | $ | 24,139 | $ | 22,005 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.52 | % | 0.81 | % | 0.35 | % | 0.89 | % | 0.39 | % | 0.92 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.34 | % | 1.34 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 217 | % | 352 | % | 339 | % | 343 | % | 265 | % | 517 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.03 | $ | 57.27 | $ | 56.88 | $ | 52.46 | $ | 42.35 | $ | 34.91 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .08 | .23 | .08 | .38 | .04 | .29 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.16 | 8.84 | .74 | 5.26 | 10.34 | 7.18 | ||||||||||||||||||
Total from investment operations | 2.24 | 9.07 | .82 | 5.64 | 10.38 | 7.47 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.32 | ) | (.12 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net realized gains | — | — | (.11 | ) | (1.10 | ) | — | — | ||||||||||||||||
Total distributions | — | (.31 | ) | (.43 | ) | (1.22 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net asset value, end of period | $ | 68.27 | $ | 66.03 | $ | 57.27 | $ | 56.88 | $ | 52.46 | $ | 42.35 | ||||||||||||
Total Returnc | 3.38 | % | 15.91 | % | 1.45 | % | 10.86 | % | 24.53 | % | 21.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,993 | $ | 2,180 | $ | 7,990 | $ | 10,703 | $ | 1,778 | $ | 1,409 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.25 | % | 0.40 | % | 0.15 | % | 0.69 | % | 0.09 | % | 0.80 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.58 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 217 | % | 352 | % | 339 | % | 343 | % | 265 | % | 517 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.23 | $ | 52.65 | $ | 52.72 | $ | 49.07 | $ | 39.92 | $ | 33.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.18 | ) | (.28 | ) | (.19 | ) | (.27 | ) | .01 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.98 | 8.07 | .64 | 5.06 | 9.69 | 6.78 | ||||||||||||||||||
Total from investment operations | 1.80 | 7.89 | .36 | 4.87 | 9.42 | 6.79 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.32 | ) | (.12 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net realized gains | — | — | (.11 | ) | (1.10 | ) | — | — | ||||||||||||||||
Total distributions | — | (.31 | ) | (.43 | ) | (1.22 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net asset value, end of period | $ | 62.03 | $ | 60.23 | $ | 52.65 | $ | 52.72 | $ | 49.07 | $ | 39.92 | ||||||||||||
Total Returnc | 2.99 | % | 15.05 | % | 0.69 | % | 10.04 | % | 23.61 | % | 20.54 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,685 | $ | 1,327 | $ | 1,353 | $ | 1,590 | $ | 1,460 | $ | 928 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.57 | %) | (0.33 | %) | (0.54 | %) | (0.37 | %) | (0.59 | %) | 0.03 | % | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 217 | % | 352 | % | 339 | % | 343 | % | 265 | % | 517 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.38 | $ | 55.85 | $ | 55.50 | $ | 51.31 | $ | 41.54 | $ | 34.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | .20 | .27 | .30 | (.11 | ) | .29 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.15 | 8.64 | .51 | 5.11 | 10.15 | 6.95 | ||||||||||||||||||
Total from investment operations | 2.18 | 8.84 | .78 | 5.41 | 10.04 | 7.24 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.31 | ) | (.32 | ) | (.12 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net realized gains | — | — | (.11 | ) | (1.10 | ) | — | — | ||||||||||||||||
Total distributions | — | (.31 | ) | (.43 | ) | (1.22 | ) | (.27 | ) | (.03 | ) | |||||||||||||
Net asset value, end of period | $ | 66.56 | $ | 64.38 | $ | 55.85 | $ | 55.50 | $ | 51.31 | $ | 41.54 | ||||||||||||
Total Returnc | 3.39 | % | 15.90 | % | 1.41 | % | 10.66 | % | 24.18 | % | 21.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,460 | $ | 3,770 | $ | 13,212 | $ | 7,074 | $ | 3,115 | $ | 1,241 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | % | 0.34 | % | 0.49 | % | 0.55 | % | (0.23 | %) | 0.80 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.64 | % | 1.83 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 217 | % | 352 | % | 339 | % | 343 | % | 265 | % | 517 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals related services (“Precious Metals Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_99.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | December 1, 1993 |
A-Class | September 1, 2004 |
C-Class | April 27, 2001 |
H-Class | August 1, 2003 |
Ten Largest Holdings (% of Total Net Assets) | |
Freeport-McMoRan, Inc. | 6.8% |
Newmont Mining Corp. | 6.2% |
Barrick Gold Corp. | 6.0% |
Franco-Nevada Corp. | 5.1% |
Goldcorp, Inc. | 4.6% |
Agnico Eagle Mines Ltd. | 4.4% |
VanEck Vectors Junior Gold Miners ETF | 4.2% |
Randgold Resources Ltd. ADR | 4.1% |
Wheaton Precious Metals Corp. | 4.0% |
Royal Gold, Inc. | 3.3% |
Top Ten Total | 48.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (1.64%) | (13.85%) | (13.69%) | (6.29%) |
A-Class Shares | (1.78%) | (14.09%) | (13.93%) | (6.54%) |
A-Class Shares with sales charge‡ | (6.45%) | (18.17%) | (14.77%) | (6.99%) |
C-Class Shares | (2.15%) | (14.73%) | (14.55%) | (7.23%) |
C-Class Shares with CDSC§ | (3.12%) | (15.55%) | (14.55%) | (7.23%) |
H-Class Shares** | (1.83%) | (14.15%) | (14.06%) | (6.72%) |
S&P 500 Materials Index | 9.41% | 21.26% | 11.29% | 5.47% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
PRECIOUS METALS FUND |
Shares | Value | |||||||
COMMON STOCKS† - 95.6% | ||||||||
Mining - 95.6% | ||||||||
Freeport-McMoRan, Inc.* | 380,186 | $ | 5,337,812 | |||||
Newmont Mining Corp. | 130,749 | 4,904,396 | ||||||
Barrick Gold Corp. | 292,683 | 4,709,269 | ||||||
Franco-Nevada Corp. | 51,805 | 4,013,851 | ||||||
Goldcorp, Inc. | 279,698 | 3,624,886 | ||||||
Agnico Eagle Mines Ltd. | 76,070 | 3,439,125 | ||||||
Randgold Resources Ltd. ADR1 | 32,983 | 3,221,120 | ||||||
Wheaton Precious Metals Corp. | 166,302 | 3,174,705 | ||||||
Royal Gold, Inc. | 30,031 | 2,583,867 | ||||||
Kinross Gold Corp.* | 538,274 | 2,282,282 | ||||||
Cia de Minas Buenaventura S.A.A. ADR | 165,396 | 2,115,415 | ||||||
AngloGold Ashanti Ltd. ADR | 220,908 | 2,052,235 | ||||||
Gold Fields Ltd. ADR | 465,781 | 2,007,516 | ||||||
B2Gold Corp.* | 641,832 | 1,797,130 | ||||||
Pan American Silver Corp. | 103,920 | 1,771,836 | ||||||
IAMGOLD Corp.* | 282,211 | 1,721,487 | ||||||
Yamana Gold, Inc. | 635,728 | 1,684,679 | ||||||
Sibanye-Stillwater ADR1 | 360,656 | 1,608,526 | ||||||
Hecla Mining Co. | 310,852 | 1,560,477 | ||||||
Alamos Gold, Inc. — Class A | 228,630 | 1,545,539 | ||||||
Osisko Gold Royalties Ltd. | 117,750 | 1,520,153 | ||||||
New Gold, Inc.* | 396,089 | 1,469,490 | ||||||
Pretium Resources, Inc.*,1 | 152,816 | 1,415,076 | ||||||
Coeur Mining, Inc.* | 147,715 | 1,357,501 | ||||||
Eldorado Gold Corp. | 593,401 | 1,305,482 | ||||||
Novagold Resources, Inc.*,1 | 311,949 | 1,285,230 | ||||||
SSR Mining, Inc.* | 116,764 | 1,238,866 | ||||||
Tahoe Resources, Inc. | 230,853 | 1,216,595 | ||||||
First Majestic Silver Corp.*,1 | 162,625 | 1,112,355 | ||||||
MAG Silver Corp.* | 90,022 | 1,010,947 | ||||||
Sandstorm Gold Ltd.* | 214,431 | 973,517 | ||||||
Seabridge Gold, Inc.*,1 | 73,982 | 902,580 | ||||||
Klondex Mines Ltd.* | 243,802 | 887,439 | ||||||
Harmony Gold Mining Company Ltd. ADR | 478,169 | 875,049 | ||||||
Fortuna Silver Mines, Inc.* | 196,958 | 862,676 | ||||||
McEwen Mining, Inc.*,1 | 380,813 | 742,585 | ||||||
Richmont Mines, Inc.* | 78,034 | 729,618 | ||||||
Endeavour Silver Corp.*,1 | 237,870 | 566,131 | ||||||
Gold Resource Corp. | 136,559 | 512,096 | ||||||
AuRico Metals, Inc.* | 5 | 5 | ||||||
Total Mining | 75,139,544 | |||||||
Total Common Stocks | ||||||||
(Cost $67,364,006) | 75,139,544 | |||||||
EXCHANGE-TRADED FUNDS† - 4.2% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 97,688 | 3,281,340 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $3,011,694) | 3,281,340 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.3% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 499,897 | 499,897 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 249,948 | 249,948 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 249,757 | 249,757 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $999,602) | 999,602 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 9.3% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 7,312,958 | 7,312,958 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $7,312,958) | 7,312,958 | |||||||
Total Investments - 110.4% | ||||||||
(Cost $78,688,260) | $ | 86,733,444 | ||||||
Other Assets & Liabilities, net - (10.4)% | (8,164,502 | ) | ||||||
Total Net Assets - 100.0% | $ | 78,568,942 |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
PRECIOUS METALS FUND |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 75,139,544 | $ | — | $ | — | $ | 75,139,544 | ||||||||
Exchange-Traded Funds | 3,281,340 | — | — | 3,281,340 | ||||||||||||
Repurchase Agreements | — | 999,602 | — | 999,602 | ||||||||||||
Securities Lending Collateral | 7,312,958 | — | — | 7,312,958 | ||||||||||||
Total Assets | $ | 85,733,842 | $ | 999,602 | $ | — | $ | 86,733,444 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
PRECIOUS METALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $6,896,652 of securities loaned (cost $77,688,658) | $ | 85,733,842 | ||
Repurchase agreements, at value (cost $999,602) | 999,602 | |||
Receivables: | ||||
Fund shares sold | 173,579 | |||
Securities lending income | 7,431 | |||
Dividends | 6,782 | |||
Foreign taxes reclaim | 827 | |||
Interest | 55 | |||
Total assets | 86,922,118 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 7,312,958 | |||
Deferred foreign capital gain taxes | 519,144 | |||
Fund shares redeemed | 412,961 | |||
Management fees | 50,206 | |||
Transfer agent and administrative fees | 16,735 | |||
Distribution and service fees | 9,577 | |||
Portfolio accounting fees | 6,694 | |||
Miscellaneous | 24,898 | |||
Total liabilities | 8,353,176 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 78,568,942 | ||
Net assets consist of: | ||||
Paid in capital | $ | 116,436,652 | ||
Accumulated net investment loss | (490,832 | ) | ||
Accumulated net realized loss on investments | (45,422,062 | ) | ||
Net unrealized appreciation on investments | 8,045,184 | |||
Net assets | $ | 78,568,942 | ||
Investor Class: | ||||
Net assets | $ | 55,922,973 | ||
Capital shares outstanding | 1,830,579 | |||
Net asset value per share | $ | 30.55 | ||
A-Class: | ||||
Net assets | $ | 12,537,637 | ||
Capital shares outstanding | 428,074 | |||
Net asset value per share | $ | 29.29 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 30.75 | ||
C-Class: | ||||
Net assets | $ | 6,937,870 | ||
Capital shares outstanding | 271,788 | |||
Net asset value per share | $ | 25.53 | ||
H-Class: | ||||
Net assets | $ | 3,170,462 | ||
Capital shares outstanding | 111,555 | |||
Net asset value per share | $ | 28.42 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $19,182) | $ | 188,693 | ||
Interest | 3,367 | |||
Income from securities lending, net | 42,655 | |||
Total investment income | 234,715 | |||
Expenses: | ||||
Management fees | 253,039 | |||
Distribution and service fees: | ||||
A-Class | 13,385 | |||
C-Class | 36,406 | |||
H-Class | 5,227 | |||
Transfer agent and administrative fees | 84,347 | |||
Portfolio accounting fees | 33,738 | |||
Registration fees | 30,623 | |||
Custodian fees | 4,437 | |||
Trustees’ fees* | 2,849 | |||
Line of credit fees | 422 | |||
Miscellaneous | 26,611 | |||
Total expenses | 491,084 | |||
Net investment loss | (256,369 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 9,483,507 | |||
Net realized gain | 9,483,507 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (12,783,750 | ) | ||
Net change in unrealized appreciation (depreciation) | (12,783,750 | ) | ||
Net realized and unrealized loss | (3,300,243 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,556,612 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (256,369 | ) | $ | (761,327 | ) | ||
Net realized gain on investments | 9,483,507 | 10,615,182 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (12,783,750 | ) | (1,934,542 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (3,556,612 | ) | 7,919,313 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (2,205,828 | ) | |||||
A-Class | — | (423,349 | ) | |||||
C-Class | — | (340,156 | ) | |||||
H-Class | — | (148,234 | ) | |||||
Total distributions to shareholders | — | (3,117,567 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 184,146,378 | 617,795,119 | ||||||
A-Class | 5,018,798 | 28,200,735 | ||||||
C-Class | 1,364,801 | 9,381,549 | ||||||
H-Class | 89,010,798 | 78,064,423 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 2,149,219 | ||||||
A-Class | — | 409,011 | ||||||
C-Class | — | 335,809 | ||||||
H-Class | — | 147,702 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (170,502,574 | ) | (629,758,275 | ) | ||||
A-Class | (4,396,934 | ) | (20,496,890 | ) | ||||
C-Class | (1,903,445 | ) | (9,377,725 | ) | ||||
H-Class | (86,788,819 | ) | (77,888,581 | ) | ||||
Net increase (decrease) from capital share transactions | 15,949,003 | (1,037,904 | ) | |||||
Net increase in net assets | 12,392,391 | 3,763,842 | ||||||
Net assets: | ||||||||
Beginning of period | 66,176,551 | 62,412,709 | ||||||
End of period | $ | 78,568,942 | $ | 66,176,551 | ||||
Accumulated net investment loss at end of period | $ | (490,832 | ) | $ | (234,463 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 5,938,242 | 17,910,788 | ||||||
A-Class | 172,375 | 836,189 | ||||||
C-Class | 52,013 | 313,607 | ||||||
H-Class | 3,132,359 | 2,469,224 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 70,420 | ||||||
A-Class | — | 13,945 | ||||||
C-Class | — | 13,051 | ||||||
H-Class | — | 5,186 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,519,905 | ) | (18,370,925 | ) | ||||
A-Class | (152,735 | ) | (582,330 | ) | ||||
C-Class | (74,084 | ) | (324,703 | ) | ||||
H-Class | (3,123,645 | ) | (2,471,225 | ) | ||||
Net increase (decrease) in shares | 424,620 | (116,773 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
PRECIOUS METALS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.82 | $ | 27.37 | $ | 25.11 | $ | 35.78 | $ | 51.65 | $ | 65.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | (.23 | ) | (.07 | ) | .01 | .36 | .34 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.18 | ) | 4.85 | 2.44 | (9.88 | ) | (16.06 | ) | (12.12 | ) | ||||||||||||||
Total from investment operations | (.27 | ) | 4.62 | 2.37 | (9.87 | ) | (15.70 | ) | (11.78 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (.10 | ) | |||||||||||||
Net realized gains | — | — | — | — | — | (2.20 | ) | |||||||||||||||||
Total distributions | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (2.30 | ) | |||||||||||||
Net asset value, end of period | $ | 30.55 | $ | 30.82 | $ | 27.37 | $ | 25.11 | $ | 35.78 | $ | 51.65 | ||||||||||||
Total Returnc | (1.64 | %) | 16.91 | % | 9.67 | % | (27.88 | %) | (30.37 | %) | (18.60 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,923 | $ | 43,530 | $ | 49,321 | $ | 30,528 | $ | 42,846 | $ | 71,386 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.59 | %) | (0.67 | %) | (0.31 | %) | 0.04 | % | 0.96 | % | 0.55 | % | ||||||||||||
Total expensesd | 1.29 | % | 1.27 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.25 | % | ||||||||||||
Portfolio turnover rate | 265 | % | 508 | % | 797 | % | 371 | % | 348 | % | 206 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.59 | $ | 26.39 | $ | 24.28 | $ | 34.75 | $ | 50.28 | $ | 64.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.27 | ) | (.12 | ) | (.10 | ) | .16 | .21 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.17 | ) | 4.64 | 2.34 | (9.57 | ) | (15.52 | ) | (11.84 | ) | ||||||||||||||
Total from investment operations | (.30 | ) | 4.37 | 2.22 | (9.67 | ) | (15.36 | ) | (11.63 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (.10 | ) | |||||||||||||
Net realized gains | — | — | — | — | — | (2.20 | ) | |||||||||||||||||
Total distributions | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (2.30 | ) | |||||||||||||
Net asset value, end of period | $ | 29.29 | $ | 29.59 | $ | 26.39 | $ | 24.28 | $ | 34.75 | $ | 50.28 | ||||||||||||
Total Returnc | (1.78 | %) | 16.59 | % | 9.38 | % | (28.13 | %) | (30.52 | %) | (18.80 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,538 | $ | 12,085 | $ | 3,711 | $ | 4,928 | $ | 5,235 | $ | 5,988 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.85 | %) | (0.82 | %) | (0.54 | %) | (0.29 | %) | 0.45 | % | 0.35 | % | ||||||||||||
Total expensesd | 1.54 | % | 1.52 | % | 1.50 | % | 1.50 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 265 | % | 508 | % | 797 | % | 371 | % | 348 | % | 206 | % |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.89 | $ | 23.38 | $ | 21.67 | $ | 31.34 | $ | 45.72 | $ | 59.02 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.46 | ) | (.26 | ) | (.29 | ) | (.07 | ) | (.23 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.15 | ) | 4.14 | 2.08 | (8.58 | ) | (14.14 | ) | (10.77 | ) | ||||||||||||||
Total from investment operations | (.36 | ) | 3.68 | 1.82 | (8.87 | ) | (14.21 | ) | (11.00 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (.10 | ) | |||||||||||||
Net realized gains | — | — | — | — | — | (2.20 | ) | |||||||||||||||||
Total distributions | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (2.30 | ) | |||||||||||||
Net asset value, end of period | $ | 25.53 | $ | 25.89 | $ | 23.38 | $ | 21.67 | $ | 31.34 | $ | 45.72 | ||||||||||||
Total Returnc | (2.15 | %) | 15.76 | % | 8.66 | % | (28.64 | %) | (31.05 | %) | (19.39 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,938 | $ | 7,607 | $ | 6,825 | $ | 5,590 | $ | 9,250 | $ | 18,608 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.62 | %) | (1.59 | %) | (1.34 | %) | (0.99 | %) | (0.22 | %) | (0.42 | %) | ||||||||||||
Total expensesd | 2.29 | % | 2.27 | % | 2.25 | % | 2.25 | % | 2.27 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | 265 | % | 508 | % | 797 | % | 371 | % | 348 | % | 206 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.73 | $ | 25.64 | $ | 23.64 | $ | 33.92 | $ | 49.20 | $ | 63.02 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.31 | ) | (.11 | ) | (.14 | ) | .12 | (.02 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.18 | ) | 4.57 | 2.22 | (9.34 | ) | (15.23 | ) | (11.50 | ) | ||||||||||||||
Total from investment operations | (.31 | ) | 4.26 | 2.11 | (9.48 | ) | (15.11 | ) | (11.52 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (.10 | ) | |||||||||||||
Net realized gains | — | — | — | — | — | (2.20 | ) | |||||||||||||||||
Total distributions | — | (1.17 | ) | (.11 | ) | (.80 | ) | (.17 | ) | (2.30 | ) | |||||||||||||
Net asset value, end of period | $ | 28.42 | $ | 28.73 | $ | 25.64 | $ | 23.64 | $ | 33.92 | $ | 49.20 | ||||||||||||
Total Returnc | (1.83 | %) | 16.65 | % | 9.17 | % | (28.24 | %) | (30.71 | %) | (18.99 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,170 | $ | 2,954 | $ | 2,556 | $ | 8,400 | $ | 4,009 | $ | 3,148 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.90 | %) | (0.94 | %) | (0.53 | %) | (0.45 | %) | 0.34 | % | (0.04 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.52 | % | 1.59 | % | 1.75 | % | 1.77 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 265 | % | 508 | % | 797 | % | 371 | % | 348 | % | 206 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Does not include expenses of the underlying funds in which the Fund invests | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_106.jpg)
“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 Tower Corp. — Class A | 2.2% |
Simon Property Group, Inc. | 2.0% |
Crown Castle International Corp. | 1.9% |
Equinix, Inc. | 1.8% |
Public Storage | 1.7% |
Prologis, Inc. | 1.6% |
Equity Residential | 1.4% |
Weyerhaeuser Co. | 1.4% |
Welltower, Inc. | 1.4% |
AvalonBay Communities, Inc. | 1.4% |
Top Ten Total | 16.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 1.97% | 2.62% | 7.00% | 2.70% |
A-Class Shares with sales charge‡ | (2.87%) | (2.25%) | 5.97% | 2.20% |
C-Class Shares | 1.59% | 1.84% | 6.20% | 1.90% |
C-Class Shares with CDSC§ | 0.59% | 0.89% | 6.20% | 1.90% |
H-Class Shares | 1.98% | 2.63% | 6.98% | 2.68% |
MSCI U.S. REIT Index | 2.59% | 0.54% | 9.58% | 5.79% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the 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. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
REAL ESTATE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
REITs - 96.1% | ||||||||
REITs-Diversified - 24.7 % | ||||||||
American Tower Corp. — Class A | 5,223 | $ | 713,879 | |||||
Crown Castle International Corp. | 5,962 | 596,080 | ||||||
Equinix, Inc. | 1,277 | 569,924 | ||||||
Weyerhaeuser Co. | 13,568 | 461,719 | ||||||
Digital Realty Trust, Inc. | 3,476 | 411,315 | ||||||
SBA Communications Corp.* | 2,725 | 392,536 | ||||||
Vornado Realty Trust | 4,726 | 363,335 | ||||||
Duke Realty Corp. | 10,023 | 288,863 | ||||||
Gaming and Leisure Properties, Inc. | 7,189 | 265,202 | ||||||
Lamar Advertising Co. — Class A | 3,787 | 259,523 | ||||||
WP Carey, Inc. | 3,670 | 247,321 | ||||||
Colony NorthStar, Inc. — Class A | 18,492 | 232,260 | ||||||
Forest City Realty Trust, Inc. — Class A | 9,092 | 231,937 | ||||||
CoreSite Realty Corp. | 1,926 | 215,519 | ||||||
New Residential Investment Corp. | 12,602 | 210,831 | ||||||
EPR Properties | 2,981 | 207,895 | ||||||
STORE Capital Corp. | 7,959 | 197,940 | ||||||
Outfront Media, Inc. | 7,707 | 194,062 | ||||||
Rayonier, Inc. | 6,458 | 186,572 | ||||||
PS Business Parks, Inc. | 1,353 | 180,626 | ||||||
Cousins Properties, Inc. | 19,175 | 179,095 | ||||||
GEO Group, Inc. | 6,450 | 173,505 | ||||||
CoreCivic, Inc. | 6,280 | 168,116 | ||||||
Retail Properties of America, Inc. — Class A | 11,859 | 155,709 | ||||||
STAG Industrial, Inc. | 5,498 | 151,030 | ||||||
Washington Real Estate Investment Trust | 4,602 | 150,762 | ||||||
Lexington Realty Trust | 14,130 | 144,409 | ||||||
Potlatch Corp. | 2,670 | 136,170 | ||||||
Uniti Group, Inc. | 9,237 | 135,414 | ||||||
American Assets Trust, Inc. | 3,241 | 128,895 | ||||||
Total REITs-Diversified | 7,950,444 | |||||||
REITs-Office Property - 11.7% | ||||||||
Boston Properties, Inc. | 3,365 | 413,491 | ||||||
SL Green Realty Corp. | 3,034 | 307,405 | ||||||
Alexandria Real Estate Equities, Inc. | 2,581 | 307,062 | ||||||
Kilroy Realty Corp. | 3,517 | 250,129 | ||||||
VEREIT, Inc. | 30,127 | 249,753 | ||||||
Douglas Emmett, Inc. | 6,071 | 239,319 | ||||||
Hudson Pacific Properties, Inc. | 6,599 | 221,264 | ||||||
Highwoods Properties, Inc. | 4,188 | 218,153 | ||||||
Equity Commonwealth* | 6,013 | 182,795 | ||||||
Paramount Group, Inc.1 | 11,016 | 176,256 | ||||||
Corporate Office Properties Trust | 5,242 | 172,095 | ||||||
Empire State Realty Trust, Inc. — Class A | 8,310 | 170,687 | ||||||
Brandywine Realty Trust | 9,358 | 163,671 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 7,971 | 160,695 | ||||||
Columbia Property Trust, Inc. | 7,102 | 154,611 | ||||||
Mack-Cali Realty Corp. | 5,915 | 140,245 | ||||||
Government Properties Income Trust | 6,794 | 127,523 | ||||||
New York REIT, Inc.* | 14,059 | 110,363 | ||||||
Total REITs-Office Property | 3,765,517 | |||||||
REITs-Apartments - 10.9 % | ||||||||
Equity Residential | 7,027 | 463,290 | ||||||
AvalonBay Communities, Inc. | 2,561 | 456,934 | ||||||
Essex Property Trust, Inc. | 1,549 | 393,492 | ||||||
Mid-America Apartment Communities, Inc. | 3,096 | 330,900 | ||||||
UDR, Inc. | 7,872 | 299,372 | ||||||
Camden Property Trust | 2,843 | 259,992 | ||||||
Invitation Homes, Inc.1 | 11,030 | 249,830 | ||||||
Apartment Investment & Management Co. — Class A | 5,555 | 243,642 | ||||||
American Homes 4 Rent — Class A | 10,499 | 227,933 | ||||||
American Campus Communities, Inc. | 4,999 | 220,706 | ||||||
Starwood Waypoint Homes | 5,748 | 209,055 | ||||||
Education Realty Trust, Inc. | 4,035 | 144,978 | ||||||
Total REITs-Apartments | 3,500,124 | |||||||
REITs-Health Care - 9.2% | ||||||||
Welltower, Inc. | 6,556 | 460,756 | ||||||
Ventas, Inc. | 6,768 | 440,800 | ||||||
HCP, Inc. | 11,574 | 322,104 | ||||||
Omega Healthcare Investors, Inc.1 | 7,250 | 231,348 | ||||||
Healthcare Trust of America, Inc. — Class A | 7,623 | 227,165 | ||||||
Medical Properties Trust, Inc. | 15,143 | 198,828 | ||||||
Senior Housing Properties Trust | 9,991 | 195,324 | ||||||
Healthcare Realty Trust, Inc. | 5,674 | 183,497 | ||||||
Sabra Health Care REIT, Inc. | 7,561 | 165,888 | ||||||
Physicians Realty Trust | 8,983 | 159,269 | ||||||
National Health Investors, Inc. | 2,059 | 159,140 | ||||||
Quality Care Properties, Inc.* | 7,603 | 117,847 | ||||||
CareTrust REIT, Inc. | 5,870 | 111,765 | ||||||
Total REITs-Health Care | 2,973,731 | |||||||
REITs-Hotels - 7.0% | ||||||||
Host Hotels & Resorts, Inc. | 17,496 | 323,501 | ||||||
MGM Growth Properties LLC — Class A1 | 8,165 | 246,665 | ||||||
Park Hotels & Resorts, Inc. | 8,160 | 224,890 | ||||||
Hospitality Properties Trust | 7,116 | 202,735 | ||||||
Apple Hospitality REIT, Inc. | 9,818 | 185,658 | ||||||
Sunstone Hotel Investors, Inc. | 10,836 | 174,135 | ||||||
Ryman Hospitality Properties, Inc. | 2,721 | 170,035 | ||||||
LaSalle Hotel Properties | 5,838 | 169,419 | ||||||
RLJ Lodging Trust | 6,920 | 152,241 | ||||||
Pebblebrook Hotel Trust1 | 4,105 | 148,355 | ||||||
DiamondRock Hospitality Co. | 12,418 | 135,977 | ||||||
Summit Hotel Properties, Inc. | 7,640 | 122,164 | ||||||
Total REITs-Hotels | 2,255,775 | |||||||
REITs-Shopping Centers - 6.3% | ||||||||
Regency Centers Corp. | 4,873 | 302,321 | ||||||
Federal Realty Investment Trust | 2,145 | 266,430 | ||||||
Kimco Realty Corp. | 13,113 | 256,359 | ||||||
Brixmor Property Group, Inc. | 11,270 | 211,876 | ||||||
Weingarten Realty Investors | 5,863 | 186,092 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
REAL ESTATE FUND |
Shares | Value | |||||||
DDR Corp. | 17,102 | $ | 156,654 | |||||
Urban Edge Properties | 6,212 | 149,833 | ||||||
Acadia Realty Trust | 4,958 | 141,898 | ||||||
Retail Opportunity Investments Corp. | 7,077 | 134,534 | ||||||
Kite Realty Group Trust | 5,992 | 121,338 | ||||||
Ramco-Gershenson Properties Trust | 7,069 | 91,968 | ||||||
Total REITs-Shopping Centers | 2,019,303 | |||||||
REITs-Regional Malls - 5.8% | ||||||||
Simon Property Group, Inc. | 4,083 | 657,403 | ||||||
GGP, Inc. | 17,550 | 364,514 | ||||||
Macerich Co. | 4,718 | 259,348 | ||||||
Taubman Centers, Inc. | 3,228 | 160,432 | ||||||
Tanger Factory Outlet Centers, Inc. | 5,815 | 142,002 | ||||||
Washington Prime Group, Inc. | 13,778 | 114,771 | ||||||
CBL & Associates Properties, Inc.1 | 12,741 | 106,897 | ||||||
Pennsylvania Real Estate Investment Trust | 7,630 | 80,039 | ||||||
Total REITs-Regional Malls | 1,885,406 | |||||||
REITs-Mortgage - 5.8 % | ||||||||
Annaly Capital Management, Inc. | 26,922 | 328,179 | ||||||
AGNC Investment Corp. | 12,181 | 264,084 | ||||||
Starwood Property Trust, Inc. | 10,210 | 221,761 | ||||||
Chimera Investment Corp. | 9,167 | 173,440 | ||||||
Two Harbors Investment Corp. | 16,820 | 169,546 | ||||||
MFA Financial, Inc. | 19,203 | 168,218 | ||||||
Blackstone Mortgage Trust, Inc. — Class A | 5,295 | 164,251 | ||||||
Invesco Mortgage Capital, Inc. | 7,878 | 134,950 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 7,252 | 131,334 | ||||||
CYS Investments, Inc. | 12,123 | 104,743 | ||||||
Total REITs-Mortgage | 1,860,506 | |||||||
REITs-Warehouse/Industries - 5.7 % | ||||||||
Prologis, Inc. | 8,080 | 512,756 | ||||||
Liberty Property Trust | 5,504 | 225,994 | ||||||
CyrusOne, Inc. | 3,674 | 216,509 | ||||||
DCT Industrial Trust, Inc. | 3,687 | 213,551 | ||||||
Gramercy Property Trust | 6,542 | 197,896 | ||||||
First Industrial Realty Trust, Inc. | 5,734 | 172,536 | ||||||
EastGroup Properties, Inc.1 | 1,829 | 161,171 | ||||||
QTS Realty Trust, Inc. — Class A | 2,861 | 149,802 | ||||||
Total REITs-Warehouse/Industries | 1,850,215 | |||||||
REITs-Storage - 4.7% | ||||||||
Public Storage | 2,589 | 554,019 | ||||||
Iron Mountain, Inc. | 7,748 | 301,397 | ||||||
Extra Space Storage, Inc. | 3,753 | 299,940 | ||||||
CubeSmart | 7,648 | 198,542 | ||||||
Life Storage, Inc. | 2,118 | 173,274 | ||||||
Total REITs-Storage | 1,527,172 | |||||||
REITs-Single Tenant - 2.8 % | ||||||||
Realty Income Corp. | 6,376 | 364,643 | ||||||
National Retail Properties, Inc. | 5,519 | 229,922 | ||||||
Spirit Realty Capital, Inc. | 20,415 | 174,957 | ||||||
Select Income REIT | 5,886 | 137,850 | ||||||
Total REITs-Single Tenant | 907,372 | |||||||
REITs-Manufactured Homes -1.5% | ||||||||
Equity LifeStyle Properties, Inc. | 2,991 | 254,474 | ||||||
Sun Communities, Inc. | 2,835 | 242,903 | ||||||
Total REITs-Manufactured Homes | 497,377 | |||||||
Total REITs | 30,992,942 | |||||||
Real Estate - 3.4% | ||||||||
Real Estate Management/Services - 2.7% | ||||||||
CBRE Group, Inc. — Class A* | 8,577 | 324,897 | ||||||
Jones Lang LaSalle, Inc. | 1,747 | 215,755 | ||||||
Realogy Holdings Corp. | 5,993 | 197,469 | ||||||
Kennedy-Wilson Holdings, Inc. | 7,347 | 136,287 | ||||||
Total Real Estate Management/Services | 874,408 | |||||||
Real Estate Operations/Development - 0.7% | ||||||||
Howard Hughes Corp.* | 1,842 | 217,227 | ||||||
Total Real Estate | 1,091,635 | |||||||
Total Common Stocks | ||||||||
(Cost $30,669,247) | 32,084,577 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 83,250 | 83,250 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 41,624 | 41,624 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 41,592 | 41,592 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $166,466) | 166,466 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 708,933 | 708,933 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $708,933) | 708,933 | |||||||
Total Investments - 102.2% | ||||||||
(Cost $31,544,646) | $ | 32,959,976 | ||||||
Other Assets & Liabilities, net - (2.2)% | (697,492 | ) | ||||||
Total Net Assets - 100.0% | $ | 32,262,484 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
REAL ESTATE FUND |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
REIT — Real Estate Investment Trust | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 32,084,577 | $ | — | $ | — | $ | 32,084,577 | ||||||||
Repurchase Agreements | — | 166,466 | — | 166,466 | ||||||||||||
Securities Lending Collateral | 708,933 | — | — | 708,933 | ||||||||||||
Total Assets | $ | 32,793,510 | $ | 166,466 | $ | — | $ | 32,959,976 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $689,315 of securities loaned (cost $31,378,180) | $ | 32,793,511 | ||
Repurchase agreements, at value (cost $166,466) | 166,466 | |||
Cash | 780 | |||
Receivables: | ||||
Securities sold | 396,282 | |||
Fund shares sold | 212,709 | |||
Dividends | 174,653 | |||
Securities lending income | 52 | |||
Interest | 9 | |||
Total assets | 33,744,462 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 708,933 | |||
Fund shares redeemed | 661,985 | |||
Securities purchased | 59,118 | |||
Management fees | 24,444 | |||
Distribution and service fees | 7,933 | |||
Transfer agent and administrative fees | 7,189 | |||
Portfolio accounting fees | 2,876 | |||
Miscellaneous | 9,500 | |||
Total liabilities | 1,481,978 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 32,262,484 | ||
Net assets consist of: | ||||
Paid in capital | $ | 37,220,644 | ||
Undistributed net investment income | 302,619 | |||
Accumulated net realized loss on investments | (6,676,109 | ) | ||
Net unrealized appreciation on investments | 1,415,330 | |||
Net assets | $ | 32,262,484 | ||
A-Class: | ||||
Net assets | $ | 6,928,300 | ||
Capital shares outstanding | 180,914 | |||
Net asset value per share | $ | 38.30 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 40.20 | ||
C-Class: | ||||
Net assets | $ | 1,198,545 | ||
Capital shares outstanding | 35,457 | |||
Net asset value per share | $ | 33.80 | ||
H-Class: | ||||
Net assets | $ | 24,135,639 | ||
Capital shares outstanding | 631,949 | |||
Net asset value per share | $ | 38.19 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $236) | $ | 533,131 | ||
Interest | 508 | |||
Income from securities lending, net | 353 | |||
Total investment income | 533,992 | |||
Expenses: | ||||
Management fees | 104,512 | |||
Distribution and service fees: | ||||
A-Class | 9,977 | |||
C-Class | 5,185 | |||
H-Class | 19,466 | |||
Transfer agent and administrative fees | 30,739 | |||
Portfolio accounting fees | 12,295 | |||
Custodian fees | 1,565 | |||
Trustees’ fees* | 486 | |||
Line of credit fees | 97 | |||
Miscellaneous | 21,410 | |||
Total expenses | 205,732 | |||
Net investment income | 328,260 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (263,562 | ) | ||
Net realized loss | (263,562 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 169,697 | |||
Net change in unrealized appreciation (depreciation) | 169,697 | |||
Net realized and unrealized loss | (93,865 | ) | ||
Net increase in net assets resulting from operations | $ | 234,395 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 328,260 | $ | 289,865 | ||||
Net realized gain (loss) on investments | (263,562 | ) | 9,807,974 | |||||
Net change in unrealized appreciation (depreciation) on investments | 169,697 | (5,277,557 | ) | |||||
Net increase in net assets resulting from operations | 234,395 | 4,820,282 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (210,089 | ) | |||||
C-Class | — | (95,358 | ) | |||||
H-Class | — | (528,698 | ) | |||||
Total distributions to shareholders | — | (834,145 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 24,774,022 | 13,401,514 | ||||||
C-Class | 1,378,757 | 6,904,190 | ||||||
H-Class | 160,649,830 | 489,324,519 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 203,192 | ||||||
C-Class | — | 93,788 | ||||||
H-Class | — | 527,824 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (19,828,363 | ) | (21,614,444 | ) | ||||
C-Class | (1,190,897 | ) | (7,926,493 | ) | ||||
H-Class | (142,838,707 | ) | (521,490,995 | ) | ||||
Net increase (decrease) from capital share transactions | 22,944,642 | (40,576,905 | ) | |||||
Net increase (decrease) in net assets | 23,179,037 | (36,590,768 | ) | |||||
Net assets: | ||||||||
Beginning of period | 9,083,447 | 45,674,215 | ||||||
End of period | $ | 32,262,484 | $ | 9,083,447 | ||||
Undistributed net investment income/Accumulated net investment loss at end of period | $ | 302,619 | $ | (25,641 | ) | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 652,853 | 349,580 | ||||||
C-Class | 40,847 | 198,544 | ||||||
H-Class | 4,234,711 | 12,883,150 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 5,852 | ||||||
C-Class | — | 3,040 | ||||||
H-Class | — | 15,242 | ||||||
Shares redeemed | ||||||||
A-Class | (518,868 | ) | (555,720 | ) | ||||
C-Class | (35,403 | ) | (229,590 | ) | ||||
H-Class | (3,771,583 | ) | (13,656,756 | ) | ||||
Net increase (decrease) in shares | 602,557 | (986,658 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 37.55 | $ | 37.31 | $ | 38.34 | $ | 33.47 | $ | 34.43 | $ | 30.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .40 | .34 | .65 | .42 | .65 | .58 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .35 | 2.15 | (1.24 | ) | 4.77 | (.14 | ) | 4.18 | ||||||||||||||||
Total from investment operations | .75 | 2.49 | (.59 | ) | 5.19 | .51 | 4.76 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Total distributions | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Net asset value, end of period | $ | 38.30 | $ | 37.55 | $ | 37.31 | $ | 38.34 | $ | 33.47 | $ | 34.43 | ||||||||||||
Total Returnc | 1.97 | % | 7.17 | % | (1.46 | %) | 15.58 | % | 1.86 | % | 16.03 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,928 | $ | 1,762 | $ | 9,223 | $ | 6,329 | $ | 4,124 | $ | 12,495 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 2.10 | % | 0.89 | % | 1.82 | % | 1.13 | % | 1.92 | % | 1.82 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.62 | % | 1.60 | % | 1.65 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 547 | % | 1,060 | % | 880 | % | 599 | % | 788 | % | 699 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 33.28 | $ | 33.56 | $ | 34.81 | $ | 30.64 | $ | 31.89 | $ | 28.29 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .11 | .19 | .22 | .23 | .29 | .27 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .41 | 1.78 | (1.03 | ) | 4.26 | (.07 | ) | 3.93 | ||||||||||||||||
Total from investment operations | .52 | 1.97 | (.81 | ) | 4.49 | .22 | 4.20 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Total distributions | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Net asset value, end of period | $ | 33.80 | $ | 33.28 | $ | 33.56 | $ | 34.81 | $ | 30.64 | $ | 31.89 | ||||||||||||
Total Returnc | 1.59 | % | 6.37 | % | (2.25 | %) | 14.73 | % | 1.09 | % | 15.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,199 | $ | 999 | $ | 1,947 | $ | 2,937 | $ | 2,497 | $ | 2,910 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.63 | % | 0.56 | % | 0.69 | % | 0.70 | % | 0.93 | % | 0.92 | % | ||||||||||||
Total expenses | 2.39 | % | 2.38 | % | 2.36 | % | 2.35 | % | 2.38 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 547 | % | 1,060 | % | 880 | % | 599 | % | 788 | % | 699 | % |
112 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 37.45 | $ | 37.21 | $ | 38.25 | $ | 33.40 | $ | 34.38 | $ | 30.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .59 | .27 | .71 | .48 | .52 | .46 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .15 | 2.22 | (1.31 | ) | 4.69 | (.03 | ) | 4.29 | ||||||||||||||||
Total from investment operations | .74 | 2.49 | (.60 | ) | 5.17 | .49 | 4.75 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Total distributions | — | (2.25 | ) | (.44 | ) | (.32 | ) | (1.47 | ) | (.60 | ) | |||||||||||||
Net asset value, end of period | $ | 38.19 | $ | 37.45 | $ | 37.21 | $ | 38.25 | $ | 33.40 | $ | 34.38 | ||||||||||||
Total Returnc | 1.98 | % | 7.18 | % | (1.49 | %) | 15.55 | % | 1.84 | % | 15.95 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,136 | $ | 6,322 | $ | 34,504 | $ | 37,625 | $ | 19,753 | $ | 10,273 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 3.10 | % | 0.70 | % | 1.97 | % | 1.32 | % | 1.52 | % | 1.45 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.62 | % | 1.60 | % | 1.64 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 547 | % | 1,060 | % | 880 | % | 599 | % | 788 | % | 699 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_114.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | May 9, 2001 |
H-Class | April 21, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Amazon.com, Inc. | 7.4% |
Wal-Mart Stores, Inc. | 5.5% |
Home Depot, Inc. | 4.9% |
Priceline Group, Inc. | 3.4% |
Walgreens Boots Alliance, Inc. | 3.2% |
CVS Health Corp. | 3.1% |
Netflix, Inc. | 3.1% |
Costco Wholesale Corp. | 3.0% |
Lowe's Companies, Inc. | 2.9% |
TJX Companies, Inc. | 2.5% |
Top Ten Total | 39.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 1.68% | 3.26% | 8.64% | 7.31% |
A-Class Shares | 1.57% | 3.03% | 8.41% | 7.08% |
A-Class Shares with sales charge‡ | (3.26%) | (1.86%) | 7.36% | 6.56% |
C-Class Shares | 1.23% | 2.26% | 7.57% | 6.26% |
C-Class Shares with CDSC§ | 0.23% | 1.26% | 7.57% | 6.26% |
H-Class Shares** | 1.57% | 3.07% | 8.26% | 6.89% |
S&P 500 Consumer Discretionary Index | 3.21% | 14.52% | 15.93% | 11.28% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
RETAILING FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.3% | ||||||||
Retail - 70.9% | ||||||||
Wal-Mart Stores, Inc. | 9,739 | $ | 761,006 | |||||
Home Depot, Inc. | 4,195 | 686,135 | ||||||
Walgreens Boots Alliance, Inc. | 5,723 | 441,930 | ||||||
CVS Health Corp. | 5,348 | 434,899 | ||||||
Costco Wholesale Corp. | 2,539 | 417,132 | ||||||
Lowe’s Companies, Inc. | 5,061 | 404,576 | ||||||
TJX Companies, Inc. | 4,657 | 343,361 | ||||||
Target Corp. | 4,645 | 274,101 | ||||||
Ross Stores, Inc. | 4,006 | 258,667 | ||||||
Dollar General Corp. | 3,020 | 244,771 | ||||||
Dollar Tree, Inc.* | 2,647 | 229,813 | ||||||
O’Reilly Automotive, Inc.* | 1,024 | 220,539 | ||||||
Best Buy Company, Inc. | 3,756 | 213,942 | ||||||
AutoZone, Inc.* | 341 | 202,933 | ||||||
Genuine Parts Co. | 2,043 | 195,413 | ||||||
CarMax, Inc.* | 2,503 | 189,752 | ||||||
Ulta Beauty, Inc.* | 825 | 186,500 | ||||||
Tiffany & Co. | 1,842 | 169,059 | ||||||
L Brands, Inc. | 4,052 | 168,604 | ||||||
Gap, Inc. | 5,561 | 164,216 | ||||||
Tractor Supply Co. | 2,225 | 140,820 | ||||||
Nordstrom, Inc. | 2,970 | 140,036 | ||||||
Kohl’s Corp. | 2,945 | 134,439 | ||||||
Advance Auto Parts, Inc. | 1,345 | 133,424 | ||||||
Burlington Stores, Inc.* | 1,374 | 131,162 | ||||||
Macy’s, Inc. | 5,819 | 126,971 | ||||||
AutoNation, Inc.*,1 | 2,268 | 107,639 | ||||||
Foot Locker, Inc. | 2,991 | 105,343 | ||||||
Williams-Sonoma, Inc.1 | 2,074 | 103,410 | ||||||
Penske Automotive Group, Inc. | 2,126 | 101,134 | ||||||
Signet Jewelers Ltd.1 | 1,511 | 100,557 | ||||||
Michaels Companies, Inc.* | 4,638 | 99,578 | ||||||
Five Below, Inc.* | 1,690 | 92,747 | ||||||
Lithia Motors, Inc. — Class A | 730 | 87,826 | ||||||
Dick’s Sporting Goods, Inc. | 3,172 | 85,676 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 1,811 | 84,030 | ||||||
Urban Outfitters, Inc.* | 3,497 | 83,578 | ||||||
Bed Bath & Beyond, Inc. | 3,510 | 82,380 | ||||||
American Eagle Outfitters, Inc. | 5,699 | 81,496 | ||||||
PriceSmart, Inc. | 912 | 81,396 | ||||||
Big Lots, Inc. | 1,518 | 81,319 | ||||||
Sally Beauty Holdings, Inc.* | 3,880 | 75,970 | ||||||
Office Depot, Inc. | 16,297 | 73,988 | ||||||
GameStop Corp. — Class A | 3,512 | 72,558 | ||||||
Children’s Place, Inc. | 609 | 71,953 | ||||||
HSN, Inc. | 1,814 | 70,837 | ||||||
DSW, Inc. — Class A | 3,189 | 68,500 | ||||||
Guess?, Inc.1 | 3,703 | 63,062 | ||||||
Dillard’s, Inc. — Class A1 | 1,113 | 62,406 | ||||||
Group 1 Automotive, Inc. | 826 | 59,852 | ||||||
Chico’s FAS, Inc. | 6,341 | 56,752 | ||||||
Asbury Automotive Group, Inc.* | 890 | 54,379 | ||||||
Lumber Liquidators Holdings, Inc.* | 1,386 | 54,026 | ||||||
J.C. Penney Company, Inc.* | 13,232 | 50,414 | ||||||
Conn’s, Inc.* | 1,758 | 49,488 | ||||||
RH*,1 | 692 | 48,661 | ||||||
Abercrombie & Fitch Co. — Class A | 3,273 | 47,262 | ||||||
Sears Holdings Corp.* | 6,320 | 46,136 | ||||||
Tailored Brands, Inc.1 | 2,830 | 40,865 | ||||||
Finish Line, Inc. — Class A1 | 3,277 | 39,422 | ||||||
Genesco, Inc.* | 1,474 | 39,208 | ||||||
PetMed Express, Inc. | 1,170 | 38,786 | ||||||
Express, Inc.* | 5,565 | 37,619 | ||||||
Tile Shop Holdings, Inc. | 2,912 | 36,982 | ||||||
GNC Holdings, Inc. — Class A1 | 4,034 | 35,661 | ||||||
Zumiez, Inc.* | 1,797 | 32,526 | ||||||
Francesca’s Holdings Corp.* | 3,808 | 28,027 | ||||||
Pier 1 Imports, Inc. | 6,669 | 27,943 | ||||||
Hibbett Sports, Inc.* | 1,881 | 26,804 | ||||||
Fred’s, Inc. — Class A1 | 3,506 | 22,579 | ||||||
Big 5 Sporting Goods Corp. | 2,701 | 20,663 | ||||||
Total Retail | 9,845,639 | |||||||
Internet - 22.8% | ||||||||
Amazon.com, Inc.* | 1,079 | 1,037,296 | ||||||
Priceline Group, Inc.* | 261 | 477,844 | ||||||
Netflix, Inc.* | 2,339 | 424,178 | ||||||
JD.com, Inc. ADR* | 6,507 | 248,567 | ||||||
Expedia, Inc. | 1,670 | 240,380 | ||||||
Ctrip.com International Ltd. ADR* | 3,768 | 198,724 | ||||||
TripAdvisor, Inc.*,1 | 2,832 | 114,781 | ||||||
Vipshop Holdings Ltd. ADR* | 12,552 | 110,332 | ||||||
Wayfair, Inc. — Class A* | 1,542 | 103,931 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 1,672 | 88,800 | ||||||
Etsy, Inc.* | 3,868 | 65,292 | ||||||
Shutterfly, Inc.* | 1,287 | 62,394 | ||||||
Total Internet | 3,172,519 | |||||||
Distribution & Wholesale - 2.4% | ||||||||
LKQ Corp.* | 4,615 | 166,094 | ||||||
Pool Corp. | 966 | 104,492 | ||||||
Core-Mark Holding Company, Inc. | 1,960 | 62,994 | ||||||
Total Distribution & Wholesale | 333,580 | |||||||
Commercial Services - 1.9% | ||||||||
Aaron’s, Inc. | 2,101 | 91,667 | ||||||
Monro, Inc. | 1,248 | 69,950 | ||||||
NutriSystem, Inc. | 1,242 | 69,428 | ||||||
Rent-A-Center, Inc. | 3,250 | 37,310 | ||||||
Total Commercial Services | 268,355 | |||||||
Oil & Gas - 0.6% | ||||||||
Murphy USA, Inc.* | 1,171 | 80,799 | ||||||
Home Furnishings - 0.4% | ||||||||
Select Comfort Corp.* | 1,942 | 60,299 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
RETAILING FUND |
Shares | Value | |||||||
Leisure Time - 0.3% | ||||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 3,712 | $ | 45,843 | |||||
Total Common Stocks | ||||||||
(Cost $10,771,427) | 13,807,034 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.1% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 75,526 | 75,526 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 37,763 | 37,763 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 37,734 | 37,734 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $151,023) | 151,023 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.3% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 729,872 | 729,872 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $729,872) | 729,872 | |||||||
Total Investments - 105.7% | ||||||||
(Cost $11,652,322) | $ | 14,687,929 | ||||||
Other Assets & Liabilities, net - (5.7)% | (790,275 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,897,654 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 13,807,034 | $ | — | $ | — | $ | 13,807,034 | ||||||||
Repurchase Agreements | — | 151,023 | — | 151,023 | ||||||||||||
Securities Lending Collateral | 729,872 | — | — | 729,872 | ||||||||||||
Total Assets | $ | 14,536,906 | $ | 151,023 | $ | — | $ | 14,687,929 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $703,612 of securities loaned (cost $11,501,299) | $ | 14,536,906 | ||
Repurchase agreements, at value (cost $151,023) | 151,023 | |||
Receivables: | ||||
Securities sold | 4,017,456 | |||
Fund shares sold | 180,049 | |||
Dividends | 9,296 | |||
Securities lending income | 1,322 | |||
Interest | 8 | |||
Total assets | 18,896,060 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 4,241,452 | |||
Return of securities loaned | 729,872 | |||
Management fees | 13,775 | |||
Transfer agent and administrative fees | 4,051 | |||
Distribution and service fees | 1,756 | |||
Portfolio accounting fees | 1,621 | |||
Miscellaneous | 5,879 | |||
Total liabilities | 4,998,406 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 13,897,654 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,578,828 | ||
Undistributed net investment income | 54,126 | |||
Accumulated net realized loss on investments | (2,770,907 | ) | ||
Net unrealized appreciation on investments | 3,035,607 | |||
Net assets | $ | 13,897,654 | ||
Investor Class: | ||||
Net assets | $ | 10,818,835 | ||
Capital shares outstanding | 397,372 | |||
Net asset value per share | $ | 27.23 | ||
A-Class: | ||||
Net assets | $ | 1,190,838 | ||
Capital shares outstanding | 46,077 | |||
Net asset value per share | $ | 25.84 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 27.13 | ||
C-Class: | ||||
Net assets | $ | 1,507,337 | ||
Capital shares outstanding | 65,249 | |||
Net asset value per share | $ | 23.10 | ||
H-Class: | ||||
Net assets | $ | 380,644 | ||
Capital shares outstanding | 15,095 | |||
Net asset value per share | $ | 25.22 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $842) | $ | 178,431 | ||
Interest | 385 | |||
Income from securities lending, net | 15,766 | |||
Total investment income | 194,582 | |||
Expenses: | ||||
Management fees | 78,048 | |||
Distribution and service fees: | ||||
A-Class | 1,508 | |||
C-Class | 8,028 | |||
H-Class | 3,149 | |||
Transfer agent and administrative fees | 22,955 | |||
Registration fees | 13,327 | |||
Portfolio accounting fees | 9,182 | |||
Custodian fees | 1,260 | |||
Trustees’ fees* | 867 | |||
Line of credit fees | 115 | |||
Miscellaneous | 2,017 | |||
Total expenses | 140,456 | |||
Net investment income | 54,126 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 406,319 | |||
Net realized gain | 406,319 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (383,368 | ) | ||
Net change in unrealized appreciation (depreciation) | (383,368 | ) | ||
Net realized and unrealized gain | 22,951 | |||
Net increase in net assets resulting from operations | $ | 77,077 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
RETAILING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 54,126 | $ | (15,106 | ) | |||
Net realized gain on investments | 406,319 | 4,196,154 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (383,368 | ) | (4,955,206 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 77,077 | (774,158 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 53,022,275 | 118,388,461 | ||||||
A-Class | 1,245,663 | 2,184,386 | ||||||
C-Class | 581,100 | 1,975,138 | ||||||
H-Class | 136,732,869 | 44,643,931 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (50,806,653 | ) | (119,709,090 | ) | ||||
A-Class | (1,285,960 | ) | (7,079,757 | ) | ||||
C-Class | (682,027 | ) | (2,867,907 | ) | ||||
H-Class | (136,712,776 | ) | (47,551,893 | ) | ||||
Net increase (decrease) from capital share transactions | 2,094,491 | (10,016,731 | ) | |||||
Net increase (decrease) in net assets | 2,171,568 | (10,790,889 | ) | |||||
Net assets: | ||||||||
Beginning of period | 11,726,086 | 22,516,975 | ||||||
End of period | $ | 13,897,654 | $ | 11,726,086 | ||||
Undistributed net investment income at end of period | $ | 54,126 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,973,011 | 4,468,767 | ||||||
A-Class | 48,636 | 86,254 | ||||||
C-Class | 25,060 | 87,780 | ||||||
H-Class | 5,625,475 | 1,886,660 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,892,991 | ) | (4,531,899 | ) | ||||
A-Class | (50,381 | ) | (284,154 | ) | ||||
C-Class | (29,949 | ) | (126,634 | ) | ||||
H-Class | (5,626,916 | ) | (2,006,027 | ) | ||||
Net increase (decrease) in shares | 71,946 | (419,253 | ) |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.78 | $ | 26.98 | $ | 28.13 | $ | 23.54 | $ | 19.62 | $ | 17.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .10 | .03 | (.03 | ) | .11 | — | c | .09 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .35 | (.23 | ) | (1.10 | ) | 4.48 | 3.92 | 2.08 | ||||||||||||||||
Total from investment operations | .45 | (.20 | ) | (1.13 | ) | 4.59 | 3.92 | 2.17 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 27.23 | $ | 26.78 | $ | 26.98 | $ | 28.13 | $ | 23.54 | $ | 19.62 | ||||||||||||
Total Returnd | 1.68 | % | (0.74 | %) | (4.01 | %) | 19.50 | % | 19.98 | % | 12.44 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,819 | $ | 8,497 | $ | 10,265 | $ | 46,283 | $ | 65,195 | $ | 14,671 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.78 | % | 0.10 | % | (0.10 | %) | 0.42 | % | 0.01 | % | 0.51 | % | ||||||||||||
Total expenses | 1.39 | % | 1.37 | % | 1.34 | % | 1.33 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 1,106 | % | 887 | % | 238 | % | 395 | % | 671 | % | 472 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.44 | $ | 25.69 | $ | 26.85 | $ | 22.48 | $ | 18.79 | $ | 16.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | (.08 | ) | (.09 | ) | .06 | (.09 | ) | .03 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .37 | (.17 | ) | (1.05 | ) | 4.31 | 3.78 | 1.99 | ||||||||||||||||
Total from investment operations | .40 | (.25 | ) | (1.14 | ) | 4.37 | 3.69 | 2.02 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 25.84 | $ | 25.44 | $ | 25.69 | $ | 26.85 | $ | 22.48 | $ | 18.79 | ||||||||||||
Total Returnd | 1.57 | % | (0.97 | %) | (4.24 | %) | 19.44 | % | 19.64 | % | 12.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,191 | $ | 1,217 | $ | 6,313 | $ | 19,502 | $ | 2,049 | $ | 1,500 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.21 | % | (0.34 | %) | (0.36 | %) | 0.25 | % | (0.42 | %) | 0.20 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.60 | % | 1.58 | % | 1.62 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 1,106 | % | 887 | % | 238 | % | 395 | % | 671 | % | 472 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.83 | $ | 23.23 | $ | 24.46 | $ | 20.64 | $ | 17.40 | $ | 15.62 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.23 | ) | (.24 | ) | (.19 | ) | (.23 | ) | (.06 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .33 | (.17 | ) | (.97 | ) | 4.01 | 3.47 | 1.84 | ||||||||||||||||
Total from investment operations | .27 | (.40 | ) | (1.21 | ) | 3.82 | 3.24 | 1.78 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 23.10 | $ | 22.83 | $ | 23.23 | $ | 24.46 | $ | 20.64 | $ | 17.40 | ||||||||||||
Total Returnd | 1.23 | % | (1.76 | %) | (4.94 | %) | 18.51 | % | 18.62 | % | 11.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,507 | $ | 1,601 | $ | 2,532 | $ | 3,455 | $ | 2,503 | $ | 1,831 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.50 | %) | (1.00 | %) | (1.04 | %) | (0.88 | %) | (1.16 | %) | (0.39 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.34 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 1,106 | % | 887 | % | 238 | % | 395 | % | 671 | % | 472 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.83 | $ | 25.07 | $ | 26.22 | $ | 22.00 | $ | 18.45 | $ | 16.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .06 | (— | )c | (.11 | ) | .01 | (.14 | ) | (.01 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .33 | (.24 | ) | (1.02 | ) | 4.21 | 3.69 | 2.01 | ||||||||||||||||
Total from investment operations | .39 | (.24 | ) | (1.13 | ) | 4.22 | 3.55 | 2.00 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.02 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 25.22 | $ | 24.83 | $ | 25.07 | $ | 26.22 | $ | 22.00 | $ | 18.45 | ||||||||||||
Total Returnd | 1.57 | % | (0.96 | %) | (4.31 | %) | 19.18 | % | 19.24 | % | 12.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 381 | $ | 411 | $ | 3,407 | $ | 8,871 | $ | 5,391 | $ | 2,454 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.48 | % | (— | )f | (0.44 | %) | 0.05 | % | (0.64 | %) | (0.05 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.71 | % | 1.83 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 1,106 | % | 887 | % | 238 | % | 395 | % | 671 | % | 472 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Net investment income (loss) is less than $0.01 per share. | |
d | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. | |
f | Less than (0.01)%. |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
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”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_121.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 14, 1998 |
A-Class | September 1, 2004 |
C-Class | April 18, 2001 |
H-Class | April 29, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 3.4% |
Alphabet, Inc. — Class A | 3.2% |
Microsoft Corp. | 2.8% |
Facebook, Inc. — Class A | 2.6% |
Visa, Inc. — Class A | 1.8% |
Intel Corp. | 1.6% |
Cisco Systems, Inc. | 1.6% |
Oracle Corp. | 1.6% |
Mastercard, Inc. — Class A | 1.4% |
International Business Machines Corp. | 1.4% |
Top Ten Total | 21.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 13.28% | 25.31% | 16.00% | 7.07% |
A-Class Shares | 13.12% | 24.99% | 15.71% | 6.76% |
A-Class Shares with sales charge‡ | 7.74% | 19.06% | 14.59% | 6.24% |
C-Class Shares | 12.72% | 24.08% | 14.85% | 6.00% |
C-Class Shares with CDSC§ | 11.72% | 23.08% | 14.85% | 6.00% |
H-Class Shares** | 13.12% | 25.02% | 15.57% | 6.58% |
S&P 500 Information Technology Index | 13.14% | 28.88% | 17.44% | 10.94% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
TECHNOLOGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.4% | ||||||||
Software – 23.4% | ||||||||
Microsoft Corp. | 36,295 | $ | 2,703,614 | |||||
Oracle Corp. | 30,948 | 1,496,335 | ||||||
Adobe Systems, Inc.* | 6,338 | 945,503 | ||||||
salesforce.com, Inc.* | 9,888 | 923,737 | ||||||
Activision Blizzard, Inc. | 12,102 | 780,700 | ||||||
VMware, Inc. — Class A*,1 | 6,668 | 728,079 | ||||||
Intuit, Inc. | 4,831 | 686,678 | ||||||
Electronic Arts, Inc.* | 5,761 | 680,144 | ||||||
NetEase, Inc. ADR | 2,570 | 677,992 | ||||||
Fidelity National Information Services, Inc. | 6,883 | 642,803 | ||||||
Fiserv, Inc.* | 4,756 | 613,334 | ||||||
Autodesk, Inc.* | 4,967 | 557,595 | ||||||
Paychex, Inc. | 8,984 | 538,681 | ||||||
Workday, Inc. — Class A* | 4,990 | 525,896 | ||||||
ServiceNow, Inc.* | 4,350 | 511,256 | ||||||
Red Hat, Inc.* | 4,589 | 508,737 | ||||||
Momo, Inc. ADR* | 15,280 | 478,875 | ||||||
First Data Corp. — Class A* | 26,125 | 471,295 | ||||||
CA, Inc. | 12,733 | 425,028 | ||||||
Synopsys, Inc.* | 4,900 | 394,597 | ||||||
Citrix Systems, Inc.* | 5,048 | 387,787 | ||||||
Cadence Design Systems, Inc.* | 9,695 | 382,662 | ||||||
Take-Two Interactive Software, Inc.* | 3,654 | 373,548 | ||||||
ANSYS, Inc.* | 2,910 | 357,144 | ||||||
CDK Global, Inc. | 5,639 | 355,765 | ||||||
Broadridge Financial Solutions, Inc. | 4,305 | 347,930 | ||||||
SS&C Technologies Holdings, Inc. | 8,500 | 341,275 | ||||||
Splunk, Inc.* | 5,070 | 336,800 | ||||||
Akamai Technologies, Inc.* | 6,792 | 330,906 | ||||||
Jack Henry & Associates, Inc. | 3,172 | 326,050 | ||||||
PTC, Inc.* | 5,253 | 295,639 | ||||||
Tyler Technologies, Inc.* | 1,693 | 295,124 | ||||||
Tableau Software, Inc. — Class A* | 3,650 | 273,349 | ||||||
Ultimate Software Group, Inc.* | 1,424 | 269,990 | ||||||
Paycom Software, Inc.* | 3,200 | 239,872 | ||||||
Aspen Technology, Inc.* | 3,800 | 238,678 | ||||||
Blackbaud, Inc. | 2,700 | 237,060 | ||||||
Nuance Communications, Inc.* | 14,870 | 233,756 | ||||||
j2 Global, Inc. | 2,963 | 218,906 | ||||||
RealPage, Inc.* | 5,300 | 211,470 | ||||||
CommVault Systems, Inc.* | 3,130 | 190,304 | ||||||
Manhattan Associates, Inc.* | 4,565 | 189,767 | ||||||
Verint Systems, Inc.* | 4,400 | 184,140 | ||||||
Twilio, Inc. — Class A*,1 | 6,010 | 179,399 | ||||||
Cornerstone OnDemand, Inc.* | 4,050 | 164,471 | ||||||
Synchronoss Technologies, Inc.* | 6,000 | 55,980 | ||||||
Total Software | 22,308,651 | |||||||
Semiconductors - 18.9% | ||||||||
Intel Corp. | 40,017 | 1,523,848 | ||||||
NVIDIA Corp. | 6,596 | 1,179,167 | ||||||
Broadcom Ltd. | 4,666 | 1,131,692 | ||||||
Texas Instruments, Inc. | 12,247 | 1,097,821 | ||||||
QUALCOMM, Inc. | 19,528 | 1,012,332 | ||||||
Applied Materials, Inc. | 16,490 | 858,964 | ||||||
Micron Technology, Inc.* | 19,155 | 753,366 | ||||||
Analog Devices, Inc. | 7,461 | 642,914 | ||||||
NXP Semiconductor N.V.* | 5,517 | 623,918 | ||||||
Lam Research Corp. | 3,366 | 622,845 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 15,751 | 591,450 | ||||||
ASML Holding N.V. — Class G | 3,200 | 547,840 | ||||||
Marvell Technology Group Ltd. | 30,189 | 540,383 | ||||||
Microchip Technology, Inc. | 5,616 | 504,204 | ||||||
Xilinx, Inc. | 6,743 | 477,607 | ||||||
Skyworks Solutions, Inc. | 4,667 | 475,567 | ||||||
KLA-Tencor Corp. | 4,448 | 471,488 | ||||||
Maxim Integrated Products, Inc. | 8,673 | 413,789 | ||||||
Advanced Micro Devices, Inc.* | 31,877 | 406,432 | ||||||
IPG Photonics Corp.* | 1,955 | 361,792 | ||||||
Qorvo, Inc.* | 4,698 | 332,055 | ||||||
ON Semiconductor Corp.* | 17,511 | 323,428 | ||||||
Teradyne, Inc. | 8,298 | 309,432 | ||||||
Microsemi Corp.* | 5,531 | 284,736 | ||||||
MKS Instruments, Inc. | 2,725 | 257,376 | ||||||
Cypress Semiconductor Corp. | 16,858 | 253,207 | ||||||
Cavium, Inc.* | 3,710 | 244,637 | ||||||
Monolithic Power Systems, Inc. | 2,220 | 236,541 | ||||||
Entegris, Inc.* | 7,720 | 222,722 | ||||||
Silicon Laboratories, Inc.* | 2,610 | 208,539 | ||||||
Cirrus Logic, Inc.* | 3,761 | 200,537 | ||||||
Integrated Device Technology, Inc.* | 7,458 | 198,234 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 4,400 | 196,284 | ||||||
Ambarella, Inc.*,1 | 3,435 | 168,349 | ||||||
Inphi Corp.* | 3,800 | 150,822 | ||||||
Synaptics, Inc.* | 3,352 | 131,331 | ||||||
Total Semiconductors | 17,955,649 | |||||||
Internet - 17.3% | ||||||||
Alphabet, Inc. — Class A* | 3,111 | 3,029,242 | ||||||
Facebook, Inc. — Class A* | 14,721 | 2,515,376 | ||||||
Alibaba Group Holding Ltd. ADR* | 7,473 | 1,290,661 | ||||||
Baidu, Inc. ADR* | 3,667 | 908,279 | ||||||
eBay, Inc.* | 18,146 | 697,895 | ||||||
Wix.com Ltd.* | 7,000 | 502,950 | ||||||
Shopify, Inc. — Class A* | 4,240 | 493,918 | ||||||
SINA Corp.* | 4,267 | 489,212 | ||||||
MercadoLibre, Inc. | 1,883 | 487,565 | ||||||
Symantec Corp. | 14,851 | 487,261 | ||||||
Weibo Corp. ADR*,1 | 4,924 | 487,181 | ||||||
Snap, Inc. — Class A*,1 | 32,600 | 474,004 | ||||||
Palo Alto Networks, Inc.* | 2,738 | 394,546 | ||||||
CDW Corp. | 5,788 | 382,008 | ||||||
Twitter, Inc.* | 22,033 | 371,697 | ||||||
VeriSign, Inc.* | 3,484 | 370,663 | ||||||
IAC/InterActiveCorp* | 2,950 | 346,861 | ||||||
F5 Networks, Inc.* | 2,738 | 330,093 | ||||||
Zillow Group, Inc. — Class C* | 7,718 | 310,341 | ||||||
GoDaddy, Inc. — Class A* | 6,960 | 302,830 |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
TECHNOLOGY FUND |
Shares | Value | |||||||
GrubHub, Inc.* | 4,510 | $ | 237,497 | |||||
Proofpoint, Inc.* | 2,620 | 228,516 | ||||||
Yelp, Inc. — Class A* | 4,972 | 215,288 | ||||||
Stamps.com, Inc.* | 1,058 | 214,404 | ||||||
FireEye, Inc.*,1 | 10,880 | 182,458 | ||||||
Trade Desk, Inc. — Class A* | 2,800 | 172,228 | ||||||
Cars.com, Inc.*,1 | 5,800 | 154,338 | ||||||
Pandora Media, Inc.*,1 | 19,734 | 151,952 | ||||||
Imperva, Inc.* | 3,300 | 143,220 | ||||||
TrueCar, Inc.*,1 | 8,560 | 135,162 | ||||||
Total Internet | 16,507,646 | |||||||
Computers - 14.5% | ||||||||
Apple, Inc. | 20,762 | 3,199,839 | ||||||
International Business Machines Corp. | 9,108 | 1,321,389 | ||||||
Cognizant Technology Solutions Corp. — Class A | 10,186 | 738,892 | ||||||
Hewlett Packard Enterprise Co. | 46,283 | 680,823 | ||||||
HP, Inc. | 33,655 | 671,754 | ||||||
Western Digital Corp. | 6,848 | 591,667 | ||||||
Accenture plc — Class A | 4,287 | 579,045 | ||||||
DXC Technology Co. | 6,556 | 563,029 | ||||||
Check Point Software Technologies Ltd.* | 4,780 | 545,016 | ||||||
Infosys Ltd. ADR | 34,755 | 507,075 | ||||||
NetApp, Inc. | 9,051 | 396,072 | ||||||
Amdocs Ltd. | 5,470 | 351,830 | ||||||
Seagate Technology plc | 10,593 | 351,370 | ||||||
Leidos Holdings, Inc. | 5,893 | 348,983 | ||||||
Fortinet, Inc.* | 7,643 | 273,925 | ||||||
CSRA, Inc. | 8,130 | 262,355 | ||||||
Brocade Communications Systems, Inc. | 21,164 | 252,910 | ||||||
NCR Corp.*,1 | 6,431 | 241,291 | ||||||
Teradata Corp.* | 7,045 | 238,051 | ||||||
MAXIMUS, Inc. | 3,628 | 234,006 | ||||||
Nutanix, Inc. — Class A* | 9,680 | 216,735 | ||||||
Conduent, Inc.* | 13,376 | 209,602 | ||||||
Lumentum Holdings, Inc.* | 3,722 | 202,291 | ||||||
NetScout Systems, Inc.* | 6,038 | 195,329 | ||||||
VeriFone Systems, Inc.* | 8,120 | 164,674 | ||||||
Electronics for Imaging, Inc.* | 3,600 | 153,648 | ||||||
Diebold Nixdorf, Inc.1 | 6,700 | 153,095 | ||||||
3D Systems Corp.*,1 | 9,994 | 133,820 | ||||||
Total Computers | 13,778,516 | |||||||
Commercial Services - 6.3% | ||||||||
PayPal Holdings, Inc.* | 15,627 | 1,000,596 | ||||||
Automatic Data Processing, Inc. | 7,269 | 794,647 | ||||||
FleetCor Technologies, Inc.* | 2,950 | 456,572 | ||||||
Global Payments, Inc. | 4,431 | 421,078 | ||||||
Vantiv, Inc. — Class A* | 5,920 | 417,182 | ||||||
Total System Services, Inc. | 5,993 | 392,542 | ||||||
Gartner, Inc.* | 3,075 | 382,561 | ||||||
Square, Inc. — Class A* | 12,330 | 355,227 | ||||||
CoStar Group, Inc.* | 1,300 | 348,725 | ||||||
Western Union Co. | 18,024 | 346,061 | ||||||
Booz Allen Hamilton Holding Corp. | 7,462 | 279,004 | ||||||
Sabre Corp. | 14,380 | 260,278 | ||||||
Euronet Worldwide, Inc.* | 2,660 | 252,141 | ||||||
WEX, Inc.* | 2,190 | 245,762 | ||||||
Total Commercial Services | 5,952,376 | |||||||
Electronics - 5.9% | ||||||||
Corning, Inc. | 19,986 | 597,980 | ||||||
Amphenol Corp. — Class A | 6,841 | 579,022 | ||||||
TE Connectivity Ltd. | 6,161 | 511,733 | ||||||
Trimble, Inc.* | 8,904 | 349,482 | ||||||
Flex Ltd.* | 19,997 | 331,350 | ||||||
Keysight Technologies, Inc.* | 7,600 | 316,616 | ||||||
Arrow Electronics, Inc.* | 3,791 | 304,834 | ||||||
National Instruments Corp. | 6,400 | 269,888 | ||||||
FLIR Systems, Inc. | 6,690 | 260,308 | ||||||
Coherent, Inc.* | 1,100 | 258,687 | ||||||
Avnet, Inc. | 6,359 | 249,909 | ||||||
Jabil, Inc. | 8,680 | 247,814 | ||||||
Tech Data Corp.* | 2,753 | 244,604 | ||||||
Itron, Inc.* | 2,700 | 209,115 | ||||||
Sanmina Corp.* | 5,140 | 190,951 | ||||||
II-VI, Inc.* | 4,459 | 183,488 | ||||||
TTM Technologies, Inc.* | 9,350 | 143,710 | ||||||
Applied Optoelectronics, Inc.*,1 | 2,203 | 142,468 | ||||||
Fitbit, Inc. — Class A* | 19,300 | 134,328 | ||||||
Total Electronics | 5,526,287 | |||||||
Telecommunications - 5.7% | ||||||||
Cisco Systems, Inc. | 44,791 | 1,506,321 | ||||||
Arista Networks, Inc.* | 2,388 | 452,789 | ||||||
Motorola Solutions, Inc. | 5,121 | 434,619 | ||||||
Juniper Networks, Inc. | 13,426 | 373,646 | ||||||
CommScope Holding Company, Inc.* | 8,670 | 287,931 | ||||||
LogMeIn, Inc. | 2,528 | 278,206 | ||||||
ARRIS International plc* | 9,468 | 269,743 | ||||||
Ubiquiti Networks, Inc.*,1 | 4,533 | 253,939 | ||||||
ViaSat, Inc.*,1 | 3,540 | 227,693 | ||||||
Ciena Corp.* | 9,786 | 214,998 | ||||||
Finisar Corp.* | 8,862 | 196,471 | ||||||
InterDigital, Inc. | 2,601 | 191,824 | ||||||
Acacia Communications, Inc.*,1 | 3,652 | 172,009 | ||||||
Viavi Solutions, Inc.* | 17,352 | 164,150 | ||||||
Gigamon, Inc.* | 3,700 | 155,955 | ||||||
NETGEAR, Inc.* | 3,032 | 144,323 | ||||||
Oclaro, Inc.*,1 | 15,611 | 134,723 | ||||||
Total Telecommunications | 5,459,340 | |||||||
Diversified Financial Services - 4.1% | ||||||||
Visa, Inc. — Class A | 16,591 | 1,746,038 | ||||||
Mastercard, Inc. — Class A | 9,632 | 1,360,038 | ||||||
Alliance Data Systems Corp. | 1,839 | 407,430 | ||||||
Ellie Mae, Inc.* | 2,280 | 187,256 | ||||||
Blackhawk Network Holdings, Inc.* | 4,000 | 175,200 | ||||||
Total Diversified Financial Services | 3,875,962 | |||||||
Electrical Components & Equipment - 0.7% | ||||||||
Littelfuse, Inc. | 1,287 | 252,097 | ||||||
Universal Display Corp. | 1,950 | 251,258 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
TECHNOLOGY FUND |
Shares | Value | |||||||
Advanced Energy Industries, Inc.* | 2,578 | $ | 208,199 | |||||
Total Electrical Components & Equipment | 711,554 | |||||||
Machinery-Diversified - 0.6% | ||||||||
Cognex Corp. | 3,090 | 340,765 | ||||||
Zebra Technologies Corp. — Class A* | 2,544 | 276,228 | ||||||
Total Machinery-Diversified | 616,993 | |||||||
Auto Parts & Equipment - 0.5% | ||||||||
Mobileye N.V.* | 8,080 | 502,576 | ||||||
Aerospace & Defense - 0.5% | ||||||||
Harris Corp. | 3,576 | 470,888 | ||||||
Office & Business Equipment - 0.3% | ||||||||
Xerox Corp. | 9,951 | 331,269 | ||||||
Energy-Alternate Sources - 0.3% | ||||||||
First Solar, Inc.* | 5,318 | 243,990 | ||||||
Building Materials - 0.2% | ||||||||
Cree, Inc.* | 7,142 | 201,333 | ||||||
Media - 0.2% | ||||||||
TiVo Corp. | 9,056 | 179,762 | ||||||
Total Common Stocks | ||||||||
(Cost $75,733,463) | 94,622,792 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 278,960 | 278,960 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 139,481 | 139,481 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 139,374 | 139,374 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $557,815) | 557,815 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 2,560,633 | 2,560,633 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $2,560,633) | 2,560,633 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $78,851,911) | $ | 97,741,240 | ||||||
Other Assets & Liabilities, net - (2.7)% | (2,579,798 | ) | ||||||
Total Net Assets - 100.0% | $ | 95,161,442 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
TECHNOLOGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 94,622,792 | $ | — | $ | — | $ | 94,622,792 | ||||||||
Repurchase Agreements | — | 557,815 | — | 557,815 | ||||||||||||
Securities Lending Collateral | 2,560,633 | — | — | 2,560,633 | ||||||||||||
Total Assets | $ | 97,183,425 | $ | 557,815 | $ | — | $ | 97,741,240 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
TECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $2,512,291 of securities loaned (cost $78,294,096) | $ | 97,183,426 | ||
Repurchase agreements, at value (cost $557,815) | 557,815 | |||
Cash | 4,926 | |||
Receivables: | ||||
Fund shares sold | 610,977 | |||
Dividends | 38,008 | |||
Securities lending income | 4,921 | |||
Foreign taxes reclaim | 930 | |||
Interest | 31 | |||
Total assets | 98,401,034 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 2,560,633 | |||
Securities purchased | 505,375 | |||
Management fees | 64,806 | |||
Fund shares redeemed | 35,256 | |||
Transfer agent and administrative fees | 19,060 | |||
Distribution and service fees | 12,493 | |||
Portfolio accounting fees | 7,624 | |||
Miscellaneous | 34,345 | |||
Total liabilities | 3,239,592 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 95,161,442 | ||
Net assets consist of: | ||||
Paid in capital | $ | 74,801,134 | ||
Accumulated net investment loss | (271,403 | ) | ||
Accumulated net realized gain on investments | 1,742,381 | |||
Net unrealized appreciation on investments | 18,889,330 | |||
Net assets | $ | 95,161,442 | ||
Investor Class: | ||||
Net assets | $ | 47,546,368 | ||
Capital shares outstanding | 556,322 | |||
Net asset value per share | $ | 85.47 | ||
A-Class: | ||||
Net assets | $ | 6,401,948 | ||
Capital shares outstanding | 79,998 | |||
Net asset value per share | $ | 80.03 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 84.02 | ||
C-Class: | ||||
Net assets | $ | 4,679,610 | ||
Capital shares outstanding | 64,234 | |||
Net asset value per share | $ | 72.85 | ||
H-Class: | ||||
Net assets | $ | 36,533,516 | ||
Capital shares outstanding | 466,202 | |||
Net asset value per share | $ | 78.36 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $155) | $ | 533,462 | ||
Interest | 2,203 | |||
Income from securities lending, net | 32,753 | |||
Total investment income | 568,418 | |||
Expenses: | ||||
Management fees | 404,944 | |||
Distribution and service fees: | ||||
A-Class | 6,526 | |||
C-Class | 19,709 | |||
H-Class | 42,689 | |||
Transfer agent and administrative fees | 119,101 | |||
Portfolio accounting fees | 47,640 | |||
Registration fees | 44,820 | |||
Custodian fees | 6,238 | |||
Trustees’ fees* | 3,879 | |||
Line of credit fees | 305 | |||
Miscellaneous | 35,840 | |||
Total expenses | 731,691 | |||
Net investment loss | (163,273 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,014,566 | |||
Net realized gain | 5,014,566 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 5,872,466 | |||
Net change in unrealized appreciation (depreciation) | 5,872,466 | |||
Net realized and unrealized gain | 10,887,032 | |||
Net increase in net assets resulting from operations | $ | 10,723,759 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (163,273 | ) | $ | (132,224 | ) | ||
Net realized gain on investments | 5,014,566 | 6,670,155 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 5,872,466 | 4,144,640 | ||||||
Net increase in net assets resulting from operations | 10,723,759 | 10,682,571 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 82,750,825 | 164,308,988 | ||||||
A-Class | 10,895,784 | 15,140,469 | ||||||
C-Class | 3,017,327 | 4,835,439 | ||||||
H-Class | 67,020,346 | 59,582,617 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (95,783,219 | ) | (138,630,626 | ) | ||||
A-Class | (8,453,263 | ) | (20,841,622 | ) | ||||
C-Class | (2,000,624 | ) | (4,264,033 | ) | ||||
H-Class | (56,026,307 | ) | (42,353,661 | ) | ||||
Net increase from capital share transactions | 1,420,869 | 37,777,571 | ||||||
Net increase in net assets | 12,144,628 | 48,460,142 | ||||||
Net assets: | ||||||||
Beginning of period | 83,016,814 | 34,556,672 | ||||||
End of period | $ | 95,161,442 | $ | 83,016,814 | ||||
Accumulated net investment loss at end of period | $ | (271,403 | ) | $ | (108,130 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,022,762 | 2,453,828 | ||||||
A-Class | 144,531 | 240,039 | ||||||
C-Class | 43,999 | 83,450 | ||||||
H-Class | 915,654 | 989,015 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,195,625 | ) | (2,090,864 | ) | ||||
A-Class | (111,094 | ) | (339,864 | ) | ||||
C-Class | (29,310 | ) | (76,557 | ) | ||||
H-Class | (759,888 | ) | (711,407 | ) | ||||
Net increase in shares | 31,029 | 547,641 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 75.45 | $ | 60.53 | $ | 61.23 | $ | 55.90 | $ | 43.58 | $ | 42.92 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.09 | ) | (.06 | ) | (.10 | ) | (.09 | ) | .03 | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.10 | 15.01 | (.64 | ) | 5.43 | 12.41 | .63 | |||||||||||||||||
Total from investment operations | 10.02 | 14.92 | (.70 | ) | 5.33 | 12.32 | .66 | |||||||||||||||||
Net asset value, end of period | $ | 85.47 | $ | 75.45 | $ | 60.53 | $ | 61.23 | $ | 55.90 | $ | 43.58 | ||||||||||||
Total Returnc | 13.28 | % | 24.63 | % | (1.14 | %) | 9.53 | % | 28.24 | % | 1.54 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 47,546 | $ | 55,016 | $ | 22,167 | $ | 20,458 | $ | 32,858 | $ | 8,325 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.20 | %) | (0.13 | %) | (0.10 | %) | (0.17 | %) | (0.18 | %) | 0.10 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.35 | % | 1.35 | % | 1.37 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 140 | % | 320 | % | 388 | % | 280 | % | 321 | % | 324 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.74 | $ | 56.88 | $ | 57.69 | $ | 52.79 | $ | 41.30 | $ | 40.76 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.25 | ) | (.14 | ) | (.21 | ) | (.23 | ) | (.09 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.43 | 14.11 | (.67 | ) | 5.11 | 11.72 | .63 | |||||||||||||||||
Total from investment operations | 9.29 | 13.86 | (.81 | ) | 4.90 | 11.49 | .54 | |||||||||||||||||
Net asset value, end of period | $ | 80.03 | $ | 70.74 | $ | 56.88 | $ | 57.69 | $ | 52.79 | $ | 41.30 | ||||||||||||
Total Returnc | 13.12 | % | 24.37 | % | (1.40 | %) | 9.28 | % | 27.79 | % | 1.32 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,402 | $ | 3,294 | $ | 8,327 | $ | 9,960 | $ | 5,873 | $ | 1,998 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.38 | %) | (0.40 | %) | (0.25 | %) | (0.39 | %) | (0.47 | %) | (0.27 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.60 | % | 1.59 | % | 1.62 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 140 | % | 320 | % | 388 | % | 280 | % | 321 | % | 324 | % |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.64 | $ | 52.37 | $ | 53.50 | $ | 49.30 | $ | 38.84 | $ | 38.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.43 | ) | (.64 | ) | (.59 | ) | (.58 | ) | (.50 | ) | (.33 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.64 | 12.91 | (.54 | ) | 4.78 | 10.96 | .52 | |||||||||||||||||
Total from investment operations | 8.21 | 12.27 | (1.13 | ) | 4.20 | 10.46 | .19 | |||||||||||||||||
Net asset value, end of period | $ | 72.85 | $ | 64.64 | $ | 52.37 | $ | 53.50 | $ | 49.30 | $ | 38.84 | ||||||||||||
Total Returnc | 12.72 | % | 23.41 | % | (2.11 | %) | 8.52 | % | 26.90 | % | 0.54 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,680 | $ | 3,203 | $ | 2,234 | $ | 2,910 | $ | 2,827 | $ | 1,715 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.24 | %) | (1.12 | %) | (1.12 | %) | (1.13 | %) | (1.13 | %) | (0.90 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 140 | % | 320 | % | 388 | % | 280 | % | 321 | % | 324 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014d,e | Year Ended March 28, 2013d,e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 69.27 | $ | 55.72 | $ | 56.54 | $ | 51.87 | $ | 40.65 | $ | 40.22 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.30 | ) | (.23 | ) | (.37 | ) | (.27 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.26 | 13.85 | (.59 | ) | 5.04 | 11.49 | .55 | |||||||||||||||||
Total from investment operations | 9.09 | 13.55 | (.82 | ) | 4.67 | 11.22 | .43 | |||||||||||||||||
Net asset value, end of period | $ | 78.36 | $ | 69.27 | $ | 55.72 | $ | 56.54 | $ | 51.87 | $ | 40.65 | ||||||||||||
Total Returnc | 13.12 | % | 24.32 | % | (1.45 | %) | 9.00 | % | 27.60 | % | 1.04 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 36,534 | $ | 21,504 | $ | 1,829 | $ | 2,831 | $ | 6,915 | $ | 1,286 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.45 | %) | (0.46 | %) | (0.42 | %) | (0.69 | %) | (0.54 | %) | (0.33 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.68 | % | 1.85 | % | 1.87 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 140 | % | 320 | % | 388 | % | 280 | % | 321 | % | 324 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Reverse share split — Per share amounts for the periods presented through February 7, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_130.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 1, 1998 |
A-Class | September 1, 2004 |
C-Class | April 18, 2001 |
H-Class | April 1, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
AT&T, Inc. | 10.5% |
Verizon Communications, Inc. | 9.0% |
Cisco Systems, Inc. | 8.0% |
QUALCOMM, Inc. | 5.4% |
T-Mobile US, Inc. | 4.5% |
Crown Castle International Corp. | 3.8% |
Sprint Corp. | 3.5% |
Level 3 Communications, Inc. | 2.7% |
SBA Communications Corp. | 2.5% |
Harris Corp. | 2.5% |
Top Ten Total | 52.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (0.33%) | 3.66% | 6.07% | (1.13%) |
A-Class Shares | (0.45%) | 3.41% | 5.78% | (1.37%) |
A-Class Shares with sales charge‡ | (5.17%) | (1.50%) | 4.75% | (1.85%) |
C-Class Shares | (0.82%) | 2.63% | 5.12% | (2.02%) |
C-Class Shares with CDSC§ | (1.81%) | 1.63% | 5.12% | (2.02%) |
H-Class Shares** | (0.44%) | 3.46% | 5.62% | (1.56%) |
S&P 500 Telecommunication Services Index | (0.75%) | (0.14%) | 5.60% | 4.15% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
TELECOMMUNICATIONS FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Telecommunications - 75.7% | ||||||||
AT&T, Inc. | 7,532 | $ | 295,029 | |||||
Verizon Communications, Inc. | 5,352 | 264,871 | ||||||
Cisco Systems, Inc. | 6,973 | 234,503 | ||||||
T-Mobile US, Inc.* | 2,123 | 130,904 | ||||||
Sprint Corp.* | 13,384 | 104,128 | ||||||
Level 3 Communications, Inc.* | 1,501 | 79,988 | ||||||
Arista Networks, Inc.* | 363 | 68,828 | ||||||
Motorola Solutions, Inc. | 795 | 67,472 | ||||||
CenturyLink, Inc.1 | 3,197 | 60,423 | ||||||
Juniper Networks, Inc. | 2,105 | 58,582 | ||||||
Vodafone Group plc ADR | 1,987 | 56,550 | ||||||
Zayo Group Holdings, Inc.* | 1,490 | 51,286 | ||||||
CommScope Holding Company, Inc.* | 1,359 | 45,132 | ||||||
EchoStar Corp. — Class A* | 748 | 42,808 | ||||||
ARRIS International plc* | 1,483 | 42,251 | ||||||
America Movil SAB de CV — Class L ADR | 2,366 | 41,997 | ||||||
BCE, Inc. | 856 | 40,086 | ||||||
Ubiquiti Networks, Inc.*,1 | 708 | 39,662 | ||||||
China Mobile Ltd. ADR | 762 | 38,534 | ||||||
ViaSat, Inc.*,1 | 555 | 35,698 | ||||||
Telephone & Data Systems, Inc. | 1,225 | 34,165 | ||||||
Ciena Corp.* | 1,527 | 33,548 | ||||||
Finisar Corp.* | 1,391 | 30,838 | ||||||
InterDigital, Inc. | 400 | 29,500 | ||||||
Straight Path Communications, Inc. — Class B* | 151 | 27,281 | ||||||
Acacia Communications, Inc.*,1 | 557 | 26,235 | ||||||
Shenandoah Telecommunications Co. | 701 | 26,077 | ||||||
Viavi Solutions, Inc.* | 2,714 | 25,674 | ||||||
Vonage Holdings Corp.* | 3,085 | 25,112 | ||||||
Consolidated Communications Holdings, Inc. | 1,179 | 22,495 | ||||||
NETGEAR, Inc.* | 470 | 22,372 | ||||||
Infinera Corp.* | 2,451 | 21,740 | ||||||
Oclaro, Inc.* | 2,438 | 21,040 | ||||||
Extreme Networks, Inc.* | 1,723 | 20,486 | ||||||
ADTRAN, Inc. | 830 | 19,920 | ||||||
Iridium Communications, Inc.*,1 | 1,831 | 18,859 | ||||||
Frontier Communications Corp.1 | 1,401 | 16,518 | ||||||
Total Telecommunications | 2,220,592 | |||||||
REITs - 6.4% | ||||||||
Crown Castle International Corp. | 1,126 | 112,577 | ||||||
SBA Communications Corp.* | 514 | 74,042 | ||||||
Total REITs | 186,619 | |||||||
Internet - 5.4% | ||||||||
Palo Alto Networks, Inc.* | 430 | 61,963 | ||||||
F5 Networks, Inc.* | 419 | 50,515 | ||||||
Cogent Communications Holdings, Inc. | 556 | 27,188 | ||||||
8x8, Inc.* | 1,443 | 19,481 | ||||||
Total Internet | 159,147 | |||||||
Semiconductors - 5.4% | ||||||||
QUALCOMM, Inc. | 3,047 | 157,957 | ||||||
Computers - 3.4% | ||||||||
Brocade Communications Systems, Inc. | 3,304 | 39,482 | ||||||
Lumentum Holdings, Inc.* | 577 | 31,360 | ||||||
NetScout Systems, Inc.* | 939 | 30,377 | ||||||
Total Computers | 101,219 | |||||||
Aerospace & Defense - 2.4% | ||||||||
Harris Corp. | 552 | 72,688 | ||||||
Electronics - 0.8% | ||||||||
Applied Optoelectronics, Inc.*,1 | 341 | 22,052 | ||||||
Total Common Stocks | ||||||||
(Cost $2,314,344) | 2,920,274 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 9,880 | 9,880 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 4,940 | 4,940 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 4,936 | 4,936 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $19,756) | 19,756 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 147,134 | 147,134 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $147,134) | 147,134 | |||||||
Total Investments - 105.2% | ||||||||
(Cost $2,481,234) | $ | 3,087,164 | ||||||
Other Assets & Liabilities, net - (5.2)% | (152,548 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,934,616 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
TELECOMMUNICATIONS FUND |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 2,920,274 | $ | — | $ | — | $ | 2,920,274 | ||||||||
Repurchase Agreements | — | 19,756 | — | 19,756 | ||||||||||||
Securities Lending Collateral | 147,134 | — | — | 147,134 | ||||||||||||
Total Assets | $ | 3,067,408 | $ | 19,756 | $ | — | $ | 3,087,164 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $142,540 of securities loaned (cost $2,461,478) | $ | 3,067,408 | ||
Repurchase agreements, at value (cost $19,756) | 19,756 | |||
Receivables: | ||||
Fund shares sold | 18,357 | |||
Dividends | 2,679 | |||
Investment adviser | 1,237 | |||
Securities lending income | 512 | |||
Foreign taxes reclaim | 344 | |||
Interest | 1 | |||
Total assets | 3,110,294 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 147,134 | |||
Securities purchased | 26,298 | |||
Management fees | 2,669 | |||
Transfer agent and administrative fees | 785 | |||
Fund shares redeemed | 651 | |||
Distribution and service fees | 555 | |||
Portfolio accounting fees | 314 | |||
Miscellaneous | (2,728 | ) | ||
Total liabilities | 175,678 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 2,934,616 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,053,160 | ||
Undistributed net investment income | 159,110 | |||
Accumulated net realized gain on investments | 116,416 | |||
Net unrealized appreciation on investments | 605,930 | |||
Net assets | $ | 2,934,616 | ||
Investor Class: | ||||
Net assets | $ | 1,867,200 | ||
Capital shares outstanding | 39,069 | |||
Net asset value per share | $ | 47.79 | ||
A-Class: | ||||
Net assets | $ | 587,252 | ||
Capital shares outstanding | 13,298 | |||
Net asset value per share | $ | 44.16 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 46.36 | ||
C-Class: | ||||
Net assets | $ | 293,301 | ||
Capital shares outstanding | 7,369 | |||
Net asset value per share | $ | 39.80 | ||
H-Class: | ||||
Net assets | $ | 186,863 | ||
Capital shares outstanding | 4,344 | |||
Net asset value per share | $ | 43.02 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $(921)) | $ | 57,757 | ||
Interest | 50 | |||
Income from securities lending, net | 3,382 | |||
Total investment income | 61,189 | |||
Expenses: | ||||
Management fees | 19,252 | |||
Distribution and service fees: | ||||
A-Class | 1,051 | |||
C-Class | 1,891 | |||
H-Class | 859 | |||
Transfer agent and administrative fees | 5,662 | |||
Registration fees | 4,177 | |||
Portfolio accounting fees | 2,265 | |||
Professional fees | 1,964 | |||
Trustees’ fees* | 742 | |||
Custodian fees | 360 | |||
Line of credit fees | 110 | |||
Miscellaneous | (2,931 | ) | ||
Total expenses | 35,402 | |||
Net investment income | 25,787 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,126,950 | |||
Net realized gain | 1,126,950 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,184,959 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,184,959 | ) | ||
Net realized and unrealized loss | (58,009 | ) | ||
Net decrease in net assets resulting from operations | $ | (32,222 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
TELECOMMUNICATIONS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 25,787 | $ | 295,233 | ||||
Net realized gain on investments | 1,126,950 | 3,661,119 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,184,959 | ) | (781,475 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (32,222 | ) | 3,174,877 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (148,366 | ) | |||||
A-Class | — | (18,046 | ) | |||||
C-Class | — | (15,410 | ) | |||||
H-Class | — | (59,833 | ) | |||||
Total distributions to shareholders | — | (241,655 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 11,149,787 | 102,887,896 | ||||||
A-Class | 940,638 | 52,341,342 | ||||||
C-Class | 679,769 | 3,895,441 | ||||||
H-Class | 25,505,399 | 55,785,784 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 147,778 | ||||||
A-Class | — | 17,422 | ||||||
C-Class | — | 15,386 | ||||||
H-Class | — | 59,833 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (21,701,178 | ) | (109,831,997 | ) | ||||
A-Class | (1,425,374 | ) | (54,681,307 | ) | ||||
C-Class | (787,509 | ) | (3,803,624 | ) | ||||
H-Class | (26,633,927 | ) | (65,870,500 | ) | ||||
Net decrease from capital share transactions | (12,272,395 | ) | (19,036,546 | ) | ||||
Net decrease in net assets | (12,304,617 | ) | (16,103,324 | ) | ||||
Net assets: | ||||||||
Beginning of period | 15,239,233 | 31,342,557 | ||||||
End of period | $ | 2,934,616 | $ | 15,239,233 | ||||
Undistributed net investment income at end of period | $ | 159,110 | $ | 133,323 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 234,522 | 2,237,261 | ||||||
A-Class | 21,365 | 1,269,793 | ||||||
C-Class | 17,106 | 102,253 | ||||||
H-Class | 607,559 | 1,323,661 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 3,252 | ||||||
A-Class | — | 414 | ||||||
C-Class | — | 403 | ||||||
H-Class | — | 1,460 | ||||||
Shares redeemed | ||||||||
Investor Class | (456,960 | ) | (2,426,423 | ) | ||||
A-Class | (32,420 | ) | (1,284,565 | ) | ||||
C-Class | (19,849 | ) | (99,349 | ) | ||||
H-Class | (631,290 | ) | (1,563,493 | ) | ||||
Net decrease in shares | (259,967 | ) | (435,333 | ) |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 47.95 | $ | 42.91 | $ | 45.56 | $ | 45.51 | $ | 40.76 | $ | 41.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .35 | .49 | .44 | .72 | 1.06 | .81 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.51 | ) | 5.55 | (1.64 | ) | .63 | 4.26 | (.67 | ) | |||||||||||||||
Total from investment operations | (.16 | ) | 6.04 | (1.20 | ) | 1.35 | 5.32 | .14 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Total distributions | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Net asset value, end of period | $ | 47.79 | $ | 47.95 | $ | 42.91 | $ | 45.56 | $ | 45.51 | $ | 40.76 | ||||||||||||
Total Returnc | (0.33 | %) | 14.21 | % | (2.49 | %) | 2.93 | % | 13.12 | % | 0.50 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,867 | $ | 12,539 | $ | 19,198 | $ | 1,316 | $ | 2,497 | $ | 2,970 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.46 | % | 1.09 | % | 0.97 | % | 1.55 | % | 2.47 | % | 2.06 | % | ||||||||||||
Total expenses | 1.40 | % | 1.38 | % | 1.34 | % | 1.36 | % | 1.38 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 651 | % | 605 | % | 660 | % | 804 | % | 1,271 | % | 1,550 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 44.39 | $ | 39.88 | $ | 42.63 | $ | 42.74 | $ | 38.44 | $ | 39.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .32 | .58 | .58 | .72 | .72 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.44 | ) | 5.19 | (1.88 | ) | .61 | 4.15 | (.65 | ) | |||||||||||||||
Total from investment operations | (.23 | ) | 5.51 | (1.30 | ) | 1.19 | 4.87 | .07 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Total distributions | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Net asset value, end of period | $ | 44.16 | $ | 44.39 | $ | 39.88 | $ | 42.63 | $ | 42.74 | $ | 38.44 | ||||||||||||
Total Returnc | (0.45 | %) | 13.88 | % | (2.90 | %) | 2.75 | % | 12.80 | % | 0.30 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 587 | $ | 1,081 | $ | 1,544 | $ | 454 | $ | 2,631 | $ | 553 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.93 | % | 0.75 | % | 1.41 | % | 1.35 | % | 1.79 | % | 1.98 | % | ||||||||||||
Total expenses | 1.65 | % | 1.62 | % | 1.59 | % | 1.60 | % | 1.63 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 651 | % | 605 | % | 660 | % | 804 | % | 1,271 | % | 1,550 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.14 | $ | 36.43 | $ | 39.35 | $ | 39.89 | $ | 36.00 | $ | 37.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .07 | .03 | (.01 | ) | .06 | .54 | .48 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.41 | ) | 4.68 | (1.46 | ) | .70 | 3.92 | (.62 | ) | |||||||||||||||
Total from investment operations | (.34 | ) | 4.71 | (1.47 | ) | .76 | 4.46 | (.14 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Total distributions | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Net asset value, end of period | $ | 39.80 | $ | 40.14 | $ | 36.43 | $ | 39.35 | $ | 39.89 | $ | 36.00 | ||||||||||||
Total Returnc | (0.82 | %) | 13.05 | % | (3.59 | %) | 1.86 | % | 12.49 | % | (0.24 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 293 | $ | 406 | $ | 248 | $ | 499 | $ | 271 | $ | 784 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.35 | % | 0.07 | % | (0.03 | %) | 0.14 | % | 1.42 | % | 1.41 | % | ||||||||||||
Total expenses | 2.40 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.38 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 651 | % | 605 | % | 660 | % | 804 | % | 1,271 | % | 1,550 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014d,e | Year Ended March 28, 2013d,e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 43.21 | $ | 38.85 | $ | 41.59 | $ | 41.86 | $ | 37.75 | $ | 38.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .13 | .58 | .17 | .60 | .29 | .57 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.32 | ) | 4.78 | (1.46 | ) | .43 | 4.39 | (.61 | ) | |||||||||||||||
Total from investment operations | (.19 | ) | 5.36 | (1.29 | ) | 1.03 | 4.68 | (.04 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Total distributions | — | (1.00 | ) | (1.45 | ) | (1.30 | ) | (.57 | ) | (.90 | ) | |||||||||||||
Net asset value, end of period | $ | 43.02 | $ | 43.21 | $ | 38.85 | $ | 41.59 | $ | 41.86 | $ | 37.75 | ||||||||||||
Total Returnc | (0.44 | %) | 13.94 | % | (2.95 | %) | 2.42 | % | 12.53 | % | (0.01 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 187 | $ | 1,213 | $ | 10,353 | $ | 151 | $ | 316 | $ | 133 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.61 | % | 1.44 | % | 0.44 | % | 1.40 | % | 0.74 | % | 1.59 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.64 | % | 1.86 | % | 1.88 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 651 | % | 605 | % | 659 | % | 804 | % | 1,271 | % | 1,550 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Reverse share split — Per share amounts for the periods presented through February 7, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. | |
e | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_137.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 2, 1998 |
A-Class | September 1, 2004 |
C-Class | May 14, 2001 |
H-Class | June 9, 1998 |
Ten Largest Holdings (% of Total Net Assets) | |
United Parcel Service, Inc. — Class B | 4.7% |
Union Pacific Corp. | 4.5% |
FedEx Corp. | 3.6% |
General Motors Co. | 3.5% |
CSX Corp. | 3.2% |
Tesla, Inc. | 3.2% |
Ford Motor Co. | 3.1% |
Norfolk Southern Corp. | 2.8% |
Southwest Airlines Co. | 2.7% |
Delta Air Lines, Inc. | 2.7% |
Top Ten Total | 34.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 11.98% | 27.28% | 19.29% | 7.90% |
A-Class Shares | 11.84% | 26.95% | 19.00% | 7.66% |
A-Class Shares with sales charge‡ | 6.52% | 20.93% | 17.85% | 7.14% |
C-Class Shares | 11.41% | 25.98% | 18.10% | 6.84% |
C-Class Shares with CDSC§ | 10.41% | 24.98% | 18.10% | 6.84% |
H-Class Shares** | 11.80% | 26.93% | 18.83% | 7.45% |
S&P 500 Industrials Index | 9.15% | 22.35% | 16.20% | 7.48% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. | |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
TRANSPORTATION FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Transportation - 42.5% | ||||||||
United Parcel Service, Inc. — Class B | 21,478 | $ | 2,579,294 | |||||
Union Pacific Corp. | 21,149 | 2,452,651 | ||||||
FedEx Corp. | 8,786 | 1,981,946 | ||||||
CSX Corp. | 32,563 | 1,766,868 | ||||||
Norfolk Southern Corp. | 11,656 | 1,541,389 | ||||||
J.B. Hunt Transport Services, Inc. | 8,339 | 926,296 | ||||||
Kansas City Southern | 7,883 | 856,724 | ||||||
CH Robinson Worldwide, Inc. | 11,216 | 853,538 | ||||||
Expeditors International of Washington, Inc. | 14,044 | 840,674 | ||||||
Old Dominion Freight Line, Inc. | 7,138 | 785,965 | ||||||
Canadian Pacific Railway Ltd. | 4,537 | 762,352 | ||||||
XPO Logistics, Inc.* | 11,112 | 753,171 | ||||||
Canadian National Railway Co. | 8,660 | 717,481 | ||||||
ZTO Express Cayman, Inc. ADR*,1 | 41,450 | 581,958 | ||||||
Schneider National, Inc. — Class B | 21,600 | 546,480 | ||||||
Genesee & Wyoming, Inc. — Class A* | 7,381 | 546,268 | ||||||
Ryder System, Inc. | 6,328 | 535,032 | ||||||
Landstar System, Inc. | 5,072 | 505,425 | ||||||
Kirby Corp.* | 7,240 | 477,478 | ||||||
Knight-Swift Transportation Holdings, Inc.* | 11,338 | 471,112 | ||||||
Werner Enterprises, Inc. | 11,337 | 414,367 | ||||||
Heartland Express, Inc. | 15,082 | 378,257 | ||||||
Forward Air Corp. | 5,997 | 343,208 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 4,913 | 323,275 | ||||||
Saia, Inc.* | 5,130 | 321,395 | ||||||
Hub Group, Inc. — Class A* | 7,320 | 314,394 | ||||||
Air Transport Services Group, Inc.* | 11,930 | 290,376 | ||||||
ArcBest Corp. | 7,344 | 245,657 | ||||||
YRC Worldwide, Inc.* | 12,750 | 175,950 | ||||||
Total Transportation | 23,288,981 | |||||||
Airlines - 16.9% | ||||||||
Southwest Airlines Co. | 26,203 | 1,466,843 | ||||||
Delta Air Lines, Inc. | 30,410 | 1,466,370 | ||||||
American Airlines Group, Inc. | 25,650 | 1,218,119 | ||||||
United Continental Holdings, Inc.* | 18,172 | 1,106,311 | ||||||
Alaska Air Group, Inc. | 9,917 | 756,370 | ||||||
JetBlue Airways Corp.* | 33,372 | 618,383 | ||||||
Ryanair Holdings plc ADR* | 5,624 | 592,882 | ||||||
Copa Holdings S.A. — Class A | 4,700 | 585,291 | ||||||
Spirit Airlines, Inc.*,1 | 11,444 | 382,344 | ||||||
Allegiant Travel Co. — Class A | 2,903 | 382,325 | ||||||
SkyWest, Inc. | 8,652 | 379,823 | ||||||
Hawaiian Holdings, Inc.* | 9,445 | 354,660 | ||||||
Total Airlines | 9,309,721 | |||||||
Auto Parts & Equipment - 15.6% | ||||||||
Lear Corp. | 4,928 | 852,939 | ||||||
Delphi Automotive plc | 8,479 | 834,334 | ||||||
BorgWarner, Inc. | 16,130 | 826,340 | ||||||
Goodyear Tire & Rubber Co. | 21,716 | 722,057 | ||||||
Magna International, Inc. | 13,490 | 720,096 | ||||||
Adient plc | 8,373 | 703,248 | ||||||
Autoliv, Inc.1 | 5,125 | 633,450 | ||||||
Visteon Corp.* | 4,011 | 496,441 | ||||||
Dana, Inc. | 17,752 | 496,346 | ||||||
Tenneco, Inc. | 7,508 | 455,510 | ||||||
Dorman Products, Inc.* | 5,461 | 391,117 | ||||||
Cooper-Standard Holdings, Inc.* | 3,225 | 374,003 | ||||||
Cooper Tire & Rubber Co. | 9,775 | 365,585 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 20,016 | 351,881 | ||||||
Gentherm, Inc.* | 8,084 | 300,321 | ||||||
Total Auto Parts & Equipment | 8,523,668 | |||||||
Auto Manufacturers - 14.7% | ||||||||
General Motors Co. | 47,084 | 1,901,251 | ||||||
Tesla, Inc.*,1 | 5,151 | 1,757,006 | ||||||
Ford Motor Co. | 143,731 | 1,720,460 | ||||||
Fiat Chrysler Automobiles N.V.* | 39,272 | 703,362 | ||||||
Ferrari N.V. | 6,266 | 692,268 | ||||||
Tata Motors Ltd. ADR* | 21,231 | 663,893 | ||||||
Toyota Motor Corp. ADR1 | 5,233 | 623,617 | ||||||
Total Auto Manufacturers | 8,061,857 | |||||||
Commercial Services - 3.7% | ||||||||
AMERCO | 1,680 | 629,832 | ||||||
Macquarie Infrastructure Corp. | 8,532 | 615,840 | ||||||
Avis Budget Group, Inc.*,1 | 11,589 | 441,077 | ||||||
Hertz Global Holdings, Inc.*,1 | 14,438 | 322,834 | ||||||
Total Commercial Services | 2,009,583 | |||||||
Leisure Time - 2.7% | ||||||||
Harley-Davidson, Inc. | 14,879 | 717,317 | ||||||
LCI Industries | 3,700 | 428,645 | ||||||
Fox Factory Holding Corp.* | 7,420 | 319,802 | ||||||
Total Leisure Time | 1,465,764 | |||||||
Home Builders - 1.8% | ||||||||
Thor Industries, Inc. | 5,253 | 661,405 | ||||||
Winnebago Industries, Inc. | 6,660 | 298,035 | ||||||
Total Home Builders | 959,440 | |||||||
Electronics - 1.1% | ||||||||
Gentex Corp. | 30,163 | 597,227 | ||||||
Internet - 0.6% | ||||||||
Cars.com, Inc.*,1 | 12,800 | 340,608 | ||||||
Total Common Stocks | ||||||||
(Cost $45,607,263) | 54,556,849 |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
TRANSPORTATION FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 154,981 | $ | 154,981 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 77,491 | 77,491 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 77,431 | 77,431 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $309,903) | 309,903 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 3,522,519 | 3,522,519 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $3,522,519) | 3,522,519 | |||||||
Total Investments - 106.6% | ||||||||
(Cost $49,439,685) | $ | 58,389,271 | ||||||
Other Assets & Liabilities, net - (6.6)% | (3,608,089 | ) | ||||||
Total Net Assets - 100.0% | $ | 54,781,182 |
* | Non-income producing security. | |
† | Value determined based on Level 1 inputs — See Note 4. | |
†† | Value determined based on Level 2 inputs — See Note 4. | |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 6. | |
2 | Repurchase Agreements — See Note 5. | |
3 | Securities lending collateral — See Note 6. | |
4 | Rate indicated is the 7 day yield as of September 30, 2017. | |
ADR — American Depositary Receipt | ||
plc — Public Limited Company | ||
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 54,556,849 | $ | — | $ | — | $ | 54,556,849 | ||||||||
Repurchase Agreements | — | 309,903 | — | 309,903 | ||||||||||||
Securities Lending Collateral | 3,522,519 | — | — | 3,522,519 | ||||||||||||
Total Assets | $ | 58,079,368 | $ | 309,903 | $ | — | $ | 58,389,271 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
TRANSPORTATION FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $3,433,593 of securities loaned (cost $49,129,782) | $ | 58,079,368 | ||
Repurchase agreements, at value (cost $309,903) | 309,903 | |||
Cash | 2,956 | |||
Receivables: | ||||
Fund shares sold | 1,882,003 | |||
Dividends | 10,441 | |||
Securities lending income | 776 | |||
Foreign taxes reclaim | 117 | |||
Interest | 17 | |||
Total assets | 60,285,581 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 3,522,519 | |||
Securities purchased | 1,584,827 | |||
Fund shares redeemed | 336,695 | |||
Management fees | 32,977 | |||
Transfer agent and administrative fees | 9,699 | |||
Distribution and service fees | 4,449 | |||
Portfolio accounting fees | 3,880 | |||
Miscellaneous | 9,353 | |||
Total liabilities | 5,504,399 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 54,781,182 | ||
Net assets consist of: | ||||
Paid in capital | $ | 43,971,974 | ||
Accumulated net investment loss | (11,062 | ) | ||
Accumulated net realized gain on investments | 1,870,684 | |||
Net unrealized appreciation on investments | 8,949,586 | |||
Net assets | $ | 54,781,182 | ||
Investor Class: | ||||
Net assets | $ | 33,814,677 | ||
Capital shares outstanding | 564,300 | |||
Net asset value per share | $ | 59.92 | ||
A-Class: | ||||
Net assets | $ | 11,329,923 | ||
Capital shares outstanding | 204,686 | |||
Net asset value per share | $ | 55.35 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 58.11 | ||
C-Class: | ||||
Net assets | $ | 1,948,592 | ||
Capital shares outstanding | 38,083 | |||
Net asset value per share | $ | 51.17 | ||
H-Class: | ||||
Net assets | $ | 7,687,990 | ||
Capital shares outstanding | 142,807 | |||
Net asset value per share | $ | 53.83 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $3,536) | $ | 267,343 | ||
Interest | 861 | |||
Income from securities lending, net | 7,548 | |||
Total investment income | 275,752 | |||
Expenses: | ||||
Management fees | 157,707 | |||
Distribution and service fees: | ||||
A-Class | 10,277 | |||
C-Class | 10,712 | |||
H-Class | 6,698 | |||
Transfer agent and administrative fees | 46,384 | |||
Registration fees | 23,355 | |||
Portfolio accounting fees | 18,553 | |||
Custodian fees | 2,546 | |||
Trustees’ fees* | 2,255 | |||
Line of credit fees | 25 | |||
Miscellaneous | 7,293 | |||
Total expenses | 285,805 | |||
Net investment loss | (10,053 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 5,222,505 | |||
Net realized gain | 5,222,505 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (960,337 | ) | ||
Net change in unrealized appreciation (depreciation) | (960,337 | ) | ||
Net realized and unrealized gain | 4,262,168 | |||
Net increase in net assets resulting from operations | $ | 4,252,115 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (10,053 | ) | $ | (1,275 | ) | ||
Net realized gain on investments | 5,222,505 | 5,205,605 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (960,337 | ) | 887,530 | |||||
Net increase in net assets resulting from operations | 4,252,115 | 6,091,860 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (75,133 | ) | |||||
A-Class | — | (20,987 | ) | |||||
C-Class | — | (7,137 | ) | |||||
H-Class | — | (15,737 | ) | |||||
Total distributions to shareholders | — | (118,994 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 73,137,021 | 122,086,249 | ||||||
A-Class | 8,515,277 | 19,099,228 | ||||||
C-Class | 1,501,514 | 4,867,697 | ||||||
H-Class | 66,955,178 | 143,717,449 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 73,847 | ||||||
A-Class | — | 20,353 | ||||||
C-Class | — | 6,873 | ||||||
H-Class | — | 15,696 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (74,634,604 | ) | (106,399,464 | ) | ||||
A-Class | (2,998,018 | ) | (20,440,514 | ) | ||||
C-Class | (2,074,970 | ) | (5,771,671 | ) | ||||
H-Class | (63,959,914 | ) | (150,146,386 | ) | ||||
Net increase from capital share transactions | 6,441,484 | 7,129,357 | ||||||
Net increase in net assets | 10,693,599 | 13,102,223 | ||||||
Net assets: | ||||||||
Beginning of period | 44,087,583 | 30,985,360 | ||||||
End of period | $ | 54,781,182 | $ | 44,087,583 | ||||
Accumulated net investment loss at end of period | $ | (11,062 | ) | $ | (1,009 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 1,311,157 | 2,457,004 | ||||||
A-Class | 166,718 | 417,626 | ||||||
C-Class | 31,611 | 114,437 | ||||||
H-Class | 1,348,818 | 3,310,254 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 1,486 | ||||||
A-Class | — | 443 | ||||||
C-Class | — | 161 | ||||||
H-Class | — | 351 | ||||||
Shares redeemed | ||||||||
Investor Class | (1,361,845 | ) | (2,138,529 | ) | ||||
A-Class | (57,839 | ) | (446,819 | ) | ||||
C-Class | (43,746 | ) | (138,639 | ) | ||||
H-Class | (1,291,725 | ) | (3,441,408 | ) | ||||
Net increase in shares | 103,149 | 136,367 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 53.52 | $ | 46.23 | $ | 52.06 | $ | 44.63 | $ | 32.07 | $ | 26.96 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | .09 | .16 | .18 | (.04 | ) | (.07 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.39 | 7.37 | (5.78 | ) | 7.25 | 12.60 | 5.18 | |||||||||||||||||
Total from investment operations | 6.40 | 7.46 | (5.62 | ) | 7.43 | 12.56 | 5.11 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 59.92 | $ | 53.52 | $ | 46.23 | $ | 52.06 | $ | 44.63 | $ | 32.07 | ||||||||||||
Total Returnc | 11.98 | % | 16.14 | % | (10.80 | %) | 16.65 | % | 39.16 | % | 18.95 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 33,815 | $ | 32,911 | $ | 13,638 | $ | 42,947 | $ | 44,021 | $ | 78,644 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.03 | % | 0.17 | % | 0.33 | % | 0.37 | % | (0.09 | %) | (0.25 | %) | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.34 | % | 1.35 | % | 1.37 | % | 1.37 | % | ||||||||||||
Portfolio turnover rate | 315 | % | 676 | % | 219 | % | 247 | % | 593 | % | 737 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 49.50 | $ | 42.87 | $ | 48.41 | $ | 41.61 | $ | 29.96 | $ | 25.25 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.06 | ) | .04 | .05 | (.11 | ) | (.01 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.87 | 6.86 | (5.37 | ) | 6.75 | 11.76 | 4.72 | |||||||||||||||||
Total from investment operations | 5.85 | 6.80 | (5.33 | ) | 6.80 | 11.65 | 4.71 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 55.35 | $ | 49.50 | $ | 42.87 | $ | 48.41 | $ | 41.61 | $ | 29.96 | ||||||||||||
Total Returnc | 11.84 | % | 15.87 | % | (11.01 | %) | 16.34 | % | 38.89 | % | 18.70 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,330 | $ | 4,742 | $ | 5,340 | $ | 15,359 | $ | 12,938 | $ | 4,558 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.07 | %) | (0.12 | %) | 0.08 | % | 0.12 | % | (0.28 | %) | (0.05 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.60 | % | 1.60 | % | 1.62 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 315 | % | 676 | % | 219 | % | 247 | % | 593 | % | 737 | % |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 45.93 | $ | 40.09 | $ | 45.63 | $ | 39.52 | $ | 28.67 | $ | 24.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.20 | ) | (.34 | ) | (.24 | ) | (.27 | ) | (.37 | ) | (.26 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.44 | 6.35 | (5.09 | ) | 6.38 | 11.22 | 4.59 | |||||||||||||||||
Total from investment operations | 5.24 | 6.01 | (5.33 | ) | 6.11 | 10.85 | 4.33 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 51.17 | $ | 45.93 | $ | 40.09 | $ | 45.63 | $ | 39.52 | $ | 28.67 | ||||||||||||
Total Returnc | 11.41 | % | 15.00 | % | (11.69 | %) | 15.46 | % | 37.84 | % | 17.79 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,949 | $ | 2,306 | $ | 2,977 | $ | 6,405 | $ | 3,734 | $ | 2,727 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.85 | %) | (0.81 | %) | (0.57 | %) | (0.62 | %) | (1.07 | %) | (1.06 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.38 | % | 2.35 | % | 2.35 | % | 2.37 | % | 2.35 | % | ||||||||||||
Portfolio turnover rate | 315 | % | 676 | % | 219 | % | 247 | % | 593 | % | 737 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 48.15 | $ | 41.71 | $ | 47.12 | $ | 40.61 | $ | 29.32 | $ | 24.76 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.13 | ) | (.09 | ) | (.10 | ) | (.18 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.69 | 6.74 | (5.11 | ) | 6.61 | 11.47 | 4.71 | |||||||||||||||||
Total from investment operations | 5.68 | 6.61 | (5.20 | ) | 6.51 | 11.29 | 4.56 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (.17 | ) | (.21 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 53.83 | $ | 48.15 | $ | 41.71 | $ | 47.12 | $ | 40.61 | $ | 29.32 | ||||||||||||
Total Returnc | 11.80 | % | 15.88 | % | (11.04 | %) | 16.03 | % | 38.51 | % | 18.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,688 | $ | 4,127 | $ | 9,031 | $ | 6,249 | $ | 2,583 | $ | 4,483 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.03 | %) | (0.30 | %) | (0.20 | %) | (0.22 | %) | (0.50 | %) | (0.57 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.72 | % | 1.85 | % | 1.87 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 315 | % | 676 | % | 219 | % | 247 | % | 593 | % | 737 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_144.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
Investor Class | April 3, 2000 |
A-Class | September 1, 2004 |
C-Class | April 27, 2001 |
H-Class | April 3, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
NextEra Energy, Inc. | 4.2% |
Duke Energy Corp. | 3.8% |
Dominion Energy, Inc. | 3.6% |
Southern Co. | 3.5% |
Exelon Corp. | 3.0% |
PG&E Corp. | 3.0% |
American Electric Power Company, Inc. | 3.0% |
Sempra Energy | 2.7% |
PPL Corp. | 2.6% |
Public Service Enterprise Group, Inc. | 2.5% |
Top Ten Total | 31.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 4.80% | 11.29% | 10.59% | 6.42% |
A-Class Shares | 4.67% | 11.01% | 10.32% | 6.16% |
A-Class Shares with sales charge‡ | (0.31%) | 5.73% | 9.25% | 5.64% |
C-Class Shares | 4.27% | 10.20% | 9.49% | 5.36% |
C-Class Shares with CDSC§ | 3.27% | 9.23% | 9.49% | 5.36% |
H-Class Shares** | 4.67% | 11.04% | 10.17% | 5.95% |
S&P 500 Utilities Index | 5.15% | 12.03% | 11.92% | 7.07% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices 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 C-Class and H-Class shares will vary due to differences in fee structures. | |
** | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. | |
† | 6 month returns are not annualized. | |
‡ | 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. |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
UTILITIES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Electric - 78.2% | ||||||||
NextEra Energy, Inc. | 15,318 | $ | 2,244,852 | |||||
Duke Energy Corp. | 24,285 | 2,037,997 | ||||||
Dominion Energy, Inc. | 24,614 | 1,893,555 | ||||||
Southern Co. | 37,345 | 1,835,133 | ||||||
Exelon Corp. | 42,414 | 1,597,735 | ||||||
PG&E Corp. | 23,409 | 1,593,919 | ||||||
American Electric Power Company, Inc. | 22,417 | 1,574,570 | ||||||
PPL Corp. | 36,118 | 1,370,678 | ||||||
Public Service Enterprise Group, Inc. | 28,986 | 1,340,603 | ||||||
Consolidated Edison, Inc. | 16,565 | 1,336,464 | ||||||
Edison International | 17,312 | 1,335,967 | ||||||
Xcel Energy, Inc. | �� | 27,654 | 1,308,587 | |||||
WEC Energy Group, Inc. | 18,704 | 1,174,237 | ||||||
DTE Energy Co. | 10,874 | 1,167,433 | ||||||
Eversource Energy | 19,228 | 1,162,140 | ||||||
Avangrid, Inc. | 22,175 | 1,051,539 | ||||||
Ameren Corp. | 17,636 | 1,020,066 | ||||||
FirstEnergy Corp. | 32,693 | 1,007,925 | ||||||
Entergy Corp. | 13,110 | 1,001,080 | ||||||
CMS Energy Corp. | 20,934 | 969,663 | ||||||
CenterPoint Energy, Inc. | 32,236 | 941,614 | ||||||
NRG Energy, Inc. | 32,724 | 837,407 | ||||||
Alliant Energy Corp. | 19,920 | 828,074 | ||||||
Pinnacle West Capital Corp. | 9,730 | 822,769 | ||||||
AES Corp. | 66,034 | 727,695 | ||||||
Westar Energy, Inc. | 14,634 | 725,846 | ||||||
OGE Energy Corp. | 20,037 | 721,933 | ||||||
Great Plains Energy, Inc. | 22,774 | 690,052 | ||||||
SCANA Corp. | 13,333 | 646,517 | ||||||
Calpine Corp.* | 42,418 | 625,666 | ||||||
MDU Resources Group, Inc. | 22,852 | 593,009 | ||||||
IDACORP, Inc. | 6,510 | 572,424 | ||||||
Portland General Electric Co. | 11,787 | 537,959 | ||||||
ALLETE, Inc. | 6,924 | 535,156 | ||||||
Black Hills Corp. | 7,651 | 526,924 | ||||||
Hawaiian Electric Industries, Inc. | 15,354 | 512,363 | ||||||
Avista Corp. | 9,710 | 502,687 | ||||||
PNM Resources, Inc. | 11,979 | 482,754 | ||||||
NorthWestern Corp. | 7,921 | 451,022 | ||||||
El Paso Electric Co. | 7,467 | 412,552 | ||||||
MGE Energy, Inc. | 6,291 | 406,399 | ||||||
Dynegy, Inc.* | 32,607 | 319,223 | ||||||
Total Electric | 41,444,188 | |||||||
Gas - 16.2% | ||||||||
Sempra Energy | 12,516 | 1,428,451 | ||||||
Atmos Energy Corp. | 9,607 | 805,451 | ||||||
NiSource, Inc. | 30,054 | 769,082 | ||||||
UGI Corp. | 16,341 | 765,739 | ||||||
Vectren Corp. | 9,551 | 628,169 | ||||||
National Fuel Gas Co. | 10,039 | 568,308 | ||||||
WGL Holdings, Inc. | 6,713 | 565,235 | ||||||
ONE Gas, Inc. | 7,247 | 533,669 | ||||||
Spire, Inc. | 7,052 | 526,432 | ||||||
Southwest Gas Holdings, Inc. | 6,696 | 519,744 | ||||||
New Jersey Resources Corp. | 12,309 | 518,824 | ||||||
National Grid plc ADR | 7,900 | 495,409 | ||||||
South Jersey Industries, Inc. | 12,617 | 435,665 | ||||||
Total Gas | 8,560,178 | |||||||
Water - 3.9% | ||||||||
American Water Works Company, Inc. | 12,755 | 1,032,007 | ||||||
Aqua America, Inc. | 19,871 | 659,518 | ||||||
California Water Service Group | 9,719 | 370,780 | ||||||
Total Water | 2,062,305 | |||||||
Energy-Alternate Sources - 1.5% | ||||||||
TerraForm Power, Inc. — Class A* | 31,281 | 413,535 | ||||||
Pattern Energy Group, Inc. | 15,450 | 372,345 | ||||||
Total Energy-Alternate Sources | 785,880 | |||||||
Pipelines - 0.0% | ||||||||
Kinder Morgan, Inc. | 1 | 19 | ||||||
Total Common Stocks | ||||||||
(Cost $48,594,394) | 52,852,570 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.2% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 66,001 | 66,001 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 33,001 | 33,001 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 32,975 | 32,975 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $131,977) | 131,977 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $48,726,371) | $ | 52,984,547 | ||||||
Other Assets & Liabilities, net - 0.0% | 6,661 | |||||||
Total Net Assets - 100.0% | $ | 52,991,208 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
UTILITIES FUND |
* | 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 Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 52,852,570 | $ | — | $ | — | $ | 52,852,570 | ||||||||
Repurchase Agreements | — | 131,977 | — | 131,977 | ||||||||||||
Total Assets | $ | 52,852,570 | $ | 131,977 | $ | — | $ | 52,984,547 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there no transfers between levels.
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value (cost $48,594,394) | $ | 52,852,570 | ||
Repurchase agreements, at value (cost $131,977) | 131,977 | |||
Receivables: | ||||
Fund shares sold | 255,471 | |||
Dividends | 124,308 | |||
Foreign taxes reclaim | 315 | |||
Interest | 7 | |||
Securities lending income | 4 | |||
Total assets | 53,364,652 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 291,230 | |||
Management fees | 39,199 | |||
Transfer agent and administrative fees | 11,529 | |||
Distribution and service fees | 10,177 | |||
Portfolio accounting fees | 4,612 | |||
Miscellaneous | 16,697 | |||
Total liabilities | 373,444 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 52,991,208 | ||
Net assets consist of: | ||||
Paid in capital | $ | 48,692,994 | ||
Undistributed net investment income | 352,463 | |||
Accumulated net realized loss on investments | (312,425 | ) | ||
Net unrealized appreciation on investments | 4,258,175 | |||
Net assets | $ | 52,991,208 | ||
Investor Class: | ||||
Net assets | $ | 26,708,181 | ||
Capital shares outstanding | 647,764 | |||
Net asset value per share | $ | 41.23 | ||
A-Class: | ||||
Net assets | $ | 11,299,619 | ||
Capital shares outstanding | 296,354 | |||
Net asset value per share | $ | 38.13 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 40.03 | ||
C-Class: | ||||
Net assets | $ | 7,744,221 | ||
Capital shares outstanding | 238,408 | |||
Net asset value per share | $ | 32.48 | ||
H-Class: | ||||
Net assets | $ | 7,239,187 | ||
Capital shares outstanding | 196,930 | |||
Net asset value per share | $ | 36.76 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 770,451 | ||
Interest | 978 | |||
Income from securities lending, net | 75 | |||
Total investment income | 771,504 | |||
Expenses: | ||||
Management fees | 219,214 | |||
Distribution and service fees: | ||||
A-Class | 11,528 | |||
C-Class | 41,375 | |||
H-Class | 7,304 | |||
Transfer agent and administrative fees | 64,475 | |||
Portfolio accounting fees | 25,790 | |||
Registration fees | 21,910 | |||
Custodian fees | 3,357 | |||
Trustees’ fees* | 1,770 | |||
Line of credit fees | 49 | |||
Miscellaneous | 22,269 | |||
Total expenses | 419,041 | |||
Net investment income | 352,463 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,589,968 | |||
Net realized gain | 3,589,968 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,658,675 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,658,675 | ) | ||
Net realized and unrealized loss | (68,707 | ) | ||
Net increase in net assets resulting from operations | $ | 283,756 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
UTILITIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 352,463 | $ | 839,774 | ||||
Net realized gain on investments | 3,589,968 | 11,894,279 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (3,658,675 | ) | 12,192,043 | |||||
Net increase in net assets resulting from operations | 283,756 | 542,010 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (577,820 | ) | |||||
A-Class | — | (127,704 | ) | |||||
C-Class | — | (237,845 | ) | |||||
H-Class | — | (188,129 | ) | |||||
Net realized gains | ||||||||
Investor Class | — | (1,895,220 | ) | |||||
A-Class | — | (418,860 | ) | |||||
C-Class | — | (780,119 | ) | |||||
H-Class | — | (617,055 | ) | |||||
Total distributions to shareholders | — | (4,842,752 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 102,593,235 | 282,505,858 | ||||||
A-Class | 10,270,324 | 40,059,210 | ||||||
C-Class | 1,930,114 | 6,907,165 | ||||||
H-Class | 76,283,279 | 103,464,307 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 2,434,848 | ||||||
A-Class | — | 536,124 | ||||||
C-Class | — | 1,004,274 | ||||||
H-Class | — | 803,467 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (99,800,161 | ) | (307,478,614 | ) | ||||
A-Class | (8,451,998 | ) | (54,062,337 | ) | ||||
C-Class | (2,809,318 | ) | (9,547,021 | ) | ||||
H-Class | (74,435,283 | ) | (105,286,529 | ) | ||||
Net increase (decrease) from capital share transactions | 5,580,192 | (38,659,248 | ) | |||||
Net increase in net assets | 5,863,948 | 42,959,990 | ||||||
Net assets: | ||||||||
Beginning of period | 47,127,259 | 90,087,249 | ||||||
End of period | $ | 52,991,208 | $ | 47,127,259 | ||||
Undistributed net investment income at end of period | $ | 352,463 | $ | — |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 2,516,026 | 6,973,833 | ||||||
A-Class | 266,603 | 1,063,262 | ||||||
C-Class | 59,756 | 209,067 | ||||||
H-Class | 2,091,975 | 2,848,092 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 68,472 | ||||||
A-Class | — | 16,261 | ||||||
C-Class | — | 35,537 | ||||||
H-Class | — | 25,290 | ||||||
Shares redeemed | ||||||||
Investor Class | (2,481,264 | ) | (7,690,866 | ) | ||||
A-Class | (227,227 | ) | (1,419,071 | ) | ||||
C-Class | (86,821 | ) | (295,878 | ) | ||||
H-Class | (2,048,187 | ) | (2,897,377 | ) | ||||
Net increase (decrease) in shares | 90,861 | (1,063,378 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.34 | $ | 40.23 | $ | 36.98 | $ | 34.01 | $ | 32.71 | $ | 29.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .32 | .59 | .73 | .84 | .78 | .74 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.57 | 2.25 | 3.09 | 2.26 | 1.98 | 3.96 | ||||||||||||||||||
Total from investment operations | 1.89 | 2.84 | 3.82 | 3.10 | 2.76 | 4.70 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net realized gains | — | (2.86 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (3.73 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net asset value, end of period | $ | 41.23 | $ | 39.34 | $ | 40.23 | $ | 36.98 | $ | 34.01 | $ | 32.71 | ||||||||||||
Total Returnc | 4.80 | % | 8.04 | % | 10.61 | % | 9.12 | % | 8.88 | % | 16.75 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,708 | $ | 24,116 | $ | 50,753 | $ | 55,156 | $ | 95,854 | $ | 42,907 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.59 | % | 1.47 | % | 2.00 | % | 2.31 | % | 2.38 | % | 2.45 | % | ||||||||||||
Total expenses | 1.39 | % | 1.38 | % | 1.35 | % | 1.35 | % | 1.40 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 507 | % | 475 | % | 384 | % | 508 | % | 534 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.43 | $ | 37.63 | $ | 34.70 | $ | 32.02 | $ | 30.95 | $ | 27.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .29 | .45 | .63 | .66 | .63 | .65 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.41 | 2.08 | 2.87 | 2.15 | 1.90 | 3.73 | ||||||||||||||||||
Total from investment operations | 1.70 | 2.53 | 3.50 | 2.81 | 2.53 | 4.38 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net realized gains | — | (2.86 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (3.73 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net asset value, end of period | $ | 38.13 | $ | 36.43 | $ | 37.63 | $ | 34.70 | $ | 32.02 | $ | 30.95 | ||||||||||||
Total Returnc | 4.67 | % | 7.75 | % | 10.38 | % | 8.78 | % | 8.64 | % | 16.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,300 | $ | 9,362 | $ | 22,448 | $ | 9,782 | $ | 11 | $ | 6,938 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.51 | % | 1.20 | % | 1.85 | % | 1.93 | % | 2.05 | % | 2.26 | % | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.60 | % | 1.60 | % | 1.63 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 507 | % | 475 | % | 384 | % | 508 | % | 534 | % |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.15 | $ | 32.96 | $ | 30.70 | $ | 28.55 | $ | 27.96 | $ | 25.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .12 | .22 | .28 | .36 | .34 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.21 | 1.70 | 2.55 | 1.92 | 1.71 | 3.35 | ||||||||||||||||||
Total from investment operations | 1.33 | 1.92 | 2.83 | 2.28 | 2.05 | 3.77 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net realized gains | — | (2.86 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (3.73 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net asset value, end of period | $ | 32.48 | $ | 31.15 | $ | 32.96 | $ | 30.70 | $ | 28.55 | $ | 27.96 | ||||||||||||
Total Returnc | 4.27 | % | 6.97 | % | 9.55 | % | 7.99 | % | 7.83 | % | 15.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,744 | $ | 8,270 | $ | 10,438 | $ | 8,417 | $ | 8,387 | $ | 7,001 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.74 | % | 0.69 | % | 0.94 | % | 1.18 | % | 1.22 | % | 1.62 | % | ||||||||||||
Total expenses | 2.39 | % | 2.37 | % | 2.35 | % | 2.35 | % | 2.38 | % | 2.36 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 507 | % | 475 | % | 384 | % | 508 | % | 534 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.12 | $ | 36.40 | $ | 33.61 | $ | 31.09 | $ | 30.19 | $ | 27.10 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .18 | .41 | .54 | .60 | .69 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.46 | 2.04 | 2.82 | 2.05 | 1.67 | 3.73 | ||||||||||||||||||
Total from investment operations | 1.64 | 2.45 | 3.36 | 2.65 | 2.36 | 4.21 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net realized gains | — | (2.86 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (3.73 | ) | (.57 | ) | (.13 | ) | (1.46 | ) | (1.12 | ) | |||||||||||||
Net asset value, end of period | $ | 36.76 | $ | 35.12 | $ | 36.40 | $ | 33.61 | $ | 31.09 | $ | 30.19 | ||||||||||||
Total Returnc | 4.67 | % | 7.80 | % | 10.31 | % | 8.53 | % | 8.29 | % | 16.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,239 | $ | 5,379 | $ | 6,448 | $ | 13,546 | $ | 2,269 | $ | 4,812 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.97 | % | 1.13 | % | 1.65 | % | 1.79 | % | 2.32 | % | 1.70 | % | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.68 | % | 1.84 | % | 1.88 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 507 | % | 475 | % | 384 | % | 508 | % | 534 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. | |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. | |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. | |
d | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for periods prior to that date reflect the performance of the former Advisor Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2017, the Trust consisted of fifty-three funds.
This report covers the Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (the “Funds”), each a non-diversified investment company. Only Investor Class, A-Class, C-Class and H-Class had been issued by the Funds.
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.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale 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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sale price.
Repurchase agreements are valued at amortized cost, provided such amounts approximate 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 using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
(b) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(c) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of dividend income and foreign taxes on capital gains from sales of investments are included with the net realized and unrealized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(d) Security Transactions
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. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(e) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(f) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees 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) Cash
The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at September 30, 2017.
(h) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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.
Note 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% |
Real Estate Fund | 0.85% |
Retailing Fund | 0.85% |
Technology Fund | 0.85% |
Telecommunications Fund | 0.85% |
Transportation Fund | 0.85% |
Utilities Fund | 0.85% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD 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 GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD 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 a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For the period ended September 30, 2017, GFD retained sales charges of $98,853 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
Note 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, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At September 30, 2017, 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 | $ | 34,310,786 | $ | 699,438 | $ | (33,027 | ) | $ | 666,411 | |||||||
Basic Materials Fund | 78,602,656 | 7,494,132 | (570,169 | ) | 6,923,963 | |||||||||||
Biotechnology Fund | 284,986,773 | 146,605,454 | (4,643,798 | ) | 141,961,656 | |||||||||||
Consumer Products Fund | 197,534,347 | 62,218,751 | (1,563,502 | ) | 60,655,249 | |||||||||||
Electronics Fund | 29,076,795 | 3,995,545 | (102,240 | ) | 3,893,305 | |||||||||||
Energy Fund | 45,238,915 | — | (5,123,538 | ) | (5,123,538 | ) | ||||||||||
Energy Services Fund | 25,341,067 | — | (3,109,925 | ) | (3,109,925 | ) | ||||||||||
Financial Services Fund | 48,157,592 | 4,837,192 | (170,027 | ) | 4,667,165 | |||||||||||
Health Care Fund | 104,028,020 | 3,657,869 | (1,589,392 | ) | 2,068,477 | |||||||||||
Internet Fund | 73,123,720 | 9,331,888 | (217,280 | ) | 9,114,608 | |||||||||||
Leisure Fund | 15,658,300 | 2,560,154 | (236,724 | ) | 2,323,430 | |||||||||||
Precious Metals Fund | 103,768,588 | — | (17,035,144 | ) | (17,035,144 | ) | ||||||||||
Real Estate Fund | 33,712,060 | — | (752,084 | ) | (752,084 | ) | ||||||||||
Retailing Fund | 14,937,771 | — | (249,842 | ) | (249,842 | ) | ||||||||||
Technology Fund | 84,089,995 | 14,112,127 | (460,882 | ) | 13,651,245 | |||||||||||
Telecommunications Fund | 2,698,045 | 392,878 | (3,759 | ) | 389,119 | |||||||||||
Transportation Fund | 52,403,175 | 6,017,438 | (31,342 | ) | 5,986,096 | |||||||||||
Utilities Fund | 52,144,514 | 1,051,116 | (211,083 | ) | 840,033 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 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 joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||
BNP Paribas 1.00% Due 10/02/17 | $ | 109,021,803 | $ | 109,030,888 | U.S Treasury Note 1.13% 02/28/21 | $ | 113,209,345 | $ | 111,202,284 | ||||||||
Bank of America Merrill Lynch 1.05% Due 10/02/17 | 54,510,901 | 54,515,671 | U.S. Treasury Note 1.63% 05/31/23 | 56,433,458 | 55,601,193 | ||||||||||||
HSBC Securities, Inc. 0.91% Due 10/02/17 | 1,950,547 | 1,950,695 | U.S. Treasury Strips 0.00% 08/15/39 | 3,667,000 | 1,989,778 |
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. GI, acting under the supervision of the Board, 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.
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 6 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At September 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
Banking Fund | $ | 198,823 | $ | (198,823 | ) | $ | — | $ | 202,481 | $ | — | $ | 202,481 | |||||||||||
Basic Materials Fund | 3,008,496 | (3,008,496 | ) | — | 3,088,603 | — | 3,088,603 | |||||||||||||||||
Biotechnology Fund | 22,326,563 | (22,326,563 | ) | — | 22,839,008 | — | 22,839,008 | |||||||||||||||||
Consumer Products Fund | 4,468,128 | (4,468,128 | ) | — | 4,523,114 | — | 4,523,114 | |||||||||||||||||
Electronics Fund | 805,663 | (805,663 | ) | — | 818,235 | — | 818,235 | |||||||||||||||||
Energy Fund | 2,067,543 | (2,067,543 | ) | — | 2,136,508 | — | 2,136,508 | |||||||||||||||||
Energy Services Fund | 3,143,621 | (3,143,621 | ) | — | 3,214,384 | — | 3,214,384 | |||||||||||||||||
Financial Services Fund | 731,644 | (731,644 | ) | — | 747,201 | — | 747,201 | |||||||||||||||||
Health Care Fund | 2,506,523 | (2,506,523 | ) | — | 2,547,280 | — | 2,547,280 | |||||||||||||||||
Internet Fund | 2,033,122 | (2,033,122 | ) | — | 2,097,250 | — | 2,097,250 | |||||||||||||||||
Leisure Fund | 1,014,960 | (1,014,960 | ) | — | 1,040,423 | — | 1,040,423 | |||||||||||||||||
Precious Metals Fund | 6,896,652 | (6,896,652 | ) | — | 7,312,958 | — | 7,312,958 | |||||||||||||||||
Real Estate Fund | 689,315 | (689,315 | ) | — | 708,933 | — | 708,933 | |||||||||||||||||
Retailing Fund | 703,612 | (703,612 | ) | — | 729,872 | — | 729,872 | |||||||||||||||||
Technology Fund | 2,512,291 | (2,512,291 | ) | — | 2,560,633 | — | 2,560,633 | |||||||||||||||||
Telecommunications Fund | 142,540 | (142,540 | ) | — | 147,134 | — | 147,134 | |||||||||||||||||
Transportation Fund | 3,433,593 | (3,433,593 | ) | — | 3,522,519 | — | 3,522,519 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds have securities lending agreements to evaluate potential risks.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – Securities Transactions
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Banking Fund | $ | 267,104,420 | $ | 296,594,306 | ||||
Basic Materials Fund | 81,096,474 | 92,057,192 | ||||||
Biotechnology Fund | 221,101,698 | 186,015,762 | ||||||
Consumer Products Fund | 137,721,280 | 191,718,445 | ||||||
Electronics Fund | 163,417,508 | 216,072,582 | ||||||
Energy Fund | 183,656,065 | 177,499,386 | ||||||
Energy Services Fund | 156,410,841 | 154,174,729 | ||||||
Financial Services Fund | 103,387,023 | 115,537,476 | ||||||
Health Care Fund | 197,149,202 | 150,533,712 | ||||||
Internet Fund | 121,506,012 | 74,021,850 | ||||||
Leisure Fund | 78,595,165 | 85,516,689 | ||||||
Precious Metals Fund | 196,474,013 | 181,005,748 | ||||||
Real Estate Fund | 160,205,846 | 136,895,924 | ||||||
Retailing Fund | 179,984,907 | 177,889,266 | ||||||
Technology Fund | 133,312,446 | 132,024,809 | ||||||
Telecommunications Fund | 34,107,964 | 46,380,255 | ||||||
Transportation Fund | 121,556,091 | 115,233,559 | ||||||
Utilities Fund | 156,928,285 | 150,909,796 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized Gain (Loss) | |||||||||
Banking Fund | $ | 11,413,064 | $ | 7,552,192 | $ | 225,367 | ||||||
Basic Materials Fund | 8,491,598 | 6,547,466 | (193,174 | ) | ||||||||
Biotechnology Fund | 7,218,540 | 9,968,733 | (58,888 | ) | ||||||||
Consumer Products Fund | 4,728,257 | 15,169,560 | (193,538 | ) | ||||||||
Electronics Fund | 20,981,052 | 12,982,536 | 923,546 | |||||||||
Energy Fund | 30,252,450 | 20,312,575 | (720,976 | ) | ||||||||
Energy Services Fund | 6,775,377 | 7,717,141 | (384,004 | ) | ||||||||
Financial Services Fund | 24,262,821 | 21,454,838 | 620,438 | |||||||||
Health Care Fund | 18,121,012 | 27,240,975 | 226,379 | |||||||||
Internet Fund | 16,840,270 | 7,711,258 | 166,824 | |||||||||
Leisure Fund | 15,504,584 | 12,628,034 | 591,927 | |||||||||
Precious Metals Fund | 10,160,033 | 7,638,925 | 226,733 | |||||||||
Real Estate Fund | 14,119,953 | 14,827,894 | (136,750 | ) | ||||||||
Retailing Fund | 31,690,040 | 16,763,616 | 519,851 | |||||||||
Technology Fund | 18,345,558 | 24,534,817 | 991,363 | |||||||||
Telecommunications Fund | 2,131,720 | 4,635,087 | 113,774 | |||||||||
Transportation Fund | 6,858,168 | 8,114,242 | 63,986 | |||||||||
Utilities Fund | 5,568,550 | 9,488,044 | 1,069,528 |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 8 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 11, 2018. 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 1.92% for the period ended September 30, 2017. The Funds did not have any borrowings outstanding under this agreement at September 30, 2017.
The average daily balances borrowed for the period ended September 30, 2017, were as follows:
Fund | Average Daily Balance | |||
Banking Fund | $ | 47,552 | ||
Basic Materials Fund | 10,622 | |||
Biotechnology Fund | 1,635 | |||
Consumer Products Fund | 8,602 | |||
Electronics Fund | 44,179 | |||
Energy Fund | 3,712 | |||
Energy Services Fund | 9,906 | |||
Financial Services Fund | 8,539 | |||
Health Care Fund | 1,541 | |||
Internet Fund | 34,179 | |||
Leisure Fund | 14,281 | |||
Precious Metals Fund | 41,517 | |||
Real Estate Fund | 8,641 | |||
Retailing Fund | 10,096 | |||
Technology Fund | 27,968 | |||
Telecom Fund | 9,882 | |||
Transportation Fund | 2,273 | |||
Utilities Fund | 4,312 |
Note 9 – Share Splits
Share splits occurred for the following Funds at the close of business:
Fund | Effective Date | Split Type |
Energy Fund | November 7, 2016 | One-for-Four Reverse Split |
Financial Services Fund | October 31, 2016 | Two-for-One Share Split |
The effect of the reverse share split was to divide the number of outstanding shares of the Energy Fund by its split ratio, resulting in a corresponding increase in the NAV. The effect of the share split was to multiply the number of outstanding shares of the Financial Services Fund by its split ratio, resulting in a corresponding decrease in the NAV. The share transactions presented in the Statements of Changes in net assets and the per share data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these respective share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 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 Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges 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.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek 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. The Creditor Trust
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
These lawsuits do 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; Long Short Equity Fund f/k/a 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund, and Utilities Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, Distribution Plans, and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present). Former: President and CEO, certain other funds in the Fund complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Nominating and Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Nominating and Governance Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Nominating and Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Member of the Nominating and Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 167 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-Present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. | |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. | |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. | |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
![]() |
9.30.2017
Rydex Funds Semi-Annual Report
Domestic Equity Funds |
Nova Fund |
S&P 500® Fund |
Inverse S&P 500® Strategy Fund |
Monthly Rebalance NASDAQ-100® 2x Strategy 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 |
Dow Jones Industrial Average® 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 |
GuggenheimInvestments.com | RBENF-SEMI-0917x0318 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_ii.jpg)
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
NOVA FUND | 12 |
S&P 500® FUND | 27 |
INVERSE S&P 500® STRATEGY FUND | 39 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | 47 |
INVERSE NASDAQ-100® STRATEGY FUND | 56 |
MID-CAP 1.5x STRATEGY FUND | 64 |
INVERSE MID-CAP STRATEGY FUND | 75 |
RUSSELL 2000® 1.5x STRATEGY FUND | 82 |
RUSSELL 2000® FUND | 108 |
INVERSE RUSSELL 2000® STRATEGY FUND | 134 |
DOW JONES INDUSTRIAL AVERAGE® FUND | 141 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 148 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 158 |
HIGH YIELD STRATEGY FUND | 167 |
INVERSE HIGH YIELD STRATEGY FUND | 175 |
U.S. GOVERNMENT MONEY MARKET FUND | 182 |
NOTES TO FINANCIAL STATEMENTS | 188 |
OTHER INFORMATION | 206 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 209 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 213 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
September 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2017.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2017
October 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses, and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
The Fixed Income Funds may not be suitable for all investors. ● Fixed income investments are subject to credit, liquidity, interest rate, and, depending on the instrument, counterparty risk. These risks may be increased to the extent fixed income investments are concentrated in any one issuer, industry, region, or country. The market value of fixed income investments generally will fluctuate with, among other things, the financial condition of the obligors on the underlying debt obligations, general economic conditions, the condition of certain financial markets, political events, developments or trends in any particular industry, and changes in prevailing interest rates. In general, any interest rate increases can cause the price of a debt security to decrease and vice versa.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
September 30, 2017 |
The High Yield Strategy Fund and Inverse High Yield Strategy Fund may not be suitable for all investors. ● The use of derivatives such as futures, options and swap agreements will expose the Funds to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● A highly liquid secondary market may not exist for the credit default swaps the Funds invest in, and there can be no assurance that a highly liquid secondary market will develop. ● The Funds’ market value will change in response to interest rate changes and market conditions among other factors. ● You may have a gain or loss when you sell your shares. ● In general, bond prices rise when interest rates fall, and vice versa. The Funds’ exposure to the high yield bond market may subject the Funds to greater volatility because (i) the Funds will be affected by the ability of high yield security issuers’ ability to make principal and interest payments and (ii) the prices of derivatives linked to high yield bonds may fluctuate unpredictably and not necessarily in relation to interest rates. ● It is important to note that the Funds are not guaranteed by the U.S. government. The Funds are subject to active trading risks that may increase volatility and impact their ability to achieve their investment objectives. ● Investing in the Inverse High Yield Strategy Fund involves certain risks, which include volatility due to the Fund’s possible use of short sales of security and derivatives such as options and futures.
Monthly leveraged funds are not suitable for all investors. ● These funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking monthly leveraged investment results, and (c) intend to actively monitor and manage their investments. ● The more a fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The funds’ use of derivatives, such as futures, options, and swap agreements, may expose the funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Monthly leveraged funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a monthly basis. Because monthly leveraged funds seek to track the performance of their benchmark on a monthly 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 quarterly, annual or other period performance of its benchmark. Due to the compounding of monthly returns, leveraged funds’ returns over periods other than one calendar month will likely differ in amount and possibly direction from the benchmark return for the same period. For those funds that consistently apply leverage, the value of the funds’ shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. Monthly leveraged funds rebalance their portfolios on a monthly basis on the last day of each calendar month, increasing exposure in response to that month’s gains or reducing exposure in response to that month’s losses. ● Throughout the month, the amount of leverage that a monthly leveraged fund provides is allowed to float. Purchasing monthly leveraged funds on any day other than the last day of each calendar month will likely mean that the monthly leveraged fund’s actual leverage is different from its monthly leverage target. Investors should monitor their monthly leveraged funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the monthly leveraged funds’ prospectus.
The U.S. Government Money Market Fund may not be suitable for all investors. ● An investment in the U.S. Government Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2017 |
Over the past few months, the equity markets have faced massive hurricanes in the South, rising tensions with North Korea and ongoing uncertainty surrounding domestic policy. Despite it all, the major stock indices continue to trade at or near record levels. The market’s resiliency seems to underscore that, at the end of the day, it’s fundamentals that drive equity markets and not political headlines or geopolitical tensions.
A noticeable shift in market sentiment during the third quarter led to a rotation into cyclical and small capitalization stocks. Value factors also began to outperform in September, a significant change from year-to-date performance. From a macro standpoint, the primary drivers of the value trade include rising inflationary expectations, economic growth and the prospects of tax reform.
Outside the U.S., both the European and emerging markets outperformed the Standard & Poor’s 500®(“S&P 500®”) Index on a dollar denominated basis. Renewed interest in both regions reflected attractive relative valuation and the synchronized global economic expansion.
Assuming no major geopolitical or other unforeseen shocks, we expect the U.S. economy will grow by between 2.0–2.5% in real terms in 2017 and 2018, supported by a strong labor market at home, a synchronized upswing in the global economy, and favorable financial conditions. Risks to our growth outlook are to the upside if Washington delivers on promises to cut taxes. Third quarter economic data was less distorted by the recent hurricanes than expected, and rebuilding efforts should be a positive for growth heading into 2018.
The labor market is steadily tightening, as seen in the drop in the unemployment rate to a cycle low of 4.2% in September, underscoring the robust—and unsustainable—underlying trend in hiring. Leading indicators, including hiring intentions surveys, point to further declines in the unemployment rate. Meanwhile, inflation continues to be well below the U.S. Federal Reserve’s (the “Fed”) 2% longer-run goal, with core personal consumption expenditure inflation coming in at 1.3% in September. However, inflation lags Gross Domestic Product (“GDP”) growth by about six quarters; because growth has accelerated over the past year, and the dollar has depreciated, inflation will likely move closer to 2% by the second quarter of 2018.
The firming U.S. economy, coupled with synchronized global growth and stabilization in the U.S. dollar, is likely to be supportive of the U.S. earnings environment. On the valuation front, while elevated relative to long-term averages, multiples still remain well below extreme levels. Economic and financial conditions are supportive enough for the Fed to continue to resume a quarterly pattern of rate increases in December, and to begin balance sheet normalization this year. Interest rates are expected to remain supportive of risk assets.
For the six months ended September 30, 2017, S&P 500® Index* returned 7.71%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 10.99%. The return of the MSCI Emerging Markets Index* was 14.66%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.31% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.19%. The return of the Bank of America (“BofA”)Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.47% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2017 |
Bloomberg Barclays Long Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and non convertible. The Long U.S. Treasury Index is market-capitalization weighted and the securities in the index are updated on the last business day of each month.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Dow Jones Industrial Average® is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the NASDAQ. The DJIA was invented by Charles Dow back in 1896.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
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.
Russell 2000® Index measures the performance of the small-cap value segment of the U.S. equity universe.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The index covers approximately 7% of the U.S. equity market, and seeks to remain an accurate measure of mid-sized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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 on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
Index 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.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2017 and ending September 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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 the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Nova Fund | |||||
Investor Class | 1.29% | 10.46% | $ 1,000.00 | $ 1,104.60 | $ 6.81 |
A-Class | 1.54% | 10.18% | 1,000.00 | 1,101.80 | 8.11 |
C-Class | 2.29% | 9.95% | 1,000.00 | 1,099.50 | 12.05 |
H-Class | 1.54% | 10.38% | 1,000.00 | 1,103.80 | 8.12 |
S&P 500® Fund | |||||
A-Class | 1.60% | 6.83% | 1,000.00 | 1,068.30 | 8.30 |
C-Class | 2.34% | 6.42% | 1,000.00 | 1,064.20 | 12.11 |
H-Class | 1.60% | 6.83% | 1,000.00 | 1,068.30 | 8.30 |
Inverse S&P 500® Strategy Fund | |||||
Investor Class | 1.44% | (6.87%) | 1,000.00 | 931.30 | 6.97 |
A-Class | 1.69% | (6.99%) | 1,000.00 | 930.10 | 8.18 |
C-Class | 2.44% | (7.33%) | 1,000.00 | 926.70 | 11.79 |
H-Class | 1.69% | (6.99%) | 1,000.00 | 930.10 | 8.18 |
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | |||||
A-Class | 1.35% | 19.91% | 1,000.00 | 1,199.10 | 7.44 |
C-Class | 2.10% | 19.49% | 1,000.00 | 1,194.90 | 11.55 |
H-Class | 1.35% | 19.90% | 1,000.00 | 1,199.00 | 7.44 |
Inverse NASDAQ-100® Strategy Fund | |||||
Investor Class | 1.48% | (9.47%) | 1,000.00 | 905.30 | 7.07 |
A-Class | 1.73% | (9.57%) | 1,000.00 | 904.30 | 8.26 |
C-Class | 2.47% | (9.90%) | 1,000.00 | 901.00 | 11.82 |
H-Class | 1.73% | (9.59%) | 1,000.00 | 904.10 | 8.26 |
Mid-Cap 1.5x Strategy Fund | |||||
A-Class | 1.70% | 6.75% | 1,000.00 | 1,067.50 | 8.81 |
C-Class | 2.45% | 6.35% | 1,000.00 | 1,063.50 | 12.67 |
H-Class | 1.70% | 6.74% | 1,000.00 | 1,067.40 | 8.81 |
Inverse Mid-Cap Strategy Fund | |||||
A-Class | 1.70% | (5.10%) | 1,000.00 | 949.00 | 8.31 |
C-Class | 2.45% | (5.52%) | 1,000.00 | 944.80 | 11.94 |
H-Class | 1.70% | (5.10%) | 1,000.00 | 949.00 | 8.31 |
Russell 2000® 1.5x Strategy Fund | |||||
A-Class | 1.74% | 11.56% | 1,000.00 | 1,115.60 | 9.23 |
C-Class | 2.49% | 11.13% | 1,000.00 | 1,111.30 | 13.18 |
H-Class | 1.74% | 11.53% | 1,000.00 | 1,115.30 | 9.23 |
Russell 2000® Fund | |||||
A-Class | 1.64% | 7.48% | 1,000.00 | 1,074.80 | 8.53 |
C-Class | 2.39% | 7.05% | 1,000.00 | 1,070.50 | 12.41 |
H-Class | 1.64% | 7.47% | 1,000.00 | 1,074.70 | 8.53 |
Inverse Russell 2000® Strategy Fund | |||||
A-Class | 1.74% | (8.04%) | 1,000.00 | 919.60 | 8.37 |
C-Class | 2.49% | (8.45%) | 1,000.00 | 915.50 | 11.96 |
H-Class | 1.74% | (8.15%) | 1,000.00 | 918.50 | 8.37 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Dow Jones Industrial Average® Fund | |||||
A-Class | 1.58% | 8.93% | $ 1,000.00 | $ 1,089.30 | $ 8.28 |
C-Class | 2.33% | 8.52% | 1,000.00 | 1,085.20 | 12.18 |
H-Class | 1.58% | 8.92% | 1,000.00 | 1,089.20 | 8.27 |
Government Long Bond 1.2x Strategy Fund | |||||
Investor Class | 0.99% | 5.10% | 1,000.00 | 1,051.00 | 5.09 |
A-Class | 1.24% | 4.99% | 1,000.00 | 1,049.90 | 6.37 |
C-Class | 1.99% | 4.59% | 1,000.00 | 1,045.90 | 10.21 |
H-Class | 1.24% | 4.97% | 1,000.00 | 1,049.70 | 6.37 |
Inverse Government Long Bond Strategy Fund | |||||
Investor Class | 3.50% | (4.69%) | 1,000.00 | 953.10 | 17.14 |
A-Class | 3.78% | (4.84%) | 1,000.00 | 951.60 | 18.49 |
C-Class | 4.50% | (5.19%) | 1,000.00 | 948.10 | 22.03 |
H-Class | 3.80% | (4.85%) | 1,000.00 | 951.50 | 18.64 |
High Yield Strategy Fund | |||||
A-Class | 1.53% | 3.15% | 1,000.00 | 1,031.50 | 7.79 |
C-Class | 2.28% | 2.78% | 1,000.00 | 1,027.80 | 11.59 |
H-Class | 1.53% | 3.16% | 1,000.00 | 1,031.60 | 7.79 |
Inverse High Yield Strategy Fund | |||||
A-Class | 1.54% | (3.03%) | 1,000.00 | 969.70 | 7.60 |
C-Class | 2.29% | (3.46%) | 1,000.00 | 965.40 | 11.28 |
H-Class | 1.54% | (3.41%) | 1,000.00 | 965.90 | 7.59 |
U.S. Government Money Market Fund | |||||
Money Market Class | 0.93% | 0.04% | 1,000.00 | 1,000.40 | 4.66 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Nova Fund | |||||
Investor Class | 1.29% | 5.00% | $ 1,000.00 | $ 1,018.60 | $ 6.53 |
A-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
C-Class | 2.29% | 5.00% | 1,000.00 | 1,013.59 | 11.56 |
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
S&P 500® Fund | |||||
A-Class | 1.60% | 5.00% | 1,000.00 | 1,017.05 | 8.09 |
C-Class | 2.34% | 5.00% | 1,000.00 | 1,013.34 | 11.81 |
H-Class | 1.60% | 5.00% | 1,000.00 | 1,017.05 | 8.09 |
Inverse S&P 500® Strategy Fund | |||||
Investor Class | 1.44% | 5.00% | 1,000.00 | 1,017.85 | 7.28 |
A-Class | 1.69% | 5.00% | 1,000.00 | 1,016.60 | 8.54 |
C-Class | 2.44% | 5.00% | 1,000.00 | 1,012.84 | 12.31 |
H-Class | 1.69% | 5.00% | 1,000.00 | 1,016.60 | 8.54 |
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | |||||
A-Class | 1.35% | 5.00% | 1,000.00 | 1,018.30 | 6.83 |
C-Class | 2.10% | 5.00% | 1,000.00 | 1,014.54 | 10.61 |
H-Class | 1.35% | 5.00% | 1,000.00 | 1,018.30 | 6.83 |
Inverse NASDAQ-100® Strategy Fund | |||||
Investor Class | 1.48% | 5.00% | 1,000.00 | 1,017.65 | 7.49 |
A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
C-Class | 2.47% | 5.00% | 1,000.00 | 1,012.63 | 12.51 |
H-Class | 1.73% | 5.00% | 1,000.00 | 1,016.39 | 8.74 |
Mid-Cap 1.5x Strategy Fund | |||||
A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 |
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.78 | 12.36 |
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 |
Inverse Mid-Cap Strategy Fund | |||||
A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 |
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.78 | 12.36 |
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.55 | 8.59 |
Russell 2000® 1.5x Strategy Fund | |||||
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Russell 2000® Fund | |||||
A-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
C-Class | 2.39% | 5.00% | 1,000.00 | 1,013.09 | 12.06 |
H-Class | 1.64% | 5.00% | 1,000.00 | 1,016.85 | 8.29 |
Inverse Russell 2000® Strategy Fund | |||||
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Dow Jones Industrial Average® Fund | |||||
A-Class | 1.58% | 5.00% | $ 1,000.00 | $ 1,017.15 | $ 7.99 |
C-Class | 2.33% | 5.00% | 1,000.00 | 1,013.39 | 11.76 |
H-Class | 1.58% | 5.00% | 1,000.00 | 1,017.15 | 7.99 |
Government Long Bond 1.2x Strategy Fund | |||||
Investor Class | 0.99% | 5.00% | 1,000.00 | 1,020.10 | 5.01 |
A-Class | 1.24% | 5.00% | 1,000.00 | 1,018.85 | 6.28 |
C-Class | 1.99% | 5.00% | 1,000.00 | 1,015.09 | 10.05 |
H-Class | 1.24% | 5.00% | 1,000.00 | 1,018.85 | 6.28 |
Inverse Government Long Bond Strategy Fund | |||||
Investor Class | 3.50% | 5.00% | 1,000.00 | 1,007.52 | 17.61 |
A-Class | 3.78% | 5.00% | 1,000.00 | 1,006.12 | 19.01 |
C-Class | 4.50% | 5.00% | 1,000.00 | 1,002.46 | 22.64 |
H-Class | 3.80% | 5.00% | 1,000.00 | 1,005.97 | 19.16 |
High Yield Strategy Fund | |||||
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.64 | 11.51 |
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
Inverse High Yield Strategy Fund | |||||
A-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
C-Class | 2.29% | 5.00% | 1,000.00 | 1,013.59 | 11.56 |
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
U.S. Government Money Market Fund | |||||
Money Market Class | 0.93% | 5.00% | 1,000.00 | 1,020.41 | 4.71 |
1 | This ratio represents annualized Net Expenses, which include interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.43%, 1.68%, 2.43% and 1.69% for the Investor Class, A-Class, C-Class, and H-Class, respectively. Excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2017 to September 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028137_12.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Investor Class | July 12, 1993 |
A-Class | March 31, 2004 |
C-Class | March 14, 2001 |
H-Class | September 18, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 11.1% |
Guggenheim Strategy Fund I | 10.6% |
Guggenheim Strategy Fund III | 6.3% |
Apple, Inc. | 2.0% |
Microsoft Corp. | 1.4% |
Facebook, Inc. — Class A | 1.0% |
Amazon.com, Inc. | 0.9% |
Berkshire Hathaway, Inc. — Class B | 0.9% |
Johnson & Johnson | 0.9% |
Exxon Mobil Corp. | 0.9% |
Top Ten Total | 36.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 10.46% | 26.07% | 19.24% | 7.65% |
A-Class Shares | 10.18% | 25.58% | 18.94% | 7.38% |
A-Class Shares with sales charge‡ | 4.95% | 19.62% | 17.78% | 6.86% |
C-Class Shares | 9.95% | 24.84% | 18.06% | 6.59% |
C-Class Shares with CDSC§ | 8.95% | 23.84% | 18.06% | 6.59% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | 10.38% | 25.87% | 12.21% | |
S&P 500 Index | 7.71% | 18.61% | 9.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
COMMON STOCKS† - 52.5% | ||||||||
Consumer, Non-cyclical - 11.8% | ||||||||
Johnson & Johnson | 7,347 | $ | 955,183 | |||||
Procter & Gamble Co. | 6,980 | 635,041 | ||||||
Pfizer, Inc. | 16,336 | 583,195 | ||||||
UnitedHealth Group, Inc. | 2,647 | 518,416 | ||||||
Merck & Company, Inc. | 7,487 | 479,393 | ||||||
Coca-Cola Co. | 10,508 | 472,964 | ||||||
Philip Morris International, Inc. | 4,251 | 471,904 | ||||||
PepsiCo, Inc. | 3,910 | 435,691 | ||||||
AbbVie, Inc. | 4,363 | 387,696 | ||||||
Amgen, Inc. | 1,997 | 372,340 | ||||||
Altria Group, Inc. | 5,252 | 333,082 | ||||||
Celgene Corp.* | 2,141 | 312,201 | ||||||
Gilead Sciences, Inc. | 3,575 | 289,647 | ||||||
Medtronic plc | 3,708 | 288,370 | ||||||
Bristol-Myers Squibb Co. | 4,489 | 286,129 | ||||||
Abbott Laboratories | 4,756 | 253,779 | ||||||
Eli Lilly & Co. | 2,652 | 226,852 | ||||||
Thermo Fisher Scientific, Inc. | 1,095 | 207,174 | ||||||
PayPal Holdings, Inc.* | 3,093 | 198,044 | ||||||
Allergan plc | 915 | 187,529 | ||||||
Biogen, Inc.* | 579 | 181,296 | ||||||
Colgate-Palmolive Co. | 2,411 | 175,641 | ||||||
Mondelez International, Inc. — Class A | 4,127 | 167,804 | ||||||
Aetna, Inc. | 908 | 144,381 | ||||||
Danaher Corp. | 1,673 | 143,510 | ||||||
Anthem, Inc. | 719 | 136,524 | ||||||
Automatic Data Processing, Inc. | 1,216 | 132,932 | ||||||
Cigna Corp. | 689 | 128,802 | ||||||
Kraft Heinz Co. | 1,633 | 126,639 | ||||||
Stryker Corp. | 881 | 125,120 | ||||||
Becton Dickinson and Co. | 623 | 122,077 | ||||||
Kimberly-Clark Corp. | 967 | 113,797 | ||||||
S&P Global, Inc. | 704 | 110,041 | ||||||
Boston Scientific Corp.* | 3,756 | 109,563 | ||||||
Intuitive Surgical, Inc.* | 102 | 106,680 | ||||||
Vertex Pharmaceuticals, Inc.* | 689 | 104,756 | ||||||
Express Scripts Holding Co.* | 1,581 | 100,109 | ||||||
Humana, Inc. | 396 | 96,477 | ||||||
Constellation Brands, Inc. — Class A | 471 | 93,941 | ||||||
Regeneron Pharmaceuticals, Inc.* | 210 | 93,895 | ||||||
Ecolab, Inc. | 713 | 91,698 | ||||||
McKesson Corp. | 575 | 88,326 | ||||||
Baxter International, Inc. | 1,372 | 86,093 | ||||||
Alexion Pharmaceuticals, Inc.* | 611 | 85,717 | ||||||
Zoetis, Inc. | 1,344 | 85,693 | ||||||
General Mills, Inc. | 1,580 | 81,781 | ||||||
Illumina, Inc.* | 399 | 79,481 | ||||||
Sysco Corp. | 1,329 | 71,700 | ||||||
Estee Lauder Companies, Inc. — Class A | 612 | 65,998 | ||||||
Archer-Daniels-Midland Co. | 1,540 | 65,465 | ||||||
Zimmer Biomet Holdings, Inc. | 553 | 64,751 | ||||||
CR Bard, Inc. | 199 | 63,780 | ||||||
Moody’s Corp. | 455 | 63,341 | ||||||
Edwards Lifesciences Corp.* | 578 | 63,181 | ||||||
HCA Healthcare, Inc.* | 791 | 62,956 | ||||||
Monster Beverage Corp.* | 1,135 | 62,709 | ||||||
Cardinal Health, Inc. | 866 | 57,953 | ||||||
Tyson Foods, Inc. — Class A | 791 | 55,726 | ||||||
Incyte Corp.* | 467 | 54,518 | ||||||
Kroger Co. | 2,456 | 49,267 | ||||||
Clorox Co. | 353 | 46,564 | ||||||
Mylan N.V.* | 1,467 | 46,020 | ||||||
Centene Corp.* | 472 | 45,675 | ||||||
Dr Pepper Snapple Group, Inc. | 497 | 43,970 | ||||||
IHS Markit Ltd.* | 994 | 43,816 | ||||||
Kellogg Co. | 680 | 42,412 | ||||||
Hershey Co. | 386 | 42,140 | ||||||
Laboratory Corporation of America Holdings* | 279 | 42,121 | ||||||
Molson Coors Brewing Co. — Class B | 506 | 41,310 | ||||||
Global Payments, Inc. | 417 | 39,628 | ||||||
Quintiles IMS Holdings, Inc.* | 415 | 39,454 | ||||||
Conagra Brands, Inc. | 1,138 | 38,396 | ||||||
Nielsen Holdings plc | 919 | 38,093 | ||||||
Dentsply Sirona, Inc. | 628 | 37,561 | ||||||
IDEXX Laboratories, Inc.* | 239 | 37,162 | ||||||
Align Technology, Inc.* | 197 | 36,695 | ||||||
AmerisourceBergen Corp. — Class A | 443 | 36,658 | ||||||
Henry Schein, Inc.* | 434 | 35,584 | ||||||
Verisk Analytics, Inc. — Class A* | 425 | 35,356 | ||||||
Equifax, Inc. | 330 | 34,977 | ||||||
Quest Diagnostics, Inc. | 373 | 34,928 | ||||||
Cintas Corp. | 234 | 33,762 | ||||||
McCormick & Company, Inc. | 325 | 33,358 | ||||||
Church & Dwight Company, Inc. | 683 | 33,091 | ||||||
JM Smucker Co. | 311 | 32,633 | ||||||
United Rentals, Inc.*,1 | 231 | 32,049 | ||||||
Cooper Companies, Inc. | 133 | 31,536 | ||||||
Gartner, Inc.* | 248 | 30,854 | ||||||
Perrigo Company plc | 363 | 30,728 | ||||||
Total System Services, Inc. | 459 | 30,065 | ||||||
ResMed, Inc. | 389 | 29,937 | ||||||
Brown-Forman Corp. — Class B | 536 | 29,105 | ||||||
Hologic, Inc.* | 768 | 28,178 | ||||||
Universal Health Services, Inc. — Class B | 242 | 26,847 | ||||||
Varian Medical Systems, Inc.* | 251 | 25,115 | ||||||
DaVita, Inc.* | 419 | 24,884 | ||||||
Campbell Soup Co. | 531 | 24,861 | ||||||
Western Union Co. | 1,270 | 24,384 | ||||||
Avery Dennison Corp. | 242 | 23,798 | ||||||
Hormel Foods Corp. | 738 | 23,719 | ||||||
Coty, Inc. — Class A | 1,291 | 21,340 | ||||||
Robert Half International, Inc. | 345 | 17,367 | ||||||
Quanta Services, Inc.* | 414 | 15,471 | ||||||
H&R Block, Inc. | 572 | 15,147 | ||||||
Envision Healthcare Corp.* | 331 | 14,878 | ||||||
Patterson Companies, Inc. | 225 | 8,696 | ||||||
Total Consumer, Non-cyclical | 13,289,072 |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Financial - 9.9% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 5,267 | $ | 965,545 | |||||
JPMorgan Chase & Co. | 9,633 | 920,047 | ||||||
Bank of America Corp. | 26,859 | 680,606 | ||||||
Wells Fargo & Co. | 12,229 | 674,429 | ||||||
Citigroup, Inc. | 7,458 | 542,495 | ||||||
Visa, Inc. — Class A | 5,008 | 527,041 | ||||||
Mastercard, Inc. — Class A | 2,556 | 360,907 | ||||||
Goldman Sachs Group, Inc. | 984 | 233,395 | ||||||
U.S. Bancorp | 4,350 | 233,117 | ||||||
Morgan Stanley | 3,871 | 186,466 | ||||||
American Express Co. | 2,008 | 181,644 | ||||||
Chubb Ltd. | 1,274 | 181,609 | ||||||
PNC Financial Services Group, Inc. | 1,312 | 176,818 | ||||||
American Tower Corp. — Class A REIT | 1,175 | 160,598 | ||||||
American International Group, Inc. | 2,473 | 151,817 | ||||||
BlackRock, Inc. — Class A | 339 | 151,564 | ||||||
MetLife, Inc. | 2,909 | 151,123 | ||||||
Bank of New York Mellon Corp. | 2,828 | 149,941 | ||||||
Charles Schwab Corp. | 3,262 | 142,680 | ||||||
Simon Property Group, Inc. REIT | 851 | 137,019 | ||||||
CME Group, Inc. — Class A | 930 | 126,182 | ||||||
Prudential Financial, Inc. | 1,169 | 124,288 | ||||||
Marsh & McLennan Companies, Inc. | 1,403 | 117,585 | ||||||
Capital One Financial Corp. | 1,324 | 112,090 | ||||||
Crown Castle International Corp. REIT | 1,112 | 111,178 | ||||||
Intercontinental Exchange, Inc. | 1,611 | 110,676 | ||||||
BB&T Corp. | 2,212 | 103,831 | ||||||
Aon plc | 696 | 101,686 | ||||||
State Street Corp. | 1,023 | 97,737 | ||||||
Equinix, Inc. REIT | 213 | 95,062 | ||||||
Travelers Companies, Inc. | 755 | 92,503 | ||||||
Prologis, Inc. REIT | 1,456 | 92,398 | ||||||
Allstate Corp. | 989 | 90,899 | ||||||
Aflac, Inc. | 1,082 | 88,064 | ||||||
Public Storage REIT | 410 | 87,736 | ||||||
SunTrust Banks, Inc. | 1,314 | 78,538 | ||||||
Progressive Corp. | 1,593 | 77,133 | ||||||
Welltower, Inc. REIT | 1,010 | 70,983 | ||||||
Weyerhaeuser Co. REIT | 2,061 | 70,136 | ||||||
AvalonBay Communities, Inc. REIT | 378 | 67,443 | ||||||
M&T Bank Corp. | 416 | 66,993 | ||||||
Digital Realty Trust, Inc. REIT | 560 | 66,265 | ||||||
Equity Residential REIT | 1,005 | 66,260 | ||||||
Discover Financial Services | 1,019 | 65,705 | ||||||
Synchrony Financial | 2,047 | 63,559 | ||||||
Ventas, Inc. REIT | 975 | 63,502 | ||||||
Ameriprise Financial, Inc. | 410 | 60,889 | ||||||
T. Rowe Price Group, Inc. | 658 | 59,648 | ||||||
Willis Towers Watson plc | 367 | 56,602 | ||||||
Fifth Third Bancorp | 2,016 | 56,408 | ||||||
KeyCorp | 2,976 | 56,008 | ||||||
Hartford Financial Services Group, Inc. | 997 | 55,264 | ||||||
Northern Trust Corp. | 588 | 54,055 | ||||||
Citizens Financial Group, Inc. | 1,370 | 51,882 | ||||||
Boston Properties, Inc. REIT | 422 | 51,855 | ||||||
Regions Financial Corp. | 3,271 | 49,817 | ||||||
SBA Communications Corp. REIT* | 329 | 47,392 | ||||||
Principal Financial Group, Inc. | 735 | 47,290 | ||||||
Essex Property Trust, Inc. REIT | 181 | 45,979 | ||||||
Lincoln National Corp. | 606 | 44,529 | ||||||
Realty Income Corp. REIT | 750 | 42,893 | ||||||
Huntington Bancshares, Inc. | 2,984 | 41,657 | ||||||
Franklin Resources, Inc. | 900 | 40,059 | ||||||
Invesco Ltd. | 1,113 | 39,000 | ||||||
Host Hotels & Resorts, Inc. REIT | 2,026 | 37,461 | ||||||
Comerica, Inc. | 481 | 36,681 | ||||||
Vornado Realty Trust REIT | 472 | 36,287 | ||||||
Loews Corp. | 756 | 36,182 | ||||||
HCP, Inc. REIT | 1,283 | 35,706 | ||||||
GGP, Inc. REIT | 1,714 | 35,600 | ||||||
Mid-America Apartment Communities, Inc. REIT | 311 | 33,240 | ||||||
CBOE Holdings, Inc. | 308 | 33,150 | ||||||
E*TRADE Financial Corp.* | 753 | 32,838 | ||||||
Unum Group | 617 | 31,547 | ||||||
Cincinnati Financial Corp. | 408 | 31,241 | ||||||
CBRE Group, Inc. — Class A* | 823 | 31,175 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 256 | 30,456 | ||||||
Arthur J Gallagher & Co. | 493 | 30,344 | ||||||
Raymond James Financial, Inc. | 351 | 29,600 | ||||||
Alliance Data Systems Corp. | 132 | 29,245 | ||||||
Affiliated Managers Group, Inc. | 153 | 29,044 | ||||||
Iron Mountain, Inc. REIT | 723 | 28,125 | ||||||
Duke Realty Corp. REIT | 974 | 28,071 | ||||||
XL Group Ltd. | 706 | 27,852 | ||||||
UDR, Inc. REIT | 732 | 27,838 | ||||||
Extra Space Storage, Inc. REIT | 344 | 27,492 | ||||||
SL Green Realty Corp. REIT1 | 270 | 27,356 | ||||||
Zions Bancorporation | 553 | 26,091 | ||||||
Everest Re Group Ltd. | 112 | 25,580 | ||||||
Regency Centers Corp. REIT | 405 | 25,126 | ||||||
Nasdaq, Inc. | 319 | 24,745 | ||||||
Federal Realty Investment Trust REIT | 198 | 24,594 | ||||||
Torchmark Corp. | 296 | 23,707 | ||||||
Kimco Realty Corp. REIT | 1,165 | 22,776 | ||||||
Apartment Investment & Management Co. — Class A REIT | 430 | 18,860 | ||||||
People’s United Financial, Inc. | 943 | 17,106 | ||||||
Macerich Co. REIT | 298 | 16,381 | ||||||
Brighthouse Financial, Inc.* | 262 | 15,930 | ||||||
Assurant, Inc. | 147 | 14,041 | ||||||
Navient Corp. | 750 | 11,265 | ||||||
Total Financial | 11,111,253 | |||||||
Technology - 7.7% | ||||||||
Apple, Inc. | 14,139 | 2,179,102 | ||||||
Microsoft Corp. | 21,083 | 1,570,473 | ||||||
Intel Corp. | 12,863 | 489,822 | ||||||
Oracle Corp. | 8,266 | 399,661 | ||||||
International Business Machines Corp. | 2,372 | 344,129 | ||||||
NVIDIA Corp. | 1,641 | 293,361 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Broadcom Ltd. | 1,113 | $ | 269,947 | |||||
Texas Instruments, Inc. | 2,710 | 242,924 | ||||||
Accenture plc — Class A | 1,692 | 228,538 | ||||||
QUALCOMM, Inc. | 4,044 | 209,641 | ||||||
Adobe Systems, Inc.* | 1,351 | 201,542 | ||||||
salesforce.com, Inc.* | 1,869 | 174,602 | ||||||
Applied Materials, Inc. | 2,919 | 152,051 | ||||||
Activision Blizzard, Inc. | 2,066 | 133,278 | ||||||
Micron Technology, Inc.* | 3,050 | 119,957 | ||||||
Cognizant Technology Solutions Corp. — Class A | 1,616 | 117,225 | ||||||
Electronic Arts, Inc.* | 845 | 99,761 | ||||||
Intuit, Inc. | 666 | 94,665 | ||||||
HP, Inc. | 4,572 | 91,257 | ||||||
Analog Devices, Inc. | 1,006 | 86,687 | ||||||
Fidelity National Information Services, Inc. | 910 | 84,985 | ||||||
Lam Research Corp. | 445 | 82,343 | ||||||
Fiserv, Inc.* | 575 | 74,152 | ||||||
Western Digital Corp. | 807 | 69,725 | ||||||
Autodesk, Inc.* | 600 | 67,356 | ||||||
DXC Technology Co. | 779 | 66,901 | ||||||
Hewlett Packard Enterprise Co. | 4,497 | 66,151 | ||||||
Cerner Corp.* | 862 | 61,478 | ||||||
Microchip Technology, Inc. | 636 | 57,100 | ||||||
Red Hat, Inc.* | 486 | 53,878 | ||||||
Paychex, Inc. | 876 | 52,525 | ||||||
Skyworks Solutions, Inc. | 503 | 51,256 | ||||||
Xilinx, Inc. | 681 | 48,235 | ||||||
KLA-Tencor Corp. | 429 | 45,474 | ||||||
Synopsys, Inc.* | 411 | 33,098 | ||||||
NetApp, Inc. | 738 | 32,295 | ||||||
Cadence Design Systems, Inc.* | 767 | 30,273 | ||||||
Citrix Systems, Inc.* | 394 | 30,267 | ||||||
CA, Inc. | 865 | 28,874 | ||||||
ANSYS, Inc.* | 232 | 28,473 | ||||||
Advanced Micro Devices, Inc.* | 2,202 | 28,076 | ||||||
Seagate Technology plc | 787 | 26,105 | ||||||
Qorvo, Inc.* | 348 | 24,597 | ||||||
Akamai Technologies, Inc.* | 469 | 22,850 | ||||||
Xerox Corp. | 584 | 19,441 | ||||||
CSRA, Inc. | 447 | 14,425 | ||||||
Total Technology | 8,698,956 | |||||||
Communications - 7.1% | ||||||||
Facebook, Inc. — Class A* | 6,489 | 1,108,775 | ||||||
Amazon.com, Inc.* | 1,091 | 1,048,833 | ||||||
Alphabet, Inc. — Class A* | 816 | 794,556 | ||||||
Alphabet, Inc. — Class C* | 826 | 792,225 | ||||||
AT&T, Inc. | 16,808 | 658,369 | ||||||
Verizon Communications, Inc. | 11,167 | 552,655 | ||||||
Comcast Corp. — Class A | 12,876 | 495,469 | ||||||
Cisco Systems, Inc. | 13,687 | 460,294 | ||||||
Walt Disney Co. | 4,225 | 416,458 | ||||||
Priceline Group, Inc.* | 134 | 245,330 | ||||||
Time Warner, Inc. | 2,129 | 218,116 | ||||||
Netflix, Inc.* | 1,182 | 214,356 | ||||||
Charter Communications, Inc. — Class A* | 551 | 200,244 | ||||||
eBay, Inc.* | 2,724 | 104,765 | ||||||
Twenty-First Century Fox, Inc. — Class A | 2,881 | 76,001 | ||||||
CBS Corp. — Class B | 997 | 57,826 | ||||||
Symantec Corp. | 1,682 | 55,186 | ||||||
Expedia, Inc. | 334 | 48,076 | ||||||
Omnicom Group, Inc. | 631 | 46,738 | ||||||
Level 3 Communications, Inc.* | 804 | 42,845 | ||||||
Motorola Solutions, Inc. | 445 | 37,767 | ||||||
DISH Network Corp. — Class A* | 623 | 33,785 | ||||||
Twenty-First Century Fox, Inc. — Class B | 1,202 | 31,000 | ||||||
Juniper Networks, Inc. | 1,041 | 28,971 | ||||||
CenturyLink, Inc.1 | 1,504 | 28,426 | ||||||
Viacom, Inc. — Class B | 966 | 26,893 | ||||||
VeriSign, Inc.* | 235 | 25,002 | ||||||
Scripps Networks Interactive, Inc. — Class A | 263 | 22,589 | ||||||
Interpublic Group of Companies, Inc. | 1,077 | 22,391 | ||||||
F5 Networks, Inc.* | 174 | 20,977 | ||||||
News Corp. — Class A | 1,046 | 13,870 | ||||||
TripAdvisor, Inc.*,1 | 296 | 11,997 | ||||||
Discovery Communications, Inc. — Class C* | 556 | 11,265 | ||||||
Discovery Communications, Inc. — Class A* | 421 | 8,963 | ||||||
News Corp. — Class B | 333 | 4,545 | ||||||
Total Communications | 7,965,558 | |||||||
Industrial - 5.4% | ||||||||
General Electric Co. | 23,700 | 573,067 | ||||||
Boeing Co. | 1,521 | 386,654 | ||||||
3M Co. | 1,633 | 342,767 | ||||||
Honeywell International, Inc. | 2,087 | 295,812 | ||||||
Union Pacific Corp. | 2,191 | 254,089 | ||||||
United Technologies Corp. | 2,033 | 235,991 | ||||||
United Parcel Service, Inc. — Class B | 1,885 | 226,370 | ||||||
Lockheed Martin Corp. | 686 | 212,859 | ||||||
Caterpillar, Inc. | 1,617 | 201,656 | ||||||
General Dynamics Corp. | 762 | 156,652 | ||||||
FedEx Corp. | 676 | 152,492 | ||||||
Raytheon Co. | 795 | 148,331 | ||||||
Northrop Grumman Corp. | 477 | 137,242 | ||||||
CSX Corp. | 2,500 | 135,650 | ||||||
Illinois Tool Works, Inc. | 847 | 125,322 | ||||||
Emerson Electric Co. | 1,751 | 110,033 | ||||||
Deere & Co.1 | 876 | 110,017 | ||||||
Norfolk Southern Corp. | 788 | 104,205 | ||||||
Johnson Controls International plc | 2,552 | 102,819 | ||||||
Eaton Corporation plc | 1,218 | 93,530 | ||||||
Waste Management, Inc. | 1,108 | 86,723 | ||||||
TE Connectivity Ltd. | 967 | 80,319 | ||||||
Corning, Inc. | 2,472 | 73,962 | ||||||
Cummins, Inc. | 431 | 72,421 | ||||||
Amphenol Corp. — Class A | 836 | 70,759 | ||||||
Roper Technologies, Inc. | 279 | 67,909 | ||||||
Parker-Hannifin Corp. | 364 | 63,707 | ||||||
Stanley Black & Decker, Inc. | 419 | 63,256 |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Rockwell Automation, Inc. | 351 | $ | 62,552 | |||||
Ingersoll-Rand plc | 694 | 61,884 | ||||||
Fortive Corp. | 835 | 59,110 | ||||||
Rockwell Collins, Inc. | 444 | 58,035 | ||||||
Agilent Technologies, Inc. | 880 | 56,496 | ||||||
Mettler-Toledo International, Inc.* | 70 | 43,831 | ||||||
Vulcan Materials Co. | 362 | 43,295 | ||||||
Harris Corp. | 327 | 43,059 | ||||||
AMETEK, Inc. | 632 | 41,737 | ||||||
Republic Services, Inc. — Class A | 627 | 41,420 | ||||||
L3 Technologies, Inc. | 214 | 40,324 | ||||||
Ball Corp. | 963 | 39,773 | ||||||
WestRock Co. | 695 | 39,427 | ||||||
Waters Corp.* | 219 | 39,315 | ||||||
Textron, Inc. | 725 | 39,063 | ||||||
Dover Corp. | 426 | 38,932 | ||||||
Martin Marietta Materials, Inc. | 172 | 35,472 | ||||||
Masco Corp. | 872 | 34,017 | ||||||
TransDigm Group, Inc. | 132 | 33,746 | ||||||
Kansas City Southern | 289 | 31,409 | ||||||
Xylem, Inc. | 491 | 30,751 | ||||||
Pentair plc | 452 | 30,718 | ||||||
Expeditors International of Washington, Inc. | 495 | 29,631 | ||||||
Packaging Corporation of America | 258 | 29,587 | ||||||
CH Robinson Worldwide, Inc. | 384 | 29,222 | ||||||
Fortune Brands Home & Security, Inc. | 421 | 28,304 | ||||||
Arconic, Inc. | 1,062 | 26,423 | ||||||
J.B. Hunt Transport Services, Inc. | 234 | 25,993 | ||||||
AO Smith Corp. | 401 | 23,831 | ||||||
Snap-on, Inc. | 158 | 23,544 | ||||||
Allegion plc | 260 | 22,482 | ||||||
Sealed Air Corp. | 520 | 22,214 | ||||||
PerkinElmer, Inc. | 302 | 20,829 | ||||||
Acuity Brands, Inc. | 114 | 19,526 | ||||||
Jacobs Engineering Group, Inc. | 329 | 19,171 | ||||||
Stericycle, Inc.* | 234 | 16,759 | ||||||
Garmin Ltd. | 304 | 16,407 | ||||||
Fluor Corp. | 382 | 16,082 | ||||||
Flowserve Corp. | 358 | 15,247 | ||||||
FLIR Systems, Inc. | 375 | 14,591 | ||||||
Total Industrial | 6,028,823 | |||||||
Consumer, Cyclical - 4.5% | ||||||||
Home Depot, Inc. | 3,227 | 527,807 | ||||||
McDonald’s Corp. | 2,217 | 347,359 | ||||||
Wal-Mart Stores, Inc. | 4,007 | 313,107 | ||||||
CVS Health Corp. | 2,782 | 226,232 | ||||||
Starbucks Corp. | 3,953 | 212,316 | ||||||
Costco Wholesale Corp. | 1,200 | 197,148 | ||||||
Walgreens Boots Alliance, Inc. | 2,519 | 194,517 | ||||||
NIKE, Inc. — Class B | 3,597 | 186,504 | ||||||
Lowe’s Companies, Inc. | 2,311 | 184,741 | ||||||
General Motors Co. | 3,590 | 144,964 | ||||||
TJX Companies, Inc. | 1,742 | 128,438 | ||||||
Ford Motor Co. | 10,706 | 128,151 | ||||||
Marriott International, Inc. — Class A | 856 | 94,383 | ||||||
Target Corp. | 1,495 | 88,220 | ||||||
Delta Air Lines, Inc. | 1,823 | 87,905 | ||||||
Southwest Airlines Co. | 1,507 | 84,362 | ||||||
Carnival Corp. | 1,116 | 72,061 | ||||||
Delphi Automotive plc | 730 | 71,832 | ||||||
PACCAR, Inc. | 961 | 69,519 | ||||||
Yum! Brands, Inc. | 944 | 69,488 | ||||||
Ross Stores, Inc. | 1,065 | 68,767 | ||||||
Dollar General Corp. | 713 | 57,789 | ||||||
Newell Brands, Inc. | 1,342 | 57,263 | ||||||
VF Corp. | 894 | 56,832 | ||||||
American Airlines Group, Inc. | 1,186 | 56,323 | ||||||
Dollar Tree, Inc.* | 648 | 56,259 | ||||||
Royal Caribbean Cruises Ltd. | 471 | 55,832 | ||||||
O’Reilly Automotive, Inc.* | 241 | 51,904 | ||||||
MGM Resorts International | 1,417 | 46,180 | ||||||
AutoZone, Inc.* | 76 | 45,228 | ||||||
United Continental Holdings, Inc.* | 708 | 43,103 | ||||||
Mohawk Industries, Inc.* | 173 | 42,819 | ||||||
Best Buy Company, Inc. | 726 | 41,353 | ||||||
Hilton Worldwide Holdings, Inc. | 559 | 38,823 | ||||||
Genuine Parts Co. | 402 | 38,451 | ||||||
CarMax, Inc.* | 502 | 38,057 | ||||||
DR Horton, Inc. | 931 | 37,174 | ||||||
Whirlpool Corp. | 200 | 36,888 | ||||||
Ulta Beauty, Inc.* | 160 | 36,170 | ||||||
Fastenal Co. | 788 | 35,917 | ||||||
Wynn Resorts Ltd. | 219 | 32,613 | ||||||
Coach, Inc. | 773 | 31,136 | ||||||
LKQ Corp.* | 845 | 30,412 | ||||||
Hasbro, Inc. | 311 | 30,376 | ||||||
Wyndham Worldwide Corp. | 281 | 29,620 | ||||||
Lennar Corp. — Class A | 556 | 29,357 | ||||||
L Brands, Inc. | 683 | 28,420 | ||||||
BorgWarner, Inc. | 543 | 27,818 | ||||||
Darden Restaurants, Inc. | 343 | 27,022 | ||||||
PVH Corp. | 211 | 26,599 | ||||||
Alaska Air Group, Inc. | 338 | 25,779 | ||||||
WW Grainger, Inc. | 143 | 25,704 | ||||||
Tiffany & Co. | 279 | 25,607 | ||||||
Hanesbrands, Inc. | 998 | 24,591 | ||||||
Goodyear Tire & Rubber Co. | 689 | 22,909 | ||||||
Harley-Davidson, Inc. | 467 | 22,514 | ||||||
Tractor Supply Co. | 347 | 21,962 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 69 | 21,240 | ||||||
Kohl’s Corp. | 461 | 21,045 | ||||||
PulteGroup, Inc. | 760 | 20,771 | ||||||
Advance Auto Parts, Inc. | 202 | 20,038 | ||||||
Michael Kors Holdings Ltd.* | 415 | 19,858 | ||||||
Macy’s, Inc. | 834 | 18,198 | ||||||
Gap, Inc. | 601 | 17,748 | ||||||
Leggett & Platt, Inc. | 362 | 17,278 | ||||||
Nordstrom, Inc. | 318 | 14,994 | ||||||
Mattel, Inc.1 | 938 | 14,520 | ||||||
Ralph Lauren Corp. — Class A | 152 | 13,420 | ||||||
Foot Locker, Inc. | 359 | 12,644 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NOVA FUND |
Shares | Value | |||||||
Signet Jewelers Ltd.1 | 166 | $ | 11,047 | |||||
Under Armour, Inc. — Class A*,1 | 506 | 8,339 | ||||||
Under Armour, Inc. — Class C*,1 | 510 | 7,660 | ||||||
Total Consumer, Cyclical | 5,071,425 | |||||||
Energy - 3.2% | ||||||||
Exxon Mobil Corp. | 11,599 | 950,885 | ||||||
Chevron Corp. | 5,187 | 609,472 | ||||||
Schlumberger Ltd. | 3,803 | 265,298 | ||||||
ConocoPhillips | 3,331 | 166,717 | ||||||
EOG Resources, Inc. | 1,581 | 152,946 | ||||||
Occidental Petroleum Corp. | 2,092 | 134,327 | ||||||
Halliburton Co. | 2,376 | 109,367 | ||||||
Phillips 66 | 1,176 | 107,733 | ||||||
Kinder Morgan, Inc. | 5,255 | 100,791 | ||||||
Valero Energy Corp. | 1,208 | 92,931 | ||||||
Marathon Petroleum Corp. | 1,385 | 77,671 | ||||||
Anadarko Petroleum Corp. | 1,534 | 74,936 | ||||||
Pioneer Natural Resources Co. | 466 | 68,754 | ||||||
Williams Companies, Inc. | 2,262 | 67,883 | ||||||
ONEOK, Inc. | 1,039 | 57,571 | ||||||
Concho Resources, Inc.* | 406 | 53,478 | ||||||
Devon Energy Corp. | 1,439 | 52,826 | ||||||
Apache Corp. | 1,043 | 47,769 | ||||||
Baker Hughes a GE Co. | 1,171 | 42,882 | ||||||
Andeavor | 395 | 40,744 | ||||||
Noble Energy, Inc. | 1,331 | 37,747 | ||||||
National Oilwell Varco, Inc. | 1,040 | 37,159 | ||||||
Hess Corp. | 739 | 34,652 | ||||||
Cabot Oil & Gas Corp. — Class A | 1,265 | 33,839 | ||||||
TechnipFMC plc* | 1,202 | 33,560 | ||||||
Marathon Oil Corp. | 2,326 | 31,541 | ||||||
Equities Corp. | 474 | 30,924 | ||||||
Cimarex Energy Co. | 261 | 29,668 | ||||||
Newfield Exploration Co.* | 545 | 16,170 | ||||||
Helmerich & Payne, Inc.1 | 297 | 15,477 | ||||||
Range Resources Corp. | 618 | 12,094 | ||||||
Chesapeake Energy Corp.*,1 | 2,486 | 10,690 | ||||||
Total Energy | 3,598,502 | |||||||
Utilities - 1.6% | ||||||||
NextEra Energy, Inc. | 1,282 | 187,876 | ||||||
Duke Energy Corp. | 1,916 | 160,790 | ||||||
Dominion Energy, Inc. | 1,759 | 135,319 | ||||||
Southern Co. | 2,736 | 134,447 | ||||||
Exelon Corp. | 2,627 | 98,959 | ||||||
PG&E Corp. | 1,404 | 95,598 | ||||||
American Electric Power Company, Inc. | 1,346 | 94,543 | ||||||
Sempra Energy | 687 | 78,408 | ||||||
PPL Corp. | 1,870 | 70,967 | ||||||
Edison International | 892 | 68,836 | ||||||
Consolidated Edison, Inc. | 848 | 68,417 | ||||||
Xcel Energy, Inc. | 1,390 | 65,775 | ||||||
Public Service Enterprise Group, Inc. | 1,384 | 64,010 | ||||||
WEC Energy Group, Inc. | 864 | 54,242 | ||||||
DTE Energy Co. | 491 | 52,714 | ||||||
Eversource Energy | 867 | 52,401 | ||||||
American Water Works Company, Inc. | 488 | 39,484 | ||||||
Ameren Corp. | 664 | 38,406 | ||||||
Entergy Corp. | 491 | 37,493 | ||||||
FirstEnergy Corp. | 1,216 | 37,489 | ||||||
CMS Energy Corp. | 772 | 35,759 | ||||||
CenterPoint Energy, Inc. | 1,180 | 34,468 | ||||||
Alliant Energy Corp. | 633 | 26,314 | ||||||
Pinnacle West Capital Corp. | 305 | 25,791 | ||||||
NiSource, Inc. | 892 | 22,826 | ||||||
NRG Energy, Inc. | 823 | 21,061 | ||||||
AES Corp. | 1,807 | 19,913 | ||||||
SCANA Corp. | 391 | 18,960 | ||||||
Total Utilities | 1,841,266 | |||||||
Basic Materials - 1.3% | ||||||||
DowDuPont, Inc. | 6,387 | 442,171 | ||||||
Monsanto Co. | 1,202 | 144,024 | ||||||
Praxair, Inc. | 783 | 109,416 | ||||||
Air Products & Chemicals, Inc. | 596 | 90,127 | ||||||
LyondellBasell Industries N.V. — Class A | 888 | 87,956 | ||||||
Sherwin-Williams Co. | 225 | 80,559 | ||||||
PPG Industries, Inc. | 702 | 76,279 | ||||||
International Paper Co. | 1,130 | 64,207 | ||||||
Newmont Mining Corp. | 1,460 | 54,765 | ||||||
Freeport-McMoRan, Inc.* | 3,683 | 51,709 | ||||||
Nucor Corp. | 874 | 48,979 | ||||||
Albemarle Corp. | 302 | 41,166 | ||||||
Eastman Chemical Co. | 397 | 35,925 | ||||||
FMC Corp. | 367 | 32,777 | ||||||
International Flavors & Fragrances, Inc. | 216 | 30,869 | ||||||
CF Industries Holdings, Inc. | 638 | 22,432 | ||||||
Mosaic Co. | 961 | 20,748 | ||||||
Total Basic Materials | 1,434,109 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 867 | 21,892 | ||||||
Total Common Stocks | ||||||||
(Cost $54,202,809) | 59,060,856 | |||||||
MUTUAL FUNDS† - 28.0% | ||||||||
Guggenheim Strategy Fund II2 | 498,440 | 12,490,895 | ||||||
Guggenheim Strategy Fund I2 | 474,053 | 11,903,479 | ||||||
Guggenheim Strategy Fund III2 | 279,864 | 7,007,796 | ||||||
Total Mutual Funds | ||||||||
(Cost $31,171,091) | 31,402,170 | |||||||
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 4.5% | ||||||||
Freddie Mac3 | ||||||||
1.12% due 01/26/224 | $ | 5,000,000 | 4,996,440 | |||||
Total Federal Agency Notes | ||||||||
(Cost $5,000,000) | 4,996,440 |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NOVA FUND |
Face Amount | Value | |||||||
U.S. TREASURY BILLS†† - 1.3% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/175,6 | $ | 500,000 | $ | 499,029 | ||||
1.05% due 12/14/175,6 | 500,000 | 499,030 | ||||||
1.01% due 12/28/175,6,7 | 500,000 | 498,734 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,496,572) | 1,496,793 | |||||||
REPURCHASE AGREEMENTS††,8 - 11.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/177 | 6,497,395 | 6,497,395 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/177 | 3,248,698 | 3,248,698 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/177 | 2,403,705 | 2,403,705 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 762,529 | 762,529 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 79,972 | 79,972 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $12,992,299) | 12,992,299 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,9 - 0.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%10 | 210,703 | 210,703 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $210,703) | 210,703 | |||||||
Total Investments - 98.1% | ||||||||
(Cost $105,073,474) | $ | 110,159,261 | ||||||
Other Assets & Liabilities, net - 1.9% | 2,101,350 | |||||||
Total Net Assets - 100.0% | $ | 112,260,611 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Goldman Sachs International | S&P 500 Index | 1.70 | % | At Maturity | 10/27/17 | 11,732 | $ | 29,558,256 | $ | 264,643 | ||||||||
BNP Paribas | S&P 500 Index | 1.69 | % | At Maturity | 10/30/17 | 15,775 | 39,743,881 | 194,252 | ||||||||||
Barclays Bank plc | S&P 500 Index | 1.65 | % | At Maturity | 10/31/17 | 15,871 | 39,985,190 | 143,204 | ||||||||||
$ | 109,287,327 | $ | 602,099 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Affiliated issuer. |
3 | 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. |
4 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
8 | Repurchase Agreements — See Note 6. |
9 | Securities lending collateral — See Note 7. |
10 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investments Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
NOVA FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 59,060,856 | $ | — | $ | — | $ | — | $ | — | $ | 59,060,856 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 602,099 | — | 602,099 | ||||||||||||||||||
Federal Agency Notes | — | — | 4,996,440 | — | — | 4,996,440 | ||||||||||||||||||
Mutual Funds | 31,402,170 | — | — | — | — | 31,402,170 | ||||||||||||||||||
Repurchase Agreements | — | — | 12,992,299 | — | — | 12,992,299 | ||||||||||||||||||
Securities Lending Collateral | 210,703 | — | — | — | — | 210,703 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 1,496,793 | — | — | 1,496,793 | ||||||||||||||||||
Total Assets | $ | 90,673,729 | $ | — | $ | 19,485,532 | $ | 602,099 | $ | — | $ | 110,761,360 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 12,473,562 | $ | 299,998 | $ | (900,000 | ) | $ | 2,267 | $ | 27,652 | $ | 11,903,479 | 474,053 | $ | 112,416 | ||||||||||||||||
Guggenheim Strategy Fund II | 12,060,988 | 400,001 | — | — | 29,906 | 12,490,895 | 498,440 | 140,114 | ||||||||||||||||||||||||
Guggenheim Strategy Fund III | — | 7,000,000 | — | — | 7,796 | 7,007,796 | 279,864 | 89,221 | ||||||||||||||||||||||||
$ | 24,534,550 | $ | 7,699,999 | $ | (900,000 | ) | $ | 2,267 | $ | 65,354 | $ | 31,402,170 | $ | 341,751 |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $206,799 of securities loaned (cost $60,910,084) | $ | 65,764,792 | ||
Investments in affiliated issuers, at value (cost $31,171,091) | $ | 31,402,170 | ||
Repurchase agreements, at value (cost $12,992,299) | 12,992,299 | |||
Cash | 500 | |||
Segregated cash with broker | 1,882,403 | |||
Unrealized appreciation on swap agreements | 602,099 | |||
Receivables: | ||||
Fund shares sold | 129,428 | |||
Dividends | 112,319 | |||
Interest | 10,880 | |||
Securities lending income | 76 | |||
Swap settlement | 73 | |||
Total assets | 112,897,039 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 220,177 | |||
Return of securities loaned | 210,703 | |||
Management fees | 80,780 | |||
Transfer agent and administrative fees | 26,927 | |||
Distribution and service fees | 14,027 | |||
Portfolio accounting fees | 10,564 | |||
Miscellaneous | 73,250 | |||
Total liabilities | 636,428 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 112,260,611 | ||
Net assets consist of: | ||||
Paid in capital | $ | 84,443,335 | ||
Undistributed net investment income | 604,704 | |||
Accumulated net realized gain on investments | 21,524,686 | |||
Net unrealized appreciation on investments | 5,687,886 | |||
Net assets | $ | 112,260,611 | ||
Investor Class: | ||||
Net assets | $ | 79,251,545 | ||
Capital shares outstanding | 1,193,035 | |||
Net asset value per share | $ | 66.43 | ||
A-Class: | ||||
Net assets | $ | 3,291,493 | ||
Capital shares outstanding | 53,171 | |||
Net asset value per share | $ | 61.90 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 64.99 | ||
C-Class: | ||||
Net assets | $ | 10,222,982 | ||
Capital shares outstanding | 183,894 | |||
Net asset value per share | $ | 55.59 | ||
H-Class: | ||||
Net assets | $ | 19,494,591 | ||
Capital shares outstanding | 314,515 | |||
Net asset value per share | $ | 61.98 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
NOVA FUND |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 1,161,364 | ||
Dividends from securities of affiliated issuers | 341,751 | |||
Interest | 170,926 | |||
Income from securities lending, net | 567 | |||
Total investment income | 1,674,608 | |||
Expenses: | ||||
Management fees | 648,564 | |||
Distribution and service fees: | ||||
A-Class | 12,120 | |||
C-Class | 50,044 | |||
H-Class | 32,853 | |||
Transfer agent and administrative fees | 216,188 | |||
Registration fees | 108,109 | |||
Portfolio accounting fees | 82,951 | |||
Custodian fees | 11,747 | |||
Trustees’ fees* | 6,756 | |||
Line of credit fees | 1,121 | |||
Miscellaneous | 41,302 | |||
Total expenses | 1,211,755 | |||
Net investment income | 462,853 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 787,571 | ||
Investments in affiliated issuers | 2,267 | |||
Swap agreements | 12,283,082 | |||
Futures contracts | 2,277,810 | |||
Net realized gain | 15,350,730 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3,214,549 | |||
Investments in affiliated issuers | 65,354 | |||
Swap agreements | 615,665 | |||
Futures contracts | (132,837 | ) | ||
Net change in unrealized appreciation (depreciation) | 3,762,731 | |||
Net realized and unrealized gain | 19,113,461 | |||
Net increase in net assets resulting from operations | $ | 19,576,314 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 462,853 | $ | 141,851 | ||||
Net realized gain on investments | 15,350,730 | 68,962,667 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 3,762,731 | (20,720,659 | ) | |||||
Net increase in net assets resulting from operations | 19,576,314 | 48,383,859 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | — | (28,278 | ) | |||||
A-Class | — | (2,002 | ) | |||||
C-Class | — | (4,396 | ) | |||||
H-Class | — | (1,346 | ) | |||||
Net realized gains | ||||||||
Investor Class | — | (899,670 | ) | |||||
A-Class | — | (63,689 | ) | |||||
C-Class | — | (139,858 | ) | |||||
H-Class | — | (42,826 | ) | |||||
Total distributions to shareholders | — | (1,182,065 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 2,092,563,669 | 3,038,362,973 | ||||||
A-Class | 262,168,167 | 195,568,022 | ||||||
C-Class | 637,088 | 2,393,360 | ||||||
H-Class | 340,460,162 | 578,220,052 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 871,266 | ||||||
A-Class | — | 64,676 | ||||||
C-Class | — | 143,560 | ||||||
H-Class | — | 44,161 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (2,106,482,075 | ) | (3,164,196,094 | ) | ||||
A-Class | (263,656,902 | ) | (207,737,340 | ) | ||||
C-Class | (1,031,348 | ) | (5,741,761 | ) | ||||
H-Class | (341,425,012 | ) | (579,218,274 | ) | ||||
Net decrease from capital share transactions | (16,766,251 | ) | (141,225,399 | ) | ||||
Net increase (decrease) in net assets | 2,810,063 | (94,023,605 | ) | |||||
Net assets: | ||||||||
Beginning of period | 109,450,548 | 203,474,153 | ||||||
End of period | $ | 112,260,611 | $ | 109,450,548 | ||||
Undistributed net investment income at end of period | $ | 604,704 | $ | 141,851 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
NOVA FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 33,311,004 | 55,401,102 | ||||||
A-Class | 4,473,614 | 3,848,301 | ||||||
C-Class | 12,398 | 52,915 | ||||||
H-Class | 5,815,960 | 11,361,682 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 16,298 | ||||||
A-Class | — | 1,294 | ||||||
C-Class | — | 3,182 | ||||||
H-Class | — | 884 | ||||||
Shares redeemed | ||||||||
Investor Class | (33,423,761 | ) | (57,463,068 | ) | ||||
A-Class | (4,483,243 | ) | (4,082,490 | ) | ||||
C-Class | (19,837 | ) | (129,677 | ) | ||||
H-Class | (5,816,962 | ) | (11,349,648 | ) | ||||
Net decrease in shares | (130,827 | ) | (2,339,225 | ) |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.14 | $ | 49.18 | $ | 49.42 | $ | 42.15 | $ | 32.05 | $ | 26.82 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .08 | .07 | .14 | .14 | .05 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.08 | 11.56 | (.25 | ) | 7.18 | 9.96 | 5.21 | |||||||||||||||||
Total from investment operations | 6.29 | 11.64 | (.18 | ) | 7.32 | 10.10 | 5.26 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.02 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net realized gains | — | (.66 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.68 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net asset value, end of period | $ | 66.43 | $ | 60.14 | $ | 49.18 | $ | 49.42 | $ | 42.15 | $ | 32.05 | ||||||||||||
Total Returnc | 10.46 | % | 23.84 | % | (0.36 | %) | 17.36 | % | 31.51 | % | 19.62 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 79,252 | $ | 78,531 | $ | 164,820 | $ | 136,800 | $ | 103,254 | $ | 52,785 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.66 | % | 0.15 | % | 0.14 | % | 0.31 | % | 0.37 | % | 0.20 | % | ||||||||||||
Total expensesd | 1.29 | % | 1.28 | % | 1.25 | % | 1.27 | % | 1.28 | % | 1.26 | % | ||||||||||||
Portfolio turnover rate | 1,445 | % | 1,288 | % | 619 | % | 403 | % | 259 | % | 137 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 56.18 | $ | 46.08 | $ | 46.40 | $ | 39.67 | $ | 30.23 | $ | 25.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .16 | (.02 | ) | (.05 | ) | .02 | .05 | (.01 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.56 | 10.80 | (.21 | ) | 6.76 | 9.39 | 4.89 | |||||||||||||||||
Total from investment operations | 5.72 | 10.78 | (.26 | ) | 6.78 | 9.44 | 4.88 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.02 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net realized gains | — | (.66 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.68 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net asset value, end of period | $ | 61.90 | $ | 56.18 | $ | 46.08 | $ | 46.40 | $ | 39.67 | $ | 30.23 | ||||||||||||
Total Returnc | 10.18 | % | 23.57 | % | (0.56 | %) | 17.09 | % | 31.23 | % | 19.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,291 | $ | 3,528 | $ | 13,626 | $ | 3,930 | $ | 1,237 | $ | 1,189 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.55 | % | (0.05 | %) | (0.11 | %) | 0.05 | % | 0.14 | % | (0.04 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.53 | % | 1.51 | % | 1.52 | % | 1.53 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 1,445 | % | 1,288 | % | 619 | % | 403 | % | 259 | % | 137 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.57 | $ | 41.86 | $ | 42.50 | $ | 36.62 | $ | 28.11 | $ | 23.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.40 | ) | (.34 | ) | (.28 | ) | (.20 | ) | (.19 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.15 | 9.79 | (.24 | ) | 6.21 | 8.71 | 4.56 | |||||||||||||||||
Total from investment operations | 5.02 | 9.39 | (.58 | ) | 5.93 | 8.51 | 4.37 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.02 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net realized gains | — | (.66 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.68 | ) | (.06 | ) | (.05 | ) | — | (.03 | ) | ||||||||||||||
Net asset value, end of period | $ | 55.59 | $ | 50.57 | $ | 41.86 | $ | 42.50 | $ | 36.62 | $ | 28.11 | ||||||||||||
Total Returnc | 9.95 | % | 22.60 | % | (1.36 | %) | 16.19 | % | 30.27 | % | 18.39 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,223 | $ | 9,676 | $ | 11,090 | $ | 11,993 | $ | 10,394 | $ | 8,705 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.51 | %) | (0.89 | %) | (0.83 | %) | (0.70 | %) | (0.62 | %) | (0.79 | %) | ||||||||||||
Total expensesd | 2.29 | % | 2.27 | % | 2.26 | % | 2.27 | % | 2.28 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | 1,445 | % | 1,288 | % | 619 | % | 403 | % | 259 | % | 137 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 28, 2015e | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 56.15 | $ | 46.06 | $ | 46.40 | $ | 44.40 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | .09 | (.07 | ) | (.06 | ) | .02 | ||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.74 | 10.84 | (.22 | ) | 2.03 | |||||||||||
Total from investment operations | 5.83 | 10.77 | (.28 | ) | 2.05 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | — | (.02 | ) | (.06 | ) | (.05 | ) | |||||||||
Net realized gains | — | (.66 | ) | — | — | |||||||||||
Total distributions | — | (.68 | ) | (.06 | ) | (.05 | ) | |||||||||
Net asset value, end of period | $ | 61.98 | $ | 56.15 | $ | 46.06 | $ | 46.40 | ||||||||
Total Returnc | 10.38 | % | 23.56 | % | (0.60 | %) | 4.61 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,495 | $ | 17,716 | $ | 13,938 | $ | 1,692 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 0.31 | % | (0.15 | %) | (0.14 | %) | 0.08 | % | ||||||||
Total expensesd | 1.54 | % | 1.52 | % | 1.51 | % | 1.51 | % | ||||||||
Portfolio turnover rate | 1,445 | % | 1,288 | % | 619 | % | 403 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate stated is for the entire period of the Fund, not since the commencement of operations of the Class. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P 500® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028137_27.jpg)
“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. | 3.1% |
Microsoft Corp. | 2.2% |
Facebook, Inc. — Class A | 1.6% |
Amazon.com, Inc. | 1.5% |
Berkshire Hathaway, Inc. — Class B | 1.4% |
Johnson & Johnson | 1.4% |
Exxon Mobil Corp. | 1.3% |
JPMorgan Chase & Co. | 1.3% |
Alphabet, Inc. — Class A | 1.1% |
Alphabet, Inc. — Class C | 1.1% |
Top Ten Total | 16.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 6.83% | 16.63% | 12.34% | 5.97% |
A-Class Shares with sales charge‡ | 1.76% | 11.09% | 11.25% | 5.45% |
C-Class Shares | 6.42% | 15.77% | 11.49% | 5.14% |
C-Class Shares with CDSC§ | 5.42% | 14.77% | 11.49% | 5.14% |
H-Class Shares | 6.83% | 16.66% | 12.33% | 5.98% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P 500® FUND |
Shares | Value | |||||||
COMMON STOCKS† - 83.4% | ||||||||
Consumer, Non-cyclical - 18.8% | ||||||||
Johnson & Johnson | 25,165 | $ | 3,271,701 | |||||
Procter & Gamble Co. | 23,909 | 2,175,241 | ||||||
Pfizer, Inc. | 55,955 | 1,997,593 | ||||||
UnitedHealth Group, Inc. | 9,065 | 1,775,381 | ||||||
Merck & Company, Inc. | 25,644 | 1,641,985 | ||||||
Coca-Cola Co. | 35,993 | 1,620,046 | ||||||
Philip Morris International, Inc. | 14,563 | 1,616,638 | ||||||
PepsiCo, Inc. | 13,394 | 1,492,493 | ||||||
AbbVie, Inc. | 14,946 | 1,328,102 | ||||||
Amgen, Inc. | 6,841 | 1,275,504 | ||||||
Altria Group, Inc. | 17,988 | 1,140,799 | ||||||
Celgene Corp.* | 7,335 | 1,069,590 | ||||||
Gilead Sciences, Inc. | 12,244 | 992,009 | ||||||
Medtronic plc | 12,701 | 987,756 | ||||||
Bristol-Myers Squibb Co. | 15,377 | 980,130 | ||||||
Abbott Laboratories | 16,290 | 869,234 | ||||||
Eli Lilly & Co. | 9,084 | 777,045 | ||||||
Thermo Fisher Scientific, Inc. | 3,752 | 709,878 | ||||||
PayPal Holdings, Inc.* | 10,598 | 678,591 | ||||||
Allergan plc | 3,134 | 642,313 | ||||||
Biogen, Inc.* | 1,982 | 620,604 | ||||||
Colgate-Palmolive Co. | 8,259 | 601,668 | ||||||
Mondelez International, Inc. — Class A | 14,136 | 574,771 | ||||||
Aetna, Inc. | 3,110 | 494,522 | ||||||
Danaher Corp. | 5,732 | 491,691 | ||||||
Anthem, Inc. | 2,462 | 467,485 | ||||||
Automatic Data Processing, Inc. | 4,167 | 455,536 | ||||||
Cigna Corp. | 2,360 | 441,178 | ||||||
Kraft Heinz Co. | 5,597 | 434,047 | ||||||
Stryker Corp. | 3,016 | 428,332 | ||||||
Becton Dickinson and Co. | 2,134 | 418,157 | ||||||
Kimberly-Clark Corp. | 3,313 | 389,874 | ||||||
S&P Global, Inc. | 2,410 | 376,707 | ||||||
Boston Scientific Corp.* | 12,865 | 375,272 | ||||||
Intuitive Surgical, Inc.* | 350 | 366,058 | ||||||
Vertex Pharmaceuticals, Inc.* | 2,363 | 359,271 | ||||||
Express Scripts Holding Co.* | 5,415 | 342,878 | ||||||
Humana, Inc. | 1,355 | 330,119 | ||||||
Regeneron Pharmaceuticals, Inc.* | 720 | 321,926 | ||||||
Constellation Brands, Inc. — Class A | 1,612 | 321,513 | ||||||
Ecolab, Inc. | 2,442 | 314,066 | ||||||
McKesson Corp. | 1,972 | 302,919 | ||||||
Baxter International, Inc. | 4,700 | 294,925 | ||||||
Alexion Pharmaceuticals, Inc.* | 2,093 | 293,627 | ||||||
Zoetis, Inc. | 4,601 | 293,360 | ||||||
General Mills, Inc. | 5,411 | 280,073 | ||||||
Illumina, Inc.* | 1,369 | 272,705 | ||||||
Sysco Corp. | 4,553 | 245,634 | ||||||
Estee Lauder Companies, Inc. — Class A | 2,099 | 226,356 | ||||||
Archer-Daniels-Midland Co. | 5,274 | 224,198 | ||||||
Zimmer Biomet Holdings, Inc. | 1,896 | 222,003 | ||||||
CR Bard, Inc. | 681 | 218,261 | ||||||
Moody’s Corp. | 1,558 | 216,889 | ||||||
Edwards Lifesciences Corp.* | 1,980 | 216,434 | ||||||
HCA Healthcare, Inc.* | 2,709 | 215,609 | ||||||
Monster Beverage Corp.* | 3,889 | 214,867 | ||||||
Cardinal Health, Inc. | 2,967 | 198,552 | ||||||
Tyson Foods, Inc. — Class A | 2,712 | 191,060 | ||||||
Incyte Corp.* | 1,600 | 186,784 | ||||||
Kroger Co. | 8,414 | 168,785 | ||||||
Clorox Co. | 1,210 | 159,611 | ||||||
Mylan N.V.* | 5,028 | 157,728 | ||||||
Centene Corp.* | 1,617 | 156,477 | ||||||
Dr Pepper Snapple Group, Inc. | 1,704 | 150,753 | ||||||
IHS Markit Ltd.* | 3,406 | 150,136 | ||||||
Kellogg Co. | 2,330 | 145,322 | ||||||
Hershey Co. | 1,324 | 144,541 | ||||||
Laboratory Corporation of America Holdings* | 954 | 144,025 | ||||||
Molson Coors Brewing Co. — Class B | 1,731 | 141,319 | ||||||
Global Payments, Inc. | 1,429 | 135,798 | ||||||
Quintiles IMS Holdings, Inc.* | 1,421 | 135,094 | ||||||
Conagra Brands, Inc. | 3,897 | 131,485 | ||||||
Nielsen Holdings plc | 3,149 | 130,526 | ||||||
Dentsply Sirona, Inc. | 2,151 | 128,651 | ||||||
IDEXX Laboratories, Inc.* | 818 | 127,191 | ||||||
Align Technology, Inc.* | 676 | 125,919 | ||||||
AmerisourceBergen Corp. — Class A | 1,520 | 125,780 | ||||||
Henry Schein, Inc.* | 1,488 | 122,001 | ||||||
Verisk Analytics, Inc. — Class A* | 1,457 | 121,208 | ||||||
Quest Diagnostics, Inc. | 1,279 | 119,766 | ||||||
Equifax, Inc. | 1,129 | 119,663 | ||||||
Cintas Corp. | 801 | 115,568 | ||||||
McCormick & Company, Inc. | 1,114 | 114,341 | ||||||
Church & Dwight Company, Inc. | 2,338 | 113,276 | ||||||
JM Smucker Co. | 1,065 | 111,750 | ||||||
United Rentals, Inc.*,1 | 792 | 109,882 | ||||||
Cooper Companies, Inc. | 458 | 108,596 | ||||||
Gartner, Inc.* | 849 | 105,624 | ||||||
Perrigo Company plc | 1,244 | 105,305 | ||||||
Total System Services, Inc. | 1,572 | 102,966 | ||||||
ResMed, Inc. | 1,333 | 102,588 | ||||||
Brown-Forman Corp. — Class B | 1,836 | 99,695 | ||||||
Hologic, Inc.* | 2,629 | 96,458 | ||||||
Universal Health Services, Inc. — Class B | 828 | 91,858 | ||||||
Varian Medical Systems, Inc.* | 861 | 86,152 | ||||||
Campbell Soup Co. | 1,819 | 85,166 | ||||||
DaVita, Inc.* | 1,434 | 85,165 | ||||||
Western Union Co. | 4,351 | 83,539 | ||||||
Avery Dennison Corp. | 828 | 81,426 | ||||||
Hormel Foods Corp. | 2,527 | 81,218 | ||||||
Coty, Inc. — Class A | 4,423 | 73,112 | ||||||
Robert Half International, Inc. | 1,183 | 59,552 | ||||||
Quanta Services, Inc.* | 1,417 | 52,953 | ||||||
H&R Block, Inc. | 1,960 | 51,901 | ||||||
Envision Healthcare Corp.* | 1,133 | 50,928 | ||||||
Patterson Companies, Inc. | 772 | 29,838 | ||||||
Total Consumer, Non-cyclical | 45,522,596 |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® FUND |
Shares | Value | |||||||
Financial - 15.7% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 18,042 | $ | 3,307,458 | |||||
JPMorgan Chase & Co. | 32,993 | 3,151,162 | ||||||
Bank of America Corp. | 91,998 | 2,331,230 | ||||||
Wells Fargo & Co. | 41,889 | 2,310,178 | ||||||
Citigroup, Inc. | 25,545 | 1,858,143 | ||||||
Visa, Inc. — Class A | 17,152 | 1,805,076 | ||||||
Mastercard, Inc. — Class A | 8,755 | 1,236,206 | ||||||
Goldman Sachs Group, Inc. | 3,374 | 800,279 | ||||||
U.S. Bancorp | 14,900 | 798,491 | ||||||
Morgan Stanley | 13,260 | 638,734 | ||||||
American Express Co. | 6,879 | 622,274 | ||||||
Chubb Ltd. | 4,363 | 621,946 | ||||||
PNC Financial Services Group, Inc. | 4,493 | 605,522 | ||||||
American Tower Corp. — Class A REIT | 4,024 | 550,000 | ||||||
American International Group, Inc. | 8,470 | 519,973 | ||||||
BlackRock, Inc. — Class A | 1,162 | 519,519 | ||||||
MetLife, Inc. | 9,966 | 517,734 | ||||||
Bank of New York Mellon Corp. | 9,687 | 513,605 | ||||||
Charles Schwab Corp. | 11,174 | 488,751 | ||||||
Simon Property Group, Inc. REIT1 | 2,915 | 469,344 | ||||||
CME Group, Inc. — Class A | 3,187 | 432,412 | ||||||
Prudential Financial, Inc. | 4,004 | 425,705 | ||||||
Marsh & McLennan Companies, Inc. | 4,806 | 402,791 | ||||||
Capital One Financial Corp. | 4,535 | 383,933 | ||||||
Crown Castle International Corp. REIT | 3,809 | 380,824 | ||||||
Intercontinental Exchange, Inc. | 5,517 | 379,018 | ||||||
BB&T Corp. | 7,577 | 355,664 | ||||||
Aon plc | 2,385 | 348,449 | ||||||
State Street Corp. | 3,506 | 334,963 | ||||||
Equinix, Inc. REIT | 731 | 326,245 | ||||||
Travelers Companies, Inc. | 2,587 | 316,959 | ||||||
Prologis, Inc. REIT | 4,987 | 316,475 | ||||||
Allstate Corp. | 3,388 | 311,391 | ||||||
Aflac, Inc. | 3,705 | 301,550 | ||||||
Public Storage REIT | 1,403 | 300,228 | ||||||
SunTrust Banks, Inc. | 4,499 | 268,905 | ||||||
Progressive Corp. | 5,456 | 264,180 | ||||||
Welltower, Inc. REIT | 3,459 | 243,099 | ||||||
Weyerhaeuser Co. REIT | 7,060 | 240,252 | ||||||
AvalonBay Communities, Inc. REIT | 1,295 | 231,054 | ||||||
M&T Bank Corp. | 1,424 | 229,321 | ||||||
Digital Realty Trust, Inc. REIT | 1,919 | 227,075 | ||||||
Equity Residential REIT | 3,443 | 226,997 | ||||||
Discover Financial Services | 3,491 | 225,100 | ||||||
Synchrony Financial | 7,009 | 217,629 | ||||||
Ventas, Inc. REIT | 3,339 | 217,469 | ||||||
Ameriprise Financial, Inc. | 1,406 | 208,805 | ||||||
T. Rowe Price Group, Inc. | 2,254 | 204,325 | ||||||
Willis Towers Watson plc | 1,259 | 194,176 | ||||||
Fifth Third Bancorp | 6,907 | 193,258 | ||||||
KeyCorp | 10,197 | 191,908 | ||||||
Hartford Financial Services Group, Inc. | 3,416 | 189,349 | ||||||
Northern Trust Corp. | 2,012 | 184,963 | ||||||
Boston Properties, Inc. REIT | 1,447 | 177,807 | ||||||
Citizens Financial Group, Inc. | 4,694 | 177,762 | ||||||
Regions Financial Corp. | 11,206 | 170,667 | ||||||
SBA Communications Corp. REIT* | 1,129 | 162,632 | ||||||
Principal Financial Group, Inc. | 2,520 | 162,137 | ||||||
Essex Property Trust, Inc. REIT | 619 | 157,245 | ||||||
Lincoln National Corp. | 2,077 | 152,618 | ||||||
Realty Income Corp. REIT | 2,570 | 146,978 | ||||||
Huntington Bancshares, Inc. | 10,220 | 142,671 | ||||||
Franklin Resources, Inc. | 3,085 | 137,313 | ||||||
Invesco Ltd. | 3,815 | 133,678 | ||||||
Host Hotels & Resorts, Inc. REIT | 6,939 | 128,302 | ||||||
Comerica, Inc. | 1,649 | 125,753 | ||||||
Vornado Realty Trust REIT | 1,616 | 124,238 | ||||||
Loews Corp. | 2,588 | 123,862 | ||||||
HCP, Inc. REIT | 4,397 | 122,369 | ||||||
GGP, Inc. REIT | 5,872 | 121,961 | ||||||
Mid-America Apartment Communities, Inc. REIT | 1,065 | 113,827 | ||||||
CBOE Holdings, Inc. | 1,057 | 113,765 | ||||||
E*TRADE Financial Corp.* | 2,578 | 112,427 | ||||||
Unum Group | 2,116 | 108,191 | ||||||
Cincinnati Financial Corp. | 1,399 | 107,121 | ||||||
CBRE Group, Inc. — Class A* | 2,819 | 106,784 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 878 | 104,456 | ||||||
Arthur J Gallagher & Co. | 1,689 | 103,958 | ||||||
Raymond James Financial, Inc. | 1,203 | 101,449 | ||||||
Alliance Data Systems Corp. | 453 | 100,362 | ||||||
Affiliated Managers Group, Inc. | 525 | 99,661 | ||||||
Iron Mountain, Inc. REIT | 2,479 | 96,433 | ||||||
Duke Realty Corp. REIT | 3,335 | 96,115 | ||||||
XL Group Ltd. | 2,419 | 95,430 | ||||||
UDR, Inc. REIT | 2,509 | 95,417 | ||||||
Extra Space Storage, Inc. REIT | 1,181 | 94,386 | ||||||
SL Green Realty Corp. REIT1 | 927 | 93,924 | ||||||
Zions Bancorporation | 1,895 | 89,406 | ||||||
Everest Re Group Ltd. | 385 | 87,930 | ||||||
Regency Centers Corp. REIT | 1,387 | 86,049 | ||||||
Nasdaq, Inc. | 1,094 | 84,862 | ||||||
Federal Realty Investment Trust REIT | 677 | 84,090 | ||||||
Torchmark Corp. | 1,014 | 81,211 | ||||||
Kimco Realty Corp. REIT | 3,990 | 78,005 | ||||||
Apartment Investment & Management Co. — Class A REIT | 1,472 | 64,562 | ||||||
People’s United Financial, Inc. | 3,229 | 58,574 | ||||||
Macerich Co. REIT | 1,021 | 56,124 | ||||||
Brighthouse Financial, Inc.* | 898 | 54,598 | ||||||
Assurant, Inc. | 505 | 48,238 | ||||||
Navient Corp. | 2,570 | 38,601 | ||||||
Total Financial | 38,064,046 | |||||||
Technology - 12.3% | ||||||||
Apple, Inc. | 48,430 | 7,464,031 | ||||||
Microsoft Corp. | 72,218 | 5,379,520 | ||||||
Intel Corp. | 44,058 | 1,677,728 | ||||||
Oracle Corp. | 28,314 | 1,368,982 | ||||||
International Business Machines Corp. | 8,127 | 1,179,064 | ||||||
NVIDIA Corp. | 5,626 | 1,005,759 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® FUND |
Shares | Value | |||||||
Broadcom Ltd. | 3,812 | $ | 924,562 | |||||
Texas Instruments, Inc. | 9,281 | 831,949 | ||||||
Accenture plc — Class A | 5,795 | 782,730 | ||||||
QUALCOMM, Inc. | 13,853 | 718,140 | ||||||
Adobe Systems, Inc.* | 4,626 | 690,107 | ||||||
salesforce.com, Inc.* | 6,402 | 598,075 | ||||||
Applied Materials, Inc. | 9,999 | 520,848 | ||||||
Activision Blizzard, Inc. | 7,078 | 456,602 | ||||||
Micron Technology, Inc.* | 10,445 | 410,802 | ||||||
Cognizant Technology Solutions Corp. — Class A | 5,538 | 401,727 | ||||||
Electronic Arts, Inc.* | 2,895 | 341,784 | ||||||
Intuit, Inc. | 2,282 | 324,363 | ||||||
HP, Inc. | 15,661 | 312,594 | ||||||
Analog Devices, Inc. | 3,447 | 297,028 | ||||||
Fidelity National Information Services, Inc. | 3,116 | 291,003 | ||||||
Lam Research Corp. | 1,523 | 281,816 | ||||||
Fiserv, Inc.* | 1,973 | 254,438 | ||||||
Western Digital Corp. | 2,764 | 238,810 | ||||||
Autodesk, Inc.* | 2,055 | 230,694 | ||||||
DXC Technology Co. | 2,669 | 229,214 | ||||||
Hewlett Packard Enterprise Co. | 15,401 | 226,549 | ||||||
Cerner Corp.* | 2,954 | 210,679 | ||||||
Microchip Technology, Inc. | 2,182 | 195,900 | ||||||
Red Hat, Inc.* | 1,664 | 184,471 | ||||||
Paychex, Inc. | 2,999 | 179,820 | ||||||
Skyworks Solutions, Inc. | 1,722 | 175,472 | ||||||
Xilinx, Inc. | 2,331 | 165,105 | ||||||
KLA-Tencor Corp. | 1,471 | 155,926 | ||||||
Synopsys, Inc.* | 1,408 | 113,386 | ||||||
NetApp, Inc. | 2,529 | 110,669 | ||||||
Cadence Design Systems, Inc.* | 2,626 | 103,648 | ||||||
Citrix Systems, Inc.* | 1,349 | 103,630 | ||||||
CA, Inc. | 2,963 | 98,905 | ||||||
ANSYS, Inc.* | 794 | 97,448 | ||||||
Advanced Micro Devices, Inc.* | 7,546 | 96,212 | ||||||
Seagate Technology plc | 2,699 | 89,526 | ||||||
Qorvo, Inc.* | 1,193 | 84,321 | ||||||
Akamai Technologies, Inc.* | 1,607 | 78,293 | ||||||
Xerox Corp. | 2,001 | 66,613 | ||||||
CSRA, Inc. | 1,533 | 49,470 | ||||||
Total Technology | 29,798,413 | |||||||
Communications - 11.2% | ||||||||
Facebook, Inc. — Class A* | 22,225 | 3,797,587 | ||||||
Amazon.com, Inc.* | 3,739 | 3,594,488 | ||||||
Alphabet, Inc. — Class A* | 2,794 | 2,720,574 | ||||||
Alphabet, Inc. — Class C* | 2,830 | 2,714,281 | ||||||
AT&T, Inc. | 57,568 | 2,254,938 | ||||||
Verizon Communications, Inc. | 38,248 | 1,892,894 | ||||||
Comcast Corp. — Class A | 44,104 | 1,697,121 | ||||||
Cisco Systems, Inc. | 46,880 | 1,576,574 | ||||||
Walt Disney Co. | 14,469 | 1,426,209 | ||||||
Priceline Group, Inc.* | 460 | 842,177 | ||||||
Time Warner, Inc. | 7,293 | 747,168 | ||||||
Netflix, Inc.* | 4,048 | 734,105 | ||||||
Charter Communications, Inc. — Class A* | 1,885 | 685,047 | ||||||
eBay, Inc.* | 9,333 | 358,947 | ||||||
Twenty-First Century Fox, Inc. — Class A | 9,868 | 260,318 | ||||||
CBS Corp. — Class B | 3,414 | 198,012 | ||||||
Symantec Corp. | 5,762 | 189,051 | ||||||
Expedia, Inc. | 1,146 | 164,955 | ||||||
Omnicom Group, Inc. | 2,164 | 160,287 | ||||||
Level 3 Communications, Inc.* | 2,755 | 146,814 | ||||||
Motorola Solutions, Inc. | 1,525 | 129,427 | ||||||
DISH Network Corp. — Class A* | 2,135 | 115,781 | ||||||
Twenty-First Century Fox, Inc. — Class B | 4,118 | 106,203 | ||||||
Juniper Networks, Inc. | 3,566 | 99,242 | ||||||
CenturyLink, Inc.1 | 5,153 | 97,392 | ||||||
Viacom, Inc. — Class B | 3,307 | 92,067 | ||||||
VeriSign, Inc.* | 806 | 85,750 | ||||||
Scripps Networks Interactive, Inc. — Class A | 899 | 77,215 | ||||||
Interpublic Group of Companies, Inc. | 3,686 | 76,632 | ||||||
F5 Networks, Inc.* | 596 | 71,854 | ||||||
News Corp. — Class A | 3,584 | 47,524 | ||||||
TripAdvisor, Inc.*,1 | 1,015 | 41,138 | ||||||
Discovery Communications, Inc. — Class C* | 1,906 | 38,616 | ||||||
Discovery Communications, Inc. — Class A* | 1,443 | 30,721 | ||||||
News Corp. — Class B | 1,141 | 15,575 | ||||||
Total Communications | 27,286,684 | |||||||
Industrial - 8.5% | ||||||||
General Electric Co. | 81,177 | 1,962,860 | ||||||
Boeing Co. | 5,210 | 1,324,435 | ||||||
3M Co. | 5,595 | 1,174,391 | ||||||
Honeywell International, Inc. | 7,147 | 1,013,015 | ||||||
Union Pacific Corp. | 7,505 | 870,355 | ||||||
United Technologies Corp. | 6,965 | 808,498 | ||||||
United Parcel Service, Inc. — Class B | 6,458 | 775,541 | ||||||
Lockheed Martin Corp. | 2,349 | 728,871 | ||||||
Caterpillar, Inc. | 5,541 | 691,018 | ||||||
General Dynamics Corp. | 2,611 | 536,769 | ||||||
FedEx Corp. | 2,314 | 521,992 | ||||||
Raytheon Co. | 2,721 | 507,684 | ||||||
Northrop Grumman Corp. | 1,633 | 469,847 | ||||||
CSX Corp. | 8,564 | 464,683 | ||||||
Illinois Tool Works, Inc. | 2,904 | 429,676 | ||||||
Emerson Electric Co. | 6,001 | 377,102 | ||||||
Deere & Co.1 | 2,999 | 376,645 | ||||||
Norfolk Southern Corp. | 2,702 | 357,312 | ||||||
Johnson Controls International plc | 8,742 | 352,216 | ||||||
Eaton Corporation plc | 4,171 | 320,291 | ||||||
Waste Management, Inc. | 3,795 | 297,035 | ||||||
TE Connectivity Ltd. | 3,313 | 275,178 | ||||||
Corning, Inc. | 8,467 | 253,333 | ||||||
Cummins, Inc. | 1,477 | 248,180 | ||||||
Amphenol Corp. — Class A | 2,864 | 242,409 | ||||||
Roper Technologies, Inc. | 958 | 233,177 | ||||||
Parker-Hannifin Corp.1 | 1,248 | 218,425 | ||||||
Stanley Black & Decker, Inc. | 1,436 | 216,793 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® FUND |
Shares | Value | |||||||
Rockwell Automation, Inc. | 1,204 | $ | 214,565 | |||||
Ingersoll-Rand plc | 2,379 | 212,135 | ||||||
Fortive Corp. | 2,860 | 202,459 | ||||||
Rockwell Collins, Inc. | 1,523 | 199,071 | ||||||
Agilent Technologies, Inc. | 3,013 | 193,435 | ||||||
Mettler-Toledo International, Inc.*,1 | 240 | 150,278 | ||||||
Vulcan Materials Co. | 1,240 | 148,304 | ||||||
Harris Corp. | 1,123 | 147,877 | ||||||
AMETEK, Inc. | 2,164 | 142,911 | ||||||
Republic Services, Inc. — Class A | 2,146 | 141,765 | ||||||
L3 Technologies, Inc. | 733 | 138,119 | ||||||
Ball Corp. | 3,298 | 136,207 | ||||||
WestRock Co. | 2,382 | 135,131 | ||||||
Waters Corp.* | 748 | 134,281 | ||||||
Textron, Inc. | 2,482 | 133,730 | ||||||
Dover Corp. | 1,459 | 133,338 | ||||||
Martin Marietta Materials, Inc. | 589 | 121,469 | ||||||
Masco Corp. | 2,987 | 116,523 | ||||||
TransDigm Group, Inc. | 453 | 115,809 | ||||||
Kansas City Southern | 988 | 107,376 | ||||||
Xylem, Inc. | 1,683 | 105,406 | ||||||
Pentair plc | 1,548 | 105,202 | ||||||
Packaging Corporation of America | 885 | 101,492 | ||||||
Expeditors International of Washington, Inc. | 1,694 | 101,403 | ||||||
CH Robinson Worldwide, Inc. | 1,316 | 100,148 | ||||||
Fortune Brands Home & Security, Inc. | 1,444 | 97,080 | ||||||
Arconic, Inc. | 3,639 | 90,538 | ||||||
J.B. Hunt Transport Services, Inc. | 800 | 88,864 | ||||||
AO Smith Corp. | 1,373 | 81,597 | ||||||
Snap-on, Inc. | 540 | 80,465 | ||||||
Allegion plc | 891 | 77,045 | ||||||
Sealed Air Corp. | 1,782 | 76,127 | ||||||
PerkinElmer, Inc. | 1,033 | 71,246 | ||||||
Acuity Brands, Inc. | 395 | 67,656 | ||||||
Jacobs Engineering Group, Inc. | 1,128 | 65,729 | ||||||
Stericycle, Inc.* | 799 | 57,224 | ||||||
Garmin Ltd. | 1,040 | 56,129 | ||||||
Fluor Corp. | 1,312 | 55,235 | ||||||
Flowserve Corp. | 1,225 | 52,173 | ||||||
FLIR Systems, Inc. | 1,286 | 50,038 | ||||||
Total Industrial | 20,653,311 | |||||||
Consumer, Cyclical - 7.2% | ||||||||
Home Depot, Inc. | 11,053 | 1,807,830 | ||||||
McDonald’s Corp. | 7,595 | 1,189,986 | ||||||
Wal-Mart Stores, Inc. | 13,723 | 1,072,315 | ||||||
CVS Health Corp. | 9,532 | 775,142 | ||||||
Starbucks Corp. | 13,537 | 727,072 | ||||||
Costco Wholesale Corp. | 4,112 | 675,560 | ||||||
Walgreens Boots Alliance, Inc. | 8,628 | 666,254 | ||||||
NIKE, Inc. — Class B | 12,320 | 638,791 | ||||||
Lowe’s Companies, Inc. | 7,916 | 632,805 | ||||||
General Motors Co. | 12,296 | 496,512 | ||||||
TJX Companies, Inc. | 5,965 | 439,799 | ||||||
Ford Motor Co. | 36,670 | 438,940 | ||||||
Marriott International, Inc. — Class A | 2,933 | 323,392 | ||||||
Target Corp. | 5,121 | 302,190 | ||||||
Delta Air Lines, Inc. | 6,246 | 301,182 | ||||||
Southwest Airlines Co. | 5,163 | 289,025 | ||||||
Carnival Corp. | 3,824 | 246,915 | ||||||
Delphi Automotive plc | 2,502 | 246,197 | ||||||
PACCAR, Inc. | 3,294 | 238,288 | ||||||
Yum! Brands, Inc. | 3,233 | 237,981 | ||||||
Ross Stores, Inc. | 3,649 | 235,616 | ||||||
Dollar General Corp. | 2,442 | 197,924 | ||||||
Newell Brands, Inc. | 4,595 | 196,069 | ||||||
VF Corp. | 3,063 | 194,715 | ||||||
American Airlines Group, Inc. | 4,064 | 192,999 | ||||||
Dollar Tree, Inc.* | 2,220 | 192,740 | ||||||
Royal Caribbean Cruises Ltd. | 1,613 | 191,205 | ||||||
O’Reilly Automotive, Inc.* | 825 | 177,680 | ||||||
MGM Resorts International | 4,854 | 158,192 | ||||||
AutoZone, Inc.* | 263 | 156,514 | ||||||
United Continental Holdings, Inc.* | 2,425 | 147,634 | ||||||
Mohawk Industries, Inc.* | 592 | 146,526 | ||||||
Best Buy Company, Inc. | 2,488 | 141,716 | ||||||
Hilton Worldwide Holdings, Inc. | 1,915 | 132,997 | ||||||
Genuine Parts Co. | 1,376 | 131,614 | ||||||
CarMax, Inc.* | 1,718 | 130,242 | ||||||
DR Horton, Inc. | 3,194 | 127,536 | ||||||
Whirlpool Corp. | 684 | 126,157 | ||||||
Ulta Beauty, Inc.* | 546 | 123,429 | ||||||
Fastenal Co. | 2,700 | 123,066 | ||||||
Wynn Resorts Ltd. | 750 | 111,690 | ||||||
Coach, Inc. | 2,650 | 106,742 | ||||||
LKQ Corp.* | 2,896 | 104,227 | ||||||
Hasbro, Inc. | 1,067 | 104,214 | ||||||
Wyndham Worldwide Corp. | 964 | 101,615 | ||||||
Lennar Corp. — Class A | 1,905 | 100,584 | ||||||
L Brands, Inc. | 2,340 | 97,367 | ||||||
BorgWarner, Inc. | 1,860 | 95,288 | ||||||
Darden Restaurants, Inc. | 1,175 | 92,567 | ||||||
PVH Corp. | 726 | 91,520 | ||||||
WW Grainger, Inc. | 492 | 88,437 | ||||||
Alaska Air Group, Inc. | 1,158 | 88,321 | ||||||
Tiffany & Co. | 957 | 87,833 | ||||||
Hanesbrands, Inc. | 3,417 | 84,195 | ||||||
Goodyear Tire & Rubber Co. | 2,360 | 78,470 | ||||||
Harley-Davidson, Inc. | 1,599 | 77,088 | ||||||
Tractor Supply Co. | 1,188 | 75,189 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 235 | 72,340 | ||||||
Kohl’s Corp. | 1,581 | 72,173 | ||||||
PulteGroup, Inc. | 2,602 | 71,113 | ||||||
Advance Auto Parts, Inc. | 692 | 68,646 | ||||||
Michael Kors Holdings Ltd.* | 1,422 | 68,043 | ||||||
Macy’s, Inc. | 2,856 | 62,318 | ||||||
Gap, Inc. | 2,058 | 60,773 | ||||||
Leggett & Platt, Inc. | 1,240 | 59,185 | ||||||
Nordstrom, Inc. | 1,091 | 51,441 | ||||||
Mattel, Inc.1 | 3,213 | 49,737 | ||||||
Ralph Lauren Corp. — Class A | 519 | 45,823 | ||||||
Foot Locker, Inc. | 1,231 | 43,356 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® FUND |
Shares | Value | |||||||
Signet Jewelers Ltd.1 | 567 | $ | 37,734 | |||||
Under Armour, Inc. — Class A*,1 | 1,734 | 28,576 | ||||||
Under Armour, Inc. — Class C*,1 | 1,745 | 26,210 | ||||||
Total Consumer, Cyclical | 17,373,562 | |||||||
Energy - 5.1% | ||||||||
Exxon Mobil Corp. | 39,729 | 3,256,983 | ||||||
Chevron Corp. | 17,768 | 2,087,740 | ||||||
Schlumberger Ltd. | 13,027 | 908,763 | ||||||
ConocoPhillips | 11,410 | 571,071 | ||||||
EOG Resources, Inc. | 5,414 | 523,750 | ||||||
Occidental Petroleum Corp. | 7,169 | 460,321 | ||||||
Halliburton Co. | 8,136 | 374,500 | ||||||
Phillips 66 | 4,029 | 369,097 | ||||||
Kinder Morgan, Inc. | 18,001 | 345,259 | ||||||
Valero Energy Corp. | 4,141 | 318,567 | ||||||
Marathon Petroleum Corp. | 4,746 | 266,156 | ||||||
Anadarko Petroleum Corp. | 5,254 | 256,658 | ||||||
Pioneer Natural Resources Co. | 1,595 | 235,326 | ||||||
Williams Companies, Inc. | 7,751 | 232,608 | ||||||
ONEOK, Inc. | 3,562 | 197,370 | ||||||
Concho Resources, Inc.* | 1,394 | 183,618 | ||||||
Devon Energy Corp. | 4,929 | 180,944 | ||||||
Apache Corp. | 3,571 | 163,552 | ||||||
Baker Hughes a GE Co. | 4,013 | 146,956 | ||||||
Andeavor | 1,352 | 139,459 | ||||||
Noble Energy, Inc. | 4,562 | 129,378 | ||||||
National Oilwell Varco, Inc. | 3,563 | 127,306 | ||||||
Hess Corp. | 2,534 | 118,819 | ||||||
Cabot Oil & Gas Corp. — Class A | 4,336 | 115,988 | ||||||
TechnipFMC plc* | 4,118 | 114,975 | ||||||
Marathon Oil Corp. | 7,970 | 108,073 | ||||||
Equities Corp. | 1,625 | 106,015 | ||||||
Cimarex Energy Co. | 893 | 101,507 | ||||||
Newfield Exploration Co.* | 1,868 | 55,424 | ||||||
Helmerich & Payne, Inc.1 | 1,018 | 53,048 | ||||||
Range Resources Corp. | 2,117 | 41,430 | ||||||
Chesapeake Energy Corp.*,1 | 8,513 | 36,606 | ||||||
Total Energy | 12,327,267 | |||||||
Utilities - 2.6% | ||||||||
NextEra Energy, Inc. | 4,389 | 643,207 | ||||||
Duke Energy Corp. | 6,562 | 550,682 | ||||||
Dominion Energy, Inc. | 6,025 | 463,503 | ||||||
Southern Co. | 9,372 | 460,540 | ||||||
Exelon Corp. | 9,002 | 339,105 | ||||||
PG&E Corp. | 4,808 | 327,377 | ||||||
American Electric Power Company, Inc. | 4,612 | 323,947 | ||||||
Sempra Energy | 2,354 | 268,662 | ||||||
PPL Corp. | 6,406 | 243,108 | ||||||
Edison International | 3,055 | 235,754 | ||||||
Consolidated Edison, Inc. | 2,905 | 234,375 | ||||||
Xcel Energy, Inc. | 4,760 | 225,243 | ||||||
Public Service Enterprise Group, Inc. | 4,743 | 219,364 | ||||||
WEC Energy Group, Inc. | 2,959 | 185,766 | ||||||
DTE Energy Co. | 1,682 | 180,580 | ||||||
Eversource Energy | 2,971 | 179,567 | ||||||
American Water Works Company, Inc. | 1,671 | 135,201 | ||||||
Ameren Corp. | 2,275 | 131,586 | ||||||
Entergy Corp. | 1,683 | 128,514 | ||||||
FirstEnergy Corp. | 4,166 | 128,438 | ||||||
CMS Energy Corp. | 2,644 | 122,470 | ||||||
CenterPoint Energy, Inc. | 4,041 | 118,038 | ||||||
Alliant Energy Corp. | 2,166 | 90,041 | ||||||
Pinnacle West Capital Corp. | 1,046 | 88,450 | ||||||
NiSource, Inc. | 3,056 | 78,203 | ||||||
NRG Energy, Inc. | 2,819 | 72,138 | ||||||
AES Corp. | 6,191 | 68,225 | ||||||
SCANA Corp. | 1,340 | 64,977 | ||||||
Total Utilities | 6,307,061 | |||||||
Basic Materials - 2.0% | ||||||||
DowDuPont, Inc. | 21,877 | 1,514,545 | ||||||
Monsanto Co. | 4,119 | 493,539 | ||||||
Praxair, Inc. | 2,682 | 374,783 | ||||||
Air Products & Chemicals, Inc. | 2,043 | 308,942 | ||||||
LyondellBasell Industries N.V. — Class A | 3,043 | 301,409 | ||||||
Sherwin-Williams Co. | 771 | 276,049 | ||||||
PPG Industries, Inc. | 2,405 | 261,327 | ||||||
International Paper Co. | 3,871 | 219,950 | ||||||
Newmont Mining Corp. | 5,000 | 187,550 | ||||||
Freeport-McMoRan, Inc.* | 12,616 | 177,129 | ||||||
Nucor Corp. | 2,995 | 167,840 | ||||||
Albemarle Corp. | 1,036 | 141,217 | ||||||
Eastman Chemical Co. | 1,358 | 122,885 | ||||||
FMC Corp. | 1,258 | 112,352 | ||||||
International Flavors & Fragrances, Inc. | 740 | 105,753 | ||||||
CF Industries Holdings, Inc. | 2,187 | 76,895 | ||||||
Mosaic Co. | 3,291 | 71,053 | ||||||
Total Basic Materials | 4,913,218 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 2,969 | 74,967 | ||||||
Total Common Stocks | ||||||||
(Cost $171,483,323) | 202,321,125 | |||||||
Face Amount | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.2% | ||||||||
Fannie Mae2 | ||||||||
0.71% due 10/02/173,4 | $ | 15,000,000 | 14,999,604 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $14,999,604) | 14,999,604 | |||||||
FEDERAL AGENCY NOTES†† - 1.3% | ||||||||
Federal Home Loan Bank5 | ||||||||
1.00% due 10/26/186 | 3,105,000 | 3,101,963 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $3,105,000) | 3,101,963 |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,7 - 9.4% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/178 | $ | 11,459,642 | $ | 11,459,642 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/178 | 5,729,821 | 5,729,821 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/178 | 3,409,355 | 3,409,355 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 2,096,225 | 2,096,225 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 219,847 | 219,847 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $22,914,890) | 22,914,890 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,9 - 0.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%10 | 1,279,576 | $ | 1,279,576 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $1,279,576) | 1,279,576 | |||||||
Total Investments - 100.8% | ||||||||
(Cost $213,782,393) | $ | 244,617,158 | ||||||
Other Assets & Liabilities, net - (0.8)% | (2,051,076 | ) | ||||||
Total Net Assets - 100.0% | $ | 242,566,082 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Gain | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
S&P 500 Index Mini Futures Contracts | 18 | Dec 2017 | $ | 2,263,950 | $ | 4,118 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Goldman Sachs International | S&P 500 Index | 1.70 | % | At Maturity | 10/27/17 | 9,297 | $ | 23,422,732 | $ | 212,106 | ||||||||
BNP Paribas | S&P 500 Index | 1.69 | % | At Maturity | 10/30/17 | 5,201 | 13,102,593 | 65,784 | ||||||||||
Barclays Bank plc | S&P 500 Index | 1.65 | % | At Maturity | 10/31/17 | 589 | 1,484,897 | 5,318 | ||||||||||
$ | 38,010,222 | $ | 283,208 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
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 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
6 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
7 | Repurchase Agreements — See Note 6. |
8 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
9 | Securities lending collateral — See Note 7. |
10 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P 500® FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 202,321,125 | $ | — | $ | — | $ | — | $ | — | $ | 202,321,125 | ||||||||||||
Equity Futures Contracts | — | 4,118 | — | — | — | 4,118 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 283,208 | — | 283,208 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 14,999,604 | — | — | 14,999,604 | ||||||||||||||||||
Federal Agency Notes | — | — | 3,101,963 | — | — | 3,101,963 | ||||||||||||||||||
Repurchase Agreements | — | — | 22,914,890 | — | — | 22,914,890 | ||||||||||||||||||
Securities Lending Collateral | 1,279,576 | — | — | — | — | 1,279,576 | ||||||||||||||||||
Total Assets | $ | 203,600,701 | $ | 4,118 | $ | 41,016,457 | $ | 283,208 | $ | — | $ | 244,904,484 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $1,253,573 of securities loaned (cost $190,867,503) | $ | 221,702,268 | ||
Repurchase agreements, at value (cost $22,914,890) | 22,914,890 | |||
Cash | 6,134 | |||
Segregated cash with broker | 360,000 | |||
Unrealized appreciation on swap agreements | 283,208 | |||
Receivables: | ||||
Fund shares sold | 10,123,810 | |||
Dividends | 208,946 | |||
Swap settlement | 25,350 | |||
Interest | 6,880 | |||
Variation margin | 4,118 | |||
Securities lending income | 451 | |||
Total assets | 255,636,055 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 6,826,514 | |||
Securities purchased | 4,490,607 | |||
Return of securities loaned | 1,279,576 | |||
Management fees | 145,547 | |||
Distribution and service fees | 59,641 | |||
Transfer agent and administrative fees | 48,516 | |||
Portfolio accounting fees | 29,110 | |||
Miscellaneous | 190,462 | |||
Total liabilities | 13,069,973 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 242,566,082 | ||
Net assets consist of: | ||||
Paid in capital | $ | 188,891,093 | ||
Undistributed net investment income | 418,009 | |||
Accumulated net realized gain on investments | 22,134,889 | |||
Net unrealized appreciation on investments | 31,122,091 | |||
Net assets | $ | 242,566,082 | ||
A-Class: | ||||
Net assets | $ | 33,886,995 | ||
Capital shares outstanding | 696,880 | |||
Net asset value per share | $ | 48.63 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 51.06 | ||
C-Class: | ||||
Net assets | $ | 18,258,198 | ||
Capital shares outstanding | 412,208 | |||
Net asset value per share | $ | 44.29 | ||
H-Class: | ||||
Net assets | $ | 190,420,889 | ||
Capital shares outstanding | 3,916,540 | |||
Net asset value per share | $ | 48.62 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 2,291,119 | ||
Interest | 111,043 | |||
Income from securities lending, net | 3,129 | |||
Total investment income | 2,405,291 | |||
Expenses: | ||||
Management fees | 900,418 | |||
Distribution and service fees: | ||||
A-Class | 38,386 | |||
C-Class | 95,517 | |||
H-Class | 237,876 | |||
Transfer agent and administrative fees | 300,140 | |||
Portfolio accounting fees | 180,085 | |||
Registration fees | 136,223 | |||
Custodian fees | 16,151 | |||
Trustees’ fees* | 12,552 | |||
Line of credit fees | 20 | |||
Miscellaneous | 69,914 | |||
Total expenses | 1,987,282 | |||
Net investment income | 418,009 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 33,940,010 | |||
Swap agreements | (1,982 | ) | ||
Futures contracts | 178,020 | |||
Net realized gain | 34,116,048 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (18,991,821 | ) | ||
Swap agreements | 234,679 | |||
Futures contracts | 382 | |||
Net change in unrealized appreciation (depreciation) | (18,756,760 | ) | ||
Net realized and unrealized gain | 15,359,288 | |||
Net increase in net assets resulting from operations | $ | 15,777,297 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
S&P 500® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 418,009 | $ | 281,043 | ||||
Net realized gain on investments | 34,116,048 | 45,881,302 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (18,756,760 | ) | (9,583,790 | ) | ||||
Net increase in net assets resulting from operations | 15,777,297 | 36,578,555 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (29,671 | ) | |||||
C-Class | — | (28,356 | ) | |||||
H-Class | — | (293,993 | ) | |||||
Net realized gains | ||||||||
A-Class | — | (174,898 | ) | |||||
C-Class | — | (167,151 | ) | |||||
H-Class | — | (1,732,984 | ) | |||||
Total distributions to shareholders | — | (2,427,053 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 82,355,426 | 109,316,182 | ||||||
C-Class | 3,134,845 | 22,735,429 | ||||||
H-Class | 511,861,673 | 1,205,465,115 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 193,648 | ||||||
C-Class | — | 186,917 | ||||||
H-Class | — | 2,014,895 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (71,350,297 | ) | (131,672,483 | ) | ||||
C-Class | (6,976,045 | ) | (20,167,745 | ) | ||||
H-Class | (560,871,553 | ) | (1,238,468,770 | ) | ||||
Net decrease from capital share transactions | (41,845,951 | ) | (50,396,812 | ) | ||||
Net decrease in net assets | (26,068,654 | ) | (16,245,310 | ) | ||||
Net assets: | ||||||||
Beginning of period | 268,634,736 | 284,880,046 | ||||||
End of period | $ | 242,566,082 | $ | 268,634,736 | ||||
Undistributed net investment income at end of period | $ | 418,009 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,782,804 | 2,539,581 | ||||||
C-Class | 73,626 | 592,763 | ||||||
H-Class | 10,868,535 | 28,720,011 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 4,549 | ||||||
C-Class | — | 4,790 | ||||||
H-Class | — | 47,342 | ||||||
Shares redeemed | ||||||||
A-Class | (1,546,391 | ) | (3,082,299 | ) | ||||
C-Class | (164,319 | ) | (521,111 | ) | ||||
H-Class | (11,934,020 | ) | (29,543,485 | ) | ||||
Net decrease in shares | (919,765 | ) | (1,237,859 | ) |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 45.52 | $ | 39.85 | $ | 41.40 | $ | 37.78 | $ | 31.55 | $ | 28.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .09 | .06 | .03 | .04 | .07 | .06 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.02 | 5.97 | — | 4.08 | 6.20 | 3.36 | ||||||||||||||||||
Total from investment operations | 3.11 | 6.03 | .03 | 4.12 | 6.27 | 3.42 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.05 | ) | (.01 | ) | (.02 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | (.31 | ) | (1.57 | ) | (.48 | ) | — | — | |||||||||||||||
Total distributions | — | (.36 | ) | (1.58 | ) | (.50 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 48.63 | $ | 45.52 | $ | 39.85 | $ | 41.40 | $ | 37.78 | $ | 31.55 | ||||||||||||
Total Returnc | 6.83 | % | 15.17 | % | 0.08 | % | 10.90 | % | 19.87 | % | 12.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 33,887 | $ | 20,960 | $ | 39,793 | $ | 28,022 | $ | 28,028 | $ | 12,014 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.38 | % | 0.14 | % | 0.02 | % | 0.11 | % | 0.19 | % | 0.22 | % | ||||||||||||
Total expenses | 1.60 | % | 1.57 | % | 1.55 | % | 1.59 | % | 1.57 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 133 | % | 181 | % | 256 | % | 157 | % | 76 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 41.62 | $ | 36.74 | $ | 38.58 | $ | 35.51 | $ | 29.87 | $ | 26.91 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.22 | ) | (.26 | ) | (.23 | ) | (.19 | ) | (.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.75 | 5.46 | — | 3.80 | 5.87 | 3.17 | ||||||||||||||||||
Total from investment operations | 2.67 | 5.24 | (.26 | ) | 3.57 | 5.68 | 3.03 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.05 | ) | (.01 | ) | (.02 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | (.31 | ) | (1.57 | ) | (.48 | ) | — | — | |||||||||||||||
Total distributions | — | (.36 | ) | (1.58 | ) | (.50 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 44.29 | $ | 41.62 | $ | 36.74 | $ | 38.58 | $ | 35.51 | $ | 29.87 | ||||||||||||
Total Returnc | 6.42 | % | 14.33 | % | (0.67 | %) | 10.04 | % | 19.01 | % | 11.29 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,258 | $ | 20,931 | $ | 15,667 | $ | 20,977 | $ | 16,182 | $ | 10,231 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.37 | %) | (0.57 | %) | (0.70 | %) | (0.62 | %) | (0.59 | %) | (0.52 | %) | ||||||||||||
Total expenses | 2.34 | % | 2.33 | % | 2.31 | % | 2.34 | % | 2.32 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 133 | % | 181 | % | 256 | % | 157 | % | 76 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 45.51 | $ | 39.84 | $ | 41.40 | $ | 37.78 | $ | 31.55 | $ | 28.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .10 | .07 | .03 | .05 | .05 | .07 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.01 | 5.96 | (.01 | ) | 4.07 | 6.22 | 3.35 | |||||||||||||||||
Total from investment operations | 3.11 | 6.03 | .02 | 4.12 | 6.27 | 3.42 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.05 | ) | (.01 | ) | (.02 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | (.31 | ) | (1.57 | ) | (.48 | ) | — | — | |||||||||||||||
Total distributions | — | (.36 | ) | (1.58 | ) | (.50 | ) | (.04 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 48.62 | $ | 45.51 | $ | 39.84 | $ | 41.40 | $ | 37.78 | $ | 31.55 | ||||||||||||
Total Returnc | 6.83 | % | 15.20 | % | 0.06 | % | 10.90 | % | 19.87 | % | 12.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 190,421 | $ | 226,744 | $ | 229,420 | $ | 254,610 | $ | 255,912 | $ | 265,358 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.42 | % | 0.16 | % | 0.07 | % | 0.12 | % | 0.15 | % | 0.24 | % | ||||||||||||
Total expenses | 1.60 | % | 1.58 | % | 1.55 | % | 1.58 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 133 | % | 181 | % | 256 | % | 157 | % | 76 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028137_39.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Investor Class | January 7, 1994 |
A-Class | March 31, 2004 |
C-Class | March 15, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 11.5% |
Guggenheim Strategy Fund I | 9.3% |
Total | 20.8% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (6.87%) | (15.55%) | (14.18%) | (10.74%) |
A-Class Shares | (6.99%) | (15.75%) | (14.39%) | (10.97%) |
A-Class Shares with sales charge‡ | (11.41%) | (19.76%) | (15.23%) | (11.40%) |
C-Class Shares | (7.33%) | (16.39%) | (15.04%) | (11.64%) |
C-Class Shares with CDSC§ | (8.26%) | (17.23%) | (15.04%) | (11.64%) |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | (6.99%) | (15.82%) | (10.91%) | |
S&P 500 Index | 7.71% | 18.61% | 9.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE S&P 500® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 20.8% | ||||||||
Guggenheim Strategy Fund II1 | 310,783 | $ | 7,788,224 | |||||
Guggenheim Strategy Fund I1 | 252,188 | 6,332,444 | ||||||
Total Mutual Funds | ||||||||
(Cost $13,966,032) | 14,120,668 |
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 69.2% | ||||||||
Freddie Mac2 | ||||||||
1.75% due 10/26/223 | $ | 7,500,000 | 7,500,000 | |||||
0.80% due 10/27/17 | 7,500,000 | 7,498,680 | ||||||
1.19% due 08/22/223 | 7,000,000 | 6,990,046 | ||||||
1.00% due 10/28/193 | 5,000,000 | 4,998,185 | ||||||
1.24% due 04/25/223 | 4,286,000 | 4,285,559 | ||||||
Total Freddie Mac | 31,272,470 | |||||||
Federal Home Loan Bank4 | ||||||||
1.19% due 09/13/223 | 10,000,000 | 9,996,119 | ||||||
1.00% due 10/26/183 | 5,000,000 | 4,995,110 | ||||||
Total Federal Home Loan Bank | 14,991,229 | |||||||
Federal Farm Credit Bank4 | ||||||||
1.26% (1 Month LIBOR + 3.5 bps) due 12/08/175 | 600,000 | 600,218 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $46,885,297) | 46,863,917 | |||||||
U.S. TREASURY BILLS†† - 1.5% | ||||||||
U.S. Treasury Bill | ||||||||
1.05% due 12/14/176,7,8 | 500,000 | 499,029 | ||||||
1.01% due 12/28/177,8,9 | 500,000 | 498,734 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $997,635) | 997,763 | |||||||
REPURCHASE AGREEMENTS††,10 - 20.8% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/179 | 7,067,511 | 7,067,511 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/179 | 3,533,755 | 3,533,755 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/179 | 2,209,205 | 2,209,205 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 1,196,368 | 1,196,368 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 125,472 | 125,472 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $14,132,311) | 14,132,311 | |||||||
Total Investments - 112.3% | ||||||||
(Cost $75,981,275) | $ | 76,114,659 | ||||||
Other Assets & Liabilities, net - (12.3)% | (8,329,196 | ) | ||||||
Total Net Assets - 100.0% | $ | 67,785,463 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
S&P 500 Index Mini Futures Contracts | 138 | Dec 2017 | $ | 17,356,950 | $ | (104,260 | ) |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | |||||||||||
OTC Equity Index Swap Agreements Sold Short†† | ||||||||||||||||||
Barclays Bank plc | S&P 500 Index | 1.50 | % | At Maturity | 10/31/17 | 1,458 | $ | 3,672,774 | $ | (13,299 | ) | |||||||
Goldman Sachs International | S&P 500 Index | 1.60 | % | At Maturity | 10/27/17 | 6,913 | 17,416,327 | (122,354 | ) | |||||||||
BNP Paribas | S&P 500 Index | 1.19 | % | At Maturity | 10/30/17 | 11,713 | 29,508,321 | (147,321 | ) | |||||||||
$ | 50,597,422 | $ | (282,974 | ) |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
INVERSE S&P 500® STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
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 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
4 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
5 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
6 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
7 | Rate indicated is the effective yield at the time of purchase. |
8 | Zero coupon rate security. |
9 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
10 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Federal Agency Notes | $ | — | $ | — | $ | 46,863,917 | $ | — | $ | — | $ | 46,863,917 | ||||||||||||
Mutual Funds | 14,120,668 | — | — | — | — | 14,120,668 | ||||||||||||||||||
Repurchase Agreements | — | — | 14,132,311 | — | — | 14,132,311 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 997,763 | — | — | 997,763 | ||||||||||||||||||
Total Assets | $ | 14,120,668 | $ | — | $ | 61,993,991 | $ | — | $ | — | $ | 76,114,659 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 104,260 | $ | — | $ | — | $ | — | $ | 104,260 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 282,974 | — | 282,974 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 104,260 | $ | — | $ | 282,974 | $ | — | $ | 387,234 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE S&P 500® STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 6,317,313 | $ | — | $ | — | $ | — | $ | 15,131 | $ | 6,332,444 | 252,188 | $ | 56,600 | |||||||||||||||||
Guggenheim Strategy Fund II | 7,769,577 | — | — | — | 18,647 | 7,788,224 | 310,783 | 87,523 | ||||||||||||||||||||||||
$ | 14,086,890 | $ | — | $ | — | $ | — | $ | 33,778 | $ | 14,120,668 | $ | 144,123 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $47,882,932) | $ | 47,861,680 | ||
Investments in affiliated issuers, at value (cost $13,966,032) | $ | 14,120,668 | ||
Repurchase agreements, at value (cost $14,132,311) | 14,132,311 | |||
Segregated cash with broker | 309,288 | |||
Receivables: | ||||
Interest | 96,020 | |||
Fund shares sold | 64,174 | |||
Dividends | 24,166 | |||
Total assets | 76,608,307 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 282,974 | |||
Payable for: | ||||
Securities purchased | 7,500,000 | |||
Fund shares redeemed | 831,246 | |||
Variation margin | 70,366 | |||
Management fees | 53,160 | |||
Swap settlement | 25,278 | |||
Transfer agent and administrative fees | 14,767 | |||
Portfolio accounting fees | 5,907 | |||
Distribution and service fees | 5,613 | |||
Miscellaneous | 33,533 | |||
Total liabilities | 8,822,844 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 67,785,463 | ||
Net assets consist of: | ||||
Paid in capital | $ | 433,692,555 | ||
Accumulated net investment loss | (304,944 | ) | ||
Accumulated net realized loss on investments | (365,348,298 | ) | ||
Net unrealized depreciation on investments | (253,850 | ) | ||
Net assets | $ | 67,785,463 | ||
Investor Class: | ||||
Net assets | $ | 55,249,905 | ||
Capital shares outstanding | 843,287 | |||
Net asset value per share | $ | 65.52 | ||
A-Class: | ||||
Net assets | $ | 5,702,680 | ||
Capital shares outstanding | 94,013 | |||
Net asset value per share | $ | 60.66 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 63.69 | ||
C-Class: | ||||
Net assets | $ | 4,013,683 | ||
Capital shares outstanding | 73,003 | |||
Net asset value per share | $ | 54.98 | ||
H-Class: | ||||
Net assets | $ | 2,819,195 | ||
Capital shares outstanding | 46,473 | |||
Net asset value per share | $ | 60.66 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 144,123 | ||
Interest | 321,590 | |||
Total investment income | 465,713 | |||
Expenses: | ||||
Management fees | 375,741 | |||
Distribution and service fees: | ||||
A-Class | 7,720 | |||
C-Class | 29,626 | |||
H-Class | 7,804 | |||
Transfer agent and administrative fees | 104,372 | |||
Portfolio accounting fees | 41,749 | |||
Registration fees | 38,357 | |||
Custodian fees | 5,492 | |||
Trustees’ fees* | 3,667 | |||
Line of credit fees | 57 | |||
Miscellaneous | 33,377 | |||
Total expenses | 647,962 | |||
Net investment loss | (182,249 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (482 | ) | ||
Swap agreements | (5,885,011 | ) | ||
Futures contracts | (282,771 | ) | ||
Net realized loss | (6,168,264 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 12,716 | |||
Investments in affiliated issuers | 33,778 | |||
Swap agreements | 309,832 | |||
Futures contracts | (110,103 | ) | ||
Net change in unrealized appreciation (depreciation) | 246,223 | |||
Net realized and unrealized loss | (5,922,041 | ) | ||
Net decrease in net assets resulting from operations | $ | (6,104,290 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
INVERSE S&P 500® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (182,249 | ) | $ | (1,061,768 | ) | ||
Net realized loss on investments | (6,168,264 | ) | (22,072,461 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 246,223 | 824,680 | ||||||
Net decrease in net assets resulting from operations | (6,104,290 | ) | (22,309,549 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 29,638,488 | 216,913,681 | ||||||
A-Class | 3,131,332 | 40,603,523 | ||||||
C-Class | 3,116,981 | 14,721,850 | ||||||
H-Class | 28,368,309 | 74,772,925 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (46,121,872 | ) | (276,226,585 | ) | ||||
A-Class | (3,296,358 | ) | (41,519,960 | ) | ||||
C-Class | (5,435,708 | ) | (16,239,943 | ) | ||||
H-Class | (27,863,664 | ) | (77,726,210 | ) | ||||
Net decrease from capital share transactions | (18,462,492 | ) | (64,700,719 | ) | ||||
Net decrease in net assets | (24,566,782 | ) | (87,010,268 | ) | ||||
Net assets: | ||||||||
Beginning of period | 92,352,245 | 179,362,513 | ||||||
End of period | $ | 67,785,463 | $ | 92,352,245 | ||||
Accumulated net investment loss at end of period | $ | (304,944 | ) | $ | (122,695 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 434,796 | 2,775,050 | * | |||||
A-Class | 49,089 | 543,016 | * | |||||
C-Class | 53,156 | 232,771 | * | |||||
H-Class | 445,489 | 1,020,456 | * | |||||
Shares redeemed | ||||||||
Investor Class | (677,506 | ) | (3,537,019 | )* | ||||
A-Class | (52,157 | ) | (565,804 | )* | ||||
C-Class | (94,087 | ) | (249,423 | )* | ||||
H-Class | (442,819 | ) | (1,071,490 | )* | ||||
Net decrease in shares | (284,039 | ) | (852,443 | )* |
* | Capital share activity for the periods presented through March 31, 2017 has been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
44 | THE RYDEX FUNDS SEMI-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.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 f | Year Ended March 31, 2016 f | Year Ended March 31, 2015 f | Year Ended March 31, 2014 f | Year Ended March 28, 2013 f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.35 | $ | 83.09 | $ | 87.54 | $ | 100.90 | $ | 126.16 | $ | 147.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.55 | ) | (.78 | ) | (1.02 | ) | (1.50 | ) | (1.80 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.72 | ) | (12.19 | ) | (3.67 | ) | (12.34 | ) | (23.76 | ) | (19.69 | ) | ||||||||||||
Total from investment operations | (4.83 | ) | (12.74 | ) | (4.45 | ) | (13.36 | ) | (25.26 | ) | (21.49 | ) | ||||||||||||
Net asset value, end of period | $ | 65.52 | $ | 70.35 | $ | 83.09 | $ | 87.54 | $ | 100.90 | $ | 126.16 | ||||||||||||
Total Returnc | (6.87 | %) | (15.34 | %) | (5.07 | %) | (13.26 | %) | (20.02 | %) | (14.55 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,250 | $ | 76,404 | $ | 153,544 | $ | 60,745 | $ | 79,172 | $ | 106,158 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.33 | %) | (0.70 | %) | (0.91 | %) | (1.07 | %) | (1.35 | %) | (1.27 | %) | ||||||||||||
Total expensesd | 1.44 | % | 1.42 | % | 1.41 | % | 1.41 | % | 1.42 | % | 1.41 | % | ||||||||||||
Portfolio turnover rate | 41 | % | 114 | % | 63 | % | 103 | % | — | — |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 f | Year Ended March 31, 2016 f | Year Ended March 31, 2015 f | Year Ended March 31, 2014 f | Year Ended March 28, 2013 f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.22 | $ | 77.21 | $ | 81.54 | $ | 94.27 | $ | 118.13 | $ | 138.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.70 | ) | (.96 | ) | (1.14 | ) | (1.68 | ) | (2.04 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.38 | ) | (11.29 | ) | (3.37 | ) | (11.59 | ) | (22.18 | ) | (18.42 | ) | ||||||||||||
Total from investment operations | (4.56 | ) | (11.99 | ) | (4.33 | ) | (12.73 | ) | (23.86 | ) | (20.46 | ) | ||||||||||||
Net asset value, end of period | $ | 60.66 | $ | 65.22 | $ | 77.21 | $ | 81.54 | $ | 94.27 | $ | 118.13 | ||||||||||||
Total Returnc | (6.99 | %) | (15.54 | %) | (5.30 | %) | (13.49 | %) | (20.21 | %) | (14.76 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,703 | $ | 6,331 | $ | 9,256 | $ | 4,758 | $ | 5,468 | $ | 5,912 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.57 | %) | (0.96 | %) | (1.18 | %) | (1.32 | %) | (1.58 | %) | (1.52 | %) | ||||||||||||
Total expensesd | 1.69 | % | 1.67 | % | 1.66 | % | 1.66 | % | 1.68 | % | 1.65 | % | ||||||||||||
Portfolio turnover rate | 41 | % | 114 | % | 63 | % | 103 | % | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
INVERSE S&P 500® STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 f | Year Ended March 31, 2016 f | Year Ended March 31, 2015 f | Year Ended March 31, 2014 f | Year Ended March 28, 2013 f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 59.34 | $ | 70.79 | $ | 75.34 | $ | 87.73 | $ | 110.78 | $ | 130.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.39 | ) | (1.12 | ) | (1.44 | ) | (1.68 | ) | (2.28 | ) | (2.88 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.97 | ) | (10.33 | ) | (3.11 | ) | (10.71 | ) | (20.77 | ) | (17.31 | ) | ||||||||||||
Total from investment operations | (4.36 | ) | (11.45 | ) | (4.55 | ) | (12.39 | ) | (23.05 | ) | (20.19 | ) | ||||||||||||
Net asset value, end of period | $ | 54.98 | $ | 59.34 | $ | 70.79 | $ | 75.34 | $ | 87.73 | $ | 110.78 | ||||||||||||
Total Returnc | (7.33 | %) | (16.20 | %) | (6.05 | %) | (14.09 | %) | (20.80 | %) | (15.44 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,014 | $ | 6,760 | $ | 9,244 | $ | 5,121 | $ | 6,177 | $ | 7,041 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.34 | %) | (1.69 | %) | (1.93 | %) | (2.07 | %) | (2.34 | %) | (2.27 | %) | ||||||||||||
Total expensesd | 2.44 | % | 2.42 | % | 2.41 | % | 2.41 | % | 2.42 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate | 41 | % | 114 | % | 63 | % | 103 | % | — | — |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 f | Year Ended March 31, 2016 f | Period Ended March 31, 2015e,f | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 65.22 | $ | 77.17 | $ | 81.54 | $ | 86.10 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | (.19 | ) | (.70 | ) | (.90 | ) | (.54 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | (4.37 | ) | (11.25 | ) | (3.47 | ) | (4.02 | ) | ||||||||
Total from investment operations | (4.56 | ) | (11.95 | ) | (4.37 | ) | (4.56 | ) | ||||||||
Net asset value, end of period | $ | 60.66 | $ | 65.22 | $ | 77.17 | $ | 81.54 | ||||||||
Total Returnc | (6.99 | %) | (15.47 | %) | (5.37 | %) | (5.30 | %) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,819 | $ | 2,857 | $ | 7,319 | $ | 13,085 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.60 | %) | (0.96 | %) | (1.08 | %) | (1.27 | %) | ||||||||
Total expensesd | 1.69 | % | 1.67 | % | 1.67 | % | 1.60 | % | ||||||||
Portfolio turnover rate | 41 | % | 114 | % | 63 | % | 103 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate is for the entire period of the Fund, not since the commencement of operations of the class. |
f | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a calendar month basis. The Fund’s current benchmark is 200% 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 different than a full calendar month.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028137_47.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | November 28, 2014 |
C-Class | November 28, 2014 |
H-Class | November 28, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 7.2% |
Guggenheim Strategy Fund II | 6.8% |
Guggenheim Strategy Fund I | 6.7% |
Microsoft Corp. | 5.2% |
Amazon.com, Inc. | 4.2% |
Facebook, Inc. — Class A | 3.7% |
Alphabet, Inc. — Class C | 3.0% |
Alphabet, Inc. — Class A | 2.6% |
Comcast Corp. — Class A | 1.6% |
Intel Corp. | 1.6% |
Top Ten Total | 42.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | Since Inception (11/28/14) | |
A-Class Shares | 19.91% | 48.47% | 25.43% |
A-Class Shares with sales charge‡ | 14.21% | 41.43% | 23.30% |
C-Class Shares | 19.49% | 47.36% | 24.41% |
C-Class Shares with CDSC§ | 18.49% | 46.36% | 24.41% |
H-Class Shares | 19.90% | 48.42% | 26.49% |
NASDAQ-100 Index | 10.61% | 24.08% | 13.32% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 61.7% | ||||||||
Technology - 23.5% | ||||||||
Apple, Inc. | 15,318 | $ | 2,360,810 | |||||
Microsoft Corp. | 22,842 | 1,701,501 | ||||||
Intel Corp. | 13,935 | 530,644 | ||||||
NVIDIA Corp. | 1,779 | 318,032 | ||||||
Broadcom Ltd. | 1,206 | 292,503 | ||||||
Texas Instruments, Inc. | 2,936 | 263,183 | ||||||
QUALCOMM, Inc. | 4,377 | 226,904 | ||||||
Adobe Systems, Inc.* | 1,463 | 218,250 | ||||||
Applied Materials, Inc. | 3,163 | 164,761 | ||||||
Activision Blizzard, Inc. | 2,239 | 144,438 | ||||||
Micron Technology, Inc.* | 3,304 | 129,946 | ||||||
Cognizant Technology Solutions Corp. — Class A | 1,752 | 127,090 | ||||||
Electronic Arts, Inc.* | 916 | 108,143 | ||||||
Intuit, Inc. | 760 | 108,026 | ||||||
Analog Devices, Inc. | 1,090 | 93,925 | ||||||
Lam Research Corp. | 482 | 89,189 | ||||||
Fiserv, Inc.* | 624 | 80,471 | ||||||
Western Digital Corp. | 874 | 75,514 | ||||||
Autodesk, Inc.* | 650 | 72,969 | ||||||
Cerner Corp.* | 983 | 70,108 | ||||||
Paychex, Inc. | 1,066 | 63,917 | ||||||
Microchip Technology, Inc. | 690 | 61,948 | ||||||
NetEase, Inc. ADR | 225 | 59,357 | ||||||
Skyworks Solutions, Inc. | 545 | 55,536 | ||||||
Check Point Software Technologies Ltd.* | 485 | 55,300 | ||||||
Xilinx, Inc. | 737 | 52,202 | ||||||
KLA-Tencor Corp. | 465 | 49,290 | ||||||
CA, Inc. | 1,249 | 41,692 | ||||||
Maxim Integrated Products, Inc. | 836 | 39,886 | ||||||
Citrix Systems, Inc.* | 449 | 34,492 | ||||||
Seagate Technology plc | 854 | 28,327 | ||||||
Akamai Technologies, Inc.* | 508 | 24,750 | ||||||
Total Technology | 7,743,104 | |||||||
Communications - 22.8% | ||||||||
Amazon.com, Inc.* | 1,425 | 1,369,925 | ||||||
Facebook, Inc. — Class A* | 7,030 | 1,201,216 | ||||||
Alphabet, Inc. — Class C* | 1,031 | 988,842 | ||||||
Alphabet, Inc. — Class A* | 884 | 860,768 | ||||||
Comcast Corp. — Class A | 13,950 | 536,796 | ||||||
Cisco Systems, Inc. | 14,828 | 498,665 | ||||||
Charter Communications, Inc. — Class A* | 765 | 278,016 | ||||||
Priceline Group, Inc.* | 145 | 265,469 | ||||||
Netflix, Inc.* | 1,280 | 232,128 | ||||||
Baidu, Inc. ADR* | 817 | 202,363 | ||||||
T-Mobile US, Inc.* | 2,465 | 151,992 | ||||||
eBay, Inc.* | 3,174 | 122,072 | ||||||
JD.com, Inc. ADR* | 2,722 | 103,980 | ||||||
Twenty-First Century Fox, Inc. — Class A | 3,121 | 82,332 | ||||||
Sirius XM Holdings, Inc.1 | 13,680 | 75,514 | ||||||
Ctrip.com International Ltd. ADR* | 1,358 | 71,621 | ||||||
Twenty-First Century Fox, Inc. — Class B | 2,368 | 61,071 | ||||||
Symantec Corp. | 1,822 | 59,780 | ||||||
Expedia, Inc. | 412 | 59,303 | ||||||
Liberty Global plc — Class C* | 1,766 | 57,748 | ||||||
Vodafone Group plc ADR | 1,378 | 39,218 | ||||||
DISH Network Corp. — Class A* | 675 | 36,605 | ||||||
MercadoLibre, Inc. | 131 | 33,920 | ||||||
Viacom, Inc. — Class B | 1,046 | 29,121 | ||||||
Liberty Global plc — Class A* | 669 | 22,686 | ||||||
Liberty Ventures* | 241 | 13,870 | ||||||
Discovery Communications, Inc. — Class C* | 648 | 13,128 | ||||||
Discovery Communications, Inc. — Class A* | 457 | 9,730 | ||||||
Liberty Global plc LiLAC — Class C* | 358 | 8,341 | ||||||
Liberty Global plc LiLAC — Class A* | 144 | 3,421 | ||||||
Total Communications | 7,489,641 | |||||||
Consumer, Non-cyclical - 10.0% | ||||||||
Amgen, Inc. | 2,164 | 403,479 | ||||||
Celgene Corp.* | 2,320 | 338,302 | ||||||
Gilead Sciences, Inc. | 3,873 | 313,790 | ||||||
Kraft Heinz Co. | 3,613 | 280,188 | ||||||
PayPal Holdings, Inc.* | 3,566 | 228,330 | ||||||
Biogen, Inc.* | 627 | 196,326 | ||||||
Mondelez International, Inc. — Class A | 4,471 | 181,791 | ||||||
Automatic Data Processing, Inc. | 1,318 | 144,084 | ||||||
Regeneron Pharmaceuticals, Inc.* | 312 | 139,501 | ||||||
Intuitive Surgical, Inc.* | 111 | 116,093 | ||||||
Vertex Pharmaceuticals, Inc.* | 748 | 113,726 | ||||||
Express Scripts Holding Co.* | 1,713 | 108,468 | ||||||
Monster Beverage Corp.* | 1,685 | 93,096 | ||||||
Alexion Pharmaceuticals, Inc.* | 662 | 92,872 | ||||||
Illumina, Inc.* | 433 | 86,254 | ||||||
Incyte Corp.* | 610 | 71,211 | ||||||
Mylan N.V.* | 1,590 | 49,878 | ||||||
BioMarin Pharmaceutical, Inc.* | 520 | 48,396 | ||||||
Cintas Corp. | 313 | 45,160 | ||||||
Dentsply Sirona, Inc. | 681 | 40,731 | ||||||
Verisk Analytics, Inc. — Class A* | 488 | 40,597 | ||||||
IDEXX Laboratories, Inc.* | 259 | 40,272 | ||||||
Henry Schein, Inc.* | 469 | 38,453 | ||||||
Shire plc ADR | 216 | 33,078 | ||||||
Hologic, Inc.* | 832 | 30,526 | ||||||
Total Consumer, Non-cyclical | 3,274,602 | |||||||
Consumer, Cyclical - 4.8% | ||||||||
Walgreens Boots Alliance, Inc. | 3,174 | 245,095 | ||||||
Starbucks Corp. | 4,282 | 229,986 | ||||||
Costco Wholesale Corp. | 1,301 | 213,741 | ||||||
Tesla, Inc.*,1 | 495 | 168,845 | ||||||
Marriott International, Inc. — Class A | 1,104 | 121,727 | ||||||
PACCAR, Inc. | 1,042 | 75,378 | ||||||
Ross Stores, Inc. | 1,154 | 74,514 | ||||||
American Airlines Group, Inc. | 1,444 | 68,576 | ||||||
Dollar Tree, Inc.* | 702 | 60,948 | ||||||
O’Reilly Automotive, Inc.* | 261 | 56,212 | ||||||
Wynn Resorts Ltd. | 304 | 45,272 | ||||||
Ulta Beauty, Inc.* | 182 | 41,143 |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
Fastenal Co. | 854 | $ | 38,925 | |||||
Norwegian Cruise Line Holdings Ltd.* | 677 | 36,592 | ||||||
Hasbro, Inc. | 371 | 36,235 | ||||||
Liberty Interactive Corporation QVC Group — Class A* | 1,251 | 29,486 | ||||||
Tractor Supply Co. | 376 | 23,797 | ||||||
Mattel, Inc. | 1,016 | 15,728 | ||||||
Total Consumer, Cyclical | 1,582,200 | |||||||
Industrial - 0.6% | ||||||||
CSX Corp. | 2,709 | 146,990 | ||||||
J.B. Hunt Transport Services, Inc. | 325 | 36,101 | ||||||
Total Industrial | 183,091 | |||||||
Total Common Stocks | ||||||||
(Cost $18,260,837) | 20,272,638 | |||||||
MUTUAL FUNDS† - 13.5% | ||||||||
Guggenheim Strategy Fund II2 | 88,784 | 2,224,922 | ||||||
Guggenheim Strategy Fund I2 | 88,606 | 2,224,893 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,427,002) | 4,449,815 |
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 3.0% | ||||||||
U.S. Treasury Bill | ||||||||
1.01% due 12/28/173,4,5 | $ | 1,000,000 | 997,469 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $997,439) | 997,469 | |||||||
REPURCHASE AGREEMENTS††,6 - 14.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/173 | 2,380,873 | 2,380,873 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/173 | 1,190,436 | 1,190,436 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/173 | 846,705 | 846,704 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 310,277 | 310,277 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 32,541 | 32,541 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,760,831) | 4,760,831 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%8 | 147,573 | 147,573 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $147,573) | 147,573 | |||||||
Total Investments - 93.1% | ||||||||
(Cost $28,593,682) | $ | 30,628,326 | ||||||
Other Assets & Liabilities, net - 6.9% | 2,260,922 | |||||||
Total Net Assets - 100.0% | $ | 32,889,248 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | 1.70 | % | At Maturity | 10/31/17 | 5,118 | $ | 30,599,813 | $ | 232,293 | ||||||||
Goldman Sachs International | NASDAQ-100 Index | 1.80 | % | At Maturity | 10/27/17 | 2,115 | 12,645,812 | 206,284 | ||||||||||
BNP Paribas | NASDAQ-100 Index | 1.74 | % | At Maturity | 10/30/17 | 383 | 2,287,366 | 15,613 | ||||||||||
$ | 45,532,991 | $ | 454,190 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of September 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Common Stocks | $ | 20,272,638 | $ | — | $ | — | $ | — | $ | 20,272,638 | ||||||||||
Equity Index Swap Agreements | — | — | 454,190 | — | 454,190 | |||||||||||||||
Mutual Funds | 4,449,815 | — | — | — | 4,449,815 | |||||||||||||||
Repurchase Agreements | — | 4,760,831 | — | — | 4,760,831 | |||||||||||||||
Securities Lending Collateral | 147,573 | — | — | — | 147,573 | |||||||||||||||
U.S. Treasury Bills | — | 997,469 | — | — | 997,469 | |||||||||||||||
Total Assets | $ | 24,870,026 | $ | 5,758,300 | $ | 454,190 | $ | — | $ | 31,082,516 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,719,776 | $ | 500,000 | $ | — | $ | — | $ | 5,117 | $ | 2,224,893 | 88,606 | $ | 18,445 | |||||||||||||||||
Guggenheim Strategy Fund II | 1,719,595 | 500,000 | — | — | 5,327 | 2,224,922 | 88,784 | 23,023 | ||||||||||||||||||||||||
$ | 3,439,371 | $ | 1,000,000 | $ | — | $ | — | $ | 10,444 | $ | 4,449,815 | $ | 41,468 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $144,808 of securities loaned (cost $19,405,849) | $ | 21,417,680 | ||
Investments in affiliated issuers, at value (cost $4,427,002) | 4,449,815 | |||
Repurchase agreements, at value (cost $4,760,831) | 4,760,831 | |||
Cash | 1,411 | |||
Segregated cash with broker | 2,054,664 | |||
Unrealized appreciation on swap agreements | 454,190 | |||
Receivables: | ||||
Dividends | 11,770 | |||
Investment adviser | 11,494 | |||
Fund shares sold | 11,314 | |||
Swap settlement | 4,726 | |||
Interest | 265 | |||
Securities lending income | 67 | |||
Total assets | 33,178,227 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 147,572 | |||
Fund shares redeemed | 80,241 | |||
Management fees | 26,730 | |||
Distribution and service fees | 7,676 | |||
Transfer agent and administrative fees | 7,425 | |||
Portfolio accounting fees | 2,970 | |||
Miscellaneous | 16,365 | |||
Total liabilities | 288,979 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 32,889,248 | ||
Net assets consist of: | ||||
Paid in capital | $ | 120,241,916 | ||
Accumulated net investment loss | (81,783 | ) | ||
Accumulated net realized loss on investments | (89,759,719 | ) | ||
Net unrealized appreciation on investments | 2,488,834 | |||
Net assets | $ | 32,889,248 | ||
A-Class: | ||||
Net assets | $ | 1,703,404 | ||
Capital shares outstanding | 17,909 | |||
Net asset value per share | $ | 95.11 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 99.85 | ||
C-Class: | ||||
Net assets | $ | 396,140 | ||
Capital shares outstanding | 4,262 | |||
Net asset value per share | $ | 92.95 | ||
H-Class: | ||||
Net assets | $ | 30,789,704 | ||
Capital shares outstanding | 316,035 | |||
Net asset value per share | $ | 97.42 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $72) | $ | 122,349 | ||
Dividends from securities of affiliated issuers | 41,468 | |||
Interest | 35,487 | |||
Income from securities lending, net | 840 | |||
Total investment income | 200,144 | |||
Expenses: | ||||
Management fees | 170,124 | |||
Distribution and service fees: | ||||
A-Class | 1,161 | |||
C-Class | 1,139 | |||
H-Class | 45,811 | |||
Transfer agent and administrative fees | 47,257 | |||
Portfolio accounting fees | 18,903 | |||
Registration fees | 17,653 | |||
Custodian fees | 2,474 | |||
Trustees’ fees* | 1,533 | |||
Line of credit fees | 4 | |||
Miscellaneous | 21,907 | |||
Total expenses | 327,966 | |||
Less: | ||||
Expenses waived by Adviser | (71,933 | ) | ||
Net expenses | 256,033 | |||
Net investment loss | (55,889 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,257,190 | |||
Swap agreements | 4,159,164 | |||
Futures contracts | 107,907 | |||
Net realized gain | 5,524,261 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (222,775 | ) | ||
Investments in affiliated issuers | 10,444 | |||
Swap agreements | 338,354 | |||
Futures contracts | (8,109 | ) | ||
Net change in unrealized appreciation (depreciation) | 117,914 | |||
Net realized and unrealized gain | 5,642,175 | |||
Net increase in net assets resulting from operations | $ | 5,586,286 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (55,889 | ) | $ | (81,109 | ) | ||
Net realized gain on investments | 5,524,261 | 1,489,138 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 117,914 | 2,207,612 | ||||||
Net increase in net assets resulting from operations | 5,586,286 | 3,615,641 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,287,751 | 1,029,778 | ||||||
C-Class | 634,776 | 434,997 | ||||||
H-Class | 51,632,170 | 92,047,101 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (722,002 | ) | (464,494 | ) | ||||
C-Class | (356,432 | ) | (380,929 | ) | ||||
H-Class | (54,845,960 | ) | (71,098,351 | ) | ||||
Net increase (decrease) from capital share transactions | (2,369,697 | ) | 21,568,102 | |||||
Net increase in net assets | 3,216,589 | 25,183,743 | ||||||
Net assets: | ||||||||
Beginning of period | 29,672,659 | 4,488,916 | ||||||
End of period | $ | 32,889,248 | $ | 29,672,659 | ||||
Accumulated net investment loss at end of period | $ | (81,783 | ) | $ | (25,894 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 14,025 | 15,538 | ||||||
C-Class | 7,276 | 5,962 | ||||||
H-Class | 557,448 | 1,422,966 | ||||||
Shares redeemed | ||||||||
A-Class | (8,855 | ) | (7,319 | ) | ||||
C-Class | (4,164 | ) | (5,237 | ) | ||||
H-Class | (593,078 | ) | (1,146,939 | ) | ||||
Net increase (decrease) in shares | (27,348 | ) | 284,971 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
MONTHLY REBALANCE NASDAQ-100® 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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015b | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 79.32 | $ | 54.45 | $ | 51.68 | $ | 50.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.14 | ) | (.18 | ) | (.27 | ) | (.07 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | 15.93 | 25.05 | 3.04 | 1.75 | ||||||||||||
Total from investment operations | 15.79 | 24.87 | 2.77 | 1.68 | ||||||||||||
Net asset value, end of period | $ | 95.11 | $ | 79.32 | $ | 54.45 | $ | 51.68 | ||||||||
Total Returnf | 19.91 | % | 45.65 | % | 5.38 | % | 3.36 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,703 | $ | 1,010 | $ | 246 | $ | 465 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.32 | %) | (0.28 | %) | (0.48 | %) | (0.39 | %) | ||||||||
Total expensesd | 1.73 | % | 1.72 | % | 1.70 | % | 1.63 | % | ||||||||
Net expensese,g | 1.35 | % | 1.35 | % | 1.37 | % | 1.35 | % | ||||||||
Portfolio turnover rate | 191 | % | 259 | % | 551 | % | 84 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015b | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 77.79 | $ | 53.80 | $ | 51.55 | $ | 50.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.48 | ) | (.73 | ) | (.56 | ) | (.19 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | 15.64 | 24.72 | 2.81 | 1.74 | ||||||||||||
Total from investment operations | 15.16 | 23.99 | 2.25 | 1.55 | ||||||||||||
Net asset value, end of period | $ | 92.95 | $ | 77.79 | $ | 53.80 | $ | 51.55 | ||||||||
Total Returnf | 19.49 | % | 44.52 | % | 4.40 | % | 3.10 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 396 | $ | 89 | $ | 23 | $ | 14 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (1.09 | %) | (1.10 | %) | (1.04 | %) | (1.13 | %) | ||||||||
Total expensesd | 2.48 | % | 2.47 | % | 2.51 | % | 2.43 | % | ||||||||
Net expensese,g | 2.10 | % | 2.10 | % | 2.17 | % | 2.13 | % | ||||||||
Portfolio turnover rate | 191 | % | 259 | % | 551 | % | 84 | % |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MONTHLY REBALANCE NASDAQ-100® 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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015b | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 81.25 | $ | 55.79 | $ | 51.57 | $ | 50.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)c | (.13 | ) | (.23 | ) | (.17 | ) | (.10 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | 16.30 | 25.69 | 4.39 | 1.67 | ||||||||||||
Total from investment operations | 16.17 | 25.46 | 4.22 | 1.57 | ||||||||||||
Net asset value, end of period | $ | 97.42 | $ | 81.25 | $ | 55.79 | $ | 51.57 | ||||||||
Total Returnf | 19.90 | % | 45.64 | % | 8.18 | % | 3.14 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 30,790 | $ | 28,573 | $ | 4,220 | $ | 342,658 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.29 | %) | (0.35 | %) | (0.30 | %) | (0.60 | %) | ||||||||
Total expensesd | 1.73 | % | 1.72 | % | 1.67 | % | 1.64 | % | ||||||||
Net expensese,g | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||
Portfolio turnover rate | 191 | % | 259 | % | 551 | % | 84 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: November 28, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers. |
f | Total return does not reflect the impact of any applicable sales charge. |
g | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios for the period ended September 30, 2017 and the years ended March 31 would be: |
9/30/17 | 3/31/17 | 3/31/16 | 3/31/15 | ||
A-Class | 1.35% | 1.35% | 1.35% | 1.35% | |
C-Class | 2.10% | 2.10% | 2.10% | 2.10% | |
H-Class | 1.35% | 1.35% | 1.35% | 1.35% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028137_56.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Investor Class | September 3, 1998 |
A-Class | March 31, 2004 |
C-Class | March 7, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 24.3% |
Guggenheim Strategy Fund I | 24.2% |
Total | 48.5% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (9.47%) | (19.39%) | (17.16%) | (15.06%) |
A-Class Shares | (9.57%) | (19.62%) | (17.19%) | (15.18%) |
A-Class Shares with sales charge‡ | (13.87%) | (23.43%) | (17.99%) | (15.60%) |
C-Class Shares | (9.90%) | (20.19%) | (18.05%) | (15.93%) |
C-Class Shares with CDSC§ | (10.80%) | (20.99%) | (18.05%) | (15.93%) |
NASDAQ-100 Index | 10.61% | 24.08% | 17.91% | 12.24% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | (9.59%) | (19.60%) | (14.91%) | |
NASDAQ-100 Index | 10.61% | 24.08% | 14.60% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 48.5% | ||||||||
Guggenheim Strategy Fund II1 | 104,998 | $ | 2,631,243 | |||||
Guggenheim Strategy Fund I1 | 104,616 | 2,626,915 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,211,634) | 5,258,158 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 62.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/173 | $ | 3,399,071 | 3,399,071 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/173 | 1,699,535 | 1,699,535 |
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/173 | 1,032,293 | 1,032,293 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 602,727 | 602,727 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 63,212 | 63,212 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,796,838) | 6,796,838 | |||||||
Total Investments - 111.2% | ||||||||
(Cost $12,008,472) | $ | 12,054,996 | ||||||
Other Assets & Liabilities, net - (11.2)% | (1,209,161 | ) | ||||||
Total Net Assets - 100.0% | $ | 10,845,835 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 3 | Dec 2017 | $ | 358,860 | $ | (192 | ) |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | |||||||||||
OTC Equity Index Swap Agreements Sold Short†† | ||||||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | 1.55 | % | At Maturity | 10/31/17 | 306 | $ | 1,828,586 | $ | (13,964 | ) | |||||||
BNP Paribas | NASDAQ-100 Index | 1.24 | % | At Maturity | 10/30/17 | 444 | 2,655,284 | (18,208 | ) | |||||||||
Goldman Sachs International | NASDAQ-100 Index | 1.50 | % | At Maturity | 10/27/17 | 989 | 5,911,294 | (96,510 | ) | |||||||||
$ | 10,395,164 | $ | (128,682 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
See Sector Classification in Other Information section. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE NASDAQ-100® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Mutual Funds | $ | 5,258,158 | $ | — | $ | — | $ | — | $ | — | $ | 5,258,158 | ||||||||||||
Repurchase Agreements | — | — | 6,796,838 | — | — | 6,796,838 | ||||||||||||||||||
Total Assets | $ | 5,258,158 | $ | — | $ | 6,796,838 | $ | — | $ | — | $ | 12,054,996 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 192 | $ | — | $ | — | $ | — | $ | 192 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 128,682 | — | 128,682 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 192 | $ | — | $ | 128,682 | $ | — | $ | 128,874 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 2,620,638 | $ | — | $ | — | $ | — | $ | 6,277 | $ | 2,626,915 | 104,616 | $ | 23,481 | |||||||||||||||||
Guggenheim Strategy Fund II | 2,624,943 | — | — | — | 6,300 | 2,631,243 | 104,998 | 29,569 | ||||||||||||||||||||||||
$ | 5,245,581 | $ | — | $ | — | $ | — | $ | 12,577 | $ | 5,258,158 | $ | 53,050 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in affiliated issuers, at value (cost $5,211,634) | $ | 5,258,158 | ||
Repurchase agreements, at value (cost $6,796,838) | 6,796,838 | |||
Segregated cash with broker | 113,501 | |||
Receivables: | ||||
Fund shares sold | 111,492 | |||
Dividends | 8,920 | |||
Interest | 378 | |||
Total assets | 12,289,287 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 128,682 | |||
Payable for: | ||||
Fund shares redeemed | 1,265,372 | |||
Swap settlement | 25,546 | |||
Management fees | 8,919 | |||
Variation margin | 2,550 | |||
Transfer agent and administrative fees | 2,477 | |||
Distribution and service fees | 1,760 | |||
Portfolio accounting fees | 991 | |||
Miscellaneous | 7,155 | |||
Total liabilities | 1,443,452 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 10,845,835 | ||
Net assets consist of: | ||||
Paid in capital | $ | 65,396,919 | ||
Accumulated net investment loss | (20,897 | ) | ||
Accumulated net realized loss on investments | (54,447,837 | ) | ||
Net unrealized depreciation on investments | (82,350 | ) | ||
Net assets | $ | 10,845,835 | ||
Investor Class: | ||||
Net assets | $ | 6,173,855 | ||
Capital shares outstanding | 87,801 | |||
Net asset value per share | $ | 70.32 | ||
A-Class: | ||||
Net assets | $ | 2,870,511 | ||
Capital shares outstanding | 41,971 | |||
Net asset value per share | $ | 68.39 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 71.80 | ||
C-Class: | ||||
Net assets | $ | 1,188,197 | ||
Capital shares outstanding | 20,219 | |||
Net asset value per share | $ | 58.77 | ||
H-Class: | ||||
Net assets | $ | 613,272 | ||
Capital shares outstanding | 9,098 | |||
Net asset value per share | $ | 67.41 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 53,050 | ||
Interest | 29,143 | |||
Total investment income | 82,193 | |||
Expenses: | ||||
Management fees | 51,340 | |||
Distribution and service fees: | ||||
A-Class | 3,289 | |||
C-Class | 6,118 | |||
H-Class | 971 | |||
Transfer agent and administrative fees | 14,261 | |||
Portfolio accounting fees | 5,705 | |||
Registration fees | 5,430 | |||
Custodian fees | 756 | |||
Trustees’ fees* | 488 | |||
Line of credit fees | 3 | |||
Miscellaneous | 6,190 | |||
Total expenses | 94,551 | |||
Net investment loss | (12,358 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 8,382 | |||
Swap agreements | (931,799 | ) | ||
Futures contracts | (88,114 | ) | ||
Net realized loss | (1,011,531 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (2,713 | ) | ||
Investments in affiliated issuers | 12,577 | |||
Swap agreements | (64,595 | ) | ||
Futures contracts | 6,915 | |||
Net change in unrealized appreciation (depreciation) | (47,816 | ) | ||
Net realized and unrealized loss | (1,059,347 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,071,705 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (12,358 | ) | $ | (180,441 | ) | ||
Net realized loss on investments | (1,011,531 | ) | (6,273,609 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (47,816 | ) | 1,287,438 | |||||
Net decrease in net assets resulting from operations | (1,071,705 | ) | (5,166,612 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 61,359,774 | 68,630,748 | ||||||
A-Class | 1,224,514 | 196,691,141 | ||||||
C-Class | 297,923 | 4,397,242 | ||||||
H-Class | 17,782,389 | 37,021,976 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (60,819,949 | ) | (72,329,507 | ) | ||||
A-Class | (727,343 | ) | (246,743,211 | ) | ||||
C-Class | (225,224 | ) | (4,285,878 | ) | ||||
H-Class | (17,593,355 | ) | (36,110,405 | ) | ||||
Net increase (decrease) from capital share transactions | 1,298,729 | (52,727,894 | ) | |||||
Net increase (decrease) in net assets | 227,024 | (57,894,506 | ) | |||||
Net assets: | ||||||||
Beginning of period | 10,618,811 | 68,513,317 | ||||||
End of period | $ | 10,845,835 | $ | 10,618,811 | ||||
Accumulated net investment loss at end of period | $ | (20,897 | ) | $ | (8,539 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 828,620 | 780,223 | * | |||||
A-Class | 16,999 | 2,137,082 | * | |||||
C-Class | 4,839 | 59,951 | * | |||||
H-Class | 256,025 | 412,562 | * | |||||
Shares redeemed | ||||||||
Investor Class | (821,743 | ) | (822,276 | )* | ||||
A-Class | (9,745 | ) | (2,686,864 | )* | ||||
C-Class | (3,731 | ) | (58,648 | )* | ||||
H-Class | (253,101 | ) | (409,102 | )* | ||||
Net increase (decrease) in shares | 18,163 | (587,072 | )* |
* | Capital share activity for the periods presented through March 31, 2017 has been restated to reflect a 1:4 reverse split effective November 4, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017g | Year Ended March 31, 2016 g | Year Ended March 31, 2015 g | Year Ended March 31, 2014 f,g | Year Ended March 28, 2013 f,g | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 77.68 | $ | 96.42 | $ | 105.47 | $ | 132.37 | $ | 175.63 | $ | 187.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.51 | ) | (1.08 | ) | (1.32 | ) | (2.16 | ) | (2.40 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.35 | ) | (18.23 | ) | (7.97 | ) | (25.58 | ) | (41.10 | ) | (9.78 | ) | ||||||||||||
Total from investment operations | (7.36 | ) | (18.74 | ) | (9.05 | ) | (26.90 | ) | (43.26 | ) | (12.18 | ) | ||||||||||||
Net asset value, end of period | $ | 70.32 | $ | 77.68 | $ | 96.42 | $ | 105.47 | $ | 132.37 | $ | 175.63 | ||||||||||||
Total Returnc | (9.47 | %) | (19.42 | %) | (8.61 | %) | (20.31 | %) | (24.62 | %) | (6.50 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,174 | $ | 6,286 | $ | 11,857 | $ | 6,821 | $ | 6,865 | $ | 7,709 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | %) | (0.57 | %) | (1.04 | %) | (1.14 | %) | (1.44 | %) | (1.32 | %) | ||||||||||||
Total expensesd | 1.48 | % | 1.46 | % | 1.44 | % | 1.46 | % | 1.46 | % | 1.44 | % | ||||||||||||
Portfolio turnover rate | — | 486 | % | 1,674 | % | 149 | % | — | — |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 g | Year Ended March 31, 2016 g | Year Ended March 31, 2015 g | Year Ended March 31, 2014 f,g | Year Ended March 28, 2013 f,g | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 75.63 | $ | 94.01 | $ | 101.76 | $ | 127.98 | $ | 170.45 | $ | 183.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (1.00 | ) | (1.32 | ) | (1.48 | ) | (2.40 | ) | (2.80 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.14 | ) | (17.38 | ) | (6.43 | ) | (24.74 | ) | (40.07 | ) | (9.81 | ) | ||||||||||||
Total from investment operations | (7.24 | ) | (18.38 | ) | (7.75 | ) | (26.22 | ) | (42.47 | ) | (12.61 | ) | ||||||||||||
Net asset value, end of period | $ | 68.39 | $ | 75.63 | $ | 94.01 | $ | 101.76 | $ | 127.98 | $ | 170.45 | ||||||||||||
Total Returnc | (9.57 | %) | (19.54 | %) | (7.63 | %) | (20.50 | %) | (24.88 | %) | (6.89 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,871 | $ | 2,626 | $ | 54,948 | $ | 570 | $ | 372 | $ | 183 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.28 | %) | (1.08 | %) | (1.36 | %) | (1.35 | %) | (1.69 | %) | (1.56 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.70 | % | 1.69 | % | 1.71 | % | 1.71 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate | — | 486 | % | 1,674 | % | 149 | % | — | — |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 g | Year Ended March 31, 2016 g | Year Ended March 31, 2015 g | Year Ended March 31, 2014 f,g | Year Ended March 28, 2013, f,g | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.23 | $ | 81.79 | $ | 90.32 | $ | 114.51 | $ | 153.69 | $ | 166.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.31 | ) | (1.14 | ) | (1.80 | ) | (2.12 | ) | (3.20 | ) | (3.80 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.15 | ) | (15.42 | ) | (6.73 | ) | (22.07 | ) | (35.98 | ) | (8.82 | ) | ||||||||||||
Total from investment operations | (6.46 | ) | (16.56 | ) | (8.53 | ) | (24.19 | ) | (39.18 | ) | (12.62 | ) | ||||||||||||
Net asset value, end of period | $ | 58.77 | $ | 65.23 | $ | 81.79 | $ | 90.32 | $ | 114.51 | $ | 153.69 | ||||||||||||
Total Returnc | (9.90 | %) | (20.26 | %) | (9.43 | %) | (21.13 | %) | (25.44 | %) | (7.58 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,188 | $ | 1,247 | $ | 1,457 | $ | 998 | $ | 561 | $ | 678 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.02 | %) | (1.51 | %) | (2.09 | %) | (2.12 | %) | (2.44 | %) | (2.32 | %) | ||||||||||||
Total expensesd | 2.47 | % | 2.46 | % | 2.44 | % | 2.46 | % | 2.46 | % | 2.44 | % | ||||||||||||
Portfolio turnover rate | — | 486 | % | 1,674 | % | 149 | % | — | — |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 g | Year Ended March 31, 2016 g | Period Ended March 31, 2015e, g | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 74.56 | $ | 92.82 | $ | 101.76 | $ | 110.00 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.86 | ) | (1.16 | ) | (.80 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | (7.05 | ) | (17.40 | ) | (7.78 | ) | (7.44 | ) | ||||||||
Total from investment operations | (7.15 | ) | (18.26 | ) | (8.94 | ) | (8.24 | ) | ||||||||
Net asset value, end of period | $ | 67.41 | $ | 74.56 | $ | 92.82 | $ | 101.76 | ||||||||
Total Returnc | (9.59 | %) | (19.65 | %) | (8.80 | %) | (7.49 | %) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 613 | $ | 460 | $ | 252 | $ | 335 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.29 | %) | (0.95 | %) | (1.18 | %) | (1.35 | %) | ||||||||
Total expensesd | 1.73 | % | 1.70 | % | 1.70 | % | 1.68 | % | ||||||||
Portfolio turnover rate | — | 486 | % | 1,674 | % | 149 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate is for the entire period of the Fund, not since the commencement of operations of the class. |
f | Reverse share split — Per share amounts for the periods presented through March 31, 2014, have been restated to reflect a 1:5 reverse share split effective February 21, 2014. |
g | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 reverse share split effective November 4, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp28137_64.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | March 31, 2004 |
C-Class | August 20, 2001 |
H-Class | August 16, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 33.4% |
Guggenheim Strategy Fund I | 23.8% |
Teleflex, Inc. | 0.1% |
Take-Two Interactive Software, Inc. | 0.1% |
MSCI, Inc. — Class A | 0.1% |
Huntington Ingalls Industries, Inc. | 0.1% |
Trimble, Inc. | 0.1% |
NVR, Inc. | 0.1% |
SVB Financial Group | 0.1% |
Domino's Pizza, Inc. | 0.1% |
Top Ten Total | 58.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 6.75% | 24.67% | 19.23% | 8.92% |
A-Class Shares with sales charge‡ | 1.68% | 18.74% | 18.07% | 8.39% |
C-Class Shares | 6.35% | 23.78% | 18.35% | 8.12% |
C-Class Shares with CDSC§ | 5.35% | 22.78% | 18.35% | 8.12% |
H-Class Shares | 6.74% | 24.76% | 19.30% | 8.96% |
S&P MidCap 400 Index | 5.26% | 17.52% | 14.43% | 9.00% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 15.3% | ||||||||
Financial - 3.9% | ||||||||
SVB Financial Group* | 91 | $ | 17,025 | |||||
Reinsurance Group of America, Inc. — Class A | 112 | 15,627 | ||||||
Alleghany Corp.* | 27 | 14,958 | ||||||
East West Bancorp, Inc. | 250 | 14,945 | ||||||
Camden Property Trust REIT | 152 | 13,901 | ||||||
SEI Investments Co. | 227 | 13,860 | ||||||
American Financial Group, Inc. | 119 | 12,311 | ||||||
Signature Bank* | 95 | 12,164 | ||||||
Kilroy Realty Corp. REIT | 170 | 12,090 | ||||||
WR Berkley Corp. | 166 | 11,079 | ||||||
New York Community Bancorp, Inc. | 846 | 10,905 | ||||||
Omega Healthcare Investors, Inc. REIT1 | 341 | 10,881 | ||||||
Janus Henderson Group plc | 312 | 10,870 | ||||||
National Retail Properties, Inc. REIT | 258 | 10,748 | ||||||
PacWest Bancorp | 208 | 10,506 | ||||||
Liberty Property Trust REIT | 255 | 10,470 | ||||||
Douglas Emmett, Inc. REIT | 265 | 10,446 | ||||||
American Campus Communities, Inc. REIT | 236 | 10,419 | ||||||
Bank of the Ozarks | 210 | 10,091 | ||||||
Lamar Advertising Co. — Class A REIT | 145 | 9,937 | ||||||
Eaton Vance Corp. | 199 | 9,825 | ||||||
Brown & Brown, Inc. | 201 | 9,686 | ||||||
Synovus Financial Corp. | 210 | 9,673 | ||||||
Jones Lang LaSalle, Inc. | 78 | 9,633 | ||||||
First American Financial Corp. | 192 | 9,594 | ||||||
Cullen/Frost Bankers, Inc. | 101 | 9,587 | ||||||
Sterling Bancorp | 387 | 9,540 | ||||||
RenaissanceRe Holdings Ltd. | 70 | 9,460 | ||||||
DCT Industrial Trust, Inc. REIT | 161 | 9,325 | ||||||
Highwoods Properties, Inc. REIT | 179 | 9,324 | ||||||
CyrusOne, Inc. REIT | 158 | 9,311 | ||||||
Commerce Bancshares, Inc. | 155 | 8,954 | ||||||
Pinnacle Financial Partners, Inc. | 128 | 8,570 | ||||||
SLM Corp.* | 747 | 8,568 | ||||||
Webster Financial Corp. | 159 | 8,355 | ||||||
Old Republic International Corp. | 424 | 8,349 | ||||||
Medical Properties Trust, Inc. REIT | 630 | 8,272 | ||||||
Hospitality Properties Trust REIT | 284 | 8,091 | ||||||
Senior Housing Properties Trust REIT | 411 | 8,035 | ||||||
Prosperity Bancshares, Inc. | 120 | 7,888 | ||||||
FNB Corp. | 559 | 7,843 | ||||||
First Horizon National Corp. | 405 | 7,756 | ||||||
EPR Properties REIT | 111 | 7,741 | ||||||
Wintrust Financial Corp. | 97 | 7,596 | ||||||
Umpqua Holdings Corp. | 381 | 7,433 | ||||||
Texas Capital Bancshares, Inc.* | 86 | 7,379 | ||||||
Hancock Holding Co. | 147 | 7,122 | ||||||
Hanover Insurance Group, Inc. | 73 | 7,076 | ||||||
Healthcare Realty Trust, Inc. REIT | 214 | 6,921 | ||||||
Home BancShares, Inc. | 273 | 6,885 | ||||||
CNO Financial Group, Inc. | 293 | 6,839 | ||||||
Cousins Properties, Inc. REIT | 727 | 6,790 | ||||||
United Bankshares, Inc. | 182 | 6,761 | ||||||
Life Storage, Inc. REIT | 81 | 6,627 | ||||||
CoreSite Realty Corp. REIT | 59 | 6,602 | ||||||
Weingarten Realty Investors REIT | 207 | 6,570 | ||||||
MB Financial, Inc. | 145 | 6,528 | ||||||
Rayonier, Inc. REIT | 223 | 6,442 | ||||||
Chemical Financial Corp. | 123 | 6,428 | ||||||
Primerica, Inc. | 78 | 6,361 | ||||||
Associated Banc-Corp. | 262 | 6,354 | ||||||
Stifel Financial Corp. | 118 | 6,308 | ||||||
First Industrial Realty Trust, Inc. REIT | 207 | 6,229 | ||||||
Bank of Hawaii Corp. | 74 | 6,169 | ||||||
Sabra Health Care REIT, Inc. REIT | 277 | 6,077 | ||||||
Legg Mason, Inc. | 151 | 5,936 | ||||||
GEO Group, Inc. REIT | 215 | 5,784 | ||||||
LaSalle Hotel Properties REIT | 196 | 5,688 | ||||||
Fulton Financial Corp. | 303 | 5,681 | ||||||
UMB Financial Corp. | 76 | 5,661 | ||||||
Corporate Office Properties Trust REIT | 172 | 5,647 | ||||||
JBG SMITH Properties REIT* | 162 | 5,542 | ||||||
CoreCivic, Inc. REIT | 205 | 5,488 | ||||||
Cathay General Bancorp | 131 | 5,266 | ||||||
Taubman Centers, Inc. REIT | 105 | 5,219 | ||||||
Washington Federal, Inc. | 154 | 5,182 | ||||||
TCF Financial Corp. | 297 | 5,061 | ||||||
Federated Investors, Inc. — Class B | 165 | 4,901 | ||||||
BancorpSouth, Inc. | 147 | 4,711 | ||||||
Education Realty Trust, Inc. REIT | 127 | 4,563 | ||||||
Kemper Corp. | 84 | 4,452 | ||||||
Urban Edge Properties REIT | 183 | 4,414 | ||||||
Aspen Insurance Holdings Ltd. | 104 | 4,202 | ||||||
Uniti Group, Inc. REIT | 285 | 4,178 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 164 | 4,005 | ||||||
Trustmark Corp. | 117 | 3,875 | ||||||
International Bancshares Corp. | 94 | 3,769 | ||||||
Alexander & Baldwin, Inc. | 80 | 3,706 | ||||||
Mack-Cali Realty Corp. REIT | 155 | 3,675 | ||||||
Mercury General Corp. | 63 | 3,571 | ||||||
Potlatch Corp. REIT | 70 | 3,570 | ||||||
Genworth Financial, Inc. — Class A* | 864 | 3,326 | ||||||
Washington Prime Group, Inc. REIT | 322 | 2,682 | ||||||
Quality Care Properties, Inc. REIT* | 162 | 2,511 | ||||||
Total Financial | 731,883 | |||||||
Industrial - 2.9% | ||||||||
Huntington Ingalls Industries, Inc. | 79 | 17,889 | ||||||
Trimble, Inc.* | 438 | 17,191 | ||||||
Cognex Corp. | 150 | 16,542 | ||||||
IDEX Corp. | 132 | 16,034 | ||||||
Keysight Technologies, Inc.* | 321 | 13,372 | ||||||
Orbital ATK, Inc.1 | 100 | 13,316 | ||||||
Old Dominion Freight Line, Inc. | 118 | 12,993 | ||||||
Arrow Electronics, Inc.* | 153 | 12,303 | ||||||
Graco, Inc.1 | 97 | 11,998 | ||||||
Lennox International, Inc. | 66 | 11,812 | ||||||
Wabtec Corp. | 148 | 11,211 | ||||||
Hubbell, Inc. | 95 | 11,022 | ||||||
Carlisle Companies, Inc. | 109 | 10,932 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
Oshkosh Corp. | 130 | $ | 10,730 | |||||
Donaldson Company, Inc. | 227 | 10,428 | ||||||
Nordson Corp. | 88 | 10,428 | ||||||
Coherent, Inc.* | 43 | 10,112 | ||||||
Zebra Technologies Corp. — Class A* | 92 | 9,989 | ||||||
AECOM* | 271 | 9,975 | ||||||
Lincoln Electric Holdings, Inc. | 107 | 9,809 | ||||||
Gentex Corp. | 494 | 9,781 | ||||||
Teledyne Technologies, Inc.* | 61 | 9,710 | ||||||
AptarGroup, Inc. | 109 | 9,408 | ||||||
Knight-Swift Transportation Holdings, Inc.* | 221 | 9,183 | ||||||
Eagle Materials, Inc. | 84 | 8,963 | ||||||
Jabil, Inc. | 310 | 8,851 | ||||||
Sonoco Products Co. | 172 | 8,678 | ||||||
AGCO Corp. | 114 | 8,410 | ||||||
Avnet, Inc. | 213 | 8,371 | ||||||
Trinity Industries, Inc. | 262 | 8,358 | ||||||
Curtiss-Wright Corp. | 76 | 7,945 | ||||||
Genesee & Wyoming, Inc. — Class A* | 106 | 7,845 | ||||||
National Instruments Corp. | 185 | 7,801 | ||||||
Ryder System, Inc. | 92 | 7,779 | ||||||
Littelfuse, Inc. | 39 | 7,639 | ||||||
Woodward, Inc. | 96 | 7,451 | ||||||
Landstar System, Inc. | 73 | 7,274 | ||||||
Bemis Company, Inc.1 | 157 | 7,154 | ||||||
Owens-Illinois, Inc.* | 282 | 7,095 | ||||||
EMCOR Group, Inc. | 102 | 7,076 | ||||||
Crane Co. | 88 | 7,039 | ||||||
Louisiana-Pacific Corp.* | 251 | 6,797 | ||||||
ITT, Inc. | 152 | 6,729 | ||||||
Terex Corp. | 147 | 6,618 | ||||||
SYNNEX Corp. | 50 | 6,326 | ||||||
Valmont Industries, Inc. | 39 | 6,166 | ||||||
Kirby Corp.* | 93 | 6,133 | ||||||
Regal Beloit Corp. | 77 | 6,083 | ||||||
Belden, Inc. | 73 | 5,879 | ||||||
Timken Co. | 119 | 5,777 | ||||||
Kennametal, Inc. | 140 | 5,648 | ||||||
Tech Data Corp.* | 60 | 5,331 | ||||||
EnerSys | 75 | 5,188 | ||||||
Clean Harbors, Inc.* | 90 | 5,103 | ||||||
Energizer Holdings, Inc. | 107 | 4,927 | ||||||
Cree, Inc.* | 169 | 4,764 | ||||||
KLX, Inc.* | 89 | 4,711 | ||||||
MSA Safety, Inc. | 59 | 4,691 | ||||||
Dycom Industries, Inc.* | 54 | 4,638 | ||||||
Vishay Intertechnology, Inc. | 232 | 4,362 | ||||||
KBR, Inc. | 242 | 4,327 | ||||||
Esterline Technologies Corp.* | 46 | 4,147 | ||||||
GATX Corp. | 67 | 4,125 | ||||||
Granite Construction, Inc. | 69 | 3,999 | ||||||
Silgan Holdings, Inc. | 128 | 3,767 | ||||||
Worthington Industries, Inc. | 77 | 3,542 | ||||||
Werner Enterprises, Inc. | 78 | 2,851 | ||||||
Greif, Inc. — Class A | 45 | 2,634 | ||||||
Knowles Corp.* | 155 | 2,367 | ||||||
Total Industrial | 557,527 | |||||||
Consumer, Non-cyclical - 2.2% | ||||||||
Teleflex, Inc. | 78 | 18,874 | ||||||
Ingredion, Inc. | 124 | 14,960 | ||||||
ManpowerGroup, Inc. | 115 | 13,549 | ||||||
WellCare Health Plans, Inc.* | 77 | 13,224 | ||||||
STERIS plc | 147 | 12,995 | ||||||
West Pharmaceutical Services, Inc. | 128 | 12,321 | ||||||
ABIOMED, Inc.* | 73 | 12,308 | ||||||
MarketAxess Holdings, Inc. | 65 | 11,993 | ||||||
Lamb Weston Holdings, Inc. | 253 | 11,863 | ||||||
Service Corporation International | 324 | 11,178 | ||||||
Bioverativ, Inc.* | 187 | 10,672 | ||||||
Live Nation Entertainment, Inc.* | 232 | 10,104 | ||||||
Post Holdings, Inc.* | 114 | 10,063 | ||||||
Charles River Laboratories International, Inc.* | 82 | 8,858 | ||||||
United Therapeutics Corp.* | 75 | 8,789 | ||||||
Catalent, Inc.*,1 | 216 | 8,623 | ||||||
Hill-Rom Holdings, Inc. | 114 | 8,436 | ||||||
HealthSouth Corp. | 171 | 7,926 | ||||||
Bio-Techne Corp. | 65 | 7,858 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 35 | 7,778 | ||||||
WEX, Inc.* | 69 | 7,743 | ||||||
Rollins, Inc. | 166 | 7,659 | ||||||
Hain Celestial Group, Inc.* | 179 | 7,366 | ||||||
Brink’s Co. | 87 | 7,330 | ||||||
Edgewell Personal Care Co.* | 99 | 7,204 | ||||||
Masimo Corp.* | 83 | 7,184 | ||||||
MEDNAX, Inc.* | 162 | 6,985 | ||||||
CoreLogic, Inc.* | 146 | 6,748 | ||||||
Acadia Healthcare Company, Inc.* | 141 | 6,734 | ||||||
TreeHouse Foods, Inc.* | 99 | 6,705 | ||||||
Sabre Corp. | 361 | 6,534 | ||||||
Mallinckrodt plc* | 168 | 6,278 | ||||||
Deluxe Corp. | 84 | 6,129 | ||||||
Flowers Foods, Inc. | 319 | 6,000 | ||||||
Sanderson Farms, Inc. | 35 | 5,653 | ||||||
Snyder’s-Lance, Inc. | 147 | 5,607 | ||||||
Akorn, Inc.* | 162 | 5,377 | ||||||
LivaNova plc* | 75 | 5,255 | ||||||
Molina Healthcare, Inc.* | 76 | 5,226 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 97 | 5,073 | ||||||
NuVasive, Inc.* | 88 | 4,880 | ||||||
Avis Budget Group, Inc.* | 126 | 4,796 | ||||||
Aaron’s, Inc. | 108 | 4,712 | ||||||
Graham Holdings Co. — Class B | 8 | 4,681 | ||||||
Prestige Brands Holdings, Inc.* | 92 | 4,608 | ||||||
Helen of Troy Ltd.* | 47 | 4,554 | ||||||
Sprouts Farmers Market, Inc.* | 218 | 4,092 | ||||||
Lancaster Colony Corp. | 34 | 4,084 | ||||||
LifePoint Health, Inc.* | 69 | 3,995 | ||||||
Adtalem Global Education, Inc. | 107 | 3,836 |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
Globus Medical, Inc. — Class A* | 125 | $ | 3,715 | |||||
United Natural Foods, Inc.* | 88 | 3,660 | ||||||
Halyard Health, Inc.* | 81 | 3,647 | ||||||
Owens & Minor, Inc. | 106 | 3,095 | ||||||
Sotheby’s* | 65 | 2,997 | ||||||
Endo International plc* | 348 | 2,981 | ||||||
Boston Beer Company, Inc. — Class A* | 15 | 2,343 | ||||||
Tenet Healthcare Corp.* | 140 | 2,300 | ||||||
Avon Products, Inc.* | 761 | 1,773 | ||||||
Dean Foods Co. | 157 | 1,708 | ||||||
Tootsie Roll Industries, Inc. | 33 | 1,254 | ||||||
Total Consumer, Non-cyclical | 424,873 | |||||||
Consumer, Cyclical - 1.8% | ||||||||
NVR, Inc.* | 6 | 17,130 | ||||||
Domino’s Pizza, Inc.1 | 84 | 16,678 | ||||||
Copart, Inc.* | 347 | 11,926 | ||||||
Toro Co. | 187 | 11,606 | ||||||
Toll Brothers, Inc. | 263 | 10,907 | ||||||
Thor Industries, Inc. | 85 | 10,702 | ||||||
Polaris Industries, Inc.1 | �� | 101 | 10,568 | |||||
JetBlue Airways Corp.* | 569 | 10,544 | ||||||
Brunswick Corp. | 154 | 8,619 | ||||||
Watsco, Inc. | 53 | 8,537 | ||||||
Six Flags Entertainment Corp. | 137 | 8,350 | ||||||
Dunkin’ Brands Group, Inc. | 156 | 8,280 | ||||||
Carter’s, Inc. | 83 | 8,196 | ||||||
Pool Corp. | 71 | 7,680 | ||||||
Casey’s General Stores, Inc. | 66 | 7,224 | ||||||
Dana, Inc. | 250 | 6,990 | ||||||
Scotts Miracle-Gro Co. — Class A | 71 | 6,911 | ||||||
Williams-Sonoma, Inc.1 | 138 | 6,881 | ||||||
Cinemark Holdings, Inc. | 183 | 6,626 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 42 | 6,368 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 78 | 5,894 | ||||||
Bed Bath & Beyond, Inc. | 249 | 5,844 | ||||||
Skechers U.S.A., Inc. — Class A* | 232 | 5,821 | ||||||
Texas Roadhouse, Inc. — Class A | 113 | 5,553 | ||||||
Tupperware Brands Corp. | 88 | 5,440 | ||||||
AutoNation, Inc.*,1 | 113 | 5,363 | ||||||
Nu Skin Enterprises, Inc. — Class A | 86 | 5,287 | ||||||
Jack in the Box, Inc. | 51 | 5,198 | ||||||
Tempur Sealy International, Inc.* | 79 | 5,097 | ||||||
Wendy’s Co. | 316 | 4,907 | ||||||
ILG, Inc. | 183 | 4,892 | ||||||
CalAtlantic Group, Inc. | 132 | 4,835 | ||||||
Churchill Downs, Inc. | 22 | 4,536 | ||||||
Sally Beauty Holdings, Inc.* | 227 | 4,445 | ||||||
American Eagle Outfitters, Inc. | 291 | 4,161 | ||||||
Big Lots, Inc. | 77 | 4,125 | ||||||
Michaels Companies, Inc.* | 191 | 4,101 | ||||||
Office Depot, Inc. | 897 | 4,072 | ||||||
World Fuel Services Corp. | 119 | 4,035 | ||||||
Dick’s Sporting Goods, Inc. | 147 | 3,970 | ||||||
Deckers Outdoor Corp.* | 55 | 3,763 | ||||||
Herman Miller, Inc. | 104 | 3,733 | ||||||
TRI Pointe Group, Inc.* | 262 | 3,618 | ||||||
GameStop Corp. — Class A | 175 | 3,616 | ||||||
KB Home | 144 | 3,473 | ||||||
Urban Outfitters, Inc.* | 141 | 3,370 | ||||||
Cooper Tire & Rubber Co. | 90 | 3,366 | ||||||
Papa John’s International, Inc. | 46 | 3,361 | ||||||
Cheesecake Factory, Inc. | 76 | 3,201 | ||||||
HNI Corp. | 76 | 3,152 | ||||||
Buffalo Wild Wings, Inc.* | 27 | 2,854 | ||||||
Brinker International, Inc. | 85 | 2,708 | ||||||
HSN, Inc. | 55 | 2,148 | ||||||
Dillard’s, Inc. — Class A | 36 | 2,019 | ||||||
International Speedway Corp. — Class A | 43 | 1,548 | ||||||
Total Consumer, Cyclical | 334,229 | |||||||
Technology - 1.7% | ||||||||
Take-Two Interactive Software, Inc.* | 184 | 18,811 | ||||||
MSCI, Inc. — Class A | 156 | 18,236 | ||||||
Broadridge Financial Solutions, Inc. | 202 | 16,326 | ||||||
Leidos Holdings, Inc. | 246 | 14,569 | ||||||
CDK Global, Inc. | 228 | 14,385 | ||||||
Jack Henry & Associates, Inc. | 134 | 13,774 | ||||||
Teradyne, Inc. | 342 | 12,753 | ||||||
IPG Photonics Corp.* | 65 | 12,029 | ||||||
PTC, Inc.* | 200 | 11,256 | ||||||
Tyler Technologies, Inc.* | 60 | 10,459 | ||||||
Microsemi Corp.* | 200 | 10,296 | ||||||
Fortinet, Inc.* | 262 | 9,391 | ||||||
Ultimate Software Group, Inc.* | 49 | 9,290 | ||||||
Cypress Semiconductor Corp. | 575 | 8,637 | ||||||
Brocade Communications Systems, Inc. | 716 | 8,556 | ||||||
Medidata Solutions, Inc.* | 101 | 7,884 | ||||||
NCR Corp.* | 210 | 7,879 | ||||||
Dun & Bradstreet Corp. | 64 | 7,450 | ||||||
Fair Isaac Corp. | 53 | 7,447 | ||||||
Teradata Corp.* | 218 | 7,366 | ||||||
Blackbaud, Inc. | 83 | 7,287 | ||||||
MAXIMUS, Inc. | 112 | 7,224 | ||||||
Monolithic Power Systems, Inc. | 66 | 7,032 | ||||||
j2 Global, Inc. | 84 | 6,206 | ||||||
Integrated Device Technology, Inc.* | 231 | 6,140 | ||||||
Silicon Laboratories, Inc.* | 74 | 5,913 | ||||||
Cirrus Logic, Inc.* | 110 | 5,865 | ||||||
DST Systems, Inc. | 105 | 5,762 | ||||||
Science Applications International Corp. | 76 | 5,081 | ||||||
NetScout Systems, Inc.* | 155 | 5,014 | ||||||
Manhattan Associates, Inc.* | 119 | 4,947 | ||||||
ACI Worldwide, Inc.* | 204 | 4,647 | ||||||
Pitney Bowes, Inc. | 323 | 4,525 | ||||||
Allscripts Healthcare Solutions, Inc.* | 313 | 4,454 | ||||||
CommVault Systems, Inc.* | 73 | 4,438 | ||||||
Convergys Corp. | 161 | 4,168 | ||||||
VeriFone Systems, Inc.* | 194 | 3,934 | ||||||
Acxiom Corp.* | 138 | 3,400 | ||||||
Diebold Nixdorf, Inc.1 | 131 | 2,993 | ||||||
3D Systems Corp.*,1 | 197 | 2,638 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Shares | Value | |||||||
Synaptics, Inc.* | 58 | $ | 2,272 | |||||
Total Technology | 330,734 | |||||||
Utilities - 0.8% | ||||||||
Atmos Energy Corp. | 184 | 15,426 | ||||||
UGI Corp. | 300 | 14,057 | ||||||
OGE Energy Corp. | 346 | 12,467 | ||||||
Westar Energy, Inc. | 246 | 12,202 | ||||||
Great Plains Energy, Inc. | 373 | 11,302 | ||||||
Aqua America, Inc. | 307 | 10,189 | ||||||
Vectren Corp. | 144 | 9,471 | ||||||
MDU Resources Group, Inc. | 338 | 8,771 | ||||||
National Fuel Gas Co. | 148 | 8,378 | ||||||
IDACORP, Inc. | 87 | 7,650 | ||||||
WGL Holdings, Inc. | 89 | 7,494 | ||||||
ONE Gas, Inc. | 90 | 6,628 | ||||||
Black Hills Corp. | 93 | 6,405 | ||||||
Southwest Gas Holdings, Inc. | 82 | 6,365 | ||||||
New Jersey Resources Corp. | 150 | 6,323 | ||||||
Hawaiian Electric Industries, Inc. | 188 | 6,274 | ||||||
PNM Resources, Inc. | 138 | 5,561 | ||||||
NorthWestern Corp. | 84 | 4,783 | ||||||
Total Utilities | 159,746 | |||||||
Basic Materials - 0.8% | ||||||||
Chemours Co. | 320 | 16,195 | ||||||
Steel Dynamics, Inc. | 415 | 14,306 | ||||||
RPM International, Inc. | 231 | 11,860 | ||||||
Olin Corp. | 288 | 9,864 | ||||||
Royal Gold, Inc. | 113 | 9,723 | ||||||
Reliance Steel & Aluminum Co. | 126 | 9,597 | ||||||
Valvoline, Inc. | 351 | 8,231 | ||||||
United States Steel Corp. | 302 | 7,749 | ||||||
Versum Materials, Inc. | 188 | 7,298 | ||||||
Ashland Global Holdings, Inc. | 108 | 7,062 | ||||||
NewMarket Corp. | 16 | 6,812 | ||||||
Cabot Corp. | 108 | 6,026 | ||||||
Sensient Technologies Corp. | 76 | 5,846 | ||||||
PolyOne Corp. | 142 | 5,684 | ||||||
Domtar Corp. | 108 | 4,686 | ||||||
Allegheny Technologies, Inc.*,1 | 188 | 4,493 | ||||||
Minerals Technologies, Inc. | 61 | 4,310 | ||||||
Carpenter Technology Corp. | 81 | 3,890 | ||||||
Compass Minerals International, Inc.1 | 59 | 3,829 | ||||||
Commercial Metals Co. | 200 | 3,806 | ||||||
Total Basic Materials | 151,267 | |||||||
Energy - 0.7% | ||||||||
HollyFrontier Corp. | 307 | 11,042 | ||||||
Energen Corp.* | 168 | 9,186 | ||||||
WPX Energy, Inc.* | 689 | 7,924 | ||||||
Patterson-UTI Energy, Inc. | 369 | 7,727 | ||||||
Core Laboratories N.V. | 76 | 7,501 | ||||||
Murphy Oil Corp. | 281 | 7,463 | ||||||
Transocean Ltd.*,1 | 677 | 7,285 | ||||||
First Solar, Inc.* | 141 | 6,469 | ||||||
CONSOL Energy, Inc.* | 358 | 6,065 | ||||||
Southwestern Energy Co.* | 881 | 5,383 | ||||||
PBF Energy, Inc. — Class A1 | 190 | 5,246 | ||||||
Oceaneering International, Inc. | 170 | 4,466 | ||||||
Matador Resources Co.* | 154 | 4,181 | ||||||
Gulfport Energy Corp.* | 285 | 4,087 | ||||||
Murphy USA, Inc.* | 58 | 4,002 | ||||||
Nabors Industries Ltd. | 495 | 3,995 | ||||||
Callon Petroleum Co.* | 346 | 3,889 | ||||||
QEP Resources, Inc.* | 416 | 3,565 | ||||||
Ensco plc — Class A1 | 526 | 3,140 | ||||||
SM Energy Co. | 177 | 3,140 | ||||||
Dril-Quip, Inc.* | 65 | 2,870 | ||||||
Superior Energy Services, Inc.* | 265 | 2,830 | ||||||
NOW, Inc.* | 186 | 2,569 | ||||||
Rowan Companies plc — Class A* | 197 | 2,531 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 112 | 1,624 | ||||||
Total Energy | 128,180 | |||||||
Communications - 0.5% | ||||||||
FactSet Research Systems, Inc. | 68 | 12,247 | ||||||
LogMeIn, Inc. | 91 | 10,014 | ||||||
ARRIS International plc* | 305 | 8,689 | ||||||
ViaSat, Inc.* | 93 | 5,982 | ||||||
Cable One, Inc. | 8 | 5,777 | ||||||
Ciena Corp.* | 245 | 5,383 | ||||||
AMC Networks, Inc. — Class A* | 90 | 5,262 | ||||||
TEGNA, Inc. | 372 | 4,959 | ||||||
Telephone & Data Systems, Inc. | 159 | 4,435 | ||||||
InterDigital, Inc. | 60 | 4,425 | ||||||
New York Times Co. — Class A | 218 | 4,273 | ||||||
John Wiley & Sons, Inc. — Class A | 77 | 4,120 | ||||||
Meredith Corp. | 68 | 3,774 | ||||||
Cars.com, Inc.*,1 | 124 | 3,300 | ||||||
Plantronics, Inc. | 58 | 2,565 | ||||||
Frontier Communications Corp.1 | 136 | 1,603 | ||||||
Total Communications | 86,808 | |||||||
Total Common Stocks | ||||||||
(Cost $2,438,648) | 2,905,247 | |||||||
MUTUAL FUNDS† - 57.2% | ||||||||
Guggenheim Strategy Fund II2 | 252,521 | 6,328,172 | ||||||
Guggenheim Strategy Fund I2 | 179,871 | 4,516,572 | ||||||
Total Mutual Funds | ||||||||
(Cost $10,790,238) | 10,844,744 |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
Face Amount | Value | |||||||
FEDERAL AGENCY NOTES†† - 10.6% | ||||||||
Farmer Mac3 | ||||||||
1.47% (Fed Funds Effective Rate + 32 bps) due 01/25/184 | $ | 1,000,000 | $ | 1,001,157 | ||||
Federal Home Loan Bank3 | ||||||||
1.00% due 10/26/185 | 1,000,000 | 999,022 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $1,999,957) | 2,000,179 | |||||||
REPURCHASE AGREEMENTS††,6 - 14.4% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/177 | 1,362,995 | 1,362,995 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/177 | 681,497 | 681,497 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/177 | 563,418 | 563,418 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 106,397 | 106,397 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 11,159 | 11,159 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,725,466) | 2,725,466 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,8 - 0.5% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%9 | 88,755 | 88,755 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $88,755) | 88,755 | |||||||
Total Investments - 98.0% | ||||||||
(Cost $18,043,064) | $ | 18,564,391 | ||||||
Other Assets & Liabilities, net - 2.0% | 383,713 | |||||||
Total Net Assets - 100.0% | $ | 18,948,104 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Goldman Sachs International | S&P MidCap 400 Index | 1.55 | % | At Maturity | 10/27/17 | 3,686 | $ | 6,619,621 | $ | 84,865 | ||||||||
BNP Paribas | S&P MidCap 400 Index | 1.59 | % | At Maturity | 10/30/17 | 9,685 | 17,394,116 | 61,353 | ||||||||||
Barclays Bank plc | S&P MidCap 400 Index | 1.55 | % | At Maturity | 10/31/17 | 902 | 1,620,556 | 2,159 | ||||||||||
$ | 25,634,293 | $ | 148,377 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Affiliated issuer. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
5 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
MID-CAP 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Common Stocks | $ | 2,905,247 | $ | — | $ | — | $ | — | $ | 2,905,247 | ||||||||||
Equity Index Swap Agreements | — | — | 148,377 | — | 148,377 | |||||||||||||||
Federal Agency Notes | — | 2,000,179 | — | — | 2,000,179 | |||||||||||||||
Mutual Funds | 10,844,744 | — | — | — | 10,844,744 | |||||||||||||||
Repurchase Agreements | — | 2,725,466 | — | — | 2,725,466 | |||||||||||||||
Securities Lending Collateral | 88,755 | — | — | — | 88,755 | |||||||||||||||
Total Assets | $ | 13,838,746 | $ | 4,725,645 | $ | 148,377 | $ | — | $ | 18,712,768 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 8,803,108 | $ | — | $ | (4,299,999 | ) | $ | 17,992 | $ | (4,529 | ) | $ | 4,516,572 | 179,871 | $ | 58,104 | |||||||||||||||
Guggenheim Strategy Fund II | 10,160,083 | — | (3,850,000 | ) | 10,631 | 7,458 | 6,328,172 | 252,521 | 97,190 | |||||||||||||||||||||||
$ | 18,963,191 | $ | — | $ | (8,149,999 | ) | $ | 28,623 | $ | 2,929 | $ | 10,844,744 | $ | 155,294 |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $87,067 of securities loaned (cost $4,527,360) | $ | 4,994,181 | ||
Investments in affiliated issuers, at value (cost $10,790,238) | $ | 10,844,744 | ||
Repurchase agreements, at value (cost $2,725,466) | 2,725,466 | |||
Cash | 56 | |||
Segregated cash with broker | 303,104 | |||
Unrealized appreciation on swap agreements | 148,377 | |||
Receivables: | ||||
Fund shares sold | 98,361 | |||
Dividends | 21,427 | |||
Securities sold | 9,982 | |||
Interest | 4,741 | |||
Securities lending income | 59 | |||
Total assets | 19,150,498 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 88,755 | |||
Fund shares redeemed | 72,598 | |||
Securities purchased | 17,888 | |||
Management fees | 13,785 | |||
Distribution and service fees | 7,119 | |||
Transfer agent and administrative fees | 3,829 | |||
Portfolio accounting fees | 1,532 | |||
Miscellaneous | (3,112 | ) | ||
Total liabilities | 202,394 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 18,948,104 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,511,251 | ||
Accumulated net investment loss | (25,359 | ) | ||
Accumulated net realized gain on investments | 2,792,508 | |||
Net unrealized appreciation on investments | 669,704 | |||
Net assets | $ | 18,948,104 | ||
A-Class: | ||||
Net assets | $ | 989,384 | ||
Capital shares outstanding | 11,600 | |||
Net asset value per share | $ | 85.29 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 89.54 | ||
C-Class: | ||||
Net assets | $ | 5,538,689 | ||
Capital shares outstanding | 73,964 | |||
Net asset value per share | $ | 74.88 | ||
H-Class: | ||||
Net assets | $ | 12,420,031 | ||
Capital shares outstanding | 145,022 | |||
Net asset value per share | $ | 85.64 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $16) | $ | 26,546 | ||
Dividends from securities of affiliated issuers | 155,294 | |||
Interest | 24,309 | |||
Income from securities lending, net | 313 | |||
Total investment income | 206,462 | |||
Expenses: | ||||
Management fees | 109,555 | |||
Distribution and service fees: | ||||
A-Class | 1,898 | |||
C-Class | 33,601 | |||
H-Class | 20,134 | |||
Transfer agent and administrative fees | 30,432 | |||
Registration fees | 20,894 | |||
Portfolio accounting fees | 12,173 | |||
Trustees’ fees* | 3,052 | |||
Custodian fees | 1,917 | |||
Line of credit fees | 210 | |||
Miscellaneous | (2,045 | ) | ||
Total expenses | 231,821 | |||
Net investment loss | (25,359 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (31,959 | ) | ||
Investments in affiliated issuers | 28,623 | |||
Swap agreements | 1,537,947 | |||
Futures contracts | 58,899 | |||
Net realized gain | 1,593,510 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 154,660 | |||
Investments in affiliated issuers | 2,929 | |||
Swap agreements | (361,039 | ) | ||
Futures contracts | (8,303 | ) | ||
Net change in unrealized appreciation (depreciation) | (211,753 | ) | ||
Net realized and unrealized gain | 1,381,757 | |||
Net increase in net assets resulting from operations | $ | 1,356,398 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
MID-CAP 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (25,359 | ) | $ | (340,190 | ) | ||
Net realized gain on investments | 1,593,510 | 11,668,465 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (211,753 | ) | (851,968 | ) | ||||
Net increase in net assets resulting from operations | 1,356,398 | 10,476,307 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | — | (5,668 | ) | |||||
C-Class | — | (15,978 | ) | |||||
H-Class | — | (693,678 | ) | |||||
Total distributions to shareholders | — | (715,324 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 976,810 | 59,054,189 | ||||||
C-Class | 89,070 | 2,596,544 | ||||||
H-Class | 41,004,396 | 992,509,796 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 3,889 | ||||||
C-Class | — | 15,931 | ||||||
H-Class | — | 252,871 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,996,946 | ) | (58,826,949 | ) | ||||
C-Class | (2,640,291 | ) | (1,331,076 | ) | ||||
H-Class | (49,566,978 | ) | (994,594,368 | ) | ||||
Net decrease from capital share transactions | (12,133,939 | ) | (319,173 | ) | ||||
Net increase (decrease) in net assets | (10,777,541 | ) | 9,441,810 | |||||
Net assets: | ||||||||
Beginning of period | 29,725,645 | 20,283,835 | ||||||
End of period | $ | 18,948,104 | $ | 29,725,645 | ||||
Accumulated net investment loss at end of period | $ | (25,359 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 12,017 | 822,566 | ||||||
C-Class | 1,265 | 43,403 | ||||||
H-Class | 504,405 | 13,926,583 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 53 | ||||||
C-Class | — | 245 | ||||||
H-Class | — | 3,418 | ||||||
Shares redeemed | ||||||||
A-Class | (24,638 | ) | (828,877 | ) | ||||
C-Class | (36,930 | ) | (21,601 | ) | ||||
H-Class | (609,539 | ) | (13,899,912 | ) | ||||
Net increase (decrease) in shares | (153,420 | ) | 45,878 |
72 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 79.90 | $ | 61.64 | $ | 67.32 | $ | 58.48 | $ | 45.07 | $ | 36.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (.09 | ) | (.47 | ) | (.41 | ) | (.35 | ) | (.16 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.39 | 18.50 | (4.81 | ) | 9.45 | 13.76 | 9.00 | |||||||||||||||||
Total from investment operations | 5.39 | 18.41 | (5.28 | ) | 9.04 | 13.41 | 8.84 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 85.29 | $ | 79.90 | $ | 61.64 | $ | 67.32 | $ | 58.48 | $ | 45.07 | ||||||||||||
Total Returnd | 6.75 | % | 29.88 | % | (7.86 | %) | 15.50 | % | 29.75 | % | 24.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 989 | $ | 1,935 | $ | 1,879 | $ | 5,330 | $ | 2,632 | $ | 2,199 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | — | (0.13 | %) | (0.75 | %) | (0.66 | %) | (0.68 | %) | (0.43 | %) | |||||||||||||
Total expensese | 1.70 | % | 1.68 | % | 1.65 | % | 1.64 | % | 1.67 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 1,216 | % | 1,506 | % | 598 | % | 563 | % | 447 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.42 | $ | 54.73 | $ | 60.27 | $ | 52.77 | $ | 40.97 | $ | 33.18 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.27 | ) | (.65 | ) | (.78 | ) | (.76 | ) | (.64 | ) | (.41 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.73 | 16.49 | (4.36 | ) | 8.46 | 12.44 | 8.20 | |||||||||||||||||
Total from investment operations | 4.46 | 15.84 | (5.14 | ) | 7.70 | 11.80 | 7.79 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 74.88 | $ | 70.42 | $ | 54.73 | $ | 60.27 | $ | 52.77 | $ | 40.97 | ||||||||||||
Total Returnd | 6.35 | % | 28.94 | % | (8.55 | %) | 14.63 | % | 28.80 | % | 23.48 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,539 | $ | 7,720 | $ | 4,794 | $ | 4,615 | $ | 4,549 | $ | 5,107 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.75 | %) | (1.05 | %) | (1.41 | %) | (1.39 | %) | (1.40 | %) | (1.23 | %) | ||||||||||||
Total expensese | 2.45 | % | 2.42 | % | 2.40 | % | 2.40 | % | 2.42 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 1,216 | % | 1,506 | % | 598 | % | 563 | % | 447 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
MID-CAP 1.5x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 80.23 | $ | 61.85 | $ | 67.45 | $ | 58.56 | $ | 45.13 | $ | 36.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (.37 | ) | (.57 | ) | (.29 | ) | (.34 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.41 | 18.90 | (4.63 | ) | 9.38 | 13.77 | 9.01 | |||||||||||||||||
Total from investment operations | 5.41 | 18.53 | (5.20 | ) | 9.09 | 13.43 | 8.86 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (.15 | ) | (.40 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 85.64 | $ | 80.23 | $ | 61.85 | $ | 67.45 | $ | 58.56 | $ | 45.13 | ||||||||||||
Total Returnd | 6.74 | % | 29.97 | % | (7.73 | %) | 15.56 | % | 29.76 | % | 24.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,420 | $ | 20,071 | $ | 13,611 | $ | 16,433 | $ | 19,413 | $ | 57,067 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | — | (0.50 | %) | (0.93 | %) | (0.47 | %) | (0.66 | %) | (0.41 | %) | |||||||||||||
Total expensese | 1.70 | % | 1.68 | % | 1.66 | % | 1.66 | % | 1.68 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 1,216 | % | 1,506 | % | 598 | % | 563 | % | 447 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp28137_75.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 4.6% |
Guggenheim Strategy Fund II | 4.6% |
Total | 9.2% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (5.10%) | (15.54%) | (15.01%) | (13.24%) |
A-Class Shares with sales charge‡ | (9.60%) | (19.56%) | (15.84%) | (13.66%) |
C-Class Shares | (5.52%) | (16.23%) | (15.67%) | (13.91%) |
C-Class Shares with CDSC§ | (6.47%) | (17.07%) | (15.67%) | (13.91%) |
H-Class Shares | (5.10%) | (15.55%) | (15.00%) | (13.24%) |
S&P MidCap 400 Index | 5.26% | 17.52% | 14.43% | 9.00% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE MID-CAP STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 9.2% | ||||||||
Guggenheim Strategy Fund I1 | 5,440 | $ | 136,598 | |||||
Guggenheim Strategy Fund II1 | 5,446 | 136,467 | ||||||
Total Mutual Funds | ||||||||
(Cost $270,358) | 273,065 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 80.3% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/173 | $ | 1,184,085 | 1,184,085 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/173 | 592,042 | 592,042 |
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/173 | 298,189 | 298,189 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 265,549 | 265,549 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 27,850 | 27,850 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,367,715) | 2,367,715 | |||||||
Total Investments - 89.5% | ||||||||
(Cost $2,638,073) | $ | 2,640,780 | ||||||
Other Assets & Liabilities, net - 10.5% | 308,949 | |||||||
Total Net Assets - 100.0% | $ | 2,949,729 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 11 | Dec 2017 | $ | 1,974,500 | $ | (1,490 | ) |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Received | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | |||||||||||
OTC Equity Index Swap Agreements Sold Short†† | ||||||||||||||||||
Barclays Bank plc | S&P MidCap 400 Index | 1.40 | % | At Maturity | 10/31/17 | 26 | $ | 46,089 | $ | (63 | ) | |||||||
BNP Paribas | S&P MidCap 400 Index | 1.09 | % | At Maturity | 10/30/17 | 242 | 434,125 | (914 | ) | |||||||||
Goldman Sachs International | S&P MidCap 400 Index | 1.25 | % | At Maturity | 10/27/17 | 280 | 503,656 | (6,465 | ) | |||||||||
$ | 983,870 | $ | (7,442 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE MID-CAP STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Mutual Funds | $ | 273,065 | $ | — | $ | — | $ | — | $ | — | $ | 273,065 | ||||||||||||
Repurchase Agreements | — | — | 2,367,715 | — | — | 2,367,715 | ||||||||||||||||||
Total Assets | $ | 273,065 | $ | — | $ | 2,367,715 | $ | — | $ | — | $ | 2,640,780 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 1,490 | $ | — | $ | — | $ | — | $ | 1,490 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 7,442 | — | 7,442 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 1,490 | $ | — | $ | 7,442 | $ | — | $ | 8,932 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 136,272 | $ | — | $ | — | $ | — | $ | 326 | $ | 136,598 | 5,440 | $ | 1,221 | |||||||||||||||||
Guggenheim Strategy Fund II | 136,140 | — | — | — | 327 | 136,467 | 5,446 | 1,534 | ||||||||||||||||||||||||
$ | 272,412 | $ | — | $ | — | $ | — | $ | 653 | $ | 273,065 | $ | 2,755 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
INVERSE MID-CAP STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in affiliated issuers, at value (cost $270,358) | $ | 273,065 | ||
Repurchase agreements, at value (cost $2,367,715) | 2,367,715 | |||
Segregated cash with broker | 316,000 | |||
Receivables: | ||||
Fund shares sold | 5,085 | |||
Dividends | 463 | |||
Interest | 131 | |||
Total assets | 2,962,459 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 7,442 | |||
Payable for: | ||||
Fund shares redeemed | 2,895 | |||
Variation margin | 1,100 | |||
Management fees | 592 | |||
Distribution and service fees | 170 | |||
Transfer agent and administrative fees | 164 | |||
Portfolio accounting fees | 66 | |||
Miscellaneous | 301 | |||
Total liabilities | 12,730 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 2,949,729 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,502,053 | ||
Accumulated net investment loss | (5,166 | ) | ||
Accumulated net realized loss on investments | (12,540,933 | ) | ||
Net unrealized depreciation on investments | (6,225 | ) | ||
Net assets | $ | 2,949,729 | ||
A-Class: | ||||
Net assets | $ | 74,541 | ||
Capital shares outstanding | 3,153 | |||
Net asset value per share | $ | 23.64 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 24.82 | ||
C-Class: | ||||
Net assets | $ | 2,000 | ||
Capital shares outstanding | 94 | |||
Net asset value per share | $ | 21.21 | ||
H-Class: | ||||
Net assets | $ | 2,873,188 | ||
Capital shares outstanding | 121,611 | |||
Net asset value per share | $ | 23.63 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 2,755 | ||
Interest | 742 | |||
Total investment income | 3,497 | |||
Expenses: | ||||
Management fees | 3,120 | |||
Distribution and service fees: | ||||
A-Class | 137 | |||
C-Class | 137 | |||
H-Class | 695 | |||
Transfer agent and administrative fees | 867 | |||
Registration fees | 409 | |||
Portfolio accounting fees | 347 | |||
Custodian fees | 47 | |||
Trustees’ fees* | 41 | |||
Miscellaneous | 183 | |||
Total expenses | 5,983 | |||
Net investment loss | (2,486 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Swap agreements | (38,800 | ) | ||
Futures contracts | (180 | ) | ||
Net realized loss | (38,980 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | 653 | |||
Swap agreements | (2,426 | ) | ||
Futures contracts | (1,490 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,263 | ) | ||
Net realized and unrealized loss | (42,243 | ) | ||
Net decrease in net assets resulting from operations | $ | (44,729 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (2,486 | ) | $ | (21,588 | ) | ||
Net realized loss on investments | (38,980 | ) | (507,421 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (3,263 | ) | 57,862 | |||||
Net decrease in net assets resulting from operations | (44,729 | ) | (471,147 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,031,843 | 1,671,153 | ||||||
C-Class | 12,884 | 106,446 | ||||||
H-Class | 3,282,425 | 22,574,011 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,173,257 | ) | (1,524,458 | ) | ||||
C-Class | (46,109 | ) | (288,863 | ) | ||||
H-Class | (982,129 | ) | (24,262,478 | ) | ||||
Net increase (decrease) from capital share transactions | 2,125,657 | (1,724,189 | ) | |||||
Net increase (decrease) in net assets | 2,080,928 | (2,195,336 | ) | |||||
Net assets: | ||||||||
Beginning of period | 868,801 | 3,064,137 | ||||||
End of period | $ | 2,949,729 | $ | 868,801 | ||||
Accumulated net investment loss at end of period | $ | (5,166 | ) | $ | (2,680 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 41,582 | 64,427 | ||||||
C-Class | 566 | 4,126 | ||||||
H-Class | 137,179 | 826,452 | ||||||
Shares redeemed | ||||||||
A-Class | (47,516 | ) | (58,952 | ) | ||||
C-Class | (2,096 | ) | (12,294 | ) | ||||
H-Class | (39,898 | ) | (889,460 | ) | ||||
Net increase (decrease) in shares | 89,817 | (65,701 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.92 | $ | 30.70 | $ | 30.76 | $ | 35.55 | $ | 44.64 | $ | 54.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | (.28 | ) | (.38 | ) | (.48 | ) | (.64 | ) | (.84 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.19 | ) | (5.50 | ) | .32 | (4.31 | ) | (8.45 | ) | (9.16 | ) | |||||||||||||
Total from investment operations | (1.28 | ) | (5.78 | ) | (.06 | ) | (4.79 | ) | (9.09 | ) | (10.00 | ) | ||||||||||||
Net asset value, end of period | $ | 23.64 | $ | 24.92 | $ | 30.70 | $ | 30.76 | $ | 35.55 | $ | 44.64 | ||||||||||||
Total Returnc | (5.10 | %) | (18.89 | %) | (0.16 | %) | (13.47 | %) | (20.36 | %) | (18.29 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 75 | $ | 226 | $ | 111 | $ | 47 | $ | 93 | $ | 26 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.71 | %) | (1.02 | %) | (1.18 | %) | (1.40 | %) | (1.65 | %) | (1.52 | %) | ||||||||||||
Total expensesd | 1.70 | % | 1.68 | % | 1.65 | % | 1.66 | % | 1.67 | % | 1.64 | % | ||||||||||||
Portfolio turnover rate | — | 120 | % | 199 | % | 38 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.46 | $ | 27.89 | $ | 28.16 | $ | 32.78 | $ | 41.49 | $ | 51.18 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.48 | ) | (.59 | ) | (.67 | ) | (.90 | ) | (1.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.09 | ) | (4.95 | ) | .32 | (3.95 | ) | (7.81 | ) | (8.55 | ) | |||||||||||||
Total from investment operations | (1.25 | ) | (5.43 | ) | (.27 | ) | (4.62 | ) | (8.71 | ) | (9.69 | ) | ||||||||||||
Net asset value, end of period | $ | 21.21 | $ | 22.46 | $ | 27.89 | $ | 28.16 | $ | 32.78 | $ | 41.49 | ||||||||||||
Total Returnc | (5.52 | %) | (19.51 | %) | (0.96 | %) | (14.09 | %) | (20.99 | %) | (18.93 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2 | $ | 36 | $ | 273 | $ | 89 | $ | 131 | $ | 216 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.45 | %) | (1.85 | %) | (2.00 | %) | (2.13 | %) | (2.40 | %) | (2.29 | %) | ||||||||||||
Total expensesd | 2.45 | % | 2.42 | % | 2.41 | % | 2.41 | % | 2.42 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate | — | 120 | % | 199 | % | 38 | % | — | — |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.90 | $ | 30.69 | $ | 30.70 | $ | 35.49 | $ | 44.59 | $ | 54.57 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.31 | ) | (.42 | ) | (.47 | ) | (.66 | ) | (.81 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.19 | ) | (5.48 | ) | .41 | (4.32 | ) | (8.44 | ) | (9.17 | ) | |||||||||||||
Total from investment operations | (1.27 | ) | (5.79 | ) | (.01 | ) | (4.79 | ) | (9.10 | ) | (9.98 | ) | ||||||||||||
Net asset value, end of period | $ | 23.63 | $ | 24.90 | $ | 30.69 | $ | 30.70 | $ | 35.49 | $ | 44.59 | ||||||||||||
Total Returnc | (5.10 | %) | (18.87 | %) | (0.07 | %) | (13.47 | %) | (20.39 | %) | (18.31 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,873 | $ | 606 | $ | 2,680 | $ | 3,015 | $ | 3,825 | $ | 1,409 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.68 | %) | (1.10 | %) | (1.32 | %) | (1.38 | %) | (1.65 | %) | (1.53 | %) | ||||||||||||
Total expensesd | 1.70 | % | 1.67 | % | 1.65 | % | 1.65 | % | 1.67 | % | 1.65 | % | ||||||||||||
Portfolio turnover rate | — | 120 | % | 199 | % | 38 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp28137_82.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | March 31, 2004 |
C-Class | January 23, 2001 |
H-Class | November 1, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 18.0% |
Guggenheim Strategy Fund I | 15.1% |
Kite Pharma, Inc. | 0.1% |
Bluebird Bio, Inc. | 0.1% |
Exact Sciences Corp. | 0.1% |
Knight-Swift Transportation Holdings, Inc. | 0.1% |
MKS Instruments, Inc. | 0.1% |
Catalent, Inc. | 0.1% |
Aspen Technology, Inc. | 0.1% |
MGIC Investment Corp. | 0.1% |
Top Ten Total | 33.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 11.56% | 29.57% | 18.05% | 7.28% |
A-Class Shares with sales charge‡ | 6.26% | 23.42% | 16.91% | 6.76% |
C-Class Shares | 11.13% | 28.59% | 17.17% | 6.46% |
C-Class Shares with CDSC§ | 10.13% | 27.59% | 17.17% | 6.46% |
H-Class Shares | 11.53% | 29.40% | 18.04% | 7.26% |
Russell 2000 Index | 8.27% | 20.74% | 17.08% | 9.90% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 24.3% | ||||||||
Financial - 6.2% | ||||||||
MGIC Investment Corp.* | 458 | $ | 5,738 | |||||
Starwood Waypoint Homes REIT | 156 | 5,673 | ||||||
Gramercy Property Trust REIT | 187 | 5,656 | ||||||
Umpqua Holdings Corp. | 274 | 5,345 | ||||||
Wintrust Financial Corp. | 68 | 5,324 | ||||||
Texas Capital Bancshares, Inc.* | 61 | 5,233 | ||||||
IBERIABANK Corp. | 63 | 5,174 | ||||||
Hancock Holding Co. | 104 | 5,038 | ||||||
Radian Group, Inc. | 269 | 5,027 | ||||||
CNO Financial Group, Inc. | 211 | 4,924 | ||||||
Home BancShares, Inc. | 194 | 4,899 | ||||||
Healthcare Realty Trust, Inc. REIT | 150 | 4,850 | ||||||
Cousins Properties, Inc. REIT | 518 | 4,837 | ||||||
Primerica, Inc. | 57 | 4,647 | ||||||
RLJ Lodging Trust REIT | 210 | 4,609 | ||||||
United Bankshares, Inc. | 124 | 4,607 | ||||||
MB Financial, Inc. | 101 | 4,547 | ||||||
Chemical Financial Corp. | 87 | 4,547 | ||||||
Sunstone Hotel Investors, Inc. REIT | 273 | 4,386 | ||||||
Stifel Financial Corp. | 82 | 4,384 | ||||||
Investors Bancorp, Inc. | 321 | 4,377 | ||||||
First Industrial Realty Trust, Inc. REIT | 144 | 4,332 | ||||||
Sabra Health Care REIT, Inc. REIT | 196 | 4,299 | ||||||
UMB Financial Corp. | 56 | 4,171 | ||||||
LaSalle Hotel Properties REIT | 142 | 4,120 | ||||||
GEO Group, Inc. REIT | 152 | 4,088 | ||||||
Sterling Bancorp | 163 | 4,017 | ||||||
Essent Group Ltd.* | 99 | 4,010 | ||||||
Fulton Financial Corp. | 211 | 3,956 | ||||||
Valley National Bancorp | 320 | 3,856 | ||||||
Evercore, Inc. — Class A | 48 | 3,852 | ||||||
Selective Insurance Group, Inc. | 71 | 3,823 | ||||||
Physicians Realty Trust REIT | 214 | 3,794 | ||||||
National Health Investors, Inc. REIT | 49 | 3,787 | ||||||
Cathay General Bancorp | 93 | 3,739 | ||||||
Washington Federal, Inc. | 111 | 3,734 | ||||||
EastGroup Properties, Inc. REIT | 42 | 3,701 | ||||||
Glacier Bancorp, Inc. | 95 | 3,587 | ||||||
First Financial Bankshares, Inc. | 78 | 3,526 | ||||||
Ellie Mae, Inc.* | 42 | 3,449 | ||||||
BancorpSouth, Inc. | 107 | 3,429 | ||||||
Ryman Hospitality Properties, Inc. REIT | 54 | 3,374 | ||||||
First Citizens BancShares, Inc. — Class A | 9 | 3,365 | ||||||
PS Business Parks, Inc. REIT | 25 | 3,338 | ||||||
Community Bank System, Inc. | 60 | 3,315 | ||||||
Education Realty Trust, Inc. REIT | 92 | 3,306 | ||||||
South State Corp. | 35 | 3,152 | ||||||
CVB Financial Corp. | 129 | 3,118 | ||||||
Enstar Group Ltd.* | 14 | 3,113 | ||||||
Washington Real Estate Investment Trust REIT | 95 | 3,112 | ||||||
American Equity Investment Life Holding Co. | 107 | 3,112 | ||||||
Old National Bancorp | 166 | 3,038 | ||||||
QTS Realty Trust, Inc. — Class A REIT | 58 | 3,037 | ||||||
Pebblebrook Hotel Trust REIT1 | 84 | 3,036 | ||||||
Columbia Banking System, Inc. | 72 | 3,032 | ||||||
STAG Industrial, Inc. REIT | 110 | 3,022 | ||||||
Great Western Bancorp, Inc. | 73 | 3,013 | ||||||
Acadia Realty Trust REIT | 105 | 3,005 | ||||||
WageWorks, Inc.* | 49 | 2,974 | ||||||
First Midwest Bancorp, Inc. | 126 | 2,951 | ||||||
Blackhawk Network Holdings, Inc.* | 67 | 2,935 | ||||||
Urban Edge Properties REIT | 121 | 2,919 | ||||||
Hope Bancorp, Inc. | 161 | 2,851 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 134 | 2,821 | ||||||
Lexington Realty Trust REIT | 269 | 2,749 | ||||||
Trustmark Corp. | 83 | 2,749 | ||||||
DiamondRock Hospitality Co. REIT | 248 | 2,716 | ||||||
RLI Corp. | 47 | 2,696 | ||||||
Alexander & Baldwin, Inc. | 58 | 2,688 | ||||||
International Bancshares Corp. | 67 | 2,687 | ||||||
Mack-Cali Realty Corp. REIT | 112 | 2,656 | ||||||
Eagle Bancorp, Inc.* | 39 | 2,615 | ||||||
Kemper Corp. | 49 | 2,597 | ||||||
Banner Corp. | 42 | 2,574 | ||||||
Potlatch Corp. REIT | 50 | 2,550 | ||||||
Retail Opportunity Investments Corp. REIT | 133 | 2,528 | ||||||
United Community Banks, Inc. | 88 | 2,512 | ||||||
Financial Engines, Inc. | 72 | 2,502 | ||||||
Astoria Financial Corp. | 115 | 2,472 | ||||||
Independent Bank Corp. | 33 | 2,463 | ||||||
Rexford Industrial Realty, Inc. REIT | 86 | 2,461 | ||||||
Bank of NT Butterfield & Son Ltd. | 67 | 2,455 | ||||||
Hilltop Holdings, Inc. | 93 | 2,418 | ||||||
LendingClub Corp.* | 394 | 2,399 | ||||||
Genworth Financial, Inc. — Class A* | 623 | 2,399 | ||||||
Invesco Mortgage Capital, Inc. REIT | 139 | 2,381 | ||||||
LegacyTexas Financial Group, Inc. | 59 | 2,355 | ||||||
Capitol Federal Financial, Inc. | 159 | 2,336 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 129 | 2,336 | ||||||
TowneBank | 69 | 2,312 | ||||||
Renasant Corp. | 53 | 2,274 | ||||||
LTC Properties, Inc. REIT | 48 | 2,255 | ||||||
ServisFirst Bancshares, Inc. | 58 | 2,253 | ||||||
Argo Group International Holdings Ltd. | 36 | 2,214 | ||||||
Simmons First National Corp. — Class A | 38 | 2,200 | ||||||
First Merchants Corp. | 51 | 2,189 | ||||||
Government Properties Income Trust REIT | 116 | 2,177 | ||||||
Terreno Realty Corp. REIT | 60 | 2,171 | ||||||
Ameris Bancorp | 45 | 2,160 | ||||||
BofI Holding, Inc.*,1 | 75 | 2,135 | ||||||
WesBanco, Inc. | 52 | 2,133 | ||||||
Kite Realty Group Trust REIT | 103 | 2,086 | ||||||
FCB Financial Holdings, Inc. — Class A* | 43 | 2,077 | ||||||
Northwest Bancshares, Inc. | 118 | 2,038 | ||||||
Provident Financial Services, Inc. | 76 | 2,027 | ||||||
Summit Hotel Properties, Inc. REIT | 126 | 2,015 | ||||||
Waddell & Reed Financial, Inc. — Class A | 100 | 2,007 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Horace Mann Educators Corp. | 51 | $ | 2,007 | |||||
American Assets Trust, Inc. REIT | 50 | 1,989 | ||||||
First Financial Bancorp | 76 | 1,987 | ||||||
Chesapeake Lodging Trust REIT | 73 | 1,969 | ||||||
NBT Bancorp, Inc. | 53 | 1,946 | ||||||
Washington Prime Group, Inc. REIT | 232 | 1,933 | ||||||
Kennedy-Wilson Holdings, Inc. | 103 | 1,911 | ||||||
Union Bankshares Corp. | 54 | 1,906 | ||||||
Berkshire Hills Bancorp, Inc. | 49 | 1,899 | ||||||
Four Corners Property Trust, Inc. REIT | 75 | 1,869 | ||||||
WSFS Financial Corp. | 38 | 1,853 | ||||||
Westamerica Bancorporation | 31 | 1,846 | ||||||
Select Income REIT REIT | 78 | 1,827 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 56 | 1,826 | ||||||
Employers Holdings, Inc. | 40 | 1,818 | ||||||
Quality Care Properties, Inc. REIT* | 117 | 1,814 | ||||||
Pacific Premier Bancorp, Inc.* | 48 | 1,812 | ||||||
CenterState Bank Corp. | 67 | 1,796 | ||||||
Global Net Lease, Inc. REIT | 82 | 1,795 | ||||||
HFF, Inc. — Class A | 45 | 1,780 | ||||||
Walker & Dunlop, Inc.* | 34 | 1,779 | ||||||
CBL & Associates Properties, Inc. REIT1 | 208 | 1,745 | ||||||
Park National Corp. | 16 | 1,728 | ||||||
Boston Private Financial Holdings, Inc. | 103 | 1,705 | ||||||
CareTrust REIT, Inc. REIT | 89 | 1,695 | ||||||
First Commonwealth Financial Corp. | 119 | 1,681 | ||||||
Agree Realty Corp. REIT | 34 | 1,669 | ||||||
S&T Bancorp, Inc. | 42 | 1,662 | ||||||
Moelis & Co. — Class A | 38 | 1,636 | ||||||
PRA Group, Inc.* | 57 | 1,633 | ||||||
Kearny Financial Corp. | 106 | 1,627 | ||||||
CYS Investments, Inc. REIT | 188 | 1,624 | ||||||
Tompkins Financial Corp. | 18 | 1,551 | ||||||
Redwood Trust, Inc. REIT | 95 | 1,548 | ||||||
Heartland Financial USA, Inc. | 31 | 1,531 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 62 | 1,511 | ||||||
Third Point Reinsurance Ltd.* | 95 | 1,482 | ||||||
Capital Bank Financial Corp. — Class A | 36 | 1,478 | ||||||
First Busey Corp. | 47 | 1,474 | ||||||
Lakeland Financial Corp. | 30 | 1,462 | ||||||
Navigators Group, Inc. | 25 | 1,459 | ||||||
WisdomTree Investments, Inc.1 | 143 | 1,456 | ||||||
Brookline Bancorp, Inc. | 93 | 1,442 | ||||||
Seritage Growth Properties REIT1 | 31 | 1,428 | ||||||
Beneficial Bancorp, Inc. | 86 | 1,428 | ||||||
PennyMac Mortgage Investment Trust REIT | 82 | 1,426 | ||||||
AmTrust Financial Services, Inc. | 105 | 1,413 | ||||||
RE/MAX Holdings, Inc. — Class A | 22 | 1,398 | ||||||
Monmouth Real Estate Investment Corp. REIT | 86 | 1,392 | ||||||
Franklin Street Properties Corp. REIT | 130 | 1,381 | ||||||
Safety Insurance Group, Inc. | 18 | 1,373 | ||||||
OM Asset Management plc | 92 | 1,373 | ||||||
City Holding Co. | 19 | 1,366 | ||||||
MBIA, Inc.* | 156 | 1,357 | ||||||
ARMOUR Residential REIT, Inc. REIT | 50 | 1,345 | ||||||
AMERISAFE, Inc. | 23 | 1,339 | ||||||
FNFV Group* | 78 | 1,338 | ||||||
National Storage Affiliates Trust REIT | 55 | 1,333 | ||||||
Encore Capital Group, Inc.* | 30 | 1,329 | ||||||
Independent Bank Group, Inc. | 22 | 1,327 | ||||||
State Bank Financial Corp. | 46 | 1,318 | ||||||
Aircastle Ltd. | 59 | 1,315 | ||||||
Southside Bancshares, Inc. | 35 | 1,273 | ||||||
Alexander’s, Inc. REIT | 3 | 1,272 | ||||||
Ramco-Gershenson Properties Trust REIT | 97 | 1,262 | ||||||
Sandy Spring Bancorp, Inc. | 30 | 1,243 | ||||||
United Fire Group, Inc. | 27 | 1,237 | ||||||
Infinity Property & Casualty Corp. | 13 | 1,225 | ||||||
First Interstate BancSystem, Inc. — Class A | 32 | 1,224 | ||||||
Nelnet, Inc. — Class A | 24 | 1,212 | ||||||
Universal Health Realty Income Trust REIT | 16 | 1,208 | ||||||
Hanmi Financial Corp. | 39 | 1,207 | ||||||
First BanCorp* | 235 | 1,203 | ||||||
Ladder Capital Corp. — Class A REIT | 87 | 1,199 | ||||||
Parkway, Inc. REIT | 52 | 1,198 | ||||||
BancFirst Corp. | 21 | 1,192 | ||||||
Central Pacific Financial Corp. | 37 | 1,191 | ||||||
Enterprise Financial Services Corp. | 28 | 1,186 | ||||||
InfraREIT, Inc. REIT | 53 | 1,186 | ||||||
Seacoast Banking Corporation of Florida* | 49 | 1,171 | ||||||
Tier REIT, Inc. REIT | 60 | 1,158 | ||||||
National General Holdings Corp. | 60 | 1,147 | ||||||
Lakeland Bancorp, Inc. | 56 | 1,142 | ||||||
Customers Bancorp, Inc.* | 35 | 1,142 | ||||||
Capstead Mortgage Corp. REIT | 118 | 1,139 | ||||||
United Financial Bancorp, Inc. | 62 | 1,134 | ||||||
Banc of California, Inc.1 | 54 | 1,121 | ||||||
James River Group Holdings Ltd. | 27 | 1,120 | ||||||
St. Joe Co.* | 59 | 1,112 | ||||||
National Bank Holdings Corp. — Class A | 31 | 1,106 | ||||||
MTGE Investment Corp. REIT | 57 | 1,106 | ||||||
Meridian Bancorp, Inc. | 59 | 1,100 | ||||||
Houlihan Lokey, Inc. | 28 | 1,096 | ||||||
MainSource Financial Group, Inc. | 30 | 1,076 | ||||||
OceanFirst Financial Corp. | 39 | 1,072 | ||||||
Piper Jaffray Cos. | 18 | 1,068 | ||||||
First Bancorp1 | 31 | 1,067 | ||||||
Cohen & Steers, Inc. | 27 | 1,066 | ||||||
Heritage Financial Corp. | 36 | 1,062 | ||||||
TriCo Bancshares | 26 | 1,060 | ||||||
Univest Corporation of Pennsylvania | 33 | 1,056 | ||||||
National Western Life Group, Inc. — Class A | 3 | 1,047 | ||||||
Flushing Financial Corp. | 35 | 1,040 | ||||||
Washington Trust Bancorp, Inc. | 18 | 1,031 | ||||||
Stock Yards Bancorp, Inc. | 27 | 1,026 | ||||||
1st Source Corp. | 20 | 1,016 | ||||||
iStar, Inc. REIT* | 86 | 1,015 | ||||||
TrustCo Bank Corp. NY | 114 | 1,015 |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Chatham Lodging Trust REIT | 47 | $ | 1,002 | |||||
German American Bancorp, Inc. | 26 | 989 | ||||||
Ambac Financial Group, Inc.* | 57 | 984 | ||||||
Stewart Information Services Corp. | 26 | 982 | ||||||
Getty Realty Corp. REIT | 34 | 973 | ||||||
FBL Financial Group, Inc. — Class A | 13 | 969 | ||||||
Preferred Bank/Los Angeles CA | 16 | 966 | ||||||
Flagstar Bancorp, Inc.* | 27 | 958 | ||||||
Easterly Government Properties, Inc. REIT | 46 | 951 | ||||||
New Senior Investment Group, Inc. REIT | 102 | 933 | ||||||
Community Trust Bancorp, Inc. | 20 | 930 | ||||||
Investment Technology Group, Inc. | 42 | 930 | ||||||
Virtus Investment Partners, Inc. | 8 | 928 | ||||||
CoBiz Financial, Inc. | 47 | 923 | ||||||
Universal Insurance Holdings, Inc. | 40 | 920 | ||||||
Bryn Mawr Bank Corp. | 21 | 920 | ||||||
Northfield Bancorp, Inc. | 53 | 920 | ||||||
Investors Real Estate Trust REIT | 150 | 917 | ||||||
ConnectOne Bancorp, Inc. | 37 | 910 | ||||||
PHH Corp.* | 65 | 905 | ||||||
Hersha Hospitality Trust REIT | 48 | 896 | ||||||
First of Long Island Corp. | 29 | 883 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 84 | 881 | ||||||
NMI Holdings, Inc. — Class A* | 71 | 880 | ||||||
Independence Realty Trust, Inc. REIT | 86 | 875 | ||||||
Camden National Corp. | 20 | 873 | ||||||
Saul Centers, Inc. REIT | 14 | 867 | ||||||
Meta Financial Group, Inc. | 11 | 862 | ||||||
NorthStar Realty Europe Corp. REIT | 67 | 858 | ||||||
Diamond Hill Investment Group, Inc. | 4 | 849 | ||||||
New York Mortgage Trust, Inc. REIT | 138 | 849 | ||||||
PJT Partners, Inc. — Class A | 22 | 843 | ||||||
Dime Community Bancshares, Inc. | 39 | 839 | ||||||
Cass Information Systems, Inc. | 13 | 825 | ||||||
Forestar Group, Inc.* | 52 | 825 | ||||||
Oritani Financial Corp. | 49 | 823 | ||||||
CU Bancorp* | 21 | 814 | ||||||
HomeStreet, Inc.* | 30 | 810 | ||||||
Guaranty Bancorp | 29 | 806 | ||||||
First Potomac Realty Trust REIT | 72 | 802 | ||||||
Greenlight Capital Re Ltd. — Class A* | 37 | 801 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 11 | 800 | ||||||
Park Sterling Corp. | 64 | 795 | ||||||
Horizon Bancorp | 27 | 788 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 36 | 781 | ||||||
Bridge Bancorp, Inc. | 23 | 781 | ||||||
Kinsale Capital Group, Inc. | 18 | 777 | ||||||
Armada Hoffler Properties, Inc. REIT | 55 | 760 | ||||||
State National Companies, Inc. | 36 | 756 | ||||||
Trupanion, Inc.* | 28 | 739 | ||||||
International. FCStone, Inc.* | 19 | 728 | ||||||
Pacific Continental Corp. | 27 | 728 | ||||||
Great Southern Bancorp, Inc. | 13 | 723 | ||||||
Peapack Gladstone Financial Corp. | 21 | 709 | ||||||
Maiden Holdings Ltd. | 89 | 708 | ||||||
Peoples Bancorp, Inc. | 21 | 705 | ||||||
Anworth Mortgage Asset Corp. REIT | 117 | 703 | ||||||
Preferred Apartment Communities, Inc. — Class A REIT | 37 | 699 | ||||||
Mercantile Bank Corp. | 20 | 698 | ||||||
Gladstone Commercial Corp. REIT | 31 | 690 | ||||||
Nicolet Bankshares, Inc.* | 12 | 690 | ||||||
Altisource Residential Corp. REIT | 62 | 689 | ||||||
QCR Holdings, Inc. | 15 | 683 | ||||||
Westwood Holdings Group, Inc. | 10 | 673 | ||||||
Nationstar Mortgage Holdings, Inc.* | 36 | 669 | ||||||
World Acceptance Corp.* | 8 | 663 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 34 | 654 | ||||||
Carolina Financial Corp. | 18 | 646 | ||||||
Heritage Commerce Corp. | 45 | 640 | ||||||
Green Bancorp, Inc.* | 27 | 639 | ||||||
Fidelity Southern Corp. | 27 | 638 | ||||||
Ashford Hospitality Trust, Inc. REIT | 95 | 634 | ||||||
First Defiance Financial Corp. | 12 | 630 | ||||||
First Foundation, Inc.* | 35 | 626 | ||||||
First Financial Corp. | 13 | 619 | ||||||
TriState Capital Holdings, Inc.* | 27 | 618 | ||||||
Triumph Bancorp, Inc.* | 19 | 613 | ||||||
First Community Bancshares, Inc. | 21 | 611 | ||||||
Southwest Bancorp, Inc. | 22 | 606 | ||||||
Waterstone Financial, Inc. | 31 | 605 | ||||||
FB Financial Corp.* | 16 | 604 | ||||||
Midland States Bancorp, Inc. | 19 | 602 | ||||||
Opus Bank* | 25 | 600 | ||||||
CatchMark Timber Trust, Inc. — Class A REIT | 47 | 593 | ||||||
Whitestone REIT — Class B REIT | 45 | 587 | ||||||
Live Oak Bancshares, Inc. | 25 | 586 | ||||||
Cedar Realty Trust, Inc. REIT | 103 | 579 | ||||||
United Community Financial Corp. | 60 | 576 | ||||||
Cowen, Inc. — Class A* | 32 | 570 | ||||||
Independent Bank Corp. | 25 | 566 | ||||||
Community Healthcare Trust, Inc. REIT | 21 | 566 | ||||||
Bar Harbor Bankshares | 18 | 564 | ||||||
Greenhill & Company, Inc. | 34 | 564 | ||||||
Blue Hills Bancorp, Inc. | 29 | 557 | ||||||
National Commerce Corp.* | 13 | 556 | ||||||
Republic First Bancorp, Inc.* | 60 | 555 | ||||||
People’s Utah Bancorp | 17 | 552 | ||||||
Enova International, Inc.* | 41 | 551 | ||||||
Marcus & Millichap, Inc.* | 20 | 540 | ||||||
HomeTrust Bancshares, Inc.* | 21 | 539 | ||||||
CorEnergy Infrastructure Trust, Inc. REIT | 15 | 530 | ||||||
UMH Properties, Inc. REIT | 34 | 529 | ||||||
Bank Mutual Corp. | 52 | 528 | ||||||
State Auto Financial Corp. | 20 | 525 | ||||||
Western Asset Mortgage Capital Corp. REIT | 50 | 524 | ||||||
NexPoint Residential Trust, Inc. REIT | 22 | 522 | ||||||
Access National Corp. | 18 | 516 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Allegiance Bancshares, Inc.* | 14 | $ | 515 | |||||
Bancorp, Inc.* | 61 | 504 | ||||||
Virtu Financial, Inc. — Class A1 | 31 | 502 | ||||||
Franklin Financial Network, Inc.* | 14 | 499 | ||||||
City Office REIT, Inc. REIT | 36 | 496 | ||||||
Arrow Financial Corp. | 14 | 495 | ||||||
CNB Financial Corp. | 18 | 492 | ||||||
Financial Institutions, Inc. | 17 | 490 | ||||||
Veritex Holdings, Inc.* | 18 | 485 | ||||||
OFG Bancorp | 53 | 485 | ||||||
Old Second Bancorp, Inc. | 36 | 484 | ||||||
Bank of Marin Bancorp | 7 | 480 | ||||||
MidWestOne Financial Group, Inc. | 14 | 473 | ||||||
Atlantic Capital Bancshares, Inc.* | 26 | 472 | ||||||
Republic Bancorp, Inc. — Class A | 12 | 467 | ||||||
Farmers National Banc Corp. | 31 | 467 | ||||||
West Bancorporation, Inc. | 19 | 464 | ||||||
Equity Bancshares, Inc. — Class A* | 13 | 463 | ||||||
RMR Group, Inc. — Class A | 9 | 462 | ||||||
First Mid-Illinois Bancshares, Inc. | 12 | 461 | ||||||
R1 RCM, Inc.* | 124 | 460 | ||||||
NewStar Financial, Inc. | 39 | 458 | ||||||
Hamilton Lane, Inc. — Class A | 17 | 456 | ||||||
First Connecticut Bancorp, Inc. | 17 | 455 | ||||||
eHealth, Inc.* | 19 | 454 | ||||||
Ocwen Financial Corp.* | 131 | 451 | ||||||
Southern National Bancorp of Virginia, Inc. | 26 | 442 | ||||||
Ares Commercial Real Estate Corp. REIT | 33 | 439 | ||||||
One Liberty Properties, Inc. REIT | 18 | 438 | ||||||
Enterprise Bancorp, Inc. | 12 | 436 | ||||||
Fidelity & Guaranty Life | 14 | 435 | ||||||
Sierra Bancorp | 16 | 434 | ||||||
Peoples Financial Services Corp. | 9 | 430 | ||||||
WashingtonFirst Bankshares, Inc. | 12 | 427 | ||||||
Global Indemnity Ltd* | 10 | 424 | ||||||
MedEquities Realty Trust, Inc. REIT | 36 | 423 | ||||||
Heritage Insurance Holdings, Inc.1 | 32 | 423 | ||||||
Citizens, Inc.*,1 | 57 | 419 | ||||||
Clifton Bancorp, Inc. | 25 | 418 | ||||||
Orchid Island Capital, Inc. REIT | 41 | 418 | ||||||
PCSB Financial Corp.* | 22 | 415 | ||||||
Dynex Capital, Inc. REIT | 57 | 414 | ||||||
American National Bankshares, Inc. | 10 | 412 | ||||||
Resource Capital Corp. REIT | 37 | 399 | ||||||
First Bancorp, Inc. | 13 | 394 | ||||||
HCI Group, Inc. | 10 | 383 | ||||||
Hingham Institution for Savings | 2 | 381 | ||||||
Farmers Capital Bank Corp. | 9 | 378 | ||||||
Western New England Bancorp, Inc. | 34 | 371 | ||||||
Farmers & Merchants Bancorp Incorporated/Archbold OH | 10 | 365 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 126 | 363 | ||||||
Altisource Portfolio Solutions S.A.*,1 | 14 | 362 | ||||||
FRP Holdings, Inc.* | 8 | 362 | ||||||
Farmland Partners, Inc. REIT | 40 | 362 | ||||||
National Bankshares, Inc. | 8 | 360 | ||||||
Investors Title Co. | 2 | 358 | ||||||
Arlington Asset Investment Corp. — Class A | 28 | 356 | ||||||
Citizens & Northern Corp. | 14 | 344 | ||||||
United Insurance Holdings Corp. | 21 | 342 | ||||||
PennyMac Financial Services, Inc. — Class A* | 19 | 338 | ||||||
Capital City Bank Group, Inc. | 14 | 336 | ||||||
Safeguard Scientifics, Inc.* | 25 | 334 | ||||||
Summit Financial Group, Inc. | 13 | 334 | ||||||
First Bancshares, Inc. | 11 | 332 | ||||||
Sutherland Asset Management Corp. REIT | 21 | 330 | ||||||
Ames National Corp. | 11 | 328 | ||||||
Macatawa Bank Corp. | 32 | 328 | ||||||
Redfin Corp.* | 13 | 326 | ||||||
Sun Bancorp, Inc. | 13 | 323 | ||||||
Century Bancorp, Inc. — Class A | 4 | 320 | ||||||
Marlin Business Services Corp. | 11 | 316 | ||||||
Regional Management Corp.* | 13 | 315 | ||||||
Northrim BanCorp, Inc. | 9 | 315 | ||||||
Ashford Hospitality Prime, Inc. REIT | 33 | 314 | ||||||
Bluerock Residential Growth REIT, Inc. REIT | 28 | 310 | ||||||
EMC Insurance Group, Inc. | 11 | 310 | ||||||
MutualFirst Financial, Inc. | 8 | 308 | ||||||
Codorus Valley Bancorp, Inc. | 10 | 307 | ||||||
HarborOne Bancorp, Inc.* | 16 | 301 | ||||||
Consolidated-Tomoka Land Co. | 5 | 300 | ||||||
BSB Bancorp, Inc.* | 10 | 300 | ||||||
Home Bancorp, Inc. | 7 | 293 | ||||||
Southern Missouri Bancorp, Inc. | 8 | 292 | ||||||
Southern First Bancshares, Inc.* | 8 | 291 | ||||||
Central Valley Community Bancorp | 13 | 290 | ||||||
GAIN Capital Holdings, Inc. | 45 | 288 | ||||||
BankFinancial Corp. | 18 | 286 | ||||||
Territorial Bancorp, Inc. | 9 | 284 | ||||||
Paragon Commercial Corp.* | 5 | 282 | ||||||
On Deck Capital, Inc.* | 60 | 280 | ||||||
Old Line Bancshares, Inc. | 10 | 280 | ||||||
Penns Woods Bancorp, Inc. | 6 | 279 | ||||||
Charter Financial Corp. | 15 | 278 | ||||||
TPG RE Finance Trust, Inc. REIT | 14 | 277 | ||||||
KKR Real Estate Finance Trust, Inc.1 | 13 | 274 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 15 | 272 | ||||||
Civista Bancshares, Inc. | 12 | 268 | ||||||
Great Ajax Corp. REIT | 19 | 268 | ||||||
Shore Bancshares, Inc. | 16 | 266 | ||||||
Premier Financial Bancorp, Inc. | 12 | 261 | ||||||
Evans Bancorp, Inc. | 6 | 259 | ||||||
Bankwell Financial Group, Inc. | 7 | 259 | ||||||
First Internet Bancorp | 8 | 258 | ||||||
Bear State Financial, Inc. | 25 | 257 | ||||||
Cadence BanCorp* | 11 | 252 | ||||||
Timberland Bancorp, Inc. | 8 | 251 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Community Bankers Trust Corp.* | 27 | $ | 248 | |||||
Baldwin & Lyons, Inc. — Class B | 11 | 248 | ||||||
Jernigan Capital, Inc. REIT | 12 | 247 | ||||||
Atlas Financial Holdings, Inc.* | 13 | 246 | ||||||
Safety Income and Growth, Inc. REIT | 13 | 242 | ||||||
Union Bankshares, Inc. | 5 | 242 | ||||||
Investar Holding Corp. | 10 | 241 | ||||||
MBT Financial Corp. | 22 | 241 | ||||||
FNB Bancorp | 7 | 237 | ||||||
Northeast Bancorp | 9 | 235 | ||||||
Federated National Holding Co. | 15 | 234 | ||||||
NI Holdings, Inc.* | 13 | 233 | ||||||
LCNB Corp. | 11 | 230 | ||||||
Bank of Commerce Holdings | 20 | 230 | ||||||
Howard Bancorp, Inc.* | 11 | 230 | ||||||
Norwood Financial Corp. | 8 | 229 | ||||||
Pzena Investment Management, Inc. — Class A | 21 | 229 | ||||||
First Business Financial Services, Inc. | 10 | 228 | ||||||
Independence Holding Co. | 9 | 227 | ||||||
WMIH Corp.* | 239 | 227 | ||||||
Granite Point Mortgage Trust, Inc. REIT | 12 | 225 | ||||||
Orrstown Financial Services, Inc. | 9 | 224 | ||||||
First Northwest Bancorp* | 13 | 222 | ||||||
C&F Financial Corp. | 4 | 220 | ||||||
Owens Realty Mortgage, Inc. REIT | 12 | 219 | ||||||
SmartFinancial, Inc.* | 9 | 217 | ||||||
Capstar Financial Holdings, Inc.* | 11 | 215 | ||||||
Associated Capital Group, Inc. — Class A | 6 | 214 | ||||||
Malvern Bancorp, Inc.* | 8 | 214 | ||||||
Peoples Bancorp of North Carolina, Inc. | 6 | 214 | ||||||
Stratus Properties, Inc. | 7 | 212 | ||||||
Riverview Bancorp, Inc. | 25 | 210 | ||||||
SI Financial Group, Inc. | 14 | 209 | ||||||
Sunshine Bancorp, Inc.* | 9 | 209 | ||||||
Commerce Union Bancshares, Inc. | 9 | 209 | ||||||
Oppenheimer Holdings, Inc. — Class A | 12 | 208 | ||||||
Health Insurance Innovations, Inc. — Class A* | 14 | 203 | ||||||
Entegra Financial Corp.* | 8 | 200 | ||||||
Hallmark Financial Services, Inc.* | 17 | 197 | ||||||
Xenith Bankshares, Inc.* | 6 | 195 | ||||||
ACNB Corp. | 7 | 194 | ||||||
Clipper Realty, Inc. REIT | 18 | 193 | ||||||
Chemung Financial Corp. | 4 | 188 | ||||||
Tiptree, Inc. — Class A | 30 | 188 | ||||||
Prudential Bancorp, Inc. | 10 | 185 | ||||||
Middlefield Banc Corp. | 4 | 184 | ||||||
Ohio Valley Banc Corp. | 5 | 182 | ||||||
ASB Bancorp, Inc.* | 4 | 180 | ||||||
County Bancorp, Inc. | 6 | 180 | ||||||
Crawford & Co. — Class B | 15 | 179 | ||||||
Kingstone Companies, Inc. | 11 | 179 | ||||||
GAMCO Investors, Inc. — Class A | 6 | 179 | ||||||
Two River Bancorp | 9 | 178 | ||||||
Unity Bancorp, Inc. | 9 | 178 | ||||||
Donegal Group, Inc. — Class A | 11 | 177 | ||||||
Community Financial Corp. | 5 | 177 | ||||||
Pacific Mercantile Bancorp* | 19 | 174 | ||||||
ESSA Bancorp, Inc. | 11 | 173 | ||||||
Byline Bancorp, Inc.* | 8 | 170 | ||||||
First Financial Northwest, Inc. | 10 | 170 | ||||||
Impac Mortgage Holdings, Inc.* | 13 | 170 | ||||||
BCB Bancorp, Inc. | 12 | 167 | ||||||
Global Medical REIT, Inc. | 18 | 162 | ||||||
Provident Financial Holdings, Inc. | 8 | 157 | ||||||
Parke Bancorp, Inc. | 7 | 155 | ||||||
Trinity Place Holdings, Inc.* | 22 | 154 | ||||||
United Security Bancshares | 16 | 152 | ||||||
Ellington Residential Mortgage REIT REIT | 10 | 145 | ||||||
DNB Financial Corp. | 4 | 141 | ||||||
First Guaranty Bancshares, Inc. | 5 | 135 | ||||||
MidSouth Bancorp, Inc. | 11 | 133 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 9 | 131 | ||||||
Old Point Financial Corp. | 4 | 130 | ||||||
Greene County Bancorp, Inc. | 4 | 120 | ||||||
Provident Bancorp, Inc.* | 5 | 116 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 7 | 115 | ||||||
Maui Land & Pineapple Company, Inc.* | 8 | 112 | ||||||
Elevate Credit, Inc.* | 18 | 110 | ||||||
Guaranty Bancshares, Inc. | 3 | 96 | ||||||
RAIT Financial Trust REIT | 113 | 82 | ||||||
Transcontinental Realty Investors, Inc.* | 3 | 82 | ||||||
Oconee Federal Financial Corp. | 2 | 56 | ||||||
California First National Bancorp | 3 | 54 | ||||||
Medley Management, Inc. — Class A | 7 | 43 | ||||||
Griffin Industrial Realty, Inc. | 1 | 36 | ||||||
Fifth Street Asset Management, Inc. | 9 | 35 | ||||||
Total Financial | 640,027 | |||||||
Consumer, Non-cyclical - 5.3% | ||||||||
Kite Pharma, Inc.* | 60 | 10,788 | ||||||
Bluebird Bio, Inc.* | 55 | 7,553 | ||||||
Exact Sciences Corp.* | 144 | 6,784 | ||||||
Catalent, Inc.*,1 | 155 | 6,187 | ||||||
HealthSouth Corp. | 120 | 5,561 | ||||||
PAREXEL International Corp.* | 62 | 5,460 | ||||||
Grand Canyon Education, Inc.* | 58 | 5,267 | ||||||
Healthcare Services Group, Inc. | 89 | 4,802 | ||||||
Brink’s Co. | 57 | 4,802 | ||||||
Masimo Corp.* | 55 | 4,760 | ||||||
PRA Health Sciences, Inc.* | 60 | 4,569 | ||||||
Nektar Therapeutics* | 184 | 4,415 | ||||||
Clovis Oncology, Inc.* | 53 | 4,367 | ||||||
FibroGen, Inc.* | 81 | 4,357 | ||||||
Deluxe Corp. | 59 | 4,305 | ||||||
LivaNova plc* | 60 | 4,204 | ||||||
Puma Biotechnology, Inc.* | 35 | 4,190 | ||||||
Cantel Medical Corp. | 44 | 4,143 | ||||||
Snyder’s-Lance, Inc. | 107 | 4,082 | ||||||
Sanderson Farms, Inc. | 25 | 4,038 | ||||||
Insulet Corp.* | 72 | 3,966 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Chemed Corp. | 19 | $ | 3,839 | |||||
Integra LifeSciences Holdings Corp.* | 76 | 3,836 | ||||||
Molina Healthcare, Inc.* | 54 | 3,713 | ||||||
Portola Pharmaceuticals, Inc.* | 67 | 3,620 | ||||||
Neogen Corp.* | 46 | 3,563 | ||||||
Avis Budget Group, Inc.* | 93 | 3,540 | ||||||
Darling Ingredients, Inc.* | 202 | 3,539 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 67 | 3,504 | ||||||
Aaron’s, Inc. | 79 | 3,447 | ||||||
NuVasive, Inc.* | 62 | 3,439 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 25 | 3,403 | ||||||
On Assignment, Inc.* | 63 | 3,382 | ||||||
Wright Medical Group N.V.* | 130 | 3,363 | ||||||
ICU Medical, Inc.* | 18 | 3,345 | ||||||
Blueprint Medicines Corp.* | 48 | 3,344 | ||||||
Helen of Troy Ltd.* | 34 | 3,295 | ||||||
Sarepta Therapeutics, Inc.* | 72 | 3,266 | ||||||
Prestige Brands Holdings, Inc.* | 65 | 3,256 | ||||||
Penumbra, Inc.* | 36 | 3,251 | ||||||
Nevro Corp.* | 35 | 3,181 | ||||||
Medicines Co.* | 85 | 3,148 | ||||||
HealthEquity, Inc.* | 62 | 3,136 | ||||||
Amicus Therapeutics, Inc.* | 202 | 3,046 | ||||||
Prothena Corporation plc* | 47 | 3,044 | ||||||
Cimpress N.V.* | 31 | 3,027 | ||||||
Spark Therapeutics, Inc.* | 33 | 2,942 | ||||||
Performance Food Group Co.* | 104 | 2,938 | ||||||
Haemonetics Corp.* | 65 | 2,917 | ||||||
Avexis, Inc.* | 30 | 2,902 | ||||||
Lancaster Colony Corp. | 24 | 2,883 | ||||||
ABM Industries, Inc. | 69 | 2,878 | ||||||
Myriad Genetics, Inc.* | 79 | 2,858 | ||||||
Insmed, Inc.* | 91 | 2,840 | ||||||
Green Dot Corp. — Class A* | 56 | 2,776 | ||||||
Adtalem Global Education, Inc. | 77 | 2,760 | ||||||
Advisory Board Co.* | 50 | 2,681 | ||||||
AMN Healthcare Services, Inc.* | 58 | 2,651 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 167 | 2,634 | ||||||
United Natural Foods, Inc.* | 63 | 2,620 | ||||||
Array BioPharma, Inc.* | 213 | 2,620 | ||||||
Sage Therapeutics, Inc.* | 42 | 2,617 | ||||||
Globus Medical, Inc. — Class A* | 88 | 2,615 | ||||||
Magellan Health, Inc.* | 30 | 2,589 | ||||||
B&G Foods, Inc.1 | 81 | 2,580 | ||||||
Loxo Oncology, Inc.* | 28 | 2,579 | ||||||
Halyard Health, Inc.* | 57 | 2,567 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 48 | 2,556 | ||||||
Select Medical Holdings Corp.* | 133 | 2,554 | ||||||
Horizon Pharma plc* | 201 | 2,549 | ||||||
Merit Medical Systems, Inc.* | 60 | 2,541 | ||||||
Halozyme Therapeutics, Inc.* | 146 | 2,536 | ||||||
J&J Snack Foods Corp. | 19 | 2,495 | ||||||
Korn/Ferry International | 63 | 2,484 | ||||||
Vector Group Ltd. | 121 | 2,471 | ||||||
Matthews International Corp. — Class A | 39 | 2,428 | ||||||
Travelport Worldwide Ltd. | 154 | 2,418 | ||||||
Supernus Pharmaceuticals, Inc.* | 59 | 2,360 | ||||||
Monro, Inc.1 | 40 | 2,242 | ||||||
Teladoc, Inc.*,1 | 67 | 2,221 | ||||||
Sotheby’s* | 48 | 2,213 | ||||||
NxStage Medical, Inc.* | 80 | 2,208 | ||||||
Cambrex Corp.* | 40 | 2,200 | ||||||
Owens & Minor, Inc. | 75 | 2,190 | ||||||
Corcept Therapeutics, Inc.* | 113 | 2,181 | ||||||
NutriSystem, Inc. | 37 | 2,068 | ||||||
HMS Holdings Corp.* | 104 | 2,065 | ||||||
Insperity, Inc. | 23 | 2,024 | ||||||
Inogen, Inc.* | 21 | 1,997 | ||||||
Integer Holdings Corp.* | 39 | 1,995 | ||||||
Amedisys, Inc.* | 35 | 1,959 | ||||||
LendingTree, Inc.*,1 | 8 | 1,956 | ||||||
Aerie Pharmaceuticals, Inc.* | 40 | 1,944 | ||||||
WD-40 Co. | 17 | 1,902 | ||||||
Fresh Del Monte Produce, Inc. | 41 | 1,864 | ||||||
Bob Evans Farms, Inc. | 24 | 1,860 | ||||||
Impax Laboratories, Inc.* | 91 | 1,847 | ||||||
Pacira Pharmaceuticals, Inc.* | 49 | 1,840 | ||||||
Tivity Health, Inc.* | 45 | 1,836 | ||||||
FTI Consulting, Inc.* | 51 | 1,809 | ||||||
CONMED Corp.1 | 34 | 1,784 | ||||||
Universal Corp. | 31 | 1,776 | ||||||
Radius Health, Inc.*,1 | 46 | 1,773 | ||||||
Repligen Corp.* | 46 | 1,763 | ||||||
Immunomedics, Inc.* | 126 | 1,761 | ||||||
Theravance Biopharma, Inc.* | 51 | 1,746 | ||||||
National Beverage Corp. | 14 | 1,737 | ||||||
Boston Beer Company, Inc. — Class A* | 11 | 1,718 | ||||||
TriNet Group, Inc.* | 51 | 1,715 | ||||||
Momenta Pharmaceuticals, Inc.* | 91 | 1,684 | ||||||
Tenet Healthcare Corp.* | 101 | 1,659 | ||||||
Emergent BioSolutions, Inc.* | 41 | 1,658 | ||||||
Central Garden & Pet Co. — Class A* | 44 | 1,636 | ||||||
Cal-Maine Foods, Inc.* | 39 | 1,603 | ||||||
ACCO Brands Corp.* | 134 | 1,595 | ||||||
Dynavax Technologies Corp.* | 74 | 1,591 | ||||||
Paylocity Holding Corp.* | 32 | 1,562 | ||||||
Varex Imaging Corp.* | 46 | 1,557 | ||||||
OraSure Technologies, Inc.* | 69 | 1,553 | ||||||
MiMedx Group, Inc.* | 129 | 1,533 | ||||||
Viad Corp. | 25 | 1,523 | ||||||
Sangamo Therapeutics, Inc.* | 101 | 1,515 | ||||||
Natus Medical, Inc.* | 40 | 1,500 | ||||||
Hertz Global Holdings, Inc.*,1 | 67 | 1,498 | ||||||
Acceleron Pharma, Inc.* | 40 | 1,493 | ||||||
Quidel Corp.* | 34 | 1,491 | ||||||
Weight Watchers International, Inc.* | 34 | 1,481 | ||||||
Herc Holdings, Inc.* | 30 | 1,474 | ||||||
Calavo Growers, Inc. | 20 | 1,464 | ||||||
Novocure Ltd.*,1 | 72 | 1,429 | ||||||
Global Blood Therapeutics, Inc.* | 46 | 1,428 |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
LHC Group, Inc.* | 20 | $ | 1,418 | |||||
Five Prime Therapeutics, Inc.* | 34 | 1,391 | ||||||
Spectrum Pharmaceuticals, Inc.* | 97 | 1,365 | ||||||
Hostess Brands, Inc.* | 99 | 1,352 | ||||||
Atrion Corp. | 2 | 1,344 | ||||||
Ensign Group, Inc. | 59 | 1,333 | ||||||
Innoviva, Inc.* | 94 | 1,327 | ||||||
McGrath RentCorp | 30 | 1,313 | ||||||
Cardtronics plc — Class A* | 57 | 1,312 | ||||||
Dermira, Inc.* | 48 | 1,296 | ||||||
Coca-Cola Bottling Company Consolidated | 6 | 1,295 | ||||||
Acorda Therapeutics, Inc.* | 54 | 1,277 | ||||||
Analogic Corp. | 15 | 1,256 | ||||||
Dean Foods Co. | 113 | 1,229 | ||||||
Arena Pharmaceuticals, Inc.* | 48 | 1,224 | ||||||
Diplomat Pharmacy, Inc.* | 59 | 1,222 | ||||||
SpartanNash Co. | 46 | 1,213 | ||||||
Abaxis, Inc. | 27 | 1,206 | ||||||
EVERTEC, Inc. | 75 | 1,189 | ||||||
Glaukos Corp.* | 36 | 1,188 | ||||||
ICF International, Inc.* | 22 | 1,187 | ||||||
Retrophin, Inc.* | 47 | 1,170 | ||||||
TrueBlue, Inc.* | 52 | 1,167 | ||||||
BioTelemetry, Inc.* | 35 | 1,155 | ||||||
Strayer Education, Inc. | 13 | 1,135 | ||||||
Andersons, Inc. | 33 | 1,130 | ||||||
Alarm.com Holdings, Inc.* | 25 | 1,130 | ||||||
REGENXBIO, Inc.* | 34 | 1,120 | ||||||
Omeros Corp.* | 51 | 1,103 | ||||||
Xencor, Inc.* | 48 | 1,100 | ||||||
Cardiovascular Systems, Inc.* | 39 | 1,098 | ||||||
Zogenix, Inc.* | 31 | 1,087 | ||||||
PharMerica Corp.* | 37 | 1,084 | ||||||
Akebia Therapeutics, Inc.* | 55 | 1,082 | ||||||
Aimmune Therapeutics, Inc.* | 43 | 1,066 | ||||||
K2M Group Holdings, Inc.* | 50 | 1,061 | ||||||
Esperion Therapeutics, Inc.* | 21 | 1,053 | ||||||
Anika Therapeutics, Inc.* | 18 | 1,044 | ||||||
Orthofix International N.V.* | 22 | 1,040 | ||||||
Luminex Corp. | 51 | 1,037 | ||||||
Editas Medicine, Inc.* | 43 | 1,032 | ||||||
Intersect ENT, Inc.* | 33 | 1,028 | ||||||
CBIZ, Inc.* | 63 | 1,024 | ||||||
SUPERVALU, Inc.* | 47 | 1,022 | ||||||
TherapeuticsMD, Inc.*,1 | 192 | 1,016 | ||||||
ZIOPHARM Oncology, Inc.* | 161 | 989 | ||||||
Capella Education Co. | 14 | 982 | ||||||
Navigant Consulting, Inc.* | 58 | 981 | ||||||
PTC Therapeutics, Inc.* | 49 | 980 | ||||||
Epizyme, Inc.* | 51 | 972 | ||||||
MGP Ingredients, Inc. | 16 | 970 | ||||||
Vanda Pharmaceuticals, Inc.* | 54 | 967 | ||||||
Alder Biopharmaceuticals, Inc.* | 77 | 943 | ||||||
MyoKardia, Inc.* | 22 | 943 | ||||||
Kelly Services, Inc. — Class A | 37 | 928 | ||||||
Huron Consulting Group, Inc.* | 27 | 926 | ||||||
US Physical Therapy, Inc. | 15 | 922 | ||||||
Heron Therapeutics, Inc.* | 57 | 921 | ||||||
CryoLife, Inc.* | 40 | 908 | ||||||
Community Health Systems, Inc.* | 118 | 906 | ||||||
RR Donnelley & Sons Co. | 87 | 896 | ||||||
Enanta Pharmaceuticals, Inc.* | 19 | 889 | ||||||
iRhythm Technologies, Inc.* | 17 | 882 | ||||||
Quad/Graphics, Inc. | 39 | 882 | ||||||
National Healthcare Corp. | 14 | 876 | ||||||
Career Education Corp.* | 84 | 873 | ||||||
AtriCure, Inc.* | 39 | 872 | ||||||
SP Plus Corp.* | 22 | 869 | ||||||
Inter Parfums, Inc. | 21 | 866 | ||||||
Almost Family, Inc.* | 16 | 859 | ||||||
Phibro Animal Health Corp. — Class A | 23 | 852 | ||||||
Flexion Therapeutics, Inc.* | 35 | 846 | ||||||
Synergy Pharmaceuticals, Inc.* | 281 | 815 | ||||||
USANA Health Sciences, Inc.* | 14 | 808 | ||||||
Landauer, Inc. | 12 | 808 | ||||||
Tootsie Roll Industries, Inc. | 21 | 798 | ||||||
ImmunoGen, Inc.* | 104 | 796 | ||||||
AMAG Pharmaceuticals, Inc.* | 43 | 793 | ||||||
Amphastar Pharmaceuticals, Inc.* | 44 | 786 | ||||||
Medifast, Inc. | 13 | 772 | ||||||
Genomic Health, Inc.* | 24 | 770 | ||||||
AngioDynamics, Inc.* | 45 | 769 | ||||||
NeoGenomics, Inc.* | 69 | 768 | ||||||
K12, Inc.* | 43 | 767 | ||||||
Ignyta, Inc.* | 62 | 766 | ||||||
La Jolla Pharmaceutical Co.* | 22 | 765 | ||||||
MacroGenics, Inc.* | 41 | 758 | ||||||
Providence Service Corp.* | 14 | 757 | ||||||
Revance Therapeutics, Inc.* | 27 | 744 | ||||||
RPX Corp.* | 56 | 744 | ||||||
Accelerate Diagnostics, Inc.* | 33 | 741 | ||||||
John B Sanfilippo & Son, Inc. | 11 | 740 | ||||||
Cytokinetics, Inc.* | 51 | 740 | ||||||
Meridian Bioscience, Inc. | 51 | 729 | ||||||
Paratek Pharmaceuticals, Inc.* | 29 | 728 | ||||||
Foundation Medicine, Inc.*,1 | 18 | 724 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 101 | 717 | ||||||
SciClone Pharmaceuticals, Inc.* | 64 | 717 | ||||||
Kindred Healthcare, Inc. | 105 | 714 | ||||||
Heska Corp.* | 8 | 705 | ||||||
Cutera, Inc.* | 17 | 703 | ||||||
TG Therapeutics, Inc.* | 59 | 699 | ||||||
Triple-S Management Corp. — Class B* | 29 | 687 | ||||||
LSC Communications, Inc. | 41 | 677 | ||||||
LeMaitre Vascular, Inc. | 18 | 674 | ||||||
PDL BioPharma, Inc.* | 197 | 668 | ||||||
Pacific Biosciences of California, Inc.* | 127 | 667 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 11 | 656 | ||||||
Achillion Pharmaceuticals, Inc.* | 146 | 656 | ||||||
CytomX Therapeutics, Inc.* | 36 | 654 | ||||||
CorVel Corp.* | 12 | 653 | ||||||
Lexicon Pharmaceuticals, Inc.*,1 | 53 | 651 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Intra-Cellular Therapies, Inc.* | 41 | $ | 647 | |||||
Lannett Company, Inc.*,1 | 35 | 646 | ||||||
Aclaris Therapeutics, Inc.* | 25 | 645 | ||||||
Coherus Biosciences, Inc.* | 48 | 641 | ||||||
Progenics Pharmaceuticals, Inc.* | 87 | 640 | ||||||
Laureate Education, Inc. — Class A* | 44 | 640 | ||||||
AxoGen, Inc.* | 33 | 639 | ||||||
STAAR Surgical Co.* | 51 | 635 | ||||||
Invacare Corp. | 40 | 630 | ||||||
Cross Country Healthcare, Inc.* | 43 | 612 | ||||||
Ennis, Inc. | 31 | 609 | ||||||
Rent-A-Center, Inc.1 | 53 | 608 | ||||||
Everi Holdings, Inc.* | 79 | 600 | ||||||
Calithera Biosciences, Inc.* | 38 | 599 | ||||||
Assembly Biosciences, Inc.* | 17 | 594 | ||||||
Lantheus Holdings, Inc.* | 33 | 587 | ||||||
e.l.f. Beauty, Inc.*,1 | 26 | 586 | ||||||
Kforce, Inc. | 29 | 586 | ||||||
MoneyGram International, Inc.* | 36 | 580 | ||||||
CAI International, Inc.* | 19 | 576 | ||||||
Achaogen, Inc.* | 36 | 574 | ||||||
Antares Pharma, Inc.* | 177 | 573 | ||||||
Textainer Group Holdings Ltd.* | 33 | 566 | ||||||
Aduro Biotech, Inc.* | 51 | 543 | ||||||
Enzo Biochem, Inc.* | 51 | 534 | ||||||
Audentes Therapeutics, Inc.* | 19 | 532 | ||||||
Inovio Pharmaceuticals, Inc.* | 83 | 526 | ||||||
ANI Pharmaceuticals, Inc.* | 10 | 525 | ||||||
AnaptysBio, Inc.* | 15 | 524 | ||||||
Weis Markets, Inc. | 12 | 522 | ||||||
GenMark Diagnostics, Inc.* | 54 | 520 | ||||||
RadNet, Inc.* | 45 | 520 | ||||||
BioCryst Pharmaceuticals, Inc.* | 99 | 519 | ||||||
Atara Biotherapeutics, Inc.* | 31 | 513 | ||||||
Abeona Therapeutics, Inc.* | 30 | 512 | ||||||
Iovance Biotherapeutics, Inc.* | 66 | 512 | ||||||
Barrett Business Services, Inc. | 9 | 509 | ||||||
Rockwell Medical, Inc.* | 59 | 505 | ||||||
Central Garden & Pet Co.* | 13 | 505 | ||||||
Forrester Research, Inc. | 12 | 502 | ||||||
Resources Connection, Inc. | 36 | 500 | ||||||
Akcea Therapeutics, Inc.* | 18 | 498 | ||||||
Surmodics, Inc.* | 16 | 496 | ||||||
Natera, Inc.* | 38 | 490 | ||||||
Heidrick & Struggles International, Inc. | 23 | 486 | ||||||
Carriage Services, Inc. — Class A | 19 | 486 | ||||||
Team, Inc.* | 36 | 481 | ||||||
Oxford Immunotec Global plc* | 28 | 470 | ||||||
Emerald Expositions Events, Inc. | 20 | 465 | ||||||
Chefs’ Warehouse, Inc.* | 24 | 463 | ||||||
Ingles Markets, Inc. — Class A | 18 | 463 | ||||||
Karyopharm Therapeutics, Inc.* | 42 | 461 | ||||||
Endologix, Inc.* | 102 | 455 | ||||||
National Research Corp. — Class A | 12 | 452 | ||||||
Cara Therapeutics, Inc.*,1 | 33 | 452 | ||||||
Invitae Corp.* | 48 | 450 | ||||||
Omega Protein Corp. | 27 | 450 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 12 | 449 | ||||||
Intellia Therapeutics, Inc.* | 18 | 447 | ||||||
B. Riley Financial, Inc. | 26 | 443 | ||||||
Hackett Group, Inc. | 29 | 441 | ||||||
Vectrus, Inc.* | 14 | 432 | ||||||
Exactech, Inc.*,1 | 13 | 428 | ||||||
Celldex Therapeutics, Inc.* | 149 | 426 | ||||||
Seres Therapeutics, Inc.* | 26 | 417 | ||||||
CRA International, Inc. | 10 | 411 | ||||||
Depomed, Inc.* | 70 | 405 | ||||||
Agenus, Inc.* | 91 | 401 | ||||||
Geron Corp.* | 184 | 401 | ||||||
Accuray, Inc.* | 100 | 400 | ||||||
American Public Education, Inc.* | 19 | 400 | ||||||
Novavax, Inc.* | 349 | 398 | ||||||
BioScrip, Inc.* | 144 | 396 | ||||||
Corbus Pharmaceuticals Holdings, Inc.* | 55 | 393 | ||||||
Bellicum Pharmaceuticals, Inc.* | 34 | 393 | ||||||
Capital Senior Living Corp.* | 31 | 389 | ||||||
Rigel Pharmaceuticals, Inc.* | 153 | 389 | ||||||
Adamas Pharmaceuticals, Inc.*,1 | 18 | 381 | ||||||
Tejon Ranch Co.* | 18 | 380 | ||||||
Voyager Therapeutics, Inc.* | 18 | 371 | ||||||
Civitas Solutions, Inc.* | 20 | 369 | ||||||
Primo Water Corp.* | 31 | 367 | ||||||
Farmer Brothers Co.* | 11 | 361 | ||||||
NanoString Technologies, Inc.* | 22 | 356 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A*,1 | 30 | 354 | ||||||
Cerus Corp.* | 128 | 349 | ||||||
Limoneira Co. | 15 | 348 | ||||||
CSS Industries, Inc. | 12 | 346 | ||||||
Revlon, Inc. — Class A* | 14 | 344 | ||||||
Teligent, Inc.* | 51 | 342 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 11 | 342 | ||||||
Tactile Systems Technology, Inc.*,1 | 11 | 340 | ||||||
Great Lakes Dredge & Dock Corp.* | 70 | 340 | ||||||
Cadiz, Inc.* | 26 | 330 | ||||||
SEACOR Marine Holdings, Inc.* | 21 | 328 | ||||||
WaVe Life Sciences Ltd.* | 15 | 326 | ||||||
BioSpecifics Technologies Corp.* | 7 | 326 | ||||||
ServiceSource International, Inc.* | 94 | 325 | ||||||
Concert Pharmaceuticals, Inc.* | 22 | 325 | ||||||
Addus HomeCare Corp.* | 9 | 318 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 46 | 315 | ||||||
Stemline Therapeutics, Inc.* | 28 | 311 | ||||||
Seneca Foods Corp. — Class A* | 9 | 311 | ||||||
Aratana Therapeutics, Inc.* | 50 | 307 | ||||||
RTI Surgical, Inc.* | 67 | 305 | ||||||
Chimerix, Inc.* | 57 | 299 | ||||||
Durect Corp.* | 169 | 299 | ||||||
Idera Pharmaceuticals, Inc.* | 133 | 297 | ||||||
Utah Medical Products, Inc. | 4 | 294 | ||||||
Collegium Pharmaceutical, Inc.* | 28 | 294 |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Willdan Group, Inc.* | 9 | $ | 292 | |||||
Amplify Snack Brands, Inc.*,1 | 41 | 291 | ||||||
Medpace Holdings, Inc.* | 9 | 287 | ||||||
Acacia Research Corp.* | 62 | 282 | ||||||
Craft Brew Alliance, Inc.* | 16 | 281 | ||||||
Jounce Therapeutics, Inc.*,1 | 18 | 280 | ||||||
Sientra, Inc.* | 18 | 277 | ||||||
Entellus Medical, Inc.* | 15 | 277 | ||||||
Neff Corp. — Class A* | 11 | 275 | ||||||
NewLink Genetics Corp.* | 27 | 275 | ||||||
Organovo Holdings, Inc.* | 122 | 271 | ||||||
Kura Oncology, Inc.* | 18 | 269 | ||||||
Edge Therapeutics, Inc.* | 25 | 268 | ||||||
Insys Therapeutics, Inc.* | 30 | 266 | ||||||
Corium International, Inc.* | 24 | 266 | ||||||
BioTime, Inc.* | 93 | 264 | ||||||
Veracyte, Inc.* | 30 | 263 | ||||||
Athersys, Inc.* | 126 | 260 | ||||||
Selecta Biosciences, Inc.* | 14 | 256 | ||||||
MediciNova, Inc.* | 40 | 255 | ||||||
Axovant Sciences Ltd.* | 37 | 255 | ||||||
Care.com, Inc.* | 16 | 254 | ||||||
G1 Therapeutics, Inc.* | 10 | 249 | ||||||
Pieris Pharmaceuticals, Inc.* | 43 | 248 | ||||||
Village Super Market, Inc. — Class A | 10 | 247 | ||||||
Calyxt, Inc.* | 10 | 245 | ||||||
FONAR Corp.* | 8 | 244 | ||||||
Franklin Covey Co.* | 12 | 244 | ||||||
Surgery Partners, Inc.* | 23 | 238 | ||||||
Minerva Neurosciences, Inc.* | 31 | 236 | ||||||
Ardelyx, Inc.* | 42 | 235 | ||||||
Merrimack Pharmaceuticals, Inc. | 16 | 230 | ||||||
Kala Pharmaceuticals, Inc.* | 10 | 228 | ||||||
Madrigal Pharmaceuticals, Inc.* | 5 | 225 | ||||||
Catalyst Pharmaceuticals, Inc.* | 89 | 224 | ||||||
Pulse Biosciences, Inc.* | 12 | 223 | ||||||
ChemoCentryx, Inc.* | 30 | 223 | ||||||
Syros Pharmaceuticals, Inc.* | 15 | 221 | ||||||
Bridgepoint Education, Inc.* | 23 | 221 | ||||||
Smart & Final Stores, Inc.* | 28 | 220 | ||||||
Neos Therapeutics, Inc.* | 24 | 220 | ||||||
Clearside Biomedical, Inc.* | 25 | 219 | ||||||
Immune Design Corp.* | 21 | 217 | ||||||
Collectors Universe, Inc. | 9 | 216 | ||||||
Natural Health Trends Corp. | 9 | 215 | ||||||
Curis, Inc.* | 144 | 215 | ||||||
Protagonist Therapeutics, Inc.* | 12 | 212 | ||||||
ViewRay, Inc.* | 36 | 207 | ||||||
Ra Pharmaceuticals, Inc.* | 14 | 204 | ||||||
Kindred Biosciences, Inc.* | 26 | 204 | ||||||
NantKwest, Inc.* | 37 | 203 | ||||||
ARC Document Solutions, Inc.* | 49 | 200 | ||||||
Cempra, Inc.* | 59 | 192 | ||||||
Advaxis, Inc.* | 45 | 188 | ||||||
Anavex Life Sciences Corp.* | 45 | 186 | ||||||
Strongbridge Biopharma plc* | 27 | 186 | ||||||
Fate Therapeutics, Inc.* | 47 | 186 | ||||||
Ascent Capital Group, Inc. — Class A* | 14 | 183 | ||||||
Fortress Biotech, Inc.* | 41 | 181 | ||||||
American Renal Associates Holdings, Inc.* | 12 | 180 | ||||||
Corvus Pharmaceuticals, Inc.* | 11 | 175 | ||||||
Ocular Therapeutix, Inc.* | 28 | 173 | ||||||
ConforMIS, Inc.* | 49 | 172 | ||||||
Cascadian Therapeutics, Inc.* | 42 | 172 | ||||||
Trevena, Inc.* | 67 | 171 | ||||||
Conatus Pharmaceuticals, Inc.* | 31 | 170 | ||||||
Quotient Ltd.* | 34 | 168 | ||||||
Information Services Group, Inc.* | 40 | 161 | ||||||
Athenex, Inc.* | 9 | 158 | ||||||
Recro Pharma, Inc.* | 17 | 153 | ||||||
BG Staffing, Inc. | 9 | 149 | ||||||
Dova Pharmaceuticals, Inc.* | 6 | 146 | ||||||
AAC Holdings, Inc.* | 14 | 139 | ||||||
Miragen Therapeutics, Inc.* | 15 | 137 | ||||||
Alico, Inc. | 4 | 137 | ||||||
Nymox Pharmaceutical Corp.* | 35 | 134 | ||||||
Novelion Therapeutics, Inc.* | 19 | 134 | ||||||
Sienna Biopharmaceuticals, Inc.* | 6 | 134 | ||||||
Nature’s Sunshine Products, Inc. | 13 | 132 | ||||||
Syndax Pharmaceuticals, Inc.* | 11 | 129 | ||||||
Tocagen, Inc.* | 10 | 125 | ||||||
Zynerba Pharmaceuticals, Inc.* | 14 | 117 | ||||||
Liberty Tax, Inc. | 8 | 115 | ||||||
Otonomy, Inc.* | 35 | 114 | ||||||
Cambium Learning Group, Inc.* | 17 | 113 | ||||||
Asterias Biotherapeutics, Inc.* | 33 | 112 | ||||||
XBiotech, Inc.* | 25 | 109 | ||||||
Obalon Therapeutics, Inc.* | 11 | 105 | ||||||
VBI Vaccines, Inc.* | 27 | 104 | ||||||
Pendrell Corp.* | 15 | 102 | ||||||
Turning Point Brands, Inc.* | 6 | 102 | ||||||
Versartis, Inc.* | 40 | 98 | ||||||
Viveve Medical, Inc.* | 18 | 94 | ||||||
Matinas BioPharma Holdings, Inc.* | 65 | 86 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 12 | 67 | ||||||
vTv Therapeutics, Inc. — Class A* | 9 | 54 | ||||||
Lifeway Foods, Inc.* | 6 | 53 | ||||||
Genesis Healthcare, Inc.* | 46 | 53 | ||||||
Genocea Biosciences, Inc.* | 36 | 53 | ||||||
Ovid therapeutics, Inc.* | 6 | 51 | ||||||
CPI Card Group, Inc. | 26 | 31 | ||||||
Oncocyte Corp.* | 4 | 30 | ||||||
Total Consumer, Non-cyclical | 548,216 | |||||||
Industrial - 3.5% | ||||||||
Knight-Swift Transportation Holdings, Inc.* | 155 | 6,431 | ||||||
Curtiss-Wright Corp. | 54 | 5,645 | ||||||
Littelfuse, Inc. | 28 | 5,484 | ||||||
Woodward, Inc. | 66 | 5,122 | ||||||
EMCOR Group, Inc. | 73 | 5,064 | ||||||
Louisiana-Pacific Corp.* | 180 | 4,875 | ||||||
SYNNEX Corp. | 36 | 4,554 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Barnes Group, Inc. | 62 | $ | 4,368 | |||||
Summit Materials, Inc. — Class A* | 133 | 4,260 | ||||||
Belden, Inc. | 51 | 4,107 | ||||||
Kennametal, Inc. | 99 | 3,994 | ||||||
Advanced Energy Industries, Inc.* | 49 | 3,957 | ||||||
John Bean Technologies Corp. | 39 | 3,944 | ||||||
Tech Data Corp.* | 43 | 3,821 | ||||||
MasTec, Inc.* | 82 | 3,805 | ||||||
EnerSys | 54 | 3,735 | ||||||
Trinseo S.A. | 55 | 3,691 | ||||||
RBC Bearings, Inc.* | 28 | 3,503 | ||||||
Generac Holdings, Inc.* | 75 | 3,445 | ||||||
Cree, Inc.* | 121 | 3,411 | ||||||
KLX, Inc.* | 64 | 3,388 | ||||||
Sanmina Corp.* | 91 | 3,381 | ||||||
Moog, Inc. — Class A* | 40 | 3,337 | ||||||
Tetra Tech, Inc. | 71 | 3,304 | ||||||
Rexnord Corp.* | 129 | 3,277 | ||||||
Dycom Industries, Inc.* | 38 | 3,263 | ||||||
MSA Safety, Inc. | 41 | 3,260 | ||||||
Itron, Inc.* | 42 | 3,253 | ||||||
Trex Company, Inc.* | 36 | 3,243 | ||||||
KBR, Inc. | 178 | 3,183 | ||||||
Vishay Intertechnology, Inc. | 167 | 3,140 | ||||||
Applied Industrial Technologies, Inc. | 47 | 3,092 | ||||||
II-VI, Inc.* | 75 | 3,086 | ||||||
Hillenbrand, Inc. | 78 | 3,030 | ||||||
GATX Corp. | 49 | 3,017 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 86 | 3,011 | ||||||
TopBuild Corp.* | 46 | 2,998 | ||||||
Rogers Corp.* | 22 | 2,932 | ||||||
Esterline Technologies Corp.* | 32 | 2,885 | ||||||
Granite Construction, Inc. | 49 | 2,840 | ||||||
Golar LNG Ltd. | 118 | 2,668 | ||||||
Masonite International Corp.* | 37 | 2,560 | ||||||
Franklin Electric Company, Inc. | 57 | 2,556 | ||||||
Simpson Manufacturing Company, Inc. | 52 | 2,550 | ||||||
Worthington Industries, Inc. | 55 | 2,530 | ||||||
Proto Labs, Inc.* | 31 | 2,489 | ||||||
Universal Forest Products, Inc. | 25 | 2,454 | ||||||
Mueller Industries, Inc. | 70 | 2,447 | ||||||
Mueller Water Products, Inc. — Class A | 189 | 2,419 | ||||||
JELD-WEN Holding, Inc.* | 67 | 2,380 | ||||||
Exponent, Inc. | 32 | 2,365 | ||||||
Watts Water Technologies, Inc. — Class A | 34 | 2,353 | ||||||
KapStone Paper and Packaging Corp. | 108 | 2,321 | ||||||
Plexus Corp.* | 41 | 2,299 | ||||||
Brady Corp. — Class A | 58 | 2,201 | ||||||
Builders FirstSource, Inc.* | 120 | 2,159 | ||||||
Werner Enterprises, Inc. | 59 | 2,156 | ||||||
Covanta Holding Corp. | 145 | 2,153 | ||||||
Forward Air Corp. | 37 | 2,118 | ||||||
Benchmark Electronics, Inc.* | 62 | 2,117 | ||||||
EnPro Industries, Inc. | 26 | 2,094 | ||||||
Chicago Bridge & Iron Company N.V.1 | 124 | 2,083 | ||||||
Harsco Corp.* | 99 | 2,069 | ||||||
Albany International Corp. — Class A | 36 | 2,065 | ||||||
OSI Systems, Inc.* | 22 | 2,010 | ||||||
SPX FLOW, Inc.* | 51 | 1,967 | ||||||
Saia, Inc.* | 31 | 1,942 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 29 | 1,908 | ||||||
Kaman Corp. | 34 | 1,897 | ||||||
Actuant Corp. — Class A | 74 | 1,894 | ||||||
Greif, Inc. — Class A | 32 | 1,873 | ||||||
Methode Electronics, Inc. | 44 | 1,863 | ||||||
ESCO Technologies, Inc. | 31 | 1,858 | ||||||
Triumph Group, Inc. | 60 | 1,785 | ||||||
TTM Technologies, Inc.* | 115 | 1,768 | ||||||
Patrick Industries, Inc.* | 21 | 1,766 | ||||||
AAON, Inc. | 51 | 1,758 | ||||||
Air Transport Services Group, Inc.* | 72 | 1,752 | ||||||
Novanta, Inc.* | 40 | 1,744 | ||||||
Altra Industrial Motion Corp. | 36 | 1,732 | ||||||
Hub Group, Inc. — Class A* | 40 | 1,718 | ||||||
Standex International Corp. | 16 | 1,699 | ||||||
Apogee Enterprises, Inc. | 35 | 1,689 | ||||||
Boise Cascade Co.* | 48 | 1,675 | ||||||
Badger Meter, Inc. | 34 | 1,666 | ||||||
Knowles Corp.* | 109 | 1,664 | ||||||
Greenbrier Companies, Inc. | 34 | 1,637 | ||||||
Fabrinet* | 44 | 1,631 | ||||||
AZZ, Inc. | 33 | 1,607 | ||||||
Comfort Systems USA, Inc. | 45 | 1,607 | ||||||
Cubic Corp. | 31 | 1,581 | ||||||
Sun Hydraulics Corp. | 29 | 1,566 | ||||||
Federal Signal Corp. | 73 | 1,553 | ||||||
Chart Industries, Inc.* | 39 | 1,530 | ||||||
US Concrete, Inc.*,1 | 20 | 1,526 | ||||||
SPX Corp.* | 52 | 1,526 | ||||||
Astec Industries, Inc. | 27 | 1,512 | ||||||
TriMas Corp.* | 56 | 1,512 | ||||||
Fitbit, Inc. — Class A* | 216 | 1,503 | ||||||
Matson, Inc. | 53 | 1,494 | ||||||
Applied Optoelectronics, Inc.*,1 | 23 | 1,487 | ||||||
Heartland Express, Inc. | 59 | 1,480 | ||||||
Axon Enterprise, Inc.*,1 | 65 | 1,474 | ||||||
AAR Corp. | 39 | 1,473 | ||||||
Raven Industries, Inc. | 45 | 1,458 | ||||||
Tennant Co. | 22 | 1,456 | ||||||
US Ecology, Inc. | 27 | 1,453 | ||||||
GoPro, Inc. — Class A* | 131 | 1,442 | ||||||
Manitowoc Company, Inc.* | 158 | 1,422 | ||||||
Primoris Services Corp. | 48 | 1,412 | ||||||
Multi-Color Corp. | 17 | 1,393 | ||||||
Aerovironment, Inc.* | 25 | 1,353 | ||||||
Advanced Disposal Services, Inc.* | 53 | 1,335 | ||||||
Tutor Perini Corp.* | 46 | 1,306 | ||||||
Alamo Group, Inc. | 12 | 1,288 | ||||||
Kadant, Inc. | 13 | 1,281 | ||||||
Argan, Inc. | 19 | 1,278 | ||||||
Continental Building Products, Inc.* | 48 | 1,248 | ||||||
Gibraltar Industries, Inc.* | 40 | 1,246 |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
KEMET Corp.* | 57 | $ | 1,204 | |||||
Lydall, Inc.* | 21 | 1,203 | ||||||
Briggs & Stratton Corp. | 51 | 1,199 | ||||||
Lindsay Corp. | 13 | 1,195 | ||||||
Encore Wire Corp. | 26 | 1,164 | ||||||
Kratos Defense & Security Solutions, Inc.* | 89 | 1,164 | ||||||
Sturm Ruger & Company, Inc. | 22 | 1,137 | ||||||
General Cable Corp. | 60 | 1,131 | ||||||
Milacron Holdings Corp.* | 66 | 1,113 | ||||||
CIRCOR International, Inc. | 20 | 1,089 | ||||||
Ship Finance International Ltd.1 | 75 | 1,088 | ||||||
ArcBest Corp. | 32 | 1,070 | ||||||
American Outdoor Brands Corp.* | 69 | 1,052 | ||||||
AVX Corp. | 57 | 1,039 | ||||||
Schneider National, Inc. — Class B | 40 | 1,012 | ||||||
Marten Transport Ltd. | 49 | 1,007 | ||||||
Chase Corp. | 9 | 1,003 | ||||||
Hyster-Yale Materials Handling, Inc. | 13 | 994 | ||||||
Quanex Building Products Corp. | 43 | 987 | ||||||
NN, Inc. | 34 | 986 | ||||||
CTS Corp. | 40 | 964 | ||||||
Aegion Corp. — Class A* | 41 | 954 | ||||||
Casella Waste Systems, Inc. — Class A* | 49 | 921 | ||||||
Global Brass & Copper Holdings, Inc. | 27 | 913 | ||||||
PGT Innovations, Inc.* | 61 | 912 | ||||||
Columbus McKinnon Corp. | 24 | 909 | ||||||
Scorpio Tankers, Inc. | 259 | 888 | ||||||
Control4 Corp.* | 30 | 884 | ||||||
GasLog Ltd. | 50 | 873 | ||||||
Advanced Drainage Systems, Inc. | 43 | 871 | ||||||
Caesarstone Ltd.* | 28 | 834 | ||||||
TimkenSteel Corp.* | 49 | 809 | ||||||
Astronics Corp.* | 27 | 803 | ||||||
Atkore International Group, Inc.* | 41 | 800 | ||||||
Griffon Corp. | 36 | 799 | ||||||
FARO Technologies, Inc.* | 20 | 765 | ||||||
NCI Building Systems, Inc.* | 49 | 764 | ||||||
Gorman-Rupp Co. | 22 | 717 | ||||||
Kimball Electronics, Inc.* | 33 | 714 | ||||||
International Seaways, Inc.* | 36 | 709 | ||||||
Stoneridge, Inc.* | 34 | 674 | ||||||
Nordic American Tankers Ltd. | 124 | 662 | ||||||
Echo Global Logistics, Inc.* | 34 | 641 | ||||||
National Presto Industries, Inc. | 6 | 639 | ||||||
VSE Corp. | 11 | 625 | ||||||
Insteel Industries, Inc. | 23 | 601 | ||||||
DXP Enterprises, Inc.* | 19 | 598 | ||||||
Teekay Corp. | 67 | 598 | ||||||
Mesa Laboratories, Inc. | 4 | 597 | ||||||
Ichor Holdings Ltd.* | 22 | 590 | ||||||
Myers Industries, Inc. | 28 | 587 | ||||||
MYR Group, Inc.* | 20 | 583 | ||||||
YRC Worldwide, Inc.* | 42 | 580 | ||||||
Tredegar Corp. | 32 | 576 | ||||||
Haynes International, Inc. | 16 | 575 | ||||||
Frontline Ltd. | 95 | 574 | ||||||
NV5 Global, Inc.* | 10 | 547 | ||||||
Electro Scientific Industries, Inc.* | 39 | 543 | ||||||
SunPower Corp. — Class A*,1 | 74 | 539 | ||||||
ZAGG, Inc.* | 34 | 536 | ||||||
Scorpio Bulkers, Inc.* | 73 | 515 | ||||||
Park-Ohio Holdings Corp. | 11 | 502 | ||||||
Vicor Corp.* | 21 | 496 | ||||||
Sterling Construction Company, Inc.* | 32 | 487 | ||||||
NVE Corp. | 6 | 474 | ||||||
GP Strategies Corp.* | 15 | 463 | ||||||
Ply Gem Holdings, Inc.* | 27 | 460 | ||||||
Armstrong Flooring, Inc.* | 29 | 457 | ||||||
Greif, Inc. — Class B | 7 | 450 | ||||||
Park Electrochemical Corp. | 24 | 444 | ||||||
Covenant Transportation Group, Inc. — Class A* | 15 | 435 | ||||||
Mistras Group, Inc.* | 21 | 431 | ||||||
Ducommun, Inc.* | 13 | 417 | ||||||
Heritage-Crystal Clean, Inc.* | 18 | 392 | ||||||
DHT Holdings, Inc. | 96 | 382 | ||||||
Bel Fuse, Inc. — Class B | 12 | 374 | ||||||
Energy Recovery, Inc.* | 45 | 356 | ||||||
Roadrunner Transportation Systems, Inc.* | 37 | 353 | ||||||
Hudson Technologies, Inc.* | 45 | 351 | ||||||
American Railcar Industries, Inc. | 9 | 347 | ||||||
Hurco Companies, Inc. | 8 | 333 | ||||||
Powell Industries, Inc. | 11 | 330 | ||||||
Daseke, Inc.* | 25 | 326 | ||||||
CECO Environmental Corp. | 37 | 313 | ||||||
FreightCar America, Inc. | 15 | 293 | ||||||
Vishay Precision Group, Inc.* | 12 | 293 | ||||||
Energous Corp.* | 23 | 291 | ||||||
Omega Flex, Inc. | 4 | 287 | ||||||
Advanced Emissions Solutions, Inc. | 26 | 285 | ||||||
Ardmore Shipping Corp.* | 34 | 281 | ||||||
Sparton Corp.* | 12 | 279 | ||||||
Costamare, Inc. | 45 | 278 | ||||||
Layne Christensen Co.* | 22 | 276 | ||||||
Olympic Steel, Inc. | 12 | 264 | ||||||
Gener8 Maritime, Inc.* | 58 | 262 | ||||||
LB Foster Co. — Class A* | 11 | 250 | ||||||
Graham Corp. | 12 | 250 | ||||||
Teekay Tankers Ltd. — Class A | 151 | 245 | ||||||
Radiant Logistics, Inc.* | 46 | 244 | ||||||
MicroVision, Inc.* | 84 | 234 | ||||||
Hardinge, Inc. | 15 | 229 | ||||||
Northwest Pipe Co.* | 12 | 228 | ||||||
UFP Technologies, Inc.* | 8 | 225 | ||||||
Orion Group Holdings, Inc.* | 34 | 223 | ||||||
Eagle Bulk Shipping, Inc.* | 48 | 217 | ||||||
LSB Industries, Inc.* | 27 | 214 | ||||||
Universal Logistics Holdings, Inc. | 10 | 205 | ||||||
Intevac, Inc.* | 24 | 203 | ||||||
Allied Motion Technologies, Inc. | 8 | 203 | ||||||
Lawson Products, Inc.* | 8 | 202 | ||||||
Eastern Co. | 7 | 201 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Babcock & Wilcox Enterprises, Inc.* | 60 | $ | 200 | |||||
Hill International, Inc.* | 42 | 200 | ||||||
LSI Industries, Inc. | 30 | 198 | ||||||
Core Molding Technologies, Inc. | 9 | 197 | ||||||
Iteris, Inc.* | 29 | 193 | ||||||
Ampco-Pittsburgh Corp. | 11 | 191 | ||||||
IES Holdings, Inc.* | 11 | 190 | ||||||
AquaVenture Holdings Ltd.* | 14 | 189 | ||||||
Twin Disc, Inc.* | 10 | 186 | ||||||
Navios Maritime Holdings, Inc.* | 111 | 185 | ||||||
Fluidigm Corp.* | 36 | 181 | ||||||
Gencor Industries, Inc.* | 10 | 177 | ||||||
Safe Bulkers, Inc.*,1 | 59 | 162 | ||||||
Pure Cycle Corp.* | 21 | 158 | ||||||
Dorian LPG Ltd.* | 23 | 157 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 56 | 147 | ||||||
CyberOptics Corp.* | 9 | 146 | ||||||
Napco Security Technologies, Inc.* | 15 | 146 | ||||||
Aqua Metals, Inc.* | 21 | 144 | ||||||
Handy & Harman Ltd.* | 4 | 130 | ||||||
Navios Maritime Acquisition Corp. | 102 | 124 | ||||||
Genco Shipping & Trading Ltd.* | 9 | 104 | ||||||
Revolution Lighting Technologies, Inc.*,1 | 16 | 104 | ||||||
Forterra, Inc.* | 23 | 104 | ||||||
Willis Lease Finance Corp.* | 4 | 98 | ||||||
NL Industries, Inc.* | 10 | 92 | ||||||
Akoustis Technologies, Inc.* | 11 | 72 | ||||||
Nordic American Offshore Ltd. | 5 | 7 | ||||||
Total Industrial | 364,677 | |||||||
Consumer, Cyclical - 2.8% | ||||||||
Dana, Inc. | 179 | 5,004 | ||||||
Texas Roadhouse, Inc. — Class A | 82 | 4,030 | ||||||
Tenneco, Inc. | 65 | 3,943 | ||||||
Beacon Roofing Supply, Inc.* | 75 | 3,843 | ||||||
FirstCash, Inc. | 59 | 3,727 | ||||||
Five Below, Inc.* | 67 | 3,678 | ||||||
Jack in the Box, Inc. | 36 | 3,670 | ||||||
Churchill Downs, Inc. | 17 | 3,506 | ||||||
ILG, Inc. | 131 | 3,502 | ||||||
Lithia Motors, Inc. — Class A | 29 | 3,489 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 23 | 3,487 | ||||||
LCI Industries | 30 | 3,475 | ||||||
Wolverine World Wide, Inc. | 117 | 3,374 | ||||||
Marriott Vacations Worldwide Corp. | 27 | 3,363 | ||||||
Steven Madden Ltd.* | 73 | 3,160 | ||||||
Anixter International, Inc.* | 36 | 3,059 | ||||||
Scientific Games Corp. — Class A* | 65 | 2,980 | ||||||
Big Lots, Inc. | 55 | 2,946 | ||||||
UniFirst Corp. | 19 | 2,878 | ||||||
Office Depot, Inc. | 634 | 2,878 | ||||||
American Eagle Outfitters, Inc. | 201 | 2,874 | ||||||
Planet Fitness, Inc. — Class A | 105 | 2,833 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 60 | 2,784 | ||||||
Dave & Buster’s Entertainment, Inc.* | 53 | 2,781 | ||||||
SkyWest, Inc. | 63 | 2,766 | ||||||
Navistar International Corp.* | 62 | 2,733 | ||||||
Meritor, Inc.* | 104 | 2,705 | ||||||
Boyd Gaming Corp. | 103 | 2,683 | ||||||
Deckers Outdoor Corp.* | 39 | 2,668 | ||||||
Herman Miller, Inc. | 73 | 2,621 | ||||||
Cooper-Standard Holdings, Inc.* | 22 | 2,551 | ||||||
KB Home | 105 | 2,532 | ||||||
TRI Pointe Group, Inc.* | 183 | 2,527 | ||||||
Papa John’s International, Inc. | 34 | 2,484 | ||||||
Children’s Place, Inc. | 21 | 2,481 | ||||||
Hawaiian Holdings, Inc.* | 66 | 2,478 | ||||||
Cooper Tire & Rubber Co. | 66 | 2,468 | ||||||
iRobot Corp.* | 32 | 2,466 | ||||||
Penn National Gaming, Inc.* | 105 | 2,456 | ||||||
SiteOne Landscape Supply, Inc.* | 42 | 2,440 | ||||||
Dorman Products, Inc.* | 34 | 2,435 | ||||||
PriceSmart, Inc. | 27 | 2,410 | ||||||
Cheesecake Factory, Inc. | 55 | 2,317 | ||||||
HNI Corp. | 54 | 2,239 | ||||||
Columbia Sportswear Co. | 36 | 2,217 | ||||||
Meritage Homes Corp.* | 48 | 2,131 | ||||||
Buffalo Wild Wings, Inc.* | 20 | 2,114 | ||||||
Bloomin’ Brands, Inc. | 113 | 1,989 | ||||||
Allegiant Travel Co. — Class A | 15 | 1,976 | ||||||
Red Rock Resorts, Inc. — Class A | 84 | 1,945 | ||||||
Taylor Morrison Home Corp. — Class A* | 87 | 1,918 | ||||||
Brinker International, Inc.1 | 60 | 1,912 | ||||||
Fox Factory Holding Corp.* | 44 | 1,896 | ||||||
Group 1 Automotive, Inc. | 26 | 1,884 | ||||||
Mobile Mini, Inc. | 54 | 1,861 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 103 | 1,811 | ||||||
Core-Mark Holding Company, Inc. | 56 | 1,800 | ||||||
La Quinta Holdings, Inc.* | 101 | 1,768 | ||||||
Triton International Ltd.* | 53 | 1,764 | ||||||
RH*,1 | 25 | 1,758 | ||||||
Installed Building Products, Inc.* | 27 | 1,750 | ||||||
Winnebago Industries, Inc. | 39 | 1,745 | ||||||
DSW, Inc. — Class A | 81 | 1,740 | ||||||
BMC Stock Holdings, Inc.* | 81 | 1,729 | ||||||
MDC Holdings, Inc. | 51 | 1,694 | ||||||
Interface, Inc. — Class A | 77 | 1,686 | ||||||
Callaway Golf Co. | 116 | 1,674 | ||||||
Gentherm, Inc.* | 45 | 1,672 | ||||||
Rush Enterprises, Inc. — Class A* | 36 | 1,666 | ||||||
Wabash National Corp. | 73 | 1,666 | ||||||
American Woodmark Corp.* | 17 | 1,636 | ||||||
Steelcase, Inc. — Class A | 106 | 1,632 | ||||||
IMAX Corp.* | 72 | 1,631 | ||||||
Vista Outdoor, Inc.* | 71 | 1,629 | ||||||
La-Z-Boy, Inc. | 60 | 1,614 | ||||||
Caleres, Inc. | 52 | 1,587 | ||||||
Select Comfort Corp.* | 51 | 1,584 | ||||||
G-III Apparel Group Ltd.* | 54 | 1,567 | ||||||
HSN, Inc. | 40 | 1,562 | ||||||
Belmond Ltd. — Class A* | 111 | 1,515 |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Cavco Industries, Inc.* | 10 | $ | 1,476 | |||||
J.C. Penney Company, Inc.* | 384 | 1,463 | ||||||
Eldorado Resorts, Inc.* | 57 | 1,462 | ||||||
Chico’s FAS, Inc. | 159 | 1,423 | ||||||
Pinnacle Entertainment, Inc.* | 66 | 1,406 | ||||||
Asbury Automotive Group, Inc.* | 23 | 1,405 | ||||||
Lumber Liquidators Holdings, Inc.* | 35 | 1,364 | ||||||
ScanSource, Inc.* | 30 | 1,310 | ||||||
Standard Motor Products, Inc. | 27 | 1,303 | ||||||
Sonic Corp. | 51 | 1,298 | ||||||
Caesars Acquisition Co. — Class A* | 60 | 1,287 | ||||||
Oxford Industries, Inc. | 20 | 1,271 | ||||||
Guess?, Inc. | 74 | 1,260 | ||||||
Abercrombie & Fitch Co. — Class A | 84 | 1,213 | ||||||
GMS, Inc.* | 34 | 1,204 | ||||||
Knoll, Inc. | 60 | 1,200 | ||||||
Wingstop, Inc.1 | 36 | 1,197 | ||||||
Modine Manufacturing Co.* | 62 | 1,194 | ||||||
Camping World Holdings, Inc. — Class A | 29 | 1,181 | ||||||
Universal Electronics, Inc.* | 18 | 1,141 | ||||||
H&E Equipment Services, Inc. | 39 | 1,139 | ||||||
International Speedway Corp. — Class A | 31 | 1,116 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 90 | 1,112 | ||||||
SeaWorld Entertainment, Inc.*,1 | 85 | 1,104 | ||||||
Red Robin Gourmet Burgers, Inc.* | 16 | 1,072 | ||||||
Dillard’s, Inc. — Class A1 | 19 | 1,065 | ||||||
Douglas Dynamics, Inc. | 27 | 1,064 | ||||||
Denny’s Corp.* | 85 | 1,058 | ||||||
LGI Homes, Inc.* | 21 | 1,020 | ||||||
Ethan Allen Interiors, Inc. | 31 | 1,004 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 68 | 1,000 | ||||||
Caesars Entertainment Corp.*,1 | 71 | 948 | ||||||
DineEquity, Inc. | 21 | 903 | ||||||
Shake Shack, Inc. — Class A* | 27 | 897 | ||||||
Kimball International, Inc. — Class B | 45 | 890 | ||||||
Crocs, Inc.*,1 | 91 | 883 | ||||||
Tailored Brands, Inc.1 | 60 | 866 | ||||||
PetMed Express, Inc. | 25 | 829 | ||||||
M/I Homes, Inc.* | 30 | 802 | ||||||
BJ’s Restaurants, Inc.* | 26 | 792 | ||||||
Ruth’s Hospitality Group, Inc. | 37 | 775 | ||||||
GNC Holdings, Inc. — Class A1 | 83 | 734 | ||||||
Beazer Homes USA, Inc.* | 39 | 731 | ||||||
Unifi, Inc.* | 20 | 713 | ||||||
Malibu Boats, Inc. — Class A* | 22 | 696 | ||||||
William Lyon Homes — Class A* | 30 | 690 | ||||||
Tower International, Inc. | 25 | 680 | ||||||
Motorcar Parts of America, Inc.* | 23 | 678 | ||||||
Sonic Automotive, Inc. — Class A | 33 | 673 | ||||||
Hooker Furniture Corp. | 14 | 669 | ||||||
Conn’s, Inc.* | 23 | 647 | ||||||
Express, Inc.* | 95 | 642 | ||||||
Wesco Aircraft Holdings, Inc.* | 68 | 639 | ||||||
Genesco, Inc.* | 24 | 638 | ||||||
Marcus Corp. | 23 | 637 | ||||||
Del Taco Restaurants, Inc.* | 41 | 629 | ||||||
Regis Corp.* | 44 | 628 | ||||||
Nautilus, Inc.* | 37 | 625 | ||||||
Titan International, Inc. | 61 | 619 | ||||||
Fiesta Restaurant Group, Inc.* | 32 | 608 | ||||||
Essendant, Inc. | 46 | 606 | ||||||
Haverty Furniture Companies, Inc. | 23 | 601 | ||||||
Buckle, Inc.1 | 35 | 590 | ||||||
Finish Line, Inc. — Class A1 | 49 | 589 | ||||||
EZCORP, Inc. — Class A* | 61 | 580 | ||||||
Century Communities, Inc.* | 23 | 568 | ||||||
Horizon Global Corp.* | 32 | 564 | ||||||
Barnes & Noble, Inc. | 74 | 562 | ||||||
Tile Shop Holdings, Inc. | 42 | 533 | ||||||
Movado Group, Inc. | 19 | 532 | ||||||
National CineMedia, Inc. | 76 | 530 | ||||||
Ascena Retail Group, Inc.* | 213 | 522 | ||||||
Monarch Casino & Resort, Inc.* | 13 | 514 | ||||||
MarineMax, Inc.* | 31 | 513 | ||||||
Johnson Outdoors, Inc. — Class A | 7 | 513 | ||||||
Superior Industries International, Inc. | 30 | 500 | ||||||
Acushnet Holdings Corp.1 | 28 | 497 | ||||||
Bassett Furniture Industries, Inc. | 13 | 490 | ||||||
Fossil Group, Inc.*,1 | 52 | 485 | ||||||
Spartan Motors, Inc. | 43 | 475 | ||||||
Eros International plc* | 33 | 472 | ||||||
Freshpet, Inc.* | 30 | 470 | ||||||
MCBC Holdings, Inc.* | 23 | 469 | ||||||
Carrols Restaurant Group, Inc.* | 43 | 469 | ||||||
Daktronics, Inc. | 44 | 465 | ||||||
Party City Holdco, Inc.* | 34 | 461 | ||||||
Flexsteel Industries, Inc. | 9 | 456 | ||||||
Veritiv Corp.* | 14 | 455 | ||||||
PICO Holdings, Inc.* | 27 | 451 | ||||||
REV Group, Inc. | 15 | 431 | ||||||
Culp, Inc. | 13 | 426 | ||||||
Pier 1 Imports, Inc. | 101 | 423 | ||||||
PC Connection, Inc. | 15 | 423 | ||||||
Chuy’s Holdings, Inc.* | 20 | 421 | ||||||
Zumiez, Inc.* | 23 | 416 | ||||||
Cato Corp. — Class A1 | 30 | 397 | ||||||
Winmark Corp. | 3 | 395 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 27 | 393 | ||||||
Miller Industries, Inc. | 14 | 391 | ||||||
Hibbett Sports, Inc.* | 27 | 385 | ||||||
Perry Ellis International, Inc.* | 16 | 379 | ||||||
America’s Car-Mart, Inc.* | 9 | 370 | ||||||
Systemax, Inc. | 14 | 370 | ||||||
Citi Trends, Inc. | 18 | 358 | ||||||
Titan Machinery, Inc.* | 23 | 357 | ||||||
Iconix Brand Group, Inc.* | 62 | 353 | ||||||
Potbelly Corp.* | 28 | 347 | ||||||
Shoe Carnival, Inc.1 | 15 | 336 | ||||||
Biglari Holdings, Inc.* | 1 | 333 | ||||||
Francesca’s Holdings Corp.* | 45 | 331 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
�� | ||||||||
Reading International, Inc. — Class A* | 21 | $ | 330 | |||||
Habit Restaurants, Inc. — Class A* | 25 | 326 | ||||||
Golden Entertainment, Inc.* | 13 | 317 | ||||||
El Pollo Loco Holdings, Inc.* | 26 | 316 | ||||||
Barnes & Noble Education, Inc.* | 48 | 312 | ||||||
Rush Enterprises, Inc. — Class B* | 7 | 305 | ||||||
Speedway Motorsports, Inc. | 14 | 298 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 153 | 295 | ||||||
Zoe’s Kitchen, Inc.* | 23 | 290 | ||||||
Fred’s, Inc. — Class A1 | 45 | 290 | ||||||
Bojangles’, Inc.* | 21 | 284 | ||||||
Drive Shack, Inc. | 77 | 278 | ||||||
Green Brick Partners, Inc.* | 28 | 277 | ||||||
AV Homes, Inc.* | 16 | 274 | ||||||
RCI Hospitality Holdings, Inc. | 11 | 272 | ||||||
Lindblad Expeditions Holdings, Inc.* | 25 | 268 | ||||||
Libbey, Inc. | 27 | 250 | ||||||
PetIQ, Inc.* | 9 | 244 | ||||||
Duluth Holdings, Inc. — Class B* | 12 | 243 | ||||||
Nexeo Solutions, Inc.* | 32 | 234 | ||||||
Superior Uniform Group, Inc. | 10 | 229 | ||||||
Kirkland’s, Inc.* | 20 | 229 | ||||||
Commercial Vehicle Group, Inc.* | 31 | 228 | ||||||
Weyco Group, Inc. | 8 | 227 | ||||||
Foundation Building Materials, Inc.* | 16 | 226 | ||||||
Nathan’s Famous, Inc.* | 3 | 222 | ||||||
Vera Bradley, Inc.* | 25 | 220 | ||||||
Lifetime Brands, Inc. | 12 | 220 | ||||||
VOXX International Corp. — Class A* | 25 | 214 | ||||||
Century Casinos, Inc.* | 26 | 213 | ||||||
Huttig Building Products, Inc.* | 29 | 205 | ||||||
Big 5 Sporting Goods Corp.1 | 26 | 199 | ||||||
Sportsman’s Warehouse Holdings, Inc.*,1 | 44 | 198 | ||||||
Clarus Corp.* | 26 | 195 | ||||||
Delta Apparel, Inc.* | 9 | 194 | ||||||
Tilly’s, Inc. — Class A | 16 | 192 | ||||||
J Alexander’s Holdings, Inc.* | 16 | 186 | ||||||
Blue Bird Corp.* | 9 | 185 | ||||||
New Home Company, Inc.* | 16 | 179 | ||||||
Escalade, Inc. | 13 | 177 | ||||||
Red Lion Hotels Corp.* | 20 | 173 | ||||||
PCM, Inc.* | 12 | 168 | ||||||
Marine Products Corp. | 10 | 161 | ||||||
At Home Group, Inc.* | 7 | 160 | ||||||
Ruby Tuesday, Inc.* | 73 | 156 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 17 | 156 | ||||||
J. Jill, Inc.*,1 | 14 | 152 | ||||||
Fogo De Chao, Inc.* | 12 | 149 | ||||||
Sequential Brands Group, Inc.* | 49 | 147 | ||||||
Castle Brands, Inc.*,1 | 108 | 145 | ||||||
Vitamin Shoppe, Inc.* | 27 | 144 | ||||||
Boot Barn Holdings, Inc.*,1 | 16 | 142 | ||||||
Gaia, Inc.* | 11 | 132 | ||||||
EnviroStar, Inc. | 4 | 111 | ||||||
Sears Holdings Corp.* | 15 | 110 | ||||||
Empire Resorts, Inc.* | 4 | 89 | ||||||
Container Store Group, Inc.* | 20 | 84 | ||||||
Inspired Entertainment, Inc.* | 5 | 66 | ||||||
Noodles & Co.* | 14 | 62 | ||||||
CompX International, Inc. | 3 | 46 | ||||||
Total Consumer, Cyclical | 289,781 | |||||||
Technology - 2.5% | ||||||||
MKS Instruments, Inc. | 66 | 6,233 | ||||||
Aspen Technology, Inc.* | 93 | 5,842 | ||||||
Medidata Solutions, Inc.* | 69 | 5,387 | ||||||
EPAM Systems, Inc.* | 61 | 5,363 | ||||||
Fair Isaac Corp. | 38 | 5,339 | ||||||
Monolithic Power Systems, Inc. | 49 | 5,220 | ||||||
MAXIMUS, Inc. | 79 | 5,095 | ||||||
Blackbaud, Inc. | 58 | 5,092 | ||||||
Entegris, Inc.* | 175 | 5,049 | ||||||
Paycom Software, Inc.* | 60 | 4,498 | ||||||
Integrated Device Technology, Inc.* | 165 | 4,386 | ||||||
j2 Global, Inc. | 58 | 4,285 | ||||||
Cirrus Logic, Inc.* | 79 | 4,212 | ||||||
CACI International, Inc. — Class A* | 30 | 4,180 | ||||||
Lumentum Holdings, Inc.* | 75 | 4,076 | ||||||
Silicon Laboratories, Inc.* | 51 | 4,075 | ||||||
Science Applications International Corp. | 54 | 3,610 | ||||||
HubSpot, Inc.* | 41 | 3,446 | ||||||
NetScout Systems, Inc.* | 106 | 3,429 | ||||||
ACI Worldwide, Inc.* | 144 | 3,280 | ||||||
Verint Systems, Inc.* | 77 | 3,222 | ||||||
Allscripts Healthcare Solutions, Inc.* | 225 | 3,202 | ||||||
2U, Inc.* | 54 | 3,026 | ||||||
Semtech Corp.* | 80 | 3,004 | ||||||
Convergys Corp. | 115 | 2,977 | ||||||
Mercury Systems, Inc.* | 57 | 2,957 | ||||||
CommVault Systems, Inc.* | 48 | 2,918 | ||||||
RealPage, Inc.* | 73 | 2,913 | ||||||
VeriFone Systems, Inc.* | 138 | 2,799 | ||||||
Envestnet, Inc.* | 53 | 2,703 | ||||||
Power Integrations, Inc. | 36 | 2,635 | ||||||
Cornerstone OnDemand, Inc.* | 64 | 2,599 | ||||||
Pegasystems, Inc. | 45 | 2,594 | ||||||
Brooks Automation, Inc. | 84 | 2,550 | ||||||
Cabot Microelectronics Corp. | 31 | 2,478 | ||||||
Electronics for Imaging, Inc.* | 58 | 2,475 | ||||||
ExlService Holdings, Inc.* | 41 | 2,391 | ||||||
Acxiom Corp.* | 97 | 2,390 | ||||||
Twilio, Inc. — Class A*,1 | 77 | 2,298 | ||||||
Omnicell, Inc.* | 45 | 2,297 | ||||||
Progress Software Corp. | 59 | 2,252 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 50 | 2,231 | ||||||
Diebold Nixdorf, Inc.1 | 94 | 2,148 | ||||||
Inphi Corp.* | 52 | 2,064 | ||||||
Insight Enterprises, Inc.* | 44 | 2,020 | ||||||
Qualys, Inc.* | 39 | 2,020 | ||||||
Ambarella, Inc.*,1 | 40 | 1,960 | ||||||
Ebix, Inc. | 30 | 1,958 | ||||||
Callidus Software, Inc.* | 79 | 1,947 |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
BroadSoft, Inc.* | 38 | $ | 1,911 | |||||
Box, Inc. — Class A* | 97 | 1,874 | ||||||
Pure Storage, Inc. — Class A* | 116 | 1,855 | ||||||
Rambus, Inc.* | 138 | 1,842 | ||||||
3D Systems Corp.*,1 | 135 | 1,808 | ||||||
New Relic, Inc.* | 36 | 1,793 | ||||||
MaxLinear, Inc. — Class A* | 75 | 1,781 | ||||||
Synaptics, Inc.* | 42 | 1,646 | ||||||
CSG Systems International, Inc. | 41 | 1,644 | ||||||
Cotiviti Holdings, Inc.* | 45 | 1,619 | ||||||
Bottomline Technologies de, Inc.* | 49 | 1,560 | ||||||
Five9, Inc.* | 65 | 1,554 | ||||||
Nutanix, Inc. — Class A*,1 | 69 | 1,545 | ||||||
MicroStrategy, Inc. — Class A* | 12 | 1,533 | ||||||
XPERI CORP. | 60 | 1,518 | ||||||
FormFactor, Inc.* | 89 | 1,500 | ||||||
Diodes, Inc.* | 48 | 1,437 | ||||||
Sykes Enterprises, Inc.* | 49 | 1,429 | ||||||
ManTech International Corp. — Class A | 32 | 1,413 | ||||||
Stratasys Ltd.* | 61 | 1,410 | ||||||
MINDBODY, Inc. — Class A* | 52 | 1,344 | ||||||
Amkor Technology, Inc.* | 126 | 1,329 | ||||||
Inovalon Holdings, Inc. — Class A* | 77 | 1,313 | ||||||
Virtusa Corp.* | 34 | 1,285 | ||||||
Ultra Clean Holdings, Inc.* | 41 | 1,255 | ||||||
Veeco Instruments, Inc.* | 58 | 1,241 | ||||||
SPS Commerce, Inc.* | 21 | 1,191 | ||||||
Coupa Software, Inc.* | 37 | 1,153 | ||||||
Evolent Health, Inc. — Class A*,1 | 64 | 1,139 | ||||||
MTS Systems Corp. | 21 | 1,122 | ||||||
CEVA, Inc.* | 26 | 1,113 | ||||||
Vocera Communications, Inc.* | 35 | 1,098 | ||||||
Super Micro Computer, Inc.* | 49 | 1,083 | ||||||
Axcelis Technologies, Inc.* | 37 | 1,012 | ||||||
Quality Systems, Inc.* | 64 | 1,007 | ||||||
Hortonworks, Inc.* | 59 | 1,000 | ||||||
Rudolph Technologies, Inc.* | 38 | 999 | ||||||
Monotype Imaging Holdings, Inc. | 51 | 982 | ||||||
Cray, Inc.* | 50 | 973 | ||||||
Varonis Systems, Inc.* | 23 | 964 | ||||||
Impinj, Inc.*,1 | 22 | 915 | ||||||
LivePerson, Inc.* | 67 | 908 | ||||||
Donnelley Financial Solutions, Inc.* | 41 | 884 | ||||||
Instructure, Inc.* | 26 | 862 | ||||||
Nanometrics, Inc.* | 29 | 835 | ||||||
Silver Spring Networks, Inc.* | 51 | 825 | ||||||
Syntel, Inc.* | 41 | 806 | ||||||
Lattice Semiconductor Corp.* | 152 | 792 | ||||||
Cohu, Inc. | 33 | 787 | ||||||
PROS Holdings, Inc.* | 32 | 772 | ||||||
CommerceHub, Inc.* | 36 | 769 | ||||||
Engility Holdings, Inc.* | 22 | 763 | ||||||
Barracuda Networks, Inc.* | 31 | 751 | ||||||
IXYS Corp.* | 31 | 735 | ||||||
Photronics, Inc.* | 82 | 726 | ||||||
TeleTech Holdings, Inc. | 17 | 710 | ||||||
SMART Global Holdings, Inc.* | 25 | 670 | ||||||
Carbonite, Inc.* | 30 | 660 | ||||||
Xcerra Corp.* | 67 | 660 | ||||||
Blackline, Inc.* | 19 | 648 | ||||||
Workiva, Inc.* | 31 | 646 | ||||||
InnerWorkings, Inc.* | 57 | 641 | ||||||
Benefitfocus, Inc.*,1 | 19 | 639 | ||||||
MuleSoft, Inc. — Class A* | 30 | 604 | ||||||
Actua Corp.* | 38 | 581 | ||||||
Everbridge, Inc.* | 21 | 555 | ||||||
Appfolio, Inc. — Class A* | 11 | 527 | ||||||
Unisys Corp.* | 62 | 527 | ||||||
PDF Solutions, Inc.* | 34 | 527 | ||||||
Bazaarvoice, Inc.* | 103 | 510 | ||||||
Synchronoss Technologies, Inc.* | 53 | 494 | ||||||
Glu Mobile, Inc.*,1 | 129 | 485 | ||||||
KeyW Holding Corp.*,1 | 59 | 449 | ||||||
Digimarc Corp.* | 12 | 439 | ||||||
Model N, Inc.* | 29 | 434 | ||||||
AXT, Inc.* | 46 | 421 | ||||||
Computer Programs & Systems, Inc. | 14 | 414 | ||||||
QAD, Inc. — Class A | 12 | 412 | ||||||
Exa Corp.* | 17 | 411 | ||||||
Apptio, Inc. — Class A* | 22 | 406 | ||||||
Alpha & Omega Semiconductor Ltd.* | 24 | 396 | ||||||
CommerceHub, Inc.* | 17 | 384 | ||||||
American Software, Inc. — Class A | 33 | 375 | ||||||
Mitek Systems, Inc.* | 39 | 371 | ||||||
pdvWireless, Inc.* | 12 | 358 | ||||||
DSP Group, Inc.* | 27 | 351 | ||||||
Castlight Health, Inc. — Class B* | 80 | 344 | ||||||
Digi International, Inc.* | 32 | 339 | ||||||
Presidio, Inc.* | 23 | 325 | ||||||
Kopin Corp.* | 76 | 317 | ||||||
Brightcove, Inc.* | 43 | 310 | ||||||
DMC Global, Inc. | 18 | 304 | ||||||
USA Technologies, Inc.* | 48 | 300 | ||||||
Sigma Designs, Inc.* | 47 | 296 | ||||||
Tabula Rasa HealthCare, Inc.* | 11 | 294 | ||||||
Immersion Corp.* | 36 | 294 | ||||||
Cloudera, Inc.*,1 | 17 | 283 | ||||||
EMCORE Corp.* | 33 | 271 | ||||||
MobileIron, Inc.* | 68 | 252 | ||||||
Maxwell Technologies, Inc.* | 45 | 231 | ||||||
Agilysys, Inc.* | 19 | 227 | ||||||
Alteryx, Inc. — Class A* | 11 | 224 | ||||||
Planet Payment, Inc.* | 52 | 223 | ||||||
Rosetta Stone, Inc.* | 21 | 214 | ||||||
Quantum Corp.* | 34 | 208 | ||||||
Simulations Plus, Inc. | 13 | 202 | ||||||
Park City Group, Inc.* | 16 | 194 | ||||||
Amber Road, Inc.* | 25 | 192 | ||||||
Upland Software, Inc.* | 9 | 190 | ||||||
Avid Technology, Inc.* | 41 | 186 | ||||||
ExOne Co.* | 15 | 170 | ||||||
Pixelworks, Inc.* | 35 | 165 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Eastman Kodak Co.* | 21 | $ | 154 | |||||
StarTek, Inc.* | 13 | 153 | ||||||
Veritone, Inc.* | 3 | 136 | ||||||
GSI Technology, Inc.* | 18 | 131 | ||||||
SecureWorks Corp. — Class A* | 10 | 124 | ||||||
Cogint, Inc.* | 25 | 123 | ||||||
NantHealth, Inc.* | 22 | 91 | ||||||
Radisys Corp.* | 45 | 62 | ||||||
Majesco* | 7 | 35 | ||||||
Total Technology | 255,799 | |||||||
Communications - 1.5% | ||||||||
GrubHub, Inc.* | 107 | 5,634 | ||||||
Proofpoint, Inc.* | 53 | 4,622 | ||||||
ViaSat, Inc.* | 66 | 4,244 | ||||||
Yelp, Inc. — Class A* | 96 | 4,156 | ||||||
Ciena Corp.* | 176 | 3,866 | ||||||
Stamps.com, Inc.* | 19 | 3,849 | ||||||
Zendesk, Inc.* | 121 | 3,522 | ||||||
Nexstar Media Group, Inc. — Class A | 56 | 3,490 | ||||||
RingCentral, Inc. — Class A* | 77 | 3,215 | ||||||
InterDigital, Inc. | 42 | 3,097 | ||||||
Finisar Corp.* | 138 | 3,058 | ||||||
New York Times Co. — Class A | 156 | 3,058 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 90 | 2,885 | ||||||
TiVo Corp. | 145 | 2,878 | ||||||
Meredith Corp. | 49 | 2,720 | ||||||
DigitalGlobe, Inc.* | 76 | 2,679 | ||||||
Viavi Solutions, Inc.* | 283 | 2,677 | ||||||
Cogent Communications Holdings, Inc. | 51 | 2,494 | ||||||
Etsy, Inc.* | 143 | 2,414 | ||||||
Cars.com, Inc.*,1 | 89 | 2,368 | ||||||
Groupon, Inc. — Class A* | 421 | 2,189 | ||||||
Straight Path Communications, Inc. — Class B* | 12 | 2,168 | ||||||
Shenandoah Telecommunications Co. | 58 | 2,158 | ||||||
Shutterfly, Inc.* | 42 | 2,036 | ||||||
Vonage Holdings Corp.* | 247 | 2,011 | ||||||
NETGEAR, Inc.* | 40 | 1,904 | ||||||
Gigamon, Inc.* | 45 | 1,897 | ||||||
Plantronics, Inc. | 41 | 1,813 | ||||||
Trade Desk, Inc. — Class A* | 29 | 1,784 | ||||||
Imperva, Inc.* | 41 | 1,779 | ||||||
Oclaro, Inc.*,1 | 204 | 1,761 | ||||||
Chegg, Inc.* | 116 | 1,721 | ||||||
Time, Inc. | 123 | 1,661 | ||||||
Extreme Networks, Inc.* | 135 | 1,605 | ||||||
MSG Networks, Inc. — Class A* | 75 | 1,590 | ||||||
Q2 Holdings, Inc.* | 38 | 1,583 | ||||||
Infinera Corp.* | 178 | 1,579 | ||||||
ePlus, Inc.* | 17 | 1,572 | ||||||
Ubiquiti Networks, Inc.*,1 | 28 | 1,569 | ||||||
Consolidated Communications Holdings, Inc. | 81 | 1,545 | ||||||
Houghton Mifflin Harcourt Co.* | 128 | 1,542 | ||||||
8x8, Inc.* | 110 | 1,485 | ||||||
ADTRAN, Inc. | 60 | 1,440 | ||||||
Quotient Technology, Inc.* | 91 | 1,424 | ||||||
EW Scripps Co. — Class A* | 71 | 1,357 | ||||||
NIC, Inc. | 79 | 1,355 | ||||||
General Communication, Inc. — Class A* | 33 | 1,346 | ||||||
TrueCar, Inc.* | 85 | 1,342 | ||||||
Scholastic Corp. | 35 | 1,302 | ||||||
Blucora, Inc.* | 51 | 1,290 | ||||||
Gannett Company, Inc. | 142 | 1,278 | ||||||
Gray Television, Inc.* | 80 | 1,256 | ||||||
West Corp. | 53 | 1,244 | ||||||
GTT Communications, Inc.* | 38 | 1,203 | ||||||
Web.com Group, Inc.* | 47 | 1,175 | ||||||
Frontier Communications Corp.1 | 97 | 1,144 | ||||||
World Wrestling Entertainment, Inc. — Class A | 48 | 1,130 | ||||||
Acacia Communications, Inc.*,1 | 23 | 1,083 | ||||||
Iridium Communications, Inc.*,1 | 104 | 1,071 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 42 | 1,061 | ||||||
Cincinnati Bell, Inc.* | 51 | 1,012 | ||||||
CalAmp Corp.* | 43 | 1,000 | ||||||
Boingo Wireless, Inc.* | 45 | 962 | ||||||
New Media Investment Group, Inc. | 63 | 932 | ||||||
Globalstar, Inc.* | 549 | 895 | ||||||
ORBCOMM, Inc.* | 81 | 848 | ||||||
Perficient, Inc.* | 43 | 846 | ||||||
Gogo, Inc.*,1 | 71 | 839 | ||||||
Bankrate, Inc.* | 58 | 809 | ||||||
Loral Space & Communications, Inc.* | 16 | 792 | ||||||
Shutterstock, Inc.* | 23 | 766 | ||||||
MDC Partners, Inc. — Class A* | 68 | 748 | ||||||
HealthStream, Inc.* | 32 | 748 | ||||||
Tucows, Inc. — Class A* | 12 | 703 | ||||||
ATN International, Inc. | 13 | 685 | ||||||
Overstock.com, Inc.* | 21 | 624 | ||||||
Angie’s List, Inc.* | 50 | 623 | ||||||
Endurance International Group Holdings, Inc.* | 72 | 590 | ||||||
XO Group, Inc.* | 30 | 590 | ||||||
Comtech Telecommunications Corp. | 28 | 575 | ||||||
Lumos Networks Corp.* | 27 | 484 | ||||||
Entravision Communications Corp. — Class A | 82 | 467 | ||||||
Rapid7, Inc.* | 26 | 458 | ||||||
A10 Networks, Inc.* | 60 | 454 | ||||||
Sonus Networks, Inc.* | 59 | 451 | ||||||
VASCO Data Security International, Inc.* | 37 | 446 | ||||||
Quantenna Communications, Inc.* | 26 | 437 | ||||||
Internap Corp.* | 99 | 431 | ||||||
Windstream Holdings, Inc. | 235 | 416 | ||||||
Central European Media Enterprises Ltd. — Class A* | 102 | 413 | ||||||
Okta, Inc.*,1 | 14 | 395 | ||||||
WideOpenWest, Inc.* | 26 | 392 | ||||||
Entercom Communications Corp. — Class A1 | 34 | 389 | ||||||
Spok Holdings, Inc. | 25 | 384 |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Limelight Networks, Inc.* | 93 | $ | 369 | |||||
tronc, Inc.* | 25 | 363 | ||||||
ChannelAdvisor Corp.* | 31 | 357 | ||||||
QuinStreet, Inc.* | 45 | 331 | ||||||
Zix Corp.* | 67 | 328 | ||||||
1-800-Flowers.com, Inc. — Class A* | 32 | 315 | ||||||
Liberty Media Corporation-Liberty Braves — Class A* | 12 | 304 | ||||||
Harmonic, Inc.* | 98 | 299 | ||||||
Meet Group, Inc.* | 82 | 298 | ||||||
IDT Corp. — Class B | 21 | 296 | ||||||
RigNet, Inc.* | 17 | 292 | ||||||
TechTarget, Inc.* | 24 | 287 | ||||||
Carvana Co.* | 19 | 279 | ||||||
FTD Companies, Inc.* | 21 | 274 | ||||||
Preformed Line Products Co. | 4 | 269 | ||||||
Calix, Inc.* | 53 | 268 | ||||||
HC2 Holdings, Inc.* | 50 | 264 | ||||||
VirnetX Holding Corp.* | 63 | 246 | ||||||
Telenav, Inc.* | 38 | 241 | ||||||
KVH Industries, Inc.* | 20 | 239 | ||||||
Hawaiian Telcom Holdco, Inc.* | 8 | 239 | ||||||
Saga Communications, Inc. — Class A | 5 | 228 | ||||||
Hemisphere Media Group, Inc.* | 19 | 227 | ||||||
NeoPhotonics Corp.* | 40 | 222 | ||||||
Ooma, Inc.* | 21 | 222 | ||||||
Daily Journal Corp.* | 1 | 219 | ||||||
Global Eagle Entertainment, Inc.* | 63 | 215 | ||||||
Rubicon Project, Inc.* | 55 | 214 | ||||||
Intelsat S.A.* | 45 | 212 | ||||||
Lands’ End, Inc.* | 16 | 211 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 44 | 205 | ||||||
Yext, Inc.* | 15 | 199 | ||||||
Reis, Inc. | 11 | 198 | ||||||
Clearfield, Inc.* | 14 | 190 | ||||||
Liquidity Services, Inc.* | 32 | 189 | ||||||
Aerohive Networks, Inc.* | 39 | 160 | ||||||
Corindus Vascular Robotics, Inc.* | 104 | 158 | ||||||
DHI Group, Inc.* | 60 | 156 | ||||||
RealNetworks, Inc.* | 30 | 144 | ||||||
Townsquare Media, Inc. — Class A* | 11 | 110 | ||||||
Leaf Group Ltd.* | 15 | 104 | ||||||
Salem Media Group, Inc. — Class A | 14 | 92 | ||||||
Ominto, Inc.* | 17 | 77 | ||||||
Beasley Broadcast Group, Inc. — Class A | 6 | 70 | ||||||
Value Line, Inc. | 1 | 18 | ||||||
Total Communications | 160,181 | |||||||
Energy - 0.9% | ||||||||
PDC Energy, Inc.* | 82 | 4,021 | ||||||
Matador Resources Co.* | 111 | 3,015 | ||||||
Callon Petroleum Co.* | 248 | 2,788 | ||||||
Oasis Petroleum, Inc.* | 292 | 2,663 | ||||||
Delek US Holdings, Inc. | 96 | 2,566 | ||||||
McDermott International, Inc.* | 351 | 2,551 | ||||||
SRC Energy, Inc.* | 247 | 2,388 | ||||||
SemGroup Corp. — Class A | 82 | 2,358 | ||||||
Ensco plc — Class A1 | 377 | 2,251 | ||||||
Peabody Energy Corp.* | 76 | 2,205 | ||||||
Pattern Energy Group, Inc. | 87 | 2,096 | ||||||
Ultra Petroleum Corp.* | 241 | 2,089 | ||||||
Dril-Quip, Inc.* | 47 | 2,074 | ||||||
Superior Energy Services, Inc.* | 189 | 2,019 | ||||||
MRC Global, Inc.* | 111 | 1,941 | ||||||
Arch Coal, Inc. — Class A | 27 | 1,937 | ||||||
Rowan Companies plc — Class A* | 144 | 1,850 | ||||||
NOW, Inc.* | 133 | 1,837 | ||||||
C&J Energy Services, Inc.* | 57 | 1,708 | ||||||
Carrizo Oil & Gas, Inc.* | 95 | 1,627 | ||||||
Oil States International, Inc.* | 63 | 1,597 | ||||||
Noble Corporation plc* | 302 | 1,389 | ||||||
Forum Energy Technologies, Inc.* | 85 | 1,352 | ||||||
Unit Corp.* | 65 | 1,338 | ||||||
TerraForm Power, Inc. — Class A* | 99 | 1,309 | ||||||
Helix Energy Solutions Group, Inc.* | 173 | 1,278 | ||||||
Exterran Corp.* | 40 | 1,264 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 80 | 1,160 | ||||||
Archrock, Inc. | 87 | 1,092 | ||||||
Newpark Resources, Inc.* | 108 | 1,080 | ||||||
Halcon Resources Corp.* | 158 | 1,074 | ||||||
SEACOR Holdings, Inc.* | 21 | 968 | ||||||
Jagged Peak Energy, Inc.*,1 | 70 | 956 | ||||||
Green Plains, Inc. | 47 | 947 | ||||||
Atwood Oceanics, Inc.*,1 | 95 | 892 | ||||||
SandRidge Energy, Inc.* | 43 | 864 | ||||||
Par Pacific Holdings, Inc.* | 40 | 832 | ||||||
Bonanza Creek Energy, Inc.* | 25 | 825 | ||||||
Ring Energy, Inc.* | 56 | 811 | ||||||
Resolute Energy Corp.* | 27 | 802 | ||||||
Tellurian, Inc.* | 68 | 726 | ||||||
Plug Power, Inc.*,1 | 277 | 723 | ||||||
SunCoke Energy, Inc.* | 79 | 722 | ||||||
Penn Virginia Corp.* | 18 | 720 | ||||||
Thermon Group Holdings, Inc.* | 40 | 720 | ||||||
Stone Energy Corp.* | 24 | 697 | ||||||
Denbury Resources, Inc.* | 492 | 659 | ||||||
REX American Resources Corp.* | 7 | 657 | ||||||
Keane Group, Inc.* | 39 | 651 | ||||||
Renewable Energy Group, Inc.* | 48 | 583 | ||||||
Sunrun, Inc.* | 105 | 583 | ||||||
California Resources Corp.* | 53 | 554 | ||||||
TerraForm Global, Inc. — Class A* | 111 | 527 | ||||||
Warrior Met Coal, Inc. | 21 | 495 | ||||||
CVR Energy, Inc.1 | 19 | 492 | ||||||
FutureFuel Corp. | 31 | 488 | ||||||
Matrix Service Co.* | 32 | 486 | ||||||
Frank’s International N.V. | 61 | 471 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 19 | 452 | ||||||
ProPetro Holding Corp.* | 31 | 445 | ||||||
NACCO Industries, Inc. — Class A | 5 | 429 | ||||||
Natural Gas Services Group, Inc.* | 15 | 426 | ||||||
Basic Energy Services, Inc.*,1 | 22 | 425 | ||||||
Sanchez Energy Corp.* | 88 | 424 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Clean Energy Fuels Corp.* | 168 | $ | 417 | |||||
TETRA Technologies, Inc.* | 141 | 403 | ||||||
Bill Barrett Corp.* | 94 | 403 | ||||||
Bristow Group, Inc.1 | 40 | 374 | ||||||
Energy XXI Gulf Coast, Inc.* | 36 | 372 | ||||||
Abraxas Petroleum Corp.* | 188 | 353 | ||||||
W&T Offshore, Inc.*,1 | 115 | 351 | ||||||
NCS Multistage Holdings, Inc.* | 14 | 337 | ||||||
Cloud Peak Energy, Inc.* | 91 | 333 | ||||||
WildHorse Resource Development Corp.*,1 | 25 | 333 | ||||||
Trecora Resources* | 24 | 319 | ||||||
Flotek Industries, Inc.* | 68 | 316 | ||||||
Tesco Corp.* | 58 | 316 | ||||||
TPI Composites, Inc.* | 13 | 290 | ||||||
Geospace Technologies Corp.* | 16 | 285 | ||||||
Pacific Ethanol, Inc.* | 51 | 283 | ||||||
Eclipse Resources Corp.* | 108 | 270 | ||||||
Era Group, Inc.* | 24 | 269 | ||||||
CARBO Ceramics, Inc.* | 28 | 242 | ||||||
Pioneer Energy Services Corp.* | 94 | 240 | ||||||
Lilis Energy, Inc.* | 53 | 237 | ||||||
Isramco, Inc.* | 2 | 232 | ||||||
Evolution Petroleum Corp. | 31 | 223 | ||||||
SilverBow Resources, Inc.* | 9 | 221 | ||||||
Midstates Petroleum Company, Inc.* | 14 | 218 | ||||||
Gulf Island Fabrication, Inc. | 17 | 216 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 12 | 209 | ||||||
Gastar Exploration, Inc.* | 217 | 191 | ||||||
Parker Drilling Co.* | 167 | 184 | ||||||
Willbros Group, Inc.* | 54 | 174 | ||||||
Key Energy Services, Inc.*,1 | 13 | 171 | ||||||
Mammoth Energy Services, Inc.* | 10 | 169 | ||||||
PHI, Inc.* | 14 | 165 | ||||||
Independence Contract Drilling, Inc.* | 42 | 160 | ||||||
EP Energy Corp. — Class A* | 47 | 153 | ||||||
Contango Oil & Gas Co.* | 30 | 151 | ||||||
Approach Resources, Inc.*,1 | 53 | 133 | ||||||
Earthstone Energy, Inc. — Class A* | 12 | 132 | ||||||
Adams Resources & Energy, Inc. | 3 | 125 | ||||||
Hallador Energy Co. | 20 | 114 | ||||||
Vivint Solar, Inc.* | 32 | 109 | ||||||
Jones Energy, Inc. — Class A* | 56 | 108 | ||||||
Select Energy Services, Inc. — Class A* | 5 | 80 | ||||||
Westmoreland Coal Co.* | 23 | 59 | ||||||
Ramaco Resources, Inc.* | 8 | 53 | ||||||
Rosehill Resources, Inc.* | 3 | 25 | ||||||
Cobalt International Energy, Inc.* | 1 | 1 | ||||||
EXCO Resources, Inc.* | 1 | 1 | ||||||
Total Energy | 91,889 | |||||||
Basic Materials - 0.8% | ||||||||
Sensient Technologies Corp. | 54 | 4,154 | ||||||
PolyOne Corp. | 100 | 4,003 | ||||||
HB Fuller Co. | 63 | 3,658 | ||||||
Ingevity Corp.* | 52 | 3,248 | ||||||
Allegheny Technologies, Inc.*,1 | 135 | 3,227 | ||||||
Balchem Corp. | 39 | 3,170 | ||||||
US Silica Holdings, Inc. | 101 | 3,137 | ||||||
Minerals Technologies, Inc. | 43 | 3,038 | ||||||
Compass Minerals International, Inc.1 | 43 | 2,790 | ||||||
Carpenter Technology Corp. | 58 | 2,786 | ||||||
Commercial Metals Co. | 143 | 2,721 | ||||||
GCP Applied Technologies, Inc.* | 88 | 2,702 | ||||||
Cleveland-Cliffs, Inc.* | 369 | 2,638 | ||||||
Hecla Mining Co. | 487 | 2,445 | ||||||
Quaker Chemical Corp. | 16 | 2,367 | ||||||
Ferro Corp.* | 104 | 2,319 | ||||||
AK Steel Holding Corp.* | 391 | 2,186 | ||||||
Kaiser Aluminum Corp. | 21 | 2,166 | ||||||
Coeur Mining, Inc.* | 224 | 2,059 | ||||||
Stepan Co. | 24 | 2,008 | ||||||
Innospec, Inc. | 29 | 1,788 | ||||||
Neenah Paper, Inc. | 20 | 1,711 | ||||||
Tronox Ltd. — Class A | 81 | 1,709 | ||||||
Schweitzer-Mauduit International, Inc. | 37 | 1,534 | ||||||
Kraton Corp.* | 37 | 1,496 | ||||||
AdvanSix, Inc.* | 37 | 1,471 | ||||||
Calgon Carbon Corp. | 63 | 1,348 | ||||||
Deltic Timber Corp. | 14 | 1,238 | ||||||
A. Schulman, Inc. | 36 | 1,229 | ||||||
Koppers Holdings, Inc.* | 26 | 1,200 | ||||||
Innophos Holdings, Inc. | 24 | 1,181 | ||||||
Materion Corp. | 25 | 1,079 | ||||||
PH Glatfelter Co. | 53 | 1,031 | ||||||
Century Aluminum Co.* | 62 | 1,028 | ||||||
Clearwater Paper Corp.* | 20 | 985 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 192 | 918 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 32 | 901 | ||||||
American Vanguard Corp. | 36 | 824 | ||||||
CSW Industrials, Inc.* | 18 | 798 | ||||||
Klondex Mines Ltd.* | 217 | 790 | ||||||
Rayonier Advanced Materials, Inc. | 53 | 726 | ||||||
Kronos Worldwide, Inc. | 28 | 639 | ||||||
KMG Chemicals, Inc. | 11 | 604 | ||||||
OMNOVA Solutions, Inc.* | 54 | 591 | ||||||
Intrepid Potash, Inc.* | 116 | 506 | ||||||
Hawkins, Inc. | 12 | 490 | ||||||
Landec Corp.* | 33 | 427 | ||||||
Aceto Corp. | 36 | 404 | ||||||
Oil-Dri Corporation of America | 7 | 343 | ||||||
Codexis, Inc.* | 50 | 333 | ||||||
Gold Resource Corp. | 65 | 244 | ||||||
Uranium Energy Corp.* | 169 | 233 | ||||||
Ryerson Holding Corp.* | 20 | 217 | ||||||
Verso Corp. — Class A* | 41 | 209 | ||||||
AgroFresh Solutions, Inc.*,1 | 27 | 190 | ||||||
Smart Sand, Inc.* | 27 | 183 | ||||||
Orchids Paper Products Co.1 | 12 | 169 | ||||||
United States Lime & Minerals, Inc. | 2 | 168 | ||||||
Shiloh Industries, Inc.* | 11 | 114 | ||||||
Valhi, Inc. | 31 | 75 | ||||||
Total Basic Materials | 87,946 | |||||||
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Shares | Value | |||||||
Utilities - 0.8% | ||||||||
IDACORP, Inc. | 63 | $ | 5,541 | |||||
WGL Holdings, Inc. | 63 | 5,304 | ||||||
Portland General Electric Co. | 111 | 5,066 | ||||||
ALLETE, Inc. | 63 | 4,869 | ||||||
ONE Gas, Inc. | 65 | 4,786 | ||||||
Southwest Gas Holdings, Inc. | 59 | 4,580 | ||||||
Black Hills Corp. | 66 | 4,545 | ||||||
New Jersey Resources Corp. | 107 | 4,510 | ||||||
Spire, Inc. | 58 | 4,330 | ||||||
Avista Corp. | 79 | 4,090 | ||||||
PNM Resources, Inc. | 100 | 4,030 | ||||||
South Jersey Industries, Inc. | 99 | 3,418 | ||||||
NorthWestern Corp. | 60 | 3,416 | ||||||
Ormat Technologies, Inc. | 49 | 2,991 | ||||||
MGE Energy, Inc. | 44 | 2,842 | ||||||
El Paso Electric Co. | 50 | 2,763 | ||||||
Northwest Natural Gas Co. | 35 | 2,254 | ||||||
California Water Service Group | 59 | 2,252 | ||||||
American States Water Co. | 45 | 2,216 | ||||||
Otter Tail Corp. | 48 | 2,081 | ||||||
NRG Yield, Inc. — Class C | 79 | 1,525 | ||||||
Chesapeake Utilities Corp. | 19 | 1,487 | ||||||
Dynegy, Inc.* | 137 | 1,341 | ||||||
SJW Group1 | 21 | 1,189 | ||||||
Unitil Corp. | 17 | 841 | ||||||
NRG Yield, Inc. — Class A | 44 | 835 | ||||||
Connecticut Water Service, Inc. | 14 | 830 | ||||||
Middlesex Water Co. | 19 | 746 | ||||||
York Water Co. | 16 | 542 | ||||||
Artesian Resources Corp. — Class A | 10 | 378 | ||||||
Atlantic Power Corp.* | 142 | 348 | ||||||
Consolidated Water Company Ltd. | 18 | 230 | ||||||
RGC Resources, Inc. | 8 | 229 | ||||||
Spark Energy, Inc. — Class A | 14 | 210 | ||||||
Ameresco, Inc. — Class A* | 23 | 179 | ||||||
Global Water Resources, Inc. | 12 | 113 | ||||||
Genie Energy Ltd. — Class B | 17 | 111 | ||||||
Total Utilities | 87,018 | |||||||
Diversified - 0.0% | ||||||||
HRG Group, Inc.* | 146 | 2,279 | ||||||
Wins Finance Holdings, Inc.*,†† | 1 | 12 | ||||||
Total Diversified | 2,291 | |||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 37 | 1,089 | ||||||
Total Common Stocks | ||||||||
(Cost $2,087,630) | 2,528,914 | |||||||
WARRANTS†† - 0.0% | ||||||||
Imperial Holdings, Inc. $10.75, 10/06/19 | 4 | — | ||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc. | ||||||||
Expires 12/31/202 | 57 | — | ||||||
Tobira Therapeutics, Inc. | ||||||||
Expires 11/02/182 | 14 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/182 | 714 | — | ||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/192 | 85 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 33.1 | ||||||||
Guggenheim Strategy Fund II3 | 74,669 | 1,871,208 | ||||||
Guggenheim Strategy Fund I3 | 62,515 | 1,569,740 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,425,858) | 3,440,948 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,4 - 39.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/175 | $ | 2,061,573 | 2,061,573 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/175 | 1,030,787 | 1,030,787 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/175 | 582,927 | 582,927 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 404,633 | 404,633 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 42,437 | 42,437 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,122,357) | 4,122,357 | |||||||
SECURITIES LENDING COLLATERAL†,6 - 0.8% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%7 | 80,822 | 80,822 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $80,822) | 80,822 | |||||||
Total Investments - 97.9% | ||||||||
(Cost $9,716,667) | $ | 10,173,041 | ||||||
Other Assets & Liabilities, net - 2.1% | 220,412 | |||||||
Total Net Assets - 100.0% | $ | 10,393,453 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
Goldman Sachs International | Russell 2000 Index | 1.05 | % | At Maturity | 10/27/17 | 2,621 | $ | 3,907,890 | $ | 77,752 | ||||||||
BNP Paribas | Russell 2000 Index | 1.24 | % | At Maturity | 10/30/17 | 3,449 | 5,142,271 | 23,067 | ||||||||||
Barclays Bank plc | Russell 2000 Index | 1.20 | % | At Maturity | 10/31/17 | 2,687 | 4,006,261 | 5,656 | ||||||||||
$ | 13,056,422 | $ | 106,475 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Affiliated issuer. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Common Stocks | $ | 2,528,902 | $ | 12 | $ | — | $ | — | $ | 2,528,914 | ||||||||||
Equity Index Swap Agreements | — | — | 106,475 | — | 106,475 | |||||||||||||||
Mutual Funds | 3,440,948 | — | — | — | 3,440,948 | |||||||||||||||
Repurchase Agreements | — | 4,122,357 | — | — | 4,122,357 | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Securities Lending Collateral | 80,822 | — | — | — | 80,822 | |||||||||||||||
Warrants | — | — | ** | — | — | — | ||||||||||||||
Total Assets | $ | 6,050,672 | $ | 4,122,369 | $ | 106,475 | $ | — | $ | 10,279,516 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
** | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, Russell 2000® 1.5x Strategy Fund had a security with the total value of $12 transfer out of Level 1 into Level 2 due to changes in security’s valuation methods using observable market inputs. There were no other transfers between levels.
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 3,064,195 | $ | — | $ | (1,500,000 | ) | $ | 4,785 | $ | 760 | $ | 1,569,740 | 62,515 | $ | 24,543 | ||||||||||||||||
Guggenheim Strategy Fund II | 3,364,931 | — | (1,500,000 | ) | 4,794 | 1,483 | 1,871,208 | 74,669 | 34,426 | |||||||||||||||||||||||
$ | 6,429,126 | $ | — | $ | (3,000,000 | ) | $ | 9,579 | $ | 2,243 | $ | 3,440,948 | $ | 58,969 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $78,627 of securities loaned (cost $2,168,452) | $ | 2,609,736 | ||
Investments in affiliated issuers, at value (cost $3,425,858) | 3,440,948 | |||
Repurchase agreements, at value (cost $4,122,357) | 4,122,357 | |||
Cash | 557 | |||
Segregated cash with broker | 240,000 | |||
Unrealized appreciation on swap agreements | 106,475 | |||
Receivables: | ||||
Dividends | 8,264 | |||
Fund shares sold | 1,300 | |||
Interest | 229 | |||
Securities lending income | 157 | |||
Total assets | 10,530,023 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 80,821 | |||
Fund shares redeemed | 40,110 | |||
Management fees | 7,052 | |||
Distribution and service fees | 2,810 | |||
Transfer agent and administrative fees | 1,959 | |||
Portfolio accounting fees | 784 | |||
Miscellaneous | 3,034 | |||
Total liabilities | 136,570 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 10,393,453 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,809,062 | ||
Accumulated net investment loss | (50,591 | ) | ||
Accumulated net realized loss on investments | (927,867 | ) | ||
Net unrealized appreciation on investments | 562,849 | |||
Net assets | $ | 10,393,453 | ||
A-Class: | ||||
Net assets | $ | 1,391,219 | ||
Capital shares outstanding | 22,275 | |||
Net asset value per share | $ | 62.46 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 65.57 | ||
C-Class: | ||||
Net assets | $ | 1,469,750 | ||
Capital shares outstanding | 27,421 | |||
Net asset value per share | $ | 53.60 | ||
H-Class: | ||||
Net assets | $ | 7,532,484 | ||
Capital shares outstanding | 120,896 | |||
Net asset value per share | $ | 62.31 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $10) | $ | 12,930 | ||
Dividends from securities of affiliated issuers | 58,969 | |||
Interest | 12,766 | |||
Income from securities lending, net | 927 | |||
Total investment income | 85,592 | |||
Expenses: | ||||
Management fees | 51,639 | |||
Distribution and service fees: | ||||
A-Class | 1,488 | |||
C-Class | 7,135 | |||
H-Class | 11,073 | |||
Transfer agent and administrative fees | 14,344 | |||
Registration fees | 8,043 | |||
Portfolio accounting fees | 5,738 | |||
Trustees’ fees* | 1,105 | |||
Custodian fees | 845 | |||
Line of credit fees | 10 | |||
Miscellaneous | 3,818 | |||
Total expenses | 105,238 | |||
Net investment loss | (19,646 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 28,049 | |||
Investments in affiliated issuers | 9,579 | |||
Swap agreements | 1,826,980 | |||
Futures contracts | 247,848 | |||
Net realized gain | 2,112,456 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 161,905 | |||
Investments in affiliated issuers | 2,243 | |||
Swap agreements | (93,719 | ) | ||
Futures contracts | (41,565 | ) | ||
Net change in unrealized appreciation (depreciation) | 28,864 | |||
Net realized and unrealized gain | 2,141,320 | |||
Net increase in net assets resulting from operations | $ | 2,121,674 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (19,646 | ) | $ | (250,197 | ) | ||
Net realized gain (loss) on investments | 2,112,456 | (1,534,818 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 28,864 | (242,307 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,121,674 | (2,027,322 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | — | (89,296 | ) | |||||
C-Class | — | (161,707 | ) | |||||
H-Class | — | (799,962 | ) | |||||
Total distributions to shareholders | — | (1,050,965 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 312,925 | 1,237,997 | ||||||
C-Class | 511 | 155,476 | ||||||
H-Class | 103,302,304 | 656,240,773 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 83,282 | ||||||
C-Class | — | 159,867 | ||||||
H-Class | — | 795,517 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (235,166 | ) | (832,386 | ) | ||||
C-Class | (174,975 | ) | (442,235 | ) | ||||
H-Class | (106,046,562 | ) | (653,076,024 | ) | ||||
Net increase (decrease) from capital share transactions | (2,840,963 | ) | 4,322,267 | |||||
Net increase (decrease) in net assets | (719,289 | ) | 1,243,980 | |||||
Net assets: | ||||||||
Beginning of period | 11,112,742 | 9,868,762 | ||||||
End of period | $ | 10,393,453 | $ | 11,112,742 | ||||
Accumulated net investment loss at end of period | $ | (50,591 | ) | $ | (30,945 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 5,432 | 24,980 | ||||||
C-Class | 10 | 3,593 | ||||||
H-Class | 1,887,911 | 12,853,203 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 1,620 | ||||||
C-Class | — | 3,600 | ||||||
H-Class | — | 15,495 | ||||||
Shares redeemed | ||||||||
A-Class | (4,086 | ) | (16,769 | ) | ||||
C-Class | (3,554 | ) | (9,755 | ) | ||||
H-Class | (1,918,241 | ) | (12,897,361 | ) | ||||
Net decrease in shares | (32,528 | ) | (21,394 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
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.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.99 | $ | 44.78 | $ | 58.05 | $ | 53.23 | $ | 39.32 | $ | 32.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.32 | ) | (.43 | ) | (.39 | ) | (.37 | ) | (.16 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.51 | 16.87 | (9.03 | ) | 5.41 | 14.28 | 7.28 | |||||||||||||||||
Total from investment operations | 6.47 | 16.55 | (9.46 | ) | 5.02 | 13.91 | 7.12 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 62.46 | $ | 55.99 | $ | 44.78 | $ | 58.05 | $ | 53.23 | $ | 39.32 | ||||||||||||
Total Returnc | 11.56 | % | 38.01 | % | (16.75 | %) | 9.48 | % | 35.38 | % | 22.11 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,391 | $ | 1,172 | $ | 497 | $ | 627 | $ | 614 | $ | 392 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.16 | %) | (0.62 | %) | (0.85 | %) | (0.74 | %) | (0.78 | %) | (0.51 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.73 | % | 1.70 | % | 1.70 | % | 1.72 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 1,315 | % | 971 | % | 830 | % | 472 | % | 527 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 48.24 | $ | 39.44 | $ | 52.01 | $ | 48.08 | $ | 35.78 | $ | 29.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (.63 | ) | (.73 | ) | (.70 | ) | (.65 | ) | (.34 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.58 | 14.77 | (8.03 | ) | 4.83 | 12.95 | 6.60 | |||||||||||||||||
Total from investment operations | 5.36 | 14.14 | (8.76 | ) | 4.13 | 12.30 | 6.26 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 53.60 | $ | 48.24 | $ | 39.44 | $ | 52.01 | $ | 48.08 | $ | 35.78 | ||||||||||||
Total Returnc | 11.13 | % | 36.98 | % | (17.36 | %) | 8.64 | % | 34.38 | % | 21.21 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,470 | $ | 1,494 | $ | 1,322 | $ | 1,800 | $ | 1,864 | $ | 1,685 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.91 | %) | (1.41 | %) | (1.62 | %) | (1.49 | %) | (1.55 | %) | (1.15 | %) | ||||||||||||
Total expensesd | 2.49 | % | 2.47 | % | 2.45 | % | 2.45 | % | 2.47 | % | 2.46 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 1,315 | % | 971 | % | 830 | % | 472 | % | 527 | % |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.86 | $ | 44.75 | $ | 57.94 | $ | 53.13 | $ | 39.24 | $ | 32.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.51 | ) | (.51 | ) | (.40 | ) | (.37 | ) | (.08 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.53 | 16.96 | (8.87 | ) | 5.41 | 14.26 | 7.19 | |||||||||||||||||
Total from investment operations | 6.45 | 16.45 | (9.38 | ) | 5.01 | 13.89 | 7.11 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Total distributions | — | (5.34 | ) | (3.81 | ) | (.20 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 62.31 | $ | 55.86 | $ | 44.75 | $ | 57.94 | $ | 53.13 | $ | 39.24 | ||||||||||||
Total Returnc | 11.53 | % | 37.80 | % | (16.63 | %) | 9.48 | % | 35.40 | % | 22.13 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,532 | $ | 8,447 | $ | 8,049 | $ | 18,596 | $ | 19,056 | $ | 44,955 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.28 | %) | (0.98 | %) | (1.01 | %) | (0.76 | %) | (0.81 | %) | (0.25 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.73 | % | 1.70 | % | 1.70 | % | 1.72 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 1,315 | % | 971 | % | 830 | % | 472 | % | 527 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
RUSSELL 2000® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_108.jpg)
“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) | |
Kite Pharma, Inc. | 0.3% |
Bluebird Bio, Inc. | 0.2% |
Exact Sciences Corp. | 0.2% |
Knight-Swift Transportation Holdings, Inc. | 0.2% |
MKS Instruments, Inc. | 0.2% |
Catalent, Inc. | 0.2% |
Aspen Technology, Inc. | 0.2% |
Starwood Waypoint Homes | 0.2% |
MGIC Investment Corp. | 0.2% |
Curtiss-Wright Corp. | 0.2% |
Top Ten Total | 2.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 7.48% | 18.81% | 11.84% | 6.08% |
A-Class Shares with sales charge‡ | 2.38% | 13.16% | 10.76% | 5.57% |
C-Class Shares | 7.05% | 17.92% | 10.99% | 5.23% |
C-Class Shares with CDSC§ | 6.05% | 16.92% | 10.99% | 5.23% |
H-Class Shares | 7.47% | 18.84% | 11.81% | 6.06% |
Russell 2000 Index | 8.27% | 20.74% | 17.08% | 9.90% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
COMMON STOCKS† - 77.4% | ||||||||
Financial - 19.5% | ||||||||
Starwood Waypoint Homes REIT | 3,167 | $ | 115,183 | |||||
MGIC Investment Corp.* | 9,175 | 114,962 | ||||||
Gramercy Property Trust REIT | 3,749 | 113,407 | ||||||
Wintrust Financial Corp. | 1,375 | 107,675 | ||||||
Umpqua Holdings Corp. | 5,489 | 107,089 | ||||||
Texas Capital Bancshares, Inc.* | 1,235 | 105,962 | ||||||
IBERIABANK Corp. | 1,253 | 102,933 | ||||||
Hancock Holding Co. | 2,089 | 101,211 | ||||||
Radian Group, Inc. | 5,369 | 100,346 | ||||||
Home BancShares, Inc. | 3,902 | 98,409 | ||||||
Healthcare Realty Trust, Inc. REIT | 3,040 | 98,314 | ||||||
CNO Financial Group, Inc. | 4,184 | 97,654 | ||||||
Cousins Properties, Inc. REIT | 10,360 | 96,762 | ||||||
RLJ Lodging Trust REIT | 4,204 | 92,494 | ||||||
United Bankshares, Inc. | 2,479 | 92,094 | ||||||
Primerica, Inc. | 1,129 | 92,069 | ||||||
Chemical Financial Corp. | 1,756 | 91,768 | ||||||
MB Financial, Inc. | 2,008 | 90,399 | ||||||
Sunstone Hotel Investors, Inc. REIT | 5,592 | 89,863 | ||||||
First Industrial Realty Trust, Inc. REIT | 2,948 | 88,705 | ||||||
Stifel Financial Corp. | 1,651 | 88,261 | ||||||
Investors Bancorp, Inc. | 6,425 | 87,636 | ||||||
Sabra Health Care REIT, Inc. | 3,941 | 86,466 | ||||||
UMB Financial Corp. | 1,122 | 83,577 | ||||||
LaSalle Hotel Properties REIT | 2,820 | 81,836 | ||||||
Essent Group Ltd.* | 2,016 | 81,647 | ||||||
GEO Group, Inc. REIT | 3,033 | 81,588 | ||||||
Sterling Bancorp | 3,266 | 80,506 | ||||||
Fulton Financial Corp. | 4,249 | 79,668 | ||||||
Physicians Realty Trust REIT | 4,461 | 79,094 | ||||||
Evercore, Inc. — Class A | 969 | 77,761 | ||||||
Valley National Bancorp | 6,400 | 77,119 | ||||||
Selective Insurance Group, Inc. | 1,426 | 76,789 | ||||||
National Health Investors, Inc. REIT | 984 | 76,053 | ||||||
Cathay General Bancorp | 1,888 | 75,897 | ||||||
Washington Federal, Inc. | 2,191 | 73,727 | ||||||
EastGroup Properties, Inc. REIT | 833 | 73,404 | ||||||
Glacier Bancorp, Inc. | 1,939 | 73,216 | ||||||
First Financial Bankshares, Inc. | 1,572 | 71,053 | ||||||
Ellie Mae, Inc.* | 839 | 68,907 | ||||||
First Citizens BancShares, Inc. — Class A | 184 | 68,796 | ||||||
Ryman Hospitality Properties, Inc. REIT | 1,096 | 68,489 | ||||||
BancorpSouth, Inc. | 2,132 | 68,331 | ||||||
Community Bank System, Inc. | 1,216 | 67,184 | ||||||
Education Realty Trust, Inc. REIT | 1,822 | 65,464 | ||||||
PS Business Parks, Inc. REIT | 490 | 65,415 | ||||||
South State Corp. | 716 | 64,476 | ||||||
STAG Industrial, Inc. REIT | 2,301 | 63,208 | ||||||
Washington Real Estate Investment Trust REIT | 1,913 | 62,670 | ||||||
American Equity Investment Life Holding Co. | 2,144 | 62,347 | ||||||
QTS Realty Trust, Inc. — Class A REIT | 1,186 | 62,099 | ||||||
Enstar Group Ltd.* | 279 | 62,036 | ||||||
CVB Financial Corp. | 2,565 | 61,996 | ||||||
Pebblebrook Hotel Trust REIT1 | 1,706 | 61,655 | ||||||
Old National Bancorp | 3,329 | 60,921 | ||||||
Columbia Banking System, Inc. | 1,442 | 60,723 | ||||||
Great Western Bancorp, Inc. | 1,467 | 60,558 | ||||||
WageWorks, Inc.* | 985 | 59,790 | ||||||
Blackhawk Network Holdings, Inc.* | 1,355 | 59,349 | ||||||
First Midwest Bancorp, Inc. | 2,530 | 59,253 | ||||||
Acadia Realty Trust REIT | 2,055 | 58,814 | ||||||
Urban Edge Properties REIT | 2,420 | 58,370 | ||||||
Hope Bancorp, Inc. | 3,215 | 56,938 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 2,667 | 56,140 | ||||||
Trustmark Corp. | 1,672 | 55,377 | ||||||
Lexington Realty Trust REIT | 5,367 | 54,851 | ||||||
RLI Corp. | 955 | 54,779 | ||||||
International Bancshares Corp. | 1,357 | 54,416 | ||||||
DiamondRock Hospitality Co. REIT | 4,956 | 54,268 | ||||||
Alexander & Baldwin, Inc. | 1,157 | 53,603 | ||||||
Mack-Cali Realty Corp. REIT | 2,243 | 53,182 | ||||||
Eagle Bancorp, Inc.* | 781 | 52,366 | ||||||
Kemper Corp. | 982 | 52,046 | ||||||
Potlatch Corp. REIT | 1,002 | 51,102 | ||||||
Retail Opportunity Investments Corp. REIT | 2,683 | 51,004 | ||||||
Financial Engines, Inc. | 1,450 | 50,388 | ||||||
United Community Banks, Inc. | 1,753 | 50,031 | ||||||
Rexford Industrial Realty, Inc. REIT | 1,748 | 50,028 | ||||||
Banner Corp. | 816 | 50,004 | ||||||
Astoria Financial Corp. | 2,305 | 49,558 | ||||||
Independent Bank Corp. | 661 | 49,344 | ||||||
Bank of NT Butterfield & Son Ltd. | 1,333 | 48,841 | ||||||
LendingClub Corp.* | 7,879 | 47,983 | ||||||
Genworth Financial, Inc. — Class A* | 12,457 | 47,959 | ||||||
Invesco Mortgage Capital, Inc. REIT | 2,786 | 47,724 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 2,622 | 47,484 | ||||||
Hilltop Holdings, Inc. | 1,816 | 47,216 | ||||||
TowneBank | 1,401 | 46,934 | ||||||
Capitol Federal Financial, Inc. | 3,183 | 46,790 | ||||||
LegacyTexas Financial Group, Inc. | 1,171 | 46,746 | ||||||
Terreno Realty Corp. REIT | 1,272 | 46,021 | ||||||
Renasant Corp. | 1,070 | 45,903 | ||||||
LTC Properties, Inc. REIT | 975 | 45,806 | ||||||
Simmons First National Corp. — Class A | 769 | 44,525 | ||||||
ServisFirst Bancshares, Inc. | 1,146 | 44,522 | ||||||
Argo Group International Holdings Ltd. | 718 | 44,157 | ||||||
Government Properties Income Trust REIT | 2,343 | 43,978 | ||||||
First Merchants Corp. | 1,015 | 43,574 | ||||||
Ameris Bancorp | 900 | 43,200 | ||||||
WesBanco, Inc. | 1,043 | 42,784 | ||||||
BofI Holding, Inc.*,1 | 1,486 | 42,306 | ||||||
FCB Financial Holdings, Inc. — Class A* | 872 | 42,118 | ||||||
Kite Realty Group Trust REIT | 2,052 | 41,553 | ||||||
Summit Hotel Properties, Inc. REIT | 2,569 | 41,078 | ||||||
Provident Financial Services, Inc. | 1,528 | 40,752 | ||||||
Northwest Bancshares, Inc. | 2,345 | 40,498 | ||||||
Waddell & Reed Financial, Inc. — Class A | 2,013 | 40,401 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
First Financial Bancorp | 1,527 | $ | 39,931 | |||||
Horace Mann Educators Corp. | 1,013 | 39,862 | ||||||
American Assets Trust, Inc. REIT | 1,001 | 39,810 | ||||||
Chesapeake Lodging Trust REIT | 1,466 | 39,538 | ||||||
NBT Bancorp, Inc. | 1,057 | 38,813 | ||||||
Washington Prime Group, Inc. REIT | 4,621 | 38,493 | ||||||
Berkshire Hills Bancorp, Inc. | 990 | 38,363 | ||||||
Kennedy-Wilson Holdings, Inc. | 2,062 | 38,249 | ||||||
Four Corners Property Trust, Inc. REIT | 1,528 | 38,078 | ||||||
Union Bankshares Corp. | 1,069 | 37,736 | ||||||
Westamerica Bancorporation | 631 | 37,570 | ||||||
Select Income REIT | 1,569 | 36,746 | ||||||
Pacific Premier Bancorp, Inc.* | 971 | 36,655 | ||||||
WSFS Financial Corp. | 749 | 36,514 | ||||||
Global Net Lease, Inc. REIT | 1,659 | 36,316 | ||||||
Quality Care Properties, Inc. REIT* | 2,342 | 36,301 | ||||||
Walker & Dunlop, Inc.* | 688 | 36,003 | ||||||
HFF, Inc. — Class A | 910 | 36,000 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 1,103 | 35,958 | ||||||
Employers Holdings, Inc. | 788 | 35,815 | ||||||
CenterState Bank Corp. | 1,336 | 35,805 | ||||||
Park National Corp. | 331 | 35,745 | ||||||
CareTrust REIT, Inc. | 1,868 | 35,567 | ||||||
CBL & Associates Properties, Inc. REIT1 | 4,177 | 35,045 | ||||||
Boston Private Financial Holdings, Inc. | 2,066 | 34,192 | ||||||
First Commonwealth Financial Corp. | 2,397 | 33,870 | ||||||
S&T Bancorp, Inc. | 852 | 33,722 | ||||||
Agree Realty Corp. REIT | 687 | 33,718 | ||||||
Moelis & Co. — Class A | 774 | 33,321 | ||||||
PRA Group, Inc.* | 1,138 | 32,604 | ||||||
CYS Investments, Inc. REIT | 3,753 | 32,426 | ||||||
Kearny Financial Corp. | 2,104 | 32,296 | ||||||
Tompkins Financial Corp. | 363 | 31,269 | ||||||
Redwood Trust, Inc. REIT | 1,898 | 30,918 | ||||||
Heartland Financial USA, Inc. | 608 | 30,035 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 1,224 | 29,829 | ||||||
Navigators Group, Inc. | 510 | 29,759 | ||||||
Third Point Reinsurance Ltd.* | 1,902 | 29,671 | ||||||
Capital Bank Financial Corp. — Class A | 720 | 29,556 | ||||||
First Busey Corp. | 940 | 29,478 | ||||||
Lakeland Financial Corp. | 599 | 29,183 | ||||||
WisdomTree Investments, Inc.1 | 2,857 | 29,084 | ||||||
Brookline Bancorp, Inc. | 1,860 | 28,830 | ||||||
Seritage Growth Properties REIT1 | 622 | 28,656 | ||||||
Beneficial Bancorp, Inc. | 1,715 | 28,469 | ||||||
AmTrust Financial Services, Inc. | 2,113 | 28,441 | ||||||
PennyMac Mortgage Investment Trust REIT | 1,635 | 28,433 | ||||||
RE/MAX Holdings, Inc. — Class A | 441 | 28,026 | ||||||
OM Asset Management plc | 1,867 | 27,856 | ||||||
Monmouth Real Estate Investment Corp. REIT | 1,719 | 27,831 | ||||||
Safety Insurance Group, Inc. | 362 | 27,621 | ||||||
AMERISAFE, Inc. | 473 | 27,529 | ||||||
Franklin Street Properties Corp. REIT | 2,590 | 27,506 | ||||||
ARMOUR Residential REIT, Inc. | 1,016 | 27,330 | ||||||
City Holding Co. | 376 | 27,038 | ||||||
MBIA, Inc.* | 3,106 | 27,022 | ||||||
State Bank Financial Corp. | 929 | 26,616 | ||||||
National Storage Affiliates Trust REIT | 1,098 | 26,616 | ||||||
Encore Capital Group, Inc.* | 595 | 26,359 | ||||||
Independent Bank Group, Inc. | 437 | 26,351 | ||||||
Aircastle Ltd. | 1,179 | 26,280 | ||||||
FNFV Group* | 1,531 | 26,257 | ||||||
Ladder Capital Corp. — Class A REIT | 1,891 | 26,058 | ||||||
Ramco-Gershenson Properties Trust REIT | 1,948 | 25,343 | ||||||
Seacoast Banking Corporation of Florida* | 1,057 | 25,252 | ||||||
Infinity Property & Casualty Corp. | 267 | 25,151 | ||||||
Nelnet, Inc. — Class A | 494 | 24,947 | ||||||
Southside Bancshares, Inc. | 686 | 24,943 | ||||||
First Interstate BancSystem, Inc. — Class A | 645 | 24,671 | ||||||
First BanCorp* | 4,759 | 24,366 | ||||||
United Fire Group, Inc. | 531 | 24,330 | ||||||
Houlihan Lokey, Inc. | 620 | 24,261 | ||||||
Sandy Spring Bancorp, Inc. | 584 | 24,201 | ||||||
Hanmi Financial Corp. | 781 | 24,172 | ||||||
Parkway, Inc. REIT | 1,049 | 24,158 | ||||||
Central Pacific Financial Corp. | 738 | 23,749 | ||||||
Universal Health Realty Income Trust REIT | 314 | 23,704 | ||||||
Enterprise Financial Services Corp. | 558 | 23,631 | ||||||
BancFirst Corp. | 416 | 23,608 | ||||||
InfraREIT, Inc. | 1,052 | 23,533 | ||||||
National General Holdings Corp. | 1,216 | 23,238 | ||||||
James River Group Holdings Ltd. | 557 | 23,104 | ||||||
United Financial Bancorp, Inc. | 1,253 | 22,917 | ||||||
Tier REIT, Inc. | 1,182 | 22,813 | ||||||
Capstead Mortgage Corp. REIT | 2,363 | 22,803 | ||||||
Customers Bancorp, Inc.* | 698 | 22,769 | ||||||
Lakeland Bancorp, Inc. | 1,112 | 22,685 | ||||||
St. Joe Co.* | 1,193 | 22,488 | ||||||
Alexander’s, Inc. REIT | 53 | 22,477 | ||||||
Banc of California, Inc.1 | 1,077 | 22,348 | ||||||
Meridian Bancorp, Inc. | 1,186 | 22,119 | ||||||
MTGE Investment Corp. REIT | 1,134 | 22,000 | ||||||
National Bank Holdings Corp. — Class A | 616 | 21,985 | ||||||
MainSource Financial Group, Inc. | 612 | 21,946 | ||||||
Getty Realty Corp. REIT | 767 | 21,944 | ||||||
Heritage Financial Corp. | 729 | 21,506 | ||||||
OceanFirst Financial Corp. | 781 | 21,470 | ||||||
Washington Trust Bancorp, Inc. | 371 | 21,240 | ||||||
Piper Jaffray Cos. | 356 | 21,129 | ||||||
Cohen & Steers, Inc. | 529 | 20,890 | ||||||
First Bancorp1 | 606 | 20,852 | ||||||
TriCo Bancshares | 506 | 20,620 | ||||||
Univest Corporation of Pennsylvania | 643 | 20,576 | ||||||
Stock Yards Bancorp, Inc. | 541 | 20,558 | ||||||
Flushing Financial Corp. | 688 | 20,447 | ||||||
Chatham Lodging Trust REIT | 957 | 20,403 | ||||||
TrustCo Bank Corp. NY | 2,289 | 20,372 | ||||||
iStar, Inc. REIT* | 1,725 | 20,355 | ||||||
1st Source Corp. | 399 | 20,269 |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
German American Bancorp, Inc. | 525 | $ | 19,966 | |||||
Stewart Information Services Corp. | 522 | 19,711 | ||||||
National Western Life Group, Inc. — Class A | 56 | 19,544 | ||||||
Preferred Bank/Los Angeles CA | 322 | 19,433 | ||||||
Ambac Financial Group, Inc.* | 1,125 | 19,418 | ||||||
Virtus Investment Partners, Inc. | 166 | 19,264 | ||||||
Easterly Government Properties, Inc. REIT | 921 | 19,037 | ||||||
Flagstar Bancorp, Inc.* | 528 | 18,733 | ||||||
New Senior Investment Group, Inc. REIT | 2,034 | 18,611 | ||||||
CoBiz Financial, Inc. | 943 | 18,521 | ||||||
Northfield Bancorp, Inc. | 1,066 | 18,495 | ||||||
ConnectOne Bancorp, Inc. | 748 | 18,401 | ||||||
FBL Financial Group, Inc. — Class A | 245 | 18,253 | ||||||
Investors Real Estate Trust REIT | 2,987 | 18,251 | ||||||
PHH Corp.* | 1,308 | 18,220 | ||||||
Bryn Mawr Bank Corp. | 415 | 18,177 | ||||||
Universal Insurance Holdings, Inc. | 785 | 18,055 | ||||||
Investment Technology Group, Inc. | 814 | 18,022 | ||||||
Hersha Hospitality Trust REIT | 961 | 17,942 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 1,696 | 17,791 | ||||||
Community Trust Bancorp, Inc. | 381 | 17,717 | ||||||
First of Long Island Corp. | 579 | 17,631 | ||||||
NMI Holdings, Inc. — Class A* | 1,412 | 17,509 | ||||||
Independence Realty Trust, Inc. REIT | 1,720 | 17,492 | ||||||
Meta Financial Group, Inc. | 222 | 17,405 | ||||||
NorthStar Realty Europe Corp. REIT | 1,349 | 17,281 | ||||||
PJT Partners, Inc. — Class A | 448 | 17,163 | ||||||
Cass Information Systems, Inc. | 270 | 17,129 | ||||||
Saul Centers, Inc. REIT | 276 | 17,087 | ||||||
New York Mortgage Trust, Inc. REIT | 2,761 | 16,980 | ||||||
Dime Community Bancshares, Inc. | 785 | 16,878 | ||||||
Diamond Hill Investment Group, Inc. | 79 | 16,776 | ||||||
Camden National Corp. | 379 | 16,540 | ||||||
Oritani Financial Corp. | 980 | 16,464 | ||||||
HomeStreet, Inc.* | 609 | 16,443 | ||||||
Guaranty Bancorp | 582 | 16,180 | ||||||
Greenlight Capital Re Ltd. — Class A* | 747 | 16,173 | ||||||
First Potomac Realty Trust REIT | 1,439 | 16,030 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 732 | 15,884 | ||||||
Park Sterling Corp. | 1,278 | 15,873 | ||||||
CU Bancorp* | 409 | 15,859 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 218 | 15,857 | ||||||
Bridge Bancorp, Inc. | 467 | 15,855 | ||||||
Kinsale Capital Group, Inc. | 358 | 15,455 | ||||||
Horizon Bancorp | 528 | 15,402 | ||||||
State National Companies, Inc. | 730 | 15,323 | ||||||
Armada Hoffler Properties, Inc. REIT | 1,108 | 15,301 | ||||||
Preferred Apartment Communities, Inc. — Class A REIT | 804 | 15,180 | ||||||
Gladstone Commercial Corp. REIT | 676 | 15,055 | ||||||
Great Southern Bancorp, Inc. | 269 | 14,970 | ||||||
Trupanion, Inc.*,1 | 556 | 14,684 | ||||||
Pacific Continental Corp. | 537 | 14,472 | ||||||
International. FCStone, Inc.* | 375 | 14,370 | ||||||
Peapack Gladstone Financial Corp. | 422 | 14,238 | ||||||
Maiden Holdings Ltd. | 1,776 | 14,119 | ||||||
Anworth Mortgage Asset Corp. REIT | 2,348 | 14,111 | ||||||
Triumph Bancorp, Inc.* | 434 | 13,997 | ||||||
Mercantile Bank Corp. | 399 | 13,925 | ||||||
Peoples Bancorp, Inc. | 407 | 13,671 | ||||||
Altisource Residential Corp. REIT | 1,229 | 13,654 | ||||||
QCR Holdings, Inc. | 300 | 13,650 | ||||||
Westwood Holdings Group, Inc. | 201 | 13,521 | ||||||
Nationstar Mortgage Holdings, Inc.* | 725 | 13,463 | ||||||
Forestar Group, Inc.* | 836 | 13,259 | ||||||
Live Oak Bancshares, Inc. | 563 | 13,202 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 682 | 13,122 | ||||||
First Foundation, Inc.* | 722 | 12,917 | ||||||
First Defiance Financial Corp. | 246 | 12,913 | ||||||
Carolina Financial Corp. | 357 | 12,809 | ||||||
Heritage Commerce Corp. | 897 | 12,764 | ||||||
Fidelity Southern Corp. | 539 | 12,742 | ||||||
Ashford Hospitality Trust, Inc. REIT | 1,905 | 12,706 | ||||||
TriState Capital Holdings, Inc.* | 553 | 12,664 | ||||||
Nicolet Bankshares, Inc.* | 219 | 12,599 | ||||||
Green Bancorp, Inc.* | 528 | 12,487 | ||||||
First Financial Corp. | 262 | 12,471 | ||||||
Waterstone Financial, Inc. | 633 | 12,344 | ||||||
Opus Bank* | 514 | 12,336 | ||||||
FB Financial Corp.* | 323 | 12,184 | ||||||
Midland States Bancorp, Inc. | 384 | 12,165 | ||||||
National Commerce Corp.* | 283 | 12,112 | ||||||
World Acceptance Corp.*,1 | 146 | 12,102 | ||||||
CatchMark Timber Trust, Inc. — Class A REIT | 959 | 12,093 | ||||||
Southwest Bancorp, Inc. | 438 | 12,067 | ||||||
Whitestone REIT — Class B REIT | 923 | 12,045 | ||||||
First Community Bancshares, Inc. | 411 | 11,964 | ||||||
Bar Harbor Bankshares | 373 | 11,697 | ||||||
United Community Financial Corp. | 1,213 | 11,645 | ||||||
UMH Properties, Inc. REIT | 748 | 11,631 | ||||||
Cedar Realty Trust, Inc. REIT | 2,047 | 11,504 | ||||||
Community Healthcare Trust, Inc. REIT | 426 | 11,485 | ||||||
Cowen, Inc. — Class A* | 642 | 11,428 | ||||||
Independent Bank Corp. | 503 | 11,393 | ||||||
Blue Hills Bancorp, Inc. | 590 | 11,328 | ||||||
Greenhill & Company, Inc. | 679 | 11,271 | ||||||
Republic First Bancorp, Inc.* | 1,207 | 11,165 | ||||||
Enova International, Inc.* | 819 | 11,016 | ||||||
Orchid Island Capital, Inc. REIT | 1,073 | 10,934 | ||||||
People’s Utah Bancorp | 335 | 10,871 | ||||||
Veritex Holdings, Inc.* | 401 | 10,811 | ||||||
Marcus & Millichap, Inc.* | 397 | 10,715 | ||||||
Bank Mutual Corp. | 1,051 | 10,668 | ||||||
Western Asset Mortgage Capital Corp. REIT | 1,012 | 10,596 | ||||||
HomeTrust Bancshares, Inc.* | 413 | 10,593 | ||||||
Access National Corp. | 368 | 10,547 | ||||||
Allegiance Bancshares, Inc.* | 284 | 10,451 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
CorEnergy Infrastructure Trust, Inc. REIT | 295 | $ | 10,428 | |||||
Franklin Financial Network, Inc.* | 292 | 10,410 | ||||||
State Auto Financial Corp. | 394 | 10,335 | ||||||
Financial Institutions, Inc. | 358 | 10,310 | ||||||
Bank of Marin Bancorp | 148 | 10,138 | ||||||
NexPoint Residential Trust, Inc. REIT | 426 | 10,109 | ||||||
City Office REIT, Inc. | 732 | 10,080 | ||||||
Arrow Financial Corp. | 293 | 10,075 | ||||||
Bancorp, Inc.* | 1,218 | 10,073 | ||||||
CNB Financial Corp. | 366 | 9,999 | ||||||
Virtu Financial, Inc. — Class A1 | 611 | 9,898 | ||||||
OFG Bancorp | 1,072 | 9,809 | ||||||
Old Second Bancorp, Inc. | 717 | 9,644 | ||||||
West Bancorporation, Inc. | 393 | 9,589 | ||||||
First Mid-Illinois Bancshares, Inc. | 249 | 9,562 | ||||||
Equity Bancshares, Inc. — Class A* | 264 | 9,393 | ||||||
Farmers National Banc Corp. | 624 | 9,391 | ||||||
Atlantic Capital Bancshares, Inc.* | 517 | 9,384 | ||||||
Hamilton Lane, Inc. — Class A | 349 | 9,371 | ||||||
First Connecticut Bancorp, Inc. | 349 | 9,336 | ||||||
MidWestOne Financial Group, Inc. | 276 | 9,318 | ||||||
Republic Bancorp, Inc. — Class A | 239 | 9,295 | ||||||
R1 RCM, Inc.* | 2,484 | 9,216 | ||||||
eHealth, Inc.* | 385 | 9,198 | ||||||
Southern National Bancorp of Virginia, Inc. | 531 | 9,022 | ||||||
Ocwen Financial Corp.* | 2,621 | 9,016 | ||||||
NewStar Financial, Inc. | 764 | 8,969 | ||||||
RMR Group, Inc. — Class A | 174 | 8,935 | ||||||
Ares Commercial Real Estate Corp. REIT | 664 | 8,838 | ||||||
WashingtonFirst Bankshares, Inc. | 248 | 8,826 | ||||||
Fidelity & Guaranty Life | 283 | 8,787 | ||||||
One Liberty Properties, Inc. REIT | 357 | 8,697 | ||||||
Global Indemnity Ltd* | 205 | 8,692 | ||||||
Heritage Insurance Holdings, Inc.1 | 644 | 8,507 | ||||||
Enterprise Bancorp, Inc. | 234 | 8,497 | ||||||
Citizens, Inc.* | 1,154 | 8,482 | ||||||
PCSB Financial Corp.* | 448 | 8,449 | ||||||
MedEquities Realty Trust, Inc. REIT | 710 | 8,343 | ||||||
American National Bankshares, Inc. | 202 | 8,322 | ||||||
United Insurance Holdings Corp. | 510 | 8,313 | ||||||
Dynex Capital, Inc. REIT | 1,143 | 8,310 | ||||||
Sierra Bancorp | 303 | 8,226 | ||||||
Clifton Bancorp, Inc. | 491 | 8,210 | ||||||
Peoples Financial Services Corp. | 170 | 8,126 | ||||||
Resource Capital Corp. REIT | 748 | 8,063 | ||||||
Farmers & Merchants Bancorp Incorporated/Archbold OH | 220 | 8,019 | ||||||
First Bancorp, Inc. | 253 | 7,668 | ||||||
Farmers Capital Bank Corp. | 182 | 7,653 | ||||||
HCI Group, Inc. | 199 | 7,612 | ||||||
National Bankshares, Inc. | 168 | 7,552 | ||||||
Western New England Bancorp, Inc. | 685 | 7,467 | ||||||
FRP Holdings, Inc.* | 162 | 7,331 | ||||||
Arlington Asset Investment Corp. — Class A | 573 | 7,294 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 2,518 | 7,252 | ||||||
Farmland Partners, Inc. REIT | 802 | 7,250 | ||||||
Altisource Portfolio Solutions S.A.* | 278 | 7,192 | ||||||
Citizens & Northern Corp. | 291 | 7,147 | ||||||
PennyMac Financial Services, Inc. — Class A* | 394 | 7,013 | ||||||
Summit Financial Group, Inc. | 269 | 6,903 | ||||||
Sutherland Asset Management Corp. REIT | 436 | 6,845 | ||||||
Jernigan Capital, Inc. REIT | 327 | 6,720 | ||||||
Safeguard Scientifics, Inc.* | 502 | 6,701 | ||||||
Redfin Corp.* | 266 | 6,674 | ||||||
Sun Bancorp, Inc. | 266 | 6,610 | ||||||
Macatawa Bank Corp. | 643 | 6,597 | ||||||
Capital City Bank Group, Inc. | 274 | 6,579 | ||||||
Investors Title Co. | 36 | 6,447 | ||||||
First Bancshares, Inc. | 210 | 6,332 | ||||||
Ames National Corp. | 212 | 6,328 | ||||||
Bluerock Residential Growth REIT, Inc. | 569 | 6,293 | ||||||
Marlin Business Services Corp. | 218 | 6,268 | ||||||
Ashford Hospitality Prime, Inc. REIT | 657 | 6,242 | ||||||
BSB Bancorp, Inc.* | 207 | 6,200 | ||||||
Codorus Valley Bancorp, Inc. | 201 | 6,173 | ||||||
Southern Missouri Bancorp, Inc. | 168 | 6,130 | ||||||
Regional Management Corp.* | 253 | 6,125 | ||||||
EMC Insurance Group, Inc. | 217 | 6,109 | ||||||
Hingham Institution for Savings | 32 | 6,089 | ||||||
Home Bancorp, Inc. | 145 | 6,064 | ||||||
HarborOne Bancorp, Inc.* | 322 | 6,057 | ||||||
Territorial Bancorp, Inc. | 191 | 6,030 | ||||||
Southern First Bancshares, Inc.* | 164 | 5,961 | ||||||
Old Line Bancshares, Inc. | 211 | 5,908 | ||||||
Paragon Commercial Corp.* | 104 | 5,872 | ||||||
Northrim BanCorp, Inc. | 168 | 5,872 | ||||||
MutualFirst Financial, Inc. | 152 | 5,844 | ||||||
Consolidated-Tomoka Land Co. | 97 | 5,827 | ||||||
Century Bancorp, Inc. — Class A | 72 | 5,767 | ||||||
GAIN Capital Holdings, Inc. | 896 | 5,725 | ||||||
On Deck Capital, Inc.* | 1,222 | 5,707 | ||||||
Charter Financial Corp. | 305 | 5,652 | ||||||
BankFinancial Corp. | 354 | 5,625 | ||||||
KKR Real Estate Finance Trust, Inc.1 | 264 | 5,555 | ||||||
Bankwell Financial Group, Inc. | 149 | 5,504 | ||||||
Civista Bancshares, Inc. | 246 | 5,496 | ||||||
Great Ajax Corp. REIT | 389 | 5,481 | ||||||
Central Valley Community Bancorp | 245 | 5,464 | ||||||
TPG RE Finance Trust, Inc. REIT | 275 | 5,437 | ||||||
Penns Woods Bancorp, Inc. | 114 | 5,298 | ||||||
Bear State Financial, Inc. | 514 | 5,274 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 291 | 5,267 | ||||||
Baldwin & Lyons, Inc. — Class B | 231 | 5,209 | ||||||
Shore Bancshares, Inc. | 310 | 5,162 | ||||||
Premier Financial Bancorp, Inc. | 233 | 5,077 | ||||||
Cadence BanCorp* | 216 | 4,951 | ||||||
First Internet Bancorp | 153 | 4,942 |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Atlas Financial Holdings, Inc.* | 261 | $ | 4,933 | |||||
Evans Bancorp, Inc. | 114 | 4,925 | ||||||
Community Bankers Trust Corp.* | 532 | 4,894 | ||||||
Investar Holding Corp. | 202 | 4,868 | ||||||
MBT Financial Corp. | 442 | 4,840 | ||||||
Timberland Bancorp, Inc. | 154 | 4,826 | ||||||
Safety Income and Growth, Inc. REIT | 257 | 4,790 | ||||||
Northeast Bancorp | 180 | 4,707 | ||||||
Granite Point Mortgage Trust, Inc. REIT | 250 | 4,683 | ||||||
Union Bankshares, Inc. | 96 | 4,646 | ||||||
First Business Financial Services, Inc. | 204 | 4,641 | ||||||
LCNB Corp. | 220 | 4,609 | ||||||
Orrstown Financial Services, Inc. | 184 | 4,582 | ||||||
Federated National Holding Co. | 293 | 4,574 | ||||||
NI Holdings, Inc.* | 255 | 4,565 | ||||||
Pzena Investment Management, Inc. — Class A | 419 | 4,563 | ||||||
Howard Bancorp, Inc.* | 218 | �� | 4,556 | |||||
WMIH Corp.* | 4,794 | 4,554 | ||||||
Owens Realty Mortgage, Inc. REIT | 248 | 4,516 | ||||||
C&F Financial Corp. | 81 | 4,455 | ||||||
Riverview Bancorp, Inc. | 530 | 4,452 | ||||||
FNB Bancorp | 131 | 4,444 | ||||||
Associated Capital Group, Inc. — Class A | 124 | 4,427 | ||||||
Stratus Properties, Inc. | 146 | 4,424 | ||||||
Bank of Commerce Holdings | 384 | 4,416 | ||||||
MidSouth Bancorp, Inc. | 361 | 4,350 | ||||||
Norwood Financial Corp. | 143 | 4,349 | ||||||
SmartFinancial, Inc.* | 177 | 4,259 | ||||||
First Northwest Bancorp* | 249 | 4,258 | ||||||
Malvern Bancorp, Inc.* | 159 | 4,253 | ||||||
Sunshine Bancorp, Inc.* | 183 | 4,253 | ||||||
Health Insurance Innovations, Inc. — Class A* | 292 | 4,234 | ||||||
Oppenheimer Holdings, Inc. — Class A | 243 | 4,216 | ||||||
Capstar Financial Holdings, Inc.* | 213 | 4,171 | ||||||
SI Financial Group, Inc. | 278 | 4,156 | ||||||
Xenith Bankshares, Inc.* | 127 | 4,128 | ||||||
ACNB Corp. | 148 | 4,100 | ||||||
Global Medical REIT, Inc. | 450 | 4,041 | ||||||
Commerce Union Bancshares, Inc. | 172 | 3,987 | ||||||
Clipper Realty, Inc. REIT | 370 | 3,963 | ||||||
Entegra Financial Corp.* | 156 | 3,892 | ||||||
Hallmark Financial Services, Inc.* | 335 | 3,889 | ||||||
Tiptree, Inc. — Class A | 619 | 3,869 | ||||||
Unity Bancorp, Inc. | 191 | 3,782 | ||||||
Independence Holding Co. | 149 | 3,762 | ||||||
Peoples Bancorp of North Carolina, Inc. | 105 | 3,740 | ||||||
Prudential Bancorp, Inc. | 201 | 3,725 | ||||||
Chemung Financial Corp. | 79 | 3,721 | ||||||
Ohio Valley Banc Corp. | 101 | 3,676 | ||||||
Kingstone Companies, Inc. | 225 | 3,668 | ||||||
Crawford & Co. — Class B | 296 | 3,540 | ||||||
Two River Bancorp | 178 | 3,528 | ||||||
Donegal Group, Inc. — Class A | 218 | 3,516 | ||||||
Pacific Mercantile Bancorp* | 383 | 3,504 | ||||||
First Financial Northwest, Inc. | 206 | 3,500 | ||||||
Byline Bancorp, Inc.* | 164 | 3,487 | ||||||
County Bancorp, Inc. | 116 | 3,486 | ||||||
Community Financial Corp. | 98 | 3,466 | ||||||
ESSA Bancorp, Inc. | 220 | 3,454 | ||||||
GAMCO Investors, Inc. — Class A | 113 | 3,363 | ||||||
BCB Bancorp, Inc. | 235 | 3,278 | ||||||
Ellington Residential Mortgage REIT | 224 | 3,252 | ||||||
Parke Bancorp, Inc. | 144 | 3,197 | ||||||
ASB Bancorp, Inc.* | 70 | 3,157 | ||||||
Trinity Place Holdings, Inc.* | 449 | 3,152 | ||||||
Impac Mortgage Holdings, Inc.* | 240 | 3,134 | ||||||
United Security Bancshares | 323 | 3,069 | ||||||
Middlefield Banc Corp. | 65 | 2,997 | ||||||
Provident Financial Holdings, Inc. | 149 | 2,920 | ||||||
Old Point Financial Corp. | 90 | 2,916 | ||||||
DNB Financial Corp. | 77 | 2,710 | ||||||
First Guaranty Bancshares, Inc. | 97 | 2,613 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 177 | 2,575 | ||||||
Provident Bancorp, Inc.* | 109 | 2,523 | ||||||
Blue Capital Reinsurance Holdings Ltd. | 146 | 2,402 | ||||||
Maui Land & Pineapple Company, Inc.* | 166 | 2,316 | ||||||
Greene County Bancorp, Inc. | 75 | 2,254 | ||||||
Elevate Credit, Inc.* | 357 | 2,181 | ||||||
RBB Bancorp* | 94 | 2,152 | ||||||
RAIT Financial Trust REIT | 2,275 | 1,661 | ||||||
Guaranty Bancshares, Inc. | 51 | 1,631 | ||||||
Transcontinental Realty Investors, Inc.* | 42 | 1,142 | ||||||
California First National Bancorp | 55 | 996 | ||||||
Oconee Federal Financial Corp. | 31 | 869 | ||||||
Medley Management, Inc. — Class A | 134 | 824 | ||||||
Fifth Street Asset Management, Inc. | 175 | 683 | ||||||
Griffin Industrial Realty, Inc. | 17 | 618 | ||||||
Total Financial | 12,854,698 | |||||||
Consumer, Non-cyclical - 16.8% | ||||||||
Kite Pharma, Inc.* | 1,211 | 217,751 | ||||||
Bluebird Bio, Inc.* | 1,132 | 155,481 | ||||||
Exact Sciences Corp.* | 2,913 | 137,262 | ||||||
Catalent, Inc.*,1 | 3,117 | 124,430 | ||||||
HealthSouth Corp. | 2,440 | 113,093 | ||||||
PAREXEL International Corp.* | 1,246 | 109,748 | ||||||
Grand Canyon Education, Inc.* | 1,162 | 105,533 | ||||||
Masimo Corp.* | 1,111 | 96,167 | ||||||
Brink’s Co. | 1,136 | 95,708 | ||||||
Healthcare Services Group, Inc.1 | 1,765 | 95,257 | ||||||
PRA Health Sciences, Inc.* | 1,211 | 92,241 | ||||||
Clovis Oncology, Inc.* | 1,088 | 89,650 | ||||||
FibroGen, Inc.* | 1,641 | 88,286 | ||||||
Nektar Therapeutics* | 3,671 | 88,103 | ||||||
Deluxe Corp. | 1,201 | 87,625 | ||||||
Puma Biotechnology, Inc.* | 712 | 85,262 | ||||||
Cantel Medical Corp. | 901 | 84,846 | ||||||
LivaNova plc* | 1,203 | 84,281 | ||||||
Snyder’s-Lance, Inc. | 2,132 | 81,313 | ||||||
Sanderson Farms, Inc. | 499 | 80,598 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Integra LifeSciences Holdings Corp.* | 1,576 | $ | 79,555 | |||||
Insulet Corp.* | 1,440 | 79,315 | ||||||
Chemed Corp. | 390 | 78,800 | ||||||
Molina Healthcare, Inc.* | 1,091 | 75,017 | ||||||
Portola Pharmaceuticals, Inc.* | 1,367 | 73,858 | ||||||
Darling Ingredients, Inc.* | 4,067 | 71,254 | ||||||
Neogen Corp.* | 919 | 71,185 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 1,353 | 70,762 | ||||||
Avis Budget Group, Inc.* | 1,856 | 70,639 | ||||||
NuVasive, Inc.* | 1,258 | 69,769 | ||||||
ICU Medical, Inc.* | 373 | 69,322 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 508 | 69,164 | ||||||
Aaron’s, Inc. | 1,570 | 68,499 | ||||||
On Assignment, Inc.* | 1,258 | 67,529 | ||||||
Blueprint Medicines Corp.* | 962 | 67,023 | ||||||
Wright Medical Group N.V.* | 2,590 | 67,003 | ||||||
Sarepta Therapeutics, Inc.* | 1,466 | 66,498 | ||||||
Prestige Brands Holdings, Inc.* | 1,321 | 66,169 | ||||||
Penumbra, Inc.* | 726 | 65,558 | ||||||
Helen of Troy Ltd.* | 675 | 65,408 | ||||||
Medicines Co.* | 1,709 | 63,301 | ||||||
HealthEquity, Inc.* | 1,234 | 62,416 | ||||||
Nevro Corp.* | 686 | 62,344 | ||||||
Amicus Therapeutics, Inc.*,1 | 4,093 | 61,722 | ||||||
Prothena Corporation plc*,1 | 951 | 61,596 | ||||||
Cimpress N.V.* | 619 | 60,452 | ||||||
Avexis, Inc.* | 619 | 59,876 | ||||||
Performance Food Group Co.* | 2,114 | 59,721 | ||||||
Spark Therapeutics, Inc.* | 661 | 58,935 | ||||||
Haemonetics Corp.* | 1,298 | 58,241 | ||||||
ABM Industries, Inc. | 1,385 | 57,768 | ||||||
Myriad Genetics, Inc.* | 1,591 | 57,562 | ||||||
Insmed, Inc.* | 1,840 | 57,426 | ||||||
Green Dot Corp. — Class A* | 1,132 | 56,125 | ||||||
Lancaster Colony Corp. | 466 | 55,976 | ||||||
Adtalem Global Education, Inc. | 1,542 | 55,281 | ||||||
Advisory Board Co.* | 1,001 | 53,679 | ||||||
AMN Healthcare Services, Inc.* | 1,169 | 53,423 | ||||||
Sage Therapeutics, Inc.* | 856 | 53,329 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 3,335 | 52,593 | ||||||
Array BioPharma, Inc.* | 4,274 | 52,570 | ||||||
United Natural Foods, Inc.* | 1,257 | 52,279 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 980 | 52,195 | ||||||
Halyard Health, Inc.* | 1,158 | 52,145 | ||||||
Loxo Oncology, Inc.* | 566 | 52,140 | ||||||
Globus Medical, Inc. — Class A* | 1,747 | 51,921 | ||||||
B&G Foods, Inc.1 | 1,628 | 51,852 | ||||||
Halozyme Therapeutics, Inc.* | 2,956 | 51,346 | ||||||
Horizon Pharma plc* | 4,044 | 51,278 | ||||||
Select Medical Holdings Corp.* | 2,660 | 51,072 | ||||||
Merit Medical Systems, Inc.* | 1,205 | 51,032 | ||||||
Magellan Health, Inc.* | 589 | 50,831 | ||||||
Korn/Ferry International | 1,268 | 49,997 | ||||||
Vector Group Ltd. | 2,432 | 49,783 | ||||||
J&J Snack Foods Corp. | 373 | 48,975 | ||||||
Travelport Worldwide Ltd. | 3,076 | 48,293 | ||||||
Matthews International Corp. — Class A | 775 | 48,244 | ||||||
Supernus Pharmaceuticals, Inc.* | 1,173 | 46,920 | ||||||
NxStage Medical, Inc.* | 1,608 | 44,381 | ||||||
Cambrex Corp.* | 805 | 44,275 | ||||||
Teladoc, Inc.*,1 | 1,333 | 44,189 | ||||||
Monro, Inc.1 | 786 | 44,055 | ||||||
Owens & Minor, Inc. | 1,506 | 43,975 | ||||||
Corcept Therapeutics, Inc.* | 2,258 | 43,579 | ||||||
Sotheby’s* | 944 | 43,528 | ||||||
HMS Holdings Corp.* | 2,078 | 41,269 | ||||||
NutriSystem, Inc. | 736 | 41,142 | ||||||
Inogen, Inc.* | 422 | 40,132 | ||||||
Insperity, Inc. | 449 | 39,512 | ||||||
Aerie Pharmaceuticals, Inc.* | 813 | 39,512 | ||||||
Amedisys, Inc.* | 706 | 39,508 | ||||||
Integer Holdings Corp.* | 768 | 39,283 | ||||||
LendingTree, Inc.*,1 | 158 | 38,623 | ||||||
WD-40 Co. | 342 | 38,270 | ||||||
Bob Evans Farms, Inc. | 491 | 38,057 | ||||||
Tivity Health, Inc.* | 905 | 36,924 | ||||||
Impax Laboratories, Inc.* | 1,818 | 36,905 | ||||||
Pacira Pharmaceuticals, Inc.* | 973 | 36,536 | ||||||
Fresh Del Monte Produce, Inc. | 803 | 36,504 | ||||||
National Beverage Corp. | 291 | 36,098 | ||||||
CONMED Corp.1 | 680 | 35,680 | ||||||
Repligen Corp.* | 930 | 35,638 | ||||||
Radius Health, Inc.*,1 | 922 | 35,543 | ||||||
Theravance Biopharma, Inc.* | 1,034 | 35,404 | ||||||
Immunomedics, Inc.* | 2,532 | 35,397 | ||||||
Universal Corp. | 613 | 35,125 | ||||||
FTI Consulting, Inc.* | 976 | 34,628 | ||||||
TriNet Group, Inc.* | 1,025 | 34,461 | ||||||
Momenta Pharmaceuticals, Inc.* | 1,819 | 33,652 | ||||||
Emergent BioSolutions, Inc.* | 830 | 33,574 | ||||||
Boston Beer Company, Inc. — Class A* | 212 | 33,114 | ||||||
Tenet Healthcare Corp.*,1 | 2,014 | 33,090 | ||||||
Central Garden & Pet Co. — Class A* | 874 | 32,504 | ||||||
Dynavax Technologies Corp.* | 1,508 | 32,422 | ||||||
ACCO Brands Corp.* | 2,679 | 31,880 | ||||||
Cal-Maine Foods, Inc.*,1 | 770 | 31,647 | ||||||
Varex Imaging Corp.* | 933 | 31,573 | ||||||
OraSure Technologies, Inc.* | 1,402 | 31,545 | ||||||
Paylocity Holding Corp.* | 644 | 31,440 | ||||||
MiMedx Group, Inc.*,1 | 2,601 | 30,900 | ||||||
Sangamo Therapeutics, Inc.* | 2,054 | 30,810 | ||||||
Viad Corp. | 501 | 30,511 | ||||||
Hertz Global Holdings, Inc.*,1 | 1,356 | 30,320 | ||||||
Weight Watchers International, Inc.* | 693 | 30,180 | ||||||
Quidel Corp.* | 687 | 30,132 | ||||||
Natus Medical, Inc.* | 803 | 30,113 | ||||||
Acceleron Pharma, Inc.* | 794 | 29,632 | ||||||
Herc Holdings, Inc.* | 600 | 29,478 | ||||||
Calavo Growers, Inc. | 397 | 29,060 | ||||||
Novocure Ltd.*,1 | 1,430 | 28,386 |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Global Blood Therapeutics, Inc.* | 914 | $ | 28,380 | |||||
LHC Group, Inc.* | 390 | 27,659 | ||||||
Five Prime Therapeutics, Inc.* | 673 | 27,532 | ||||||
Spectrum Pharmaceuticals, Inc.* | 1,929 | 27,141 | ||||||
Hostess Brands, Inc.* | 1,983 | 27,088 | ||||||
Ensign Group, Inc. | 1,193 | 26,950 | ||||||
Innoviva, Inc.* | 1,880 | 26,546 | ||||||
Analogic Corp. | 311 | 26,046 | ||||||
Cardtronics plc — Class A* | 1,129 | 25,978 | ||||||
Dermira, Inc.* | 944 | 25,488 | ||||||
Acorda Therapeutics, Inc.* | 1,073 | 25,376 | ||||||
McGrath RentCorp | 580 | 25,375 | ||||||
Coca-Cola Bottling Company Consolidated | 117 | 25,243 | ||||||
Arena Pharmaceuticals, Inc.* | 974 | 24,837 | ||||||
SpartanNash Co. | 930 | 24,524 | ||||||
Dean Foods Co. | 2,252 | 24,502 | ||||||
Diplomat Pharmacy, Inc.* | 1,183 | 24,500 | ||||||
Abaxis, Inc. | 543 | 24,245 | ||||||
ICF International, Inc.* | 444 | 23,954 | ||||||
Omeros Corp.* | 1,102 | 23,825 | ||||||
EVERTEC, Inc. | 1,499 | 23,759 | ||||||
Retrophin, Inc.* | 947 | 23,571 | ||||||
Atrion Corp. | 35 | 23,520 | ||||||
Glaukos Corp.* | 709 | 23,397 | ||||||
TrueBlue, Inc.* | 1,027 | 23,056 | ||||||
BioTelemetry, Inc.* | 696 | 22,968 | ||||||
Strayer Education, Inc. | 263 | 22,952 | ||||||
Andersons, Inc. | 668 | 22,879 | ||||||
Alarm.com Holdings, Inc.* | 503 | 22,726 | ||||||
REGENXBIO, Inc.* | 682 | 22,472 | ||||||
Cardiovascular Systems, Inc.* | 791 | 22,267 | ||||||
Akebia Therapeutics, Inc.* | 1,109 | 21,814 | ||||||
K2M Group Holdings, Inc.* | 1,021 | 21,655 | ||||||
PharMerica Corp.* | 738 | 21,623 | ||||||
Aimmune Therapeutics, Inc.* | 872 | 21,617 | ||||||
Xencor, Inc.* | 943 | 21,614 | ||||||
Zogenix, Inc.* | 614 | 21,521 | ||||||
Esperion Therapeutics, Inc.* | 420 | 21,050 | ||||||
SUPERVALU, Inc.* | 950 | 20,663 | ||||||
Anika Therapeutics, Inc.* | 356 | 20,648 | ||||||
CBIZ, Inc.* | 1,267 | 20,589 | ||||||
Luminex Corp. | 1,010 | 20,533 | ||||||
TherapeuticsMD, Inc.*,1 | 3,866 | 20,451 | ||||||
MyoKardia, Inc.* | 476 | 20,397 | ||||||
Orthofix International N.V.* | 426 | 20,129 | ||||||
Editas Medicine, Inc.* | 837 | 20,096 | ||||||
Intersect ENT, Inc.* | 643 | 20,029 | ||||||
Capella Education Co. | 285 | 19,993 | ||||||
ZIOPHARM Oncology, Inc.* | 3,254 | 19,980 | ||||||
Navigant Consulting, Inc.* | 1,168 | 19,763 | ||||||
Vanda Pharmaceuticals, Inc.* | 1,091 | 19,529 | ||||||
Epizyme, Inc.* | 1,022 | 19,469 | ||||||
MGP Ingredients, Inc. | 320 | 19,402 | ||||||
Alder Biopharmaceuticals, Inc.* | 1,570 | 19,233 | ||||||
Kelly Services, Inc. — Class A | 756 | 18,968 | ||||||
Huron Consulting Group, Inc.* | 543 | 18,625 | ||||||
US Physical Therapy, Inc. | 300 | 18,435 | ||||||
Heron Therapeutics, Inc.*,1 | 1,125 | 18,169 | ||||||
Community Health Systems, Inc.* | 2,357 | 18,102 | ||||||
CryoLife, Inc.* | 796 | 18,069 | ||||||
Enanta Pharmaceuticals, Inc.* | 384 | 17,971 | ||||||
RR Donnelley & Sons Co. | 1,738 | 17,901 | ||||||
AtriCure, Inc.* | 795 | 17,784 | ||||||
iRhythm Technologies, Inc.* | 342 | 17,743 | ||||||
Inter Parfums, Inc. | 428 | 17,655 | ||||||
Quad/Graphics, Inc. | 777 | 17,568 | ||||||
Career Education Corp.* | 1,676 | 17,414 | ||||||
National Healthcare Corp. | 278 | 17,394 | ||||||
Phibro Animal Health Corp. — Class A | 469 | 17,376 | ||||||
SP Plus Corp.* | 431 | 17,025 | ||||||
Almost Family, Inc.* | 316 | 16,969 | ||||||
Flexion Therapeutics, Inc.* | 687 | 16,612 | ||||||
USANA Health Sciences, Inc.* | 287 | 16,560 | ||||||
Synergy Pharmaceuticals, Inc.*,1 | 5,617 | 16,289 | ||||||
Amphastar Pharmaceuticals, Inc.* | 899 | 16,065 | ||||||
AMAG Pharmaceuticals, Inc.* | 869 | 16,033 | ||||||
ImmunoGen, Inc.* | 2,085 | 15,950 | ||||||
PTC Therapeutics, Inc.* | 797 | 15,948 | ||||||
Tootsie Roll Industries, Inc. | 419 | 15,922 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 2,218 | 15,748 | ||||||
Genomic Health, Inc.* | 489 | 15,692 | ||||||
Medifast, Inc. | 262 | 15,555 | ||||||
MacroGenics, Inc.* | 840 | 15,523 | ||||||
AngioDynamics, Inc.* | 905 | 15,466 | ||||||
NeoGenomics, Inc.* | 1,382 | 15,382 | ||||||
Providence Service Corp.* | 284 | 15,359 | ||||||
Revance Therapeutics, Inc.* | 556 | 15,318 | ||||||
Ignyta, Inc.* | 1,238 | 15,289 | ||||||
Landauer, Inc. | 225 | 15,143 | ||||||
La Jolla Pharmaceutical Co.* | 433 | 15,060 | ||||||
K12, Inc.* | 844 | 15,057 | ||||||
Cytokinetics, Inc.* | 1,029 | 14,921 | ||||||
RPX Corp.* | 1,119 | 14,860 | ||||||
Paratek Pharmaceuticals, Inc.* | 590 | 14,809 | ||||||
Meridian Bioscience, Inc. | 1,032 | 14,758 | ||||||
Accelerate Diagnostics, Inc.* | 645 | 14,480 | ||||||
Aclaris Therapeutics, Inc.* | 560 | 14,454 | ||||||
Foundation Medicine, Inc.* | 359 | 14,432 | ||||||
SciClone Pharmaceuticals, Inc.* | 1,286 | 14,403 | ||||||
John B Sanfilippo & Son, Inc. | 212 | 14,270 | ||||||
TG Therapeutics, Inc.* | 1,202 | 14,244 | ||||||
Kindred Healthcare, Inc. | 2,079 | 14,137 | ||||||
Heska Corp.* | 160 | 14,094 | ||||||
LeMaitre Vascular, Inc. | 372 | 13,920 | ||||||
Triple-S Management Corp. — Class B* | 579 | 13,711 | ||||||
LSC Communications, Inc. | 828 | 13,670 | ||||||
Cutera, Inc.* | 328 | 13,563 | ||||||
Achaogen, Inc.* | 846 | 13,494 | ||||||
Pacific Biosciences of California, Inc.* | 2,567 | 13,477 | ||||||
Lantheus Holdings, Inc.* | 756 | 13,457 | ||||||
PDL BioPharma, Inc.* | 3,939 | 13,353 | ||||||
Intra-Cellular Therapies, Inc.* | 836 | 13,192 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Lexicon Pharmaceuticals, Inc.*,1 | 1,067 | $ | 13,113 | |||||
CytomX Therapeutics, Inc.* | 720 | 13,082 | ||||||
AxoGen, Inc.* | 676 | 13,081 | ||||||
Achillion Pharmaceuticals, Inc.* | 2,898 | 13,012 | ||||||
Progenics Pharmaceuticals, Inc.* | 1,752 | 12,895 | ||||||
Lannett Company, Inc.*,1 | 697 | 12,860 | ||||||
Laureate Education, Inc. — Class A* | 881 | 12,819 | ||||||
Inovio Pharmaceuticals, Inc.* | 2,018 | 12,794 | ||||||
Coherus Biosciences, Inc.* | 950 | 12,683 | ||||||
STAAR Surgical Co.* | 1,013 | 12,612 | ||||||
CorVel Corp.* | 230 | 12,512 | ||||||
Cross Country Healthcare, Inc.* | 877 | 12,480 | ||||||
Invacare Corp. | 787 | 12,395 | ||||||
Ennis, Inc. | 620 | 12,183 | ||||||
Rent-A-Center, Inc.1 | 1,061 | 12,180 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 204 | 12,167 | ||||||
GenMark Diagnostics, Inc.* | 1,263 | 12,163 | ||||||
Assembly Biosciences, Inc.* | 347 | 12,117 | ||||||
Everi Holdings, Inc.* | 1,577 | 11,969 | ||||||
Calithera Biosciences, Inc.* | 759 | 11,954 | ||||||
Kforce, Inc. | 581 | 11,736 | ||||||
MoneyGram International, Inc.* | 721 | 11,615 | ||||||
CAI International, Inc.* | 383 | 11,613 | ||||||
e.l.f. Beauty, Inc.*,1 | 513 | 11,568 | ||||||
Antares Pharma, Inc.* | 3,559 | 11,531 | ||||||
Textainer Group Holdings Ltd.* | 672 | 11,525 | ||||||
Aduro Biotech, Inc.* | 1,076 | 11,459 | ||||||
Enzo Biochem, Inc.* | 1,020 | 10,679 | ||||||
Audentes Therapeutics, Inc.* | 378 | 10,588 | ||||||
RadNet, Inc.* | 916 | 10,580 | ||||||
ANI Pharmaceuticals, Inc.* | 199 | 10,446 | ||||||
Atara Biotherapeutics, Inc.* | 631 | 10,443 | ||||||
Forrester Research, Inc. | 249 | 10,421 | ||||||
BioCryst Pharmaceuticals, Inc.* | 1,983 | 10,391 | ||||||
AnaptysBio, Inc.* | 297 | 10,380 | ||||||
Weis Markets, Inc. | 237 | 10,310 | ||||||
Akcea Therapeutics, Inc.* | 371 | 10,266 | ||||||
Abeona Therapeutics, Inc.* | 600 | 10,230 | ||||||
Central Garden & Pet Co.* | 262 | 10,176 | ||||||
Rockwell Medical, Inc.* | 1,187 | 10,161 | ||||||
Iovance Biotherapeutics, Inc.* | 1,309 | 10,145 | ||||||
Surmodics, Inc.* | 324 | 10,044 | ||||||
Natera, Inc.* | 778 | 10,028 | ||||||
Barrett Business Services, Inc. | 175 | 9,893 | ||||||
Resources Connection, Inc. | 709 | 9,855 | ||||||
Carriage Services, Inc. — Class A | 381 | 9,754 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 260 | 9,719 | ||||||
Team, Inc.* | 725 | 9,679 | ||||||
Heidrick & Struggles International, Inc. | 455 | 9,623 | ||||||
Oxford Immunotec Global plc* | 560 | 9,408 | ||||||
Chefs’ Warehouse, Inc.* | 486 | 9,380 | ||||||
Invitae Corp.* | 992 | 9,295 | ||||||
Karyopharm Therapeutics, Inc.* | 837 | 9,190 | ||||||
Omega Protein Corp. | 546 | 9,091 | ||||||
Endologix, Inc.* | 2,037 | 9,085 | ||||||
Cara Therapeutics, Inc.*,1 | 662 | 9,063 | ||||||
Emerald Expositions Events, Inc. | 388 | 9,017 | ||||||
Hackett Group, Inc. | 592 | 8,992 | ||||||
Ingles Markets, Inc. — Class A | 349 | 8,969 | ||||||
B. Riley Financial, Inc. | 524 | 8,934 | ||||||
National Research Corp. — Class A | 234 | 8,822 | ||||||
Exactech, Inc.*,1 | 265 | 8,732 | ||||||
Intellia Therapeutics, Inc.* | 351 | 8,722 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 280 | 8,708 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 1,261 | 8,625 | ||||||
Celldex Therapeutics, Inc.* | 2,997 | 8,571 | ||||||
CRA International, Inc. | 207 | 8,497 | ||||||
Vectrus, Inc.* | 271 | 8,358 | ||||||
American Public Education, Inc.* | 392 | 8,252 | ||||||
NanoString Technologies, Inc.* | 510 | 8,242 | ||||||
Depomed, Inc.* | 1,413 | 8,181 | ||||||
Seres Therapeutics, Inc.* | 507 | 8,132 | ||||||
Agenus, Inc.* | 1,831 | 8,075 | ||||||
Accuray, Inc.* | 2,017 | 8,068 | ||||||
Geron Corp.* | 3,682 | 8,027 | ||||||
Novavax, Inc.* | 6,973 | 7,949 | ||||||
BioScrip, Inc.* | 2,877 | 7,912 | ||||||
Rigel Pharmaceuticals, Inc.* | 3,111 | 7,902 | ||||||
Corbus Pharmaceuticals Holdings, Inc.* | 1,097 | 7,844 | ||||||
Bellicum Pharmaceuticals, Inc.* | 673 | 7,773 | ||||||
Tejon Ranch Co.* | 368 | 7,765 | ||||||
Adamas Pharmaceuticals, Inc.* | 363 | 7,685 | ||||||
Capital Senior Living Corp.* | 608 | 7,630 | ||||||
Voyager Therapeutics, Inc.* | 361 | 7,433 | ||||||
Primo Water Corp.* | 627 | 7,430 | ||||||
Civitas Solutions, Inc.* | 398 | 7,343 | ||||||
Kura Oncology, Inc.* | 480 | 7,176 | ||||||
Revlon, Inc. — Class A* | 292 | 7,169 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A*,1 | 599 | 7,068 | ||||||
Farmer Brothers Co.* | 215 | 7,063 | ||||||
Tactile Systems Technology, Inc.*,1 | 226 | 6,995 | ||||||
Cerus Corp.* | 2,555 | 6,975 | ||||||
Limoneira Co. | 299 | 6,928 | ||||||
Teligent, Inc.* | 1,018 | 6,831 | ||||||
Great Lakes Dredge & Dock Corp.* | 1,407 | 6,824 | ||||||
Corium International, Inc.* | 603 | 6,681 | ||||||
Cadiz, Inc.* | 518 | 6,579 | ||||||
Concert Pharmaceuticals, Inc.* | 444 | 6,549 | ||||||
Addus HomeCare Corp.* | 185 | 6,531 | ||||||
BioSpecifics Technologies Corp.* | 140 | 6,513 | ||||||
ServiceSource International, Inc.* | 1,877 | 6,494 | ||||||
WaVe Life Sciences Ltd.* | 294 | 6,395 | ||||||
CSS Industries, Inc. | 221 | 6,369 | ||||||
Selecta Biosciences, Inc.* | 345 | 6,296 | ||||||
SEACOR Marine Holdings, Inc.* | 402 | 6,287 | ||||||
Utah Medical Products, Inc. | 85 | 6,252 | ||||||
Stemline Therapeutics, Inc.* | 559 | 6,205 | ||||||
RTI Surgical, Inc.* | 1,353 | 6,156 | ||||||
Aratana Therapeutics, Inc.* | 1,003 | 6,148 | ||||||
Willdan Group, Inc.* | 187 | 6,070 |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Chimerix, Inc.* | 1,154 | $ | 6,059 | |||||
Durect Corp.* | 3,396 | 6,011 | ||||||
Seneca Foods Corp. — Class A* | 174 | 6,003 | ||||||
Idera Pharmaceuticals, Inc.* | 2,674 | 5,963 | ||||||
Collegium Pharmaceutical, Inc.* | 561 | 5,885 | ||||||
Amplify Snack Brands, Inc.*,1 | 820 | 5,814 | ||||||
Medpace Holdings, Inc.* | 177 | 5,646 | ||||||
Jounce Therapeutics, Inc.*,1 | 359 | 5,593 | ||||||
Acacia Research Corp.* | 1,226 | 5,578 | ||||||
Entellus Medical, Inc.* | 300 | 5,538 | ||||||
Axovant Sciences Ltd.*,1 | 803 | 5,525 | ||||||
NewLink Genetics Corp.* | 542 | 5,518 | ||||||
Craft Brew Alliance, Inc.* | 314 | 5,511 | ||||||
Organovo Holdings, Inc.* | 2,482 | 5,510 | ||||||
Minerva Neurosciences, Inc.* | 720 | 5,472 | ||||||
Sientra, Inc.* | 354 | 5,452 | ||||||
Neos Therapeutics, Inc.* | 594 | 5,435 | ||||||
BioTime, Inc.* | 1,875 | 5,325 | ||||||
Insys Therapeutics, Inc.* | 595 | 5,284 | ||||||
Edge Therapeutics, Inc.* | 492 | 5,279 | ||||||
Care.com, Inc.* | 332 | 5,275 | ||||||
MediciNova, Inc.* | 823 | 5,243 | ||||||
Athersys, Inc.* | 2,529 | 5,210 | ||||||
Veracyte, Inc.* | 587 | 5,148 | ||||||
Neff Corp. — Class A* | 200 | 5,000 | ||||||
Calyxt, Inc.* | 201 | 4,922 | ||||||
Pieris Pharmaceuticals, Inc.* | 851 | 4,902 | ||||||
Kindred Biosciences, Inc.* | 623 | 4,891 | ||||||
Village Super Market, Inc. — Class A | 197 | 4,874 | ||||||
Franklin Covey Co.* | 240 | 4,872 | ||||||
G1 Therapeutics, Inc.* | 195 | 4,854 | ||||||
Surgery Partners, Inc.* | 467 | 4,833 | ||||||
Merrimack Pharmaceuticals, Inc. | 319 | 4,635 | ||||||
Madrigal Pharmaceuticals, Inc.* | 103 | 4,633 | ||||||
Ardelyx, Inc.* | 827 | 4,631 | ||||||
Kala Pharmaceuticals, Inc.* | 202 | 4,614 | ||||||
FONAR Corp.* | 151 | 4,606 | ||||||
Syros Pharmaceuticals, Inc.* | 310 | 4,563 | ||||||
ChemoCentryx, Inc.* | 605 | 4,489 | ||||||
Clearside Biomedical, Inc.* | 512 | 4,475 | ||||||
Catalyst Pharmaceuticals, Inc.* | 1,772 | 4,465 | ||||||
Smart & Final Stores, Inc.* | 566 | 4,443 | ||||||
Collectors Universe, Inc. | 185 | 4,434 | ||||||
Bridgepoint Education, Inc.* | 461 | 4,426 | ||||||
Immune Design Corp.* | 422 | 4,368 | ||||||
ViewRay, Inc.* | 757 | 4,360 | ||||||
Natural Health Trends Corp. | 182 | 4,350 | ||||||
Curis, Inc.* | 2,871 | 4,278 | ||||||
Ra Pharmaceuticals, Inc.* | 291 | 4,249 | ||||||
Pulse Biosciences, Inc.* | 226 | 4,206 | ||||||
NantKwest, Inc.* | 756 | 4,143 | ||||||
Protagonist Therapeutics, Inc.* | 232 | 4,099 | ||||||
ARC Document Solutions, Inc.* | 990 | 4,049 | ||||||
Cempra, Inc.* | 1,187 | 3,858 | ||||||
Advaxis, Inc.* | 904 | 3,779 | ||||||
Anavex Life Sciences Corp.* | 907 | 3,755 | ||||||
Strongbridge Biopharma plc* | 543 | 3,747 | ||||||
Fate Therapeutics, Inc.* | 944 | 3,738 | ||||||
Fortress Biotech, Inc.* | 816 | 3,607 | ||||||
American Renal Associates Holdings, Inc.* | 240 | 3,593 | ||||||
Ascent Capital Group, Inc. — Class A* | 273 | 3,560 | ||||||
Trevena, Inc.* | 1,389 | 3,542 | ||||||
ConforMIS, Inc.* | 993 | 3,495 | ||||||
Conatus Pharmaceuticals, Inc.* | 634 | 3,481 | ||||||
Cascadian Therapeutics, Inc.* | 849 | 3,472 | ||||||
Ocular Therapeutix, Inc.* | 558 | 3,448 | ||||||
Corvus Pharmaceuticals, Inc.* | 209 | 3,331 | ||||||
Quotient Ltd.* | 662 | 3,264 | ||||||
Information Services Group, Inc.* | 803 | 3,228 | ||||||
Syndax Pharmaceuticals, Inc.* | 266 | 3,112 | ||||||
Dova Pharmaceuticals, Inc.* | 127 | 3,084 | ||||||
Athenex, Inc.* | 173 | 3,029 | ||||||
Recro Pharma, Inc.* | 337 | 3,026 | ||||||
Nymox Pharmaceutical Corp.* | 753 | 2,876 | ||||||
Miragen Therapeutics, Inc.* | 313 | 2,864 | ||||||
BG Staffing, Inc. | 171 | 2,830 | ||||||
AAC Holdings, Inc.* | 284 | 2,820 | ||||||
Sienna Biopharmaceuticals, Inc.* | 125 | 2,781 | ||||||
Nature’s Sunshine Products, Inc. | 266 | 2,700 | ||||||
Novelion Therapeutics, Inc.* | 375 | 2,636 | ||||||
Alico, Inc. | 77 | 2,630 | ||||||
Tocagen, Inc.* | 208 | 2,592 | ||||||
Liberty Tax, Inc. | 170 | 2,448 | ||||||
Zynerba Pharmaceuticals, Inc.* | 282 | 2,358 | ||||||
Asterias Biotherapeutics, Inc.* | 668 | 2,271 | ||||||
Otonomy, Inc.* | 698 | 2,269 | ||||||
Cambium Learning Group, Inc.* | 342 | 2,267 | ||||||
Mersana Therapeutics, Inc.* | 125 | 2,161 | ||||||
Turning Point Brands, Inc.* | 125 | 2,125 | ||||||
XBiotech, Inc.* | 478 | 2,089 | ||||||
VBI Vaccines, Inc.* | 537 | 2,067 | ||||||
Obalon Therapeutics, Inc.* | 213 | 2,030 | ||||||
Pendrell Corp.* | 296 | 2,022 | ||||||
Versartis, Inc.* | 808 | 1,980 | ||||||
Viveve Medical, Inc.* | 371 | 1,944 | ||||||
Matinas BioPharma Holdings, Inc.* | 1,307 | 1,725 | ||||||
Aileron Therapeutics, Inc.* | 126 | 1,686 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 223 | 1,244 | ||||||
Ovid therapeutics, Inc.* | 125 | 1,071 | ||||||
Genesis Healthcare, Inc.* | 923 | 1,071 | ||||||
vTv Therapeutics, Inc. — Class A* | 176 | 1,052 | ||||||
Genocea Biosciences, Inc.* | 709 | 1,035 | ||||||
Lifeway Foods, Inc.* | 116 | 1,032 | ||||||
Oncocyte Corp.* | 95 | 717 | ||||||
CPI Card Group, Inc. | 506 | 597 | ||||||
Total Consumer, Non-cyclical | 11,030,754 | |||||||
Industrial - 11.1% | ||||||||
Knight-Swift Transportation Holdings, Inc.* | 3,109 | 129,185 | ||||||
Curtiss-Wright Corp. | 1,095 | 114,471 | ||||||
Littelfuse, Inc. | 558 | 109,300 | ||||||
Woodward, Inc. | 1,320 | 102,444 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
EMCOR Group, Inc. | 1,461 | $ | 101,363 | |||||
Louisiana-Pacific Corp.* | 3,604 | 97,597 | ||||||
SYNNEX Corp. | 719 | 90,960 | ||||||
Barnes Group, Inc. | 1,245 | 87,697 | ||||||
Summit Materials, Inc. — Class A* | 2,652 | 84,944 | ||||||
Belden, Inc. | 1,043 | 83,992 | ||||||
Kennametal, Inc. | 1,989 | 80,237 | ||||||
Advanced Energy Industries, Inc.* | 984 | 79,468 | ||||||
John Bean Technologies Corp. | 778 | 78,656 | ||||||
Tech Data Corp.* | 869 | 77,211 | ||||||
MasTec, Inc.* | 1,650 | 76,560 | ||||||
EnerSys | 1,081 | 74,773 | ||||||
Trinseo S.A. | 1,100 | 73,810 | ||||||
RBC Bearings, Inc.* | 573 | 71,710 | ||||||
Generac Holdings, Inc.* | 1,525 | 70,043 | ||||||
Sanmina Corp.* | 1,856 | 68,950 | ||||||
Cree, Inc.* | 2,420 | 68,220 | ||||||
KLX, Inc.* | 1,282 | 67,856 | ||||||
Tetra Tech, Inc. | 1,417 | 65,962 | ||||||
Trex Company, Inc.* | 732 | 65,931 | ||||||
Moog, Inc. — Class A* | 790 | 65,910 | ||||||
MSA Safety, Inc. | 826 | 65,676 | ||||||
Itron, Inc.* | 847 | 65,600 | ||||||
Rexnord Corp.* | 2,580 | 65,558 | ||||||
Dycom Industries, Inc.* | 747 | 64,152 | ||||||
Vishay Intertechnology, Inc. | 3,337 | 62,736 | ||||||
Applied Industrial Technologies, Inc. | 949 | 62,444 | ||||||
KBR, Inc. | 3,485 | 62,312 | ||||||
II-VI, Inc.* | 1,503 | 61,848 | ||||||
Hillenbrand, Inc. | 1,569 | 60,956 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 1,713 | 59,972 | ||||||
TopBuild Corp.* | 915 | 59,631 | ||||||
Rogers Corp.* | 447 | 59,576 | ||||||
GATX Corp. | 957 | 58,913 | ||||||
Esterline Technologies Corp.* | 649 | 58,507 | ||||||
Granite Construction, Inc. | 984 | 57,023 | ||||||
Golar LNG Ltd. | 2,381 | 53,834 | ||||||
Franklin Electric Company, Inc. | 1,148 | 51,488 | ||||||
Worthington Industries, Inc. | 1,115 | 51,290 | ||||||
Masonite International Corp.* | 737 | 51,000 | ||||||
Simpson Manufacturing Company, Inc. | 1,021 | 50,070 | ||||||
Mueller Industries, Inc. | 1,411 | 49,314 | ||||||
Proto Labs, Inc.* | 614 | 49,304 | ||||||
Mueller Water Products, Inc. — Class A | 3,819 | 48,883 | ||||||
Universal Forest Products, Inc. | 496 | 48,687 | ||||||
JELD-WEN Holding, Inc.* | 1,358 | 48,236 | ||||||
Watts Water Technologies, Inc. — Class A | 690 | 47,748 | ||||||
Exponent, Inc. | 635 | 46,927 | ||||||
Plexus Corp.* | 832 | 46,659 | ||||||
KapStone Paper and Packaging Corp. | 2,154 | 46,289 | ||||||
Brady Corp. — Class A | 1,151 | 43,680 | ||||||
Werner Enterprises, Inc. | 1,181 | 43,166 | ||||||
Covanta Holding Corp. | 2,904 | 43,124 | ||||||
Builders FirstSource, Inc.* | 2,397 | 43,122 | ||||||
Forward Air Corp. | 744 | 42,579 | ||||||
Benchmark Electronics, Inc.* | 1,239 | 42,312 | ||||||
EnPro Industries, Inc. | 524 | 42,198 | ||||||
Chicago Bridge & Iron Company N.V.1 | 2,497 | 41,950 | ||||||
Harsco Corp.* | 1,992 | 41,633 | ||||||
Albany International Corp. — Class A | 711 | 40,811 | ||||||
SPX FLOW, Inc.* | 1,026 | 39,563 | ||||||
OSI Systems, Inc.* | 431 | 39,380 | ||||||
Saia, Inc.* | 627 | 39,282 | ||||||
Kaman Corp. | 684 | 38,154 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 577 | 37,967 | ||||||
ESCO Technologies, Inc. | 631 | 37,828 | ||||||
Actuant Corp. — Class A | 1,476 | 37,786 | ||||||
Methode Electronics, Inc. | 887 | 37,564 | ||||||
Greif, Inc. — Class A | 633 | 37,056 | ||||||
Triumph Group, Inc. | 1,210 | 35,998 | ||||||
Air Transport Services Group, Inc.* | 1,456 | 35,439 | ||||||
AAON, Inc. | 1,026 | 35,371 | ||||||
TTM Technologies, Inc.* | 2,289 | 35,182 | ||||||
Hub Group, Inc. — Class A* | 809 | 34,747 | ||||||
Novanta, Inc.* | 793 | 34,575 | ||||||
Altra Industrial Motion Corp. | 710 | 34,151 | ||||||
Badger Meter, Inc. | 695 | 34,055 | ||||||
Apogee Enterprises, Inc. | 701 | 33,830 | ||||||
Patrick Industries, Inc.* | 401 | 33,724 | ||||||
Boise Cascade Co.* | 958 | 33,434 | ||||||
Knowles Corp.* | 2,184 | 33,350 | ||||||
Fabrinet* | 899 | 33,317 | ||||||
Standex International Corp. | 312 | 33,134 | ||||||
Greenbrier Companies, Inc.1 | 678 | 32,646 | ||||||
Comfort Systems USA, Inc. | 913 | 32,594 | ||||||
Cubic Corp. | 625 | 31,875 | ||||||
Sun Hydraulics Corp. | 585 | 31,590 | ||||||
AZZ, Inc. | 643 | 31,314 | ||||||
Federal Signal Corp. | 1,462 | 31,111 | ||||||
SPX Corp.* | 1,055 | 30,954 | ||||||
TriMas Corp.* | 1,128 | 30,456 | ||||||
Fitbit, Inc. — Class A* | 4,327 | 30,116 | ||||||
AAR Corp. | 797 | 30,111 | ||||||
Matson, Inc. | 1,061 | 29,899 | ||||||
Chart Industries, Inc.* | 759 | 29,776 | ||||||
Astec Industries, Inc. | 528 | 29,573 | ||||||
Applied Optoelectronics, Inc.*,1 | 455 | 29,425 | ||||||
Heartland Express, Inc. | 1,171 | 29,369 | ||||||
Axon Enterprise, Inc.*,1 | 1,292 | 29,290 | ||||||
GoPro, Inc. — Class A*,1 | 2,648 | 29,154 | ||||||
US Ecology, Inc. | 541 | 29,106 | ||||||
Raven Industries, Inc. | 896 | 29,030 | ||||||
Tennant Co. | 437 | 28,929 | ||||||
US Concrete, Inc.* | 377 | 28,765 | ||||||
Primoris Services Corp. | 977 | 28,743 | ||||||
Manitowoc Company, Inc.* | 3,159 | 28,431 | ||||||
Aerovironment, Inc.* | 520 | 28,142 | ||||||
Multi-Color Corp. | 339 | 27,781 | ||||||
Advanced Disposal Services, Inc.* | 1,083 | 27,281 | ||||||
Kadant, Inc. | 269 | 26,510 | ||||||
Tutor Perini Corp.* | 927 | 26,327 | ||||||
Continental Building Products, Inc.* | 979 | 25,454 |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Alamo Group, Inc. | 235 | $ | 25,232 | |||||
KEMET Corp.* | 1,161 | 24,532 | ||||||
Gibraltar Industries, Inc.* | 787 | 24,515 | ||||||
Briggs & Stratton Corp. | 1,034 | 24,299 | ||||||
Argan, Inc. | 360 | 24,210 | ||||||
Lindsay Corp. | 260 | 23,894 | ||||||
Lydall, Inc.* | 414 | 23,722 | ||||||
Kratos Defense & Security Solutions, Inc.* | 1,775 | 23,217 | ||||||
General Cable Corp. | 1,220 | 22,997 | ||||||
Milacron Holdings Corp.* | 1,347 | 22,710 | ||||||
Encore Wire Corp. | 502 | 22,477 | ||||||
CIRCOR International, Inc. | 409 | 22,262 | ||||||
Sturm Ruger & Company, Inc.1 | 425 | 21,973 | ||||||
Ship Finance International Ltd.1 | 1,482 | 21,489 | ||||||
ArcBest Corp. | 642 | 21,475 | ||||||
AVX Corp. | 1,142 | 20,819 | ||||||
Schneider National, Inc. — Class B | 807 | 20,417 | ||||||
Columbus McKinnon Corp. | 537 | 20,336 | ||||||
American Outdoor Brands Corp.* | 1,331 | 20,298 | ||||||
Marten Transport Ltd. | 966 | 19,851 | ||||||
Chase Corp. | 177 | 19,718 | ||||||
Hyster-Yale Materials Handling, Inc. | 256 | 19,569 | ||||||
Quanex Building Products Corp.1 | 851 | 19,530 | ||||||
NN, Inc. | 671 | 19,459 | ||||||
CTS Corp. | 792 | 19,087 | ||||||
Aegion Corp. — Class A* | 812 | 18,903 | ||||||
Casella Waste Systems, Inc. — Class A* | 969 | 18,217 | ||||||
Global Brass & Copper Holdings, Inc. | 537 | 18,151 | ||||||
Scorpio Tankers, Inc. | 5,254 | 18,021 | ||||||
PGT Innovations, Inc.* | 1,199 | 17,925 | ||||||
Control4 Corp.* | 605 | 17,823 | ||||||
Advanced Drainage Systems, Inc. | 875 | 17,719 | ||||||
GasLog Ltd. | 1,012 | 17,659 | ||||||
Caesarstone Ltd.* | 562 | 16,748 | ||||||
TimkenSteel Corp.* | 982 | 16,203 | ||||||
Griffon Corp. | 726 | 16,117 | ||||||
Atkore International Group, Inc.* | 813 | 15,862 | ||||||
Astronics Corp.* | 531 | 15,797 | ||||||
FARO Technologies, Inc.* | 411 | 15,721 | ||||||
NCI Building Systems, Inc.* | 990 | 15,444 | ||||||
International Seaways, Inc.* | 729 | 14,361 | ||||||
Gorman-Rupp Co.1 | 437 | 14,233 | ||||||
Kimball Electronics, Inc.* | 657 | 14,224 | ||||||
Nordic American Tankers Ltd. | 2,477 | 13,227 | ||||||
Stoneridge, Inc.* | 667 | 13,213 | ||||||
National Presto Industries, Inc. | 123 | 13,093 | ||||||
Echo Global Logistics, Inc.* | 669 | 12,611 | ||||||
DXP Enterprises, Inc.* | 390 | 12,281 | ||||||
VSE Corp. | 214 | 12,168 | ||||||
Myers Industries, Inc. | 573 | 12,004 | ||||||
Ichor Holdings Ltd.* | 447 | 11,980 | ||||||
Mesa Laboratories, Inc. | 80 | 11,946 | ||||||
Teekay Corp. | 1,337 | 11,939 | ||||||
Insteel Industries, Inc. | 451 | 11,776 | ||||||
MYR Group, Inc.* | 396 | 11,539 | ||||||
Tredegar Corp. | 640 | 11,520 | ||||||
Frontline Ltd. | 1,907 | 11,518 | ||||||
YRC Worldwide, Inc.* | 818 | 11,288 | ||||||
Electro Scientific Industries, Inc.* | 793 | 11,039 | ||||||
Haynes International, Inc. | 307 | 11,024 | ||||||
SunPower Corp. — Class A*,1 | 1,480 | 10,789 | ||||||
NV5 Global, Inc.* | 196 | 10,711 | ||||||
ZAGG, Inc.* | 673 | 10,600 | ||||||
Scorpio Bulkers, Inc.* | 1,455 | 10,258 | ||||||
Park-Ohio Holdings Corp. | 218 | 9,941 | ||||||
Vicor Corp.* | 415 | 9,794 | ||||||
Sterling Construction Company, Inc.* | 640 | 9,747 | ||||||
GP Strategies Corp.* | 311 | 9,594 | ||||||
Ply Gem Holdings, Inc.* | 550 | 9,378 | ||||||
NVE Corp. | 118 | 9,318 | ||||||
Armstrong Flooring, Inc.* | 577 | 9,088 | ||||||
Greif, Inc. — Class B | 139 | 8,931 | ||||||
Park Electrochemical Corp. | 477 | 8,825 | ||||||
Mistras Group, Inc.* | 428 | 8,774 | ||||||
Covenant Transportation Group, Inc. — Class A* | 294 | 8,520 | ||||||
DHT Holdings, Inc. | 2,117 | 8,426 | ||||||
Ducommun, Inc.* | 261 | 8,365 | ||||||
Costamare, Inc. | 1,244 | 7,688 | ||||||
Heritage-Crystal Clean, Inc.* | 351 | 7,634 | ||||||
Bel Fuse, Inc. — Class B | 238 | 7,426 | ||||||
Roadrunner Transportation Systems, Inc.* | 757 | 7,214 | ||||||
Energy Recovery, Inc.* | 898 | 7,094 | ||||||
Hudson Technologies, Inc.* | 908 | 7,091 | ||||||
American Railcar Industries, Inc.1 | 180 | 6,948 | ||||||
Daseke, Inc.* | 507 | 6,616 | ||||||
Powell Industries, Inc. | 218 | 6,538 | ||||||
Hurco Companies, Inc. | 152 | 6,323 | ||||||
CECO Environmental Corp. | 740 | 6,260 | ||||||
Vishay Precision Group, Inc.* | 252 | 6,149 | ||||||
Energous Corp.* | 466 | 5,900 | ||||||
FreightCar America, Inc. | 301 | 5,888 | ||||||
Ardmore Shipping Corp.* | 695 | 5,734 | ||||||
Advanced Emissions Solutions, Inc. | 522 | 5,726 | ||||||
Layne Christensen Co.* | 447 | 5,610 | ||||||
Sparton Corp.* | 239 | 5,547 | ||||||
MicroVision, Inc.* | 1,912 | 5,315 | ||||||
Gener8 Maritime, Inc.* | 1,169 | 5,272 | ||||||
Omega Flex, Inc. | 72 | 5,172 | ||||||
Olympic Steel, Inc. | 228 | 5,016 | ||||||
Radiant Logistics, Inc.* | 927 | 4,922 | ||||||
Graham Corp. | 236 | 4,916 | ||||||
Teekay Tankers Ltd. — Class A | 3,021 | 4,894 | ||||||
LB Foster Co. — Class A* | 206 | 4,687 | ||||||
UFP Technologies, Inc.* | 160 | 4,496 | ||||||
Northwest Pipe Co.* | 236 | 4,489 | ||||||
Orion Group Holdings, Inc.* | 671 | 4,402 | ||||||
Hardinge, Inc. | 286 | 4,367 | ||||||
Eagle Bulk Shipping, Inc.* | 952 | 4,313 | ||||||
LSB Industries, Inc.* | 539 | 4,280 | ||||||
Universal Logistics Holdings, Inc. | 207 | 4,233 | ||||||
Allied Motion Technologies, Inc. | 164 | 4,156 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Intevac, Inc.* | 489 | $ | 4,132 | |||||
Babcock & Wilcox Enterprises, Inc.* | 1,212 | 4,036 | ||||||
Hill International, Inc.* | 845 | 4,014 | ||||||
Lawson Products, Inc.* | 159 | 4,007 | ||||||
Core Molding Technologies, Inc. | 182 | 3,993 | ||||||
LSI Industries, Inc. | 600 | 3,966 | ||||||
Eastern Co. | 138 | 3,961 | ||||||
Twin Disc, Inc.* | 211 | 3,927 | ||||||
Iteris, Inc.* | 590 | 3,924 | ||||||
AquaVenture Holdings Ltd.* | 287 | 3,875 | ||||||
Ampco-Pittsburgh Corp. | 215 | 3,741 | ||||||
IES Holdings, Inc.* | 215 | 3,720 | ||||||
Navios Maritime Holdings, Inc.* | 2,224 | 3,714 | ||||||
Fluidigm Corp.* | 728 | 3,669 | ||||||
Gencor Industries, Inc.* | 201 | 3,548 | ||||||
Safe Bulkers, Inc.*,1 | 1,219 | 3,340 | ||||||
Dorian LPG Ltd.* | 468 | 3,192 | ||||||
Pure Cycle Corp.* | 424 | 3,180 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 1,122 | 2,951 | ||||||
Napco Security Technologies, Inc.* | 295 | 2,862 | ||||||
Aqua Metals, Inc.* | 412 | 2,822 | ||||||
CyberOptics Corp.* | 170 | 2,763 | ||||||
Navios Maritime Acquisition Corp. | 2,043 | 2,492 | ||||||
Handy & Harman Ltd.* | 73 | 2,376 | ||||||
Genco Shipping & Trading Ltd.* | 190 | 2,202 | ||||||
Willis Lease Finance Corp.* | 85 | 2,090 | ||||||
Forterra, Inc.* | 462 | 2,079 | ||||||
Revolution Lighting Technologies, Inc.*,1 | 305 | 1,983 | ||||||
NL Industries, Inc.* | 207 | 1,894 | ||||||
Akoustis Technologies, Inc.* | 226 | 1,474 | ||||||
Nordic American Offshore Ltd. | 63 | 89 | ||||||
Total Industrial | 7,305,870 | |||||||
Consumer, Cyclical - 8.9% | ||||||||
Dana, Inc. | 3,603 | 100,741 | ||||||
Texas Roadhouse, Inc. — Class A | 1,658 | 81,475 | ||||||
Tenneco, Inc. | 1,323 | 80,266 | ||||||
Beacon Roofing Supply, Inc.* | 1,497 | 76,722 | ||||||
Jack in the Box, Inc. | 729 | 74,301 | ||||||
FirstCash, Inc. | 1,176 | 74,265 | ||||||
Five Below, Inc.* | 1,339 | 73,484 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 476 | 72,171 | ||||||
ILG, Inc. | 2,635 | 70,433 | ||||||
Lithia Motors, Inc. — Class A | 583 | 70,141 | ||||||
LCI Industries | 601 | 69,626 | ||||||
Churchill Downs, Inc. | 334 | 68,872 | ||||||
Marriott Vacations Worldwide Corp. | 543 | 67,620 | ||||||
Wolverine World Wide, Inc. | 2,338 | 67,452 | ||||||
Steven Madden Ltd.* | 1,464 | 63,391 | ||||||
Anixter International, Inc.* | 719 | 61,116 | ||||||
Scientific Games Corp. — Class A* | 1,319 | 60,476 | ||||||
Big Lots, Inc. | 1,100 | 58,927 | ||||||
Planet Fitness, Inc. — Class A | 2,143 | 57,818 | ||||||
Office Depot, Inc. | 12,690 | 57,613 | ||||||
American Eagle Outfitters, Inc. | 4,020 | 57,486 | ||||||
UniFirst Corp. | 379 | 57,418 | ||||||
SkyWest, Inc. | 1,257 | 55,182 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 1,179 | 54,706 | ||||||
Navistar International Corp.* | 1,232 | 54,294 | ||||||
Dave & Buster’s Entertainment, Inc.* | 1,029 | 54,002 | ||||||
Meritor, Inc.* | 2,075 | 53,971 | ||||||
Boyd Gaming Corp. | 2,059 | 53,637 | ||||||
Deckers Outdoor Corp.* | 783 | 53,565 | ||||||
Herman Miller, Inc. | 1,478 | 53,060 | ||||||
TRI Pointe Group, Inc.* | 3,717 | 51,331 | ||||||
iRobot Corp.* | 655 | 50,475 | ||||||
Children’s Place, Inc. | 427 | 50,450 | ||||||
Cooper-Standard Holdings, Inc.* | 435 | 50,447 | ||||||
KB Home | 2,079 | 50,144 | ||||||
Papa John’s International, Inc. | 675 | 49,322 | ||||||
Hawaiian Holdings, Inc.* | 1,313 | 49,303 | ||||||
Cooper Tire & Rubber Co. | 1,316 | 49,218 | ||||||
Penn National Gaming, Inc.* | 2,099 | 49,096 | ||||||
SiteOne Landscape Supply, Inc.* | 841 | 48,862 | ||||||
PriceSmart, Inc. | 547 | 48,820 | ||||||
Dorman Products, Inc.* | 679 | 48,630 | ||||||
Cheesecake Factory, Inc. | 1,112 | 46,837 | ||||||
HNI Corp. | 1,094 | 45,368 | ||||||
Columbia Sportswear Co. | 723 | 44,522 | ||||||
Meritage Homes Corp.* | 954 | 42,358 | ||||||
Allegiant Travel Co. — Class A | 314 | 41,354 | ||||||
Buffalo Wild Wings, Inc.* | 384 | 40,589 | ||||||
Bloomin’ Brands, Inc. | 2,297 | 40,427 | ||||||
Taylor Morrison Home Corp. — Class A* | 1,768 | 38,984 | ||||||
Red Rock Resorts, Inc. — Class A | 1,683 | 38,978 | ||||||
Brinker International, Inc.1 | 1,219 | 38,837 | ||||||
Mobile Mini, Inc. | 1,089 | 37,516 | ||||||
Fox Factory Holding Corp.* | 868 | 37,411 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 2,071 | 36,408 | ||||||
Core-Mark Holding Company, Inc. | 1,130 | 36,318 | ||||||
Triton International Ltd. | 1,076 | 35,809 | ||||||
Group 1 Automotive, Inc.1 | 492 | 35,650 | ||||||
La Quinta Holdings, Inc.* | 2,021 | 35,368 | ||||||
RH*,1 | 498 | 35,019 | ||||||
DSW, Inc. — Class A | 1,628 | 34,969 | ||||||
Winnebago Industries, Inc. | 781 | 34,950 | ||||||
BMC Stock Holdings, Inc.* | 1,622 | 34,630 | ||||||
Installed Building Products, Inc.* | 534 | 34,603 | ||||||
MDC Holdings, Inc. | 1,031 | 34,240 | ||||||
Rush Enterprises, Inc. — Class A* | 737 | 34,116 | ||||||
Interface, Inc. — Class A | 1,542 | 33,770 | ||||||
Gentherm, Inc.* | 908 | 33,732 | ||||||
American Woodmark Corp.* | 349 | 33,592 | ||||||
Callaway Golf Co. | 2,317 | 33,434 | ||||||
Wabash National Corp. | 1,447 | 33,021 | ||||||
Steelcase, Inc. — Class A | 2,122 | 32,679 | ||||||
Vista Outdoor, Inc.* | 1,417 | 32,506 | ||||||
La-Z-Boy, Inc. | 1,196 | 32,172 | ||||||
Caleres, Inc. | 1,043 | 31,832 | ||||||
IMAX Corp.* | 1,389 | 31,461 | ||||||
Cavco Industries, Inc.* | 212 | 31,281 |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
HSN, Inc. | 799 | $ | 31,201 | |||||
Select Comfort Corp.* | 1,003 | 31,143 | ||||||
G-III Apparel Group Ltd.* | 1,073 | 31,138 | ||||||
Belmond Ltd. — Class A* | 2,217 | 30,262 | ||||||
Eldorado Resorts, Inc.* | 1,142 | 29,292 | ||||||
J.C. Penney Company, Inc.* | 7,686 | 29,284 | ||||||
Chico’s FAS, Inc. | 3,187 | 28,524 | ||||||
Asbury Automotive Group, Inc.* | 460 | 28,106 | ||||||
Pinnacle Entertainment, Inc.* | 1,311 | 27,937 | ||||||
Lumber Liquidators Holdings, Inc.* | 697 | 27,169 | ||||||
ScanSource, Inc.* | 614 | 26,801 | ||||||
Caesars Acquisition Co. — Class A* | 1,213 | 26,019 | ||||||
Oxford Industries, Inc. | 408 | 25,924 | ||||||
Standard Motor Products, Inc. | 534 | 25,766 | ||||||
Sonic Corp. | 1,003 | 25,526 | ||||||
Guess?, Inc.1 | 1,485 | 25,290 | ||||||
Abercrombie & Fitch Co. — Class A | 1,693 | 24,447 | ||||||
GMS, Inc.* | 681 | 24,107 | ||||||
Knoll, Inc. | 1,198 | 23,960 | ||||||
Wingstop, Inc. | 720 | 23,940 | ||||||
Camping World Holdings, Inc. — Class A | 582 | 23,711 | ||||||
Modine Manufacturing Co.* | 1,224 | 23,562 | ||||||
H&E Equipment Services, Inc. | 781 | 22,805 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 1,800 | 22,230 | ||||||
Universal Electronics, Inc.* | 350 | 22,190 | ||||||
International Speedway Corp. — Class A | 612 | 22,032 | ||||||
SeaWorld Entertainment, Inc.*,1 | 1,695 | 22,018 | ||||||
Douglas Dynamics, Inc. | 547 | 21,552 | ||||||
Red Robin Gourmet Burgers, Inc.* | 319 | 21,373 | ||||||
LGI Homes, Inc.* | 428 | 20,788 | ||||||
Denny’s Corp.* | 1,632 | 20,318 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 1,367 | 20,095 | ||||||
Ethan Allen Interiors, Inc. | 616 | 19,958 | ||||||
Dillard’s, Inc. — Class A1 | 347 | 19,456 | ||||||
Caesars Entertainment Corp.*,1 | 1,412 | 18,850 | ||||||
DineEquity, Inc. | 426 | 18,309 | ||||||
Shake Shack, Inc. — Class A* | 544 | 18,077 | ||||||
Kimball International, Inc. — Class B | 903 | 17,852 | ||||||
Crocs, Inc.*,1 | 1,833 | 17,780 | ||||||
Tailored Brands, Inc.1 | 1,217 | 17,573 | ||||||
PetMed Express, Inc. | 489 | 16,210 | ||||||
M/I Homes, Inc.* | 598 | 15,985 | ||||||
Malibu Boats, Inc. — Class A* | 505 | 15,978 | ||||||
BJ’s Restaurants, Inc.*,1 | 521 | 15,864 | ||||||
Ruth’s Hospitality Group, Inc. | 732 | 15,335 | ||||||
GNC Holdings, Inc. — Class A1 | 1,680 | 14,851 | ||||||
Beazer Homes USA, Inc.* | 775 | 14,524 | ||||||
Motorcar Parts of America, Inc.* | 463 | 13,640 | ||||||
William Lyon Homes — Class A* | 591 | 13,587 | ||||||
Unifi, Inc.* | 381 | 13,575 | ||||||
Hooker Furniture Corp. | 281 | 13,418 | ||||||
Tower International, Inc. | 489 | 13,301 | ||||||
Sonic Automotive, Inc. — Class A | 638 | 13,015 | ||||||
Wesco Aircraft Holdings, Inc.* | 1,381 | 12,981 | ||||||
Conn’s, Inc.* | 461 | 12,977 | ||||||
Express, Inc.* | 1,911 | 12,918 | ||||||
Marcus Corp. | 463 | 12,825 | ||||||
Nautilus, Inc.* | 748 | 12,641 | ||||||
Genesco, Inc.* | 475 | 12,635 | ||||||
Regis Corp.* | 880 | 12,558 | ||||||
Del Taco Restaurants, Inc.* | 817 | 12,533 | ||||||
Titan International, Inc. | 1,234 | 12,525 | ||||||
Tile Shop Holdings, Inc. | 986 | 12,522 | ||||||
Essendant, Inc. | 926 | 12,195 | ||||||
Haverty Furniture Companies, Inc. | 465 | 12,160 | ||||||
Fiesta Restaurant Group, Inc.* | 639 | 12,141 | ||||||
Buckle, Inc.1 | 713 | 12,014 | ||||||
Finish Line, Inc. — Class A1 | 985 | 11,850 | ||||||
EZCORP, Inc. — Class A* | 1,237 | 11,752 | ||||||
Century Communities, Inc.* | 473 | 11,683 | ||||||
Barnes & Noble, Inc. | 1,474 | 11,202 | ||||||
Horizon Global Corp.* | 616 | 10,866 | ||||||
National CineMedia, Inc. | 1,533 | 10,700 | ||||||
Monarch Casino & Resort, Inc.* | 268 | 10,594 | ||||||
Movado Group, Inc. | 376 | 10,528 | ||||||
Ascena Retail Group, Inc.* | 4,274 | 10,471 | ||||||
MarineMax, Inc.* | 623 | 10,311 | ||||||
Fossil Group, Inc.*,1 | 1,097 | 10,235 | ||||||
Acushnet Holdings Corp.1 | 573 | 10,176 | ||||||
Superior Industries International, Inc. | 610 | 10,157 | ||||||
Flexsteel Industries, Inc. | 189 | 9,582 | ||||||
Bassett Furniture Industries, Inc. | 252 | 9,500 | ||||||
Freshpet, Inc.* | 607 | 9,500 | ||||||
Spartan Motors, Inc. | 846 | 9,348 | ||||||
Carrols Restaurant Group, Inc.* | 855 | 9,320 | ||||||
MCBC Holdings, Inc.* | 456 | 9,293 | ||||||
Daktronics, Inc. | 879 | 9,291 | ||||||
Veritiv Corp.* | 284 | 9,230 | ||||||
Party City Holdco, Inc.* | 681 | 9,228 | ||||||
PICO Holdings, Inc.* | 550 | 9,185 | ||||||
REV Group, Inc. | 313 | 9,002 | ||||||
Eros International plc* | 623 | 8,909 | ||||||
Culp, Inc. | 269 | 8,810 | ||||||
Johnson Outdoors, Inc. — Class A | 120 | 8,794 | ||||||
Chuy’s Holdings, Inc.* | 411 | 8,652 | ||||||
Pier 1 Imports, Inc. | 2,003 | 8,393 | ||||||
Biglari Holdings, Inc.* | 25 | 8,332 | ||||||
Zumiez, Inc.* | 457 | 8,272 | ||||||
PC Connection, Inc. | 287 | 8,091 | ||||||
Winmark Corp. | 59 | 7,773 | ||||||
Cato Corp. — Class A1 | 582 | 7,700 | ||||||
Miller Industries, Inc. | 273 | 7,630 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 524 | 7,624 | ||||||
Systemax, Inc. | 285 | 7,533 | ||||||
Perry Ellis International, Inc.* | 317 | 7,500 | ||||||
America’s Car-Mart, Inc.* | 181 | 7,444 | ||||||
Hibbett Sports, Inc.* | 516 | 7,353 | ||||||
Titan Machinery, Inc.* | 460 | 7,144 | ||||||
Citi Trends, Inc. | 358 | 7,113 | ||||||
Iconix Brand Group, Inc.* | 1,240 | 7,056 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Potbelly Corp.* | 567 | $ | 7,031 | |||||
Francesca’s Holdings Corp.* | 925 | 6,808 | ||||||
Reading International, Inc. — Class A* | 417 | 6,555 | ||||||
Habit Restaurants, Inc. — Class A* | 500 | 6,525 | ||||||
Shoe Carnival, Inc.1 | 288 | 6,445 | ||||||
Golden Entertainment, Inc.* | 261 | 6,363 | ||||||
Barnes & Noble Education, Inc.* | 947 | 6,165 | ||||||
Speedway Motorsports, Inc. | 288 | 6,134 | ||||||
El Pollo Loco Holdings, Inc.* | 504 | 6,124 | ||||||
Zoe’s Kitchen, Inc.* | 473 | 5,974 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 3,061 | 5,908 | ||||||
Bojangles’, Inc.* | 434 | 5,859 | ||||||
Fred’s, Inc. — Class A1 | 891 | 5,738 | ||||||
Green Brick Partners, Inc.* | 571 | 5,653 | ||||||
RCI Hospitality Holdings, Inc. | 225 | 5,569 | ||||||
Drive Shack, Inc. | 1,540 | 5,559 | ||||||
Rush Enterprises, Inc. — Class B* | 126 | 5,496 | ||||||
Lindblad Expeditions Holdings, Inc.* | 497 | 5,318 | ||||||
Nathan’s Famous, Inc.* | 71 | 5,250 | ||||||
Foundation Building Materials, Inc.* | 368 | 5,204 | ||||||
AV Homes, Inc.* | 302 | 5,179 | ||||||
Libbey, Inc. | 543 | 5,028 | ||||||
PetIQ, Inc.* | 180 | 4,874 | ||||||
Duluth Holdings, Inc. — Class B* | 238 | 4,829 | ||||||
Superior Uniform Group, Inc. | 208 | 4,763 | ||||||
Nexeo Solutions, Inc.* | 651 | 4,752 | ||||||
Commercial Vehicle Group, Inc.* | 623 | 4,579 | ||||||
Weyco Group, Inc. | 156 | 4,427 | ||||||
Lifetime Brands, Inc. | 241 | 4,410 | ||||||
Vera Bradley, Inc.* | 498 | 4,387 | ||||||
Kirkland’s, Inc.* | 379 | 4,332 | ||||||
Century Casinos, Inc.* | 523 | 4,294 | ||||||
VOXX International Corp. — Class A* | 497 | 4,249 | ||||||
Huttig Building Products, Inc.* | 590 | 4,165 | ||||||
Sportsman’s Warehouse Holdings, Inc.*,1 | 896 | 4,041 | ||||||
Big 5 Sporting Goods Corp.1 | 514 | 3,932 | ||||||
Tilly’s, Inc. — Class A | 320 | 3,837 | ||||||
Clarus Corp.* | 509 | 3,818 | ||||||
Blue Bird Corp.* | 180 | 3,708 | ||||||
J Alexander’s Holdings, Inc.* | 319 | 3,700 | ||||||
Delta Apparel, Inc.* | 170 | 3,657 | ||||||
Escalade, Inc. | 263 | 3,577 | ||||||
Red Lion Hotels Corp.* | 410 | 3,547 | ||||||
PCM, Inc.* | 249 | 3,486 | ||||||
New Home Company, Inc.* | 306 | 3,415 | ||||||
J. Jill, Inc.*,1 | 292 | 3,180 | ||||||
Ruby Tuesday, Inc.* | 1,466 | 3,137 | ||||||
Marine Products Corp. | 194 | 3,114 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 337 | 3,084 | ||||||
Sequential Brands Group, Inc.* | 984 | 2,942 | ||||||
Castle Brands, Inc.*,1 | 2,195 | 2,941 | ||||||
Fogo De Chao, Inc.* | 233 | 2,889 | ||||||
At Home Group, Inc.* | 126 | 2,878 | ||||||
Vitamin Shoppe, Inc.* | 529 | 2,830 | ||||||
Boot Barn Holdings, Inc.*,1 | 303 | 2,697 | ||||||
Gaia, Inc.* | 217 | 2,604 | ||||||
EnviroStar, Inc. | 87 | 2,406 | ||||||
Sears Holdings Corp.* | 295 | 2,154 | ||||||
Empire Resorts, Inc.* | 84 | 1,877 | ||||||
Container Store Group, Inc.* | 397 | 1,671 | ||||||
Inspired Entertainment, Inc.* | 98 | 1,299 | ||||||
Noodles & Co.* | 290 | 1,276 | ||||||
CompX International, Inc. | 41 | 625 | ||||||
Total Consumer, Cyclical | 5,807,738 | |||||||
Technology - 7.9% | ||||||||
MKS Instruments, Inc. | 1,335 | 126,092 | ||||||
Aspen Technology, Inc.* | 1,860 | 116,826 | ||||||
Medidata Solutions, Inc.* | 1,397 | 109,049 | ||||||
EPAM Systems, Inc.* | 1,218 | 107,098 | ||||||
Fair Isaac Corp. | 755 | 106,077 | ||||||
Monolithic Power Systems, Inc. | 989 | 105,378 | ||||||
Blackbaud, Inc. | 1,181 | 103,691 | ||||||
MAXIMUS, Inc. | 1,591 | 102,619 | ||||||
Entegris, Inc.* | 3,520 | 101,552 | ||||||
Paycom Software, Inc.* | 1,221 | 91,525 | ||||||
Integrated Device Technology, Inc.* | 3,320 | 88,246 | ||||||
Cirrus Logic, Inc.* | 1,598 | 85,205 | ||||||
j2 Global, Inc. | 1,151 | 85,036 | ||||||
CACI International, Inc. — Class A* | 605 | 84,306 | ||||||
Silicon Laboratories, Inc.* | 1,040 | 83,096 | ||||||
Lumentum Holdings, Inc.* | 1,510 | 82,068 | ||||||
Science Applications International Corp. | 1,085 | 72,532 | ||||||
HubSpot, Inc.* | 845 | 71,022 | ||||||
NetScout Systems, Inc.* | 2,148 | 69,488 | ||||||
ACI Worldwide, Inc.* | 2,888 | 65,789 | ||||||
Verint Systems, Inc.* | 1,550 | 64,868 | ||||||
Allscripts Healthcare Solutions, Inc.* | 4,500 | 64,035 | ||||||
2U, Inc.* | 1,085 | 60,803 | ||||||
Semtech Corp.* | 1,607 | 60,343 | ||||||
Convergys Corp. | 2,328 | 60,272 | ||||||
Mercury Systems, Inc.* | 1,161 | 60,233 | ||||||
CommVault Systems, Inc.* | 974 | 59,219 | ||||||
RealPage, Inc.* | 1,454 | 58,015 | ||||||
VeriFone Systems, Inc.* | 2,760 | 55,973 | ||||||
Envestnet, Inc.* | 1,067 | 54,417 | ||||||
Cornerstone OnDemand, Inc.* | 1,290 | 52,387 | ||||||
Pegasystems, Inc. | 908 | 52,346 | ||||||
Power Integrations, Inc. | 711 | 52,045 | ||||||
Brooks Automation, Inc. | 1,704 | 51,733 | ||||||
Cabot Microelectronics Corp. | 617 | 49,317 | ||||||
Electronics for Imaging, Inc.* | 1,147 | 48,954 | ||||||
Acxiom Corp.* | 1,963 | 48,368 | ||||||
ExlService Holdings, Inc.* | 811 | 47,298 | ||||||
Omnicell, Inc.* | 910 | 46,456 | ||||||
Twilio, Inc. — Class A*,1 | 1,540 | 45,969 | ||||||
Progress Software Corp. | 1,180 | 45,041 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 1,005 | 44,833 | ||||||
Diebold Nixdorf, Inc.1 | 1,873 | 42,798 | ||||||
Inphi Corp.* | 1,041 | 41,317 | ||||||
Insight Enterprises, Inc.* | 882 | 40,501 | ||||||
Qualys, Inc.* | 778 | 40,300 |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Ambarella, Inc.*,1 | 804 | $ | 39,404 | |||||
Callidus Software, Inc.* | 1,597 | 39,366 | ||||||
Ebix, Inc.1 | 595 | 38,824 | ||||||
Box, Inc. — Class A* | 2,005 | 38,737 | ||||||
BroadSoft, Inc.* | 761 | 38,278 | ||||||
New Relic, Inc.* | 750 | 37,350 | ||||||
Pure Storage, Inc. — Class A*,1 | 2,306 | 36,873 | ||||||
3D Systems Corp.*,1 | 2,707 | 36,247 | ||||||
Rambus, Inc.* | 2,686 | 35,858 | ||||||
MaxLinear, Inc. — Class A* | 1,491 | 35,411 | ||||||
Synaptics, Inc.* | 854 | 33,460 | ||||||
CSG Systems International, Inc. | 826 | 33,123 | ||||||
Cotiviti Holdings, Inc.* | 909 | 32,706 | ||||||
Nutanix, Inc. — Class A*,1 | 1,406 | 31,480 | ||||||
Bottomline Technologies de, Inc.* | 986 | 31,384 | ||||||
Five9, Inc.* | 1,291 | 30,855 | ||||||
Xperi Corp. | 1,213 | 30,689 | ||||||
FormFactor, Inc.* | 1,783 | 30,044 | ||||||
MicroStrategy, Inc. — Class A* | 235 | 30,012 | ||||||
Stratasys Ltd.* | 1,238 | 28,623 | ||||||
Sykes Enterprises, Inc.* | 972 | 28,344 | ||||||
Diodes, Inc.* | 946 | 28,314 | ||||||
ManTech International Corp. — Class A | 638 | 28,168 | ||||||
MINDBODY, Inc. — Class A* | 1,052 | 27,194 | ||||||
Amkor Technology, Inc.* | 2,524 | 26,628 | ||||||
Inovalon Holdings, Inc. — Class A* | 1,553 | 26,479 | ||||||
Virtusa Corp.* | 670 | 25,313 | ||||||
Veeco Instruments, Inc.* | 1,169 | 25,017 | ||||||
Ultra Clean Holdings, Inc.* | 815 | 24,955 | ||||||
Coupa Software, Inc.* | 770 | 23,986 | ||||||
SPS Commerce, Inc.* | 418 | 23,705 | ||||||
Evolent Health, Inc. — Class A*,1 | 1,305 | 23,229 | ||||||
CEVA, Inc.* | 531 | 22,727 | ||||||
MTS Systems Corp. | 416 | 22,235 | ||||||
Vocera Communications, Inc.* | 693 | 21,739 | ||||||
Super Micro Computer, Inc.* | 965 | 21,327 | ||||||
Hortonworks, Inc.* | 1,243 | 21,069 | ||||||
Quality Systems, Inc.* | 1,314 | 20,669 | ||||||
Rudolph Technologies, Inc.* | 774 | 20,356 | ||||||
Axcelis Technologies, Inc.* | 744 | 20,348 | ||||||
Varonis Systems, Inc.* | 474 | 19,861 | ||||||
Monotype Imaging Holdings, Inc. | 1,030 | 19,828 | ||||||
Cray, Inc.* | 993 | 19,314 | ||||||
Impinj, Inc.*,1 | 446 | 18,558 | ||||||
LivePerson, Inc.* | 1,343 | 18,198 | ||||||
Donnelley Financial Solutions, Inc.* | 830 | 17,895 | ||||||
Instructure, Inc.* | 535 | 17,735 | ||||||
Nanometrics, Inc.* | 596 | 17,165 | ||||||
Silver Spring Networks, Inc.* | 1,036 | 16,752 | ||||||
Cohu, Inc. | 681 | 16,235 | ||||||
Syntel, Inc.* | 819 | 16,093 | ||||||
Lattice Semiconductor Corp.* | 3,041 | 15,844 | ||||||
PROS Holdings, Inc.* | 651 | 15,709 | ||||||
Engility Holdings, Inc.* | 447 | 15,502 | ||||||
CommerceHub, Inc.* | 720 | 15,372 | ||||||
IXYS Corp.* | 639 | 15,144 | ||||||
Barracuda Networks, Inc.* | 623 | 15,095 | ||||||
Photronics, Inc.* | 1,656 | 14,656 | ||||||
TeleTech Holdings, Inc. | 344 | 14,362 | ||||||
SMART Global Holdings, Inc.* | 505 | 13,524 | ||||||
Carbonite, Inc.* | 612 | 13,464 | ||||||
Blackline, Inc.* | 389 | 13,273 | ||||||
Benefitfocus, Inc.*,1 | 394 | 13,258 | ||||||
Xcerra Corp.* | 1,326 | 13,061 | ||||||
Workiva, Inc.* | 615 | 12,823 | ||||||
InnerWorkings, Inc.* | 1,121 | 12,611 | ||||||
MuleSoft, Inc. — Class A* | 602 | 12,124 | ||||||
Actua Corp.* | 757 | 11,582 | ||||||
Everbridge, Inc.* | 420 | 11,096 | ||||||
PDF Solutions, Inc.* | 691 | 10,704 | ||||||
Unisys Corp.* | 1,247 | 10,600 | ||||||
Bazaarvoice, Inc.* | 2,065 | 10,222 | ||||||
Apptio, Inc. — Class A* | 551 | 10,177 | ||||||
Synchronoss Technologies, Inc.* | 1,056 | 9,852 | ||||||
Glu Mobile, Inc.*,1 | 2,572 | 9,671 | ||||||
Appfolio, Inc. — Class A* | 198 | 9,494 | ||||||
KeyW Holding Corp.*,1 | 1,194 | 9,086 | ||||||
Digimarc Corp.*,1 | 247 | 9,040 | ||||||
Model N, Inc.* | 578 | 8,641 | ||||||
AXT, Inc.* | 922 | 8,436 | ||||||
QAD, Inc. — Class A | 244 | 8,381 | ||||||
Exa Corp.* | 344 | 8,318 | ||||||
Computer Programs & Systems, Inc. | 277 | 8,185 | ||||||
CommerceHub, Inc.* | 340 | 7,674 | ||||||
Alpha & Omega Semiconductor Ltd.* | 464 | 7,651 | ||||||
American Software, Inc. — Class A | 666 | 7,566 | ||||||
USA Technologies, Inc.* | 1,164 | 7,275 | ||||||
Mitek Systems, Inc.* | 764 | 7,258 | ||||||
DSP Group, Inc.* | 541 | 7,033 | ||||||
pdvWireless, Inc.* | 234 | 6,973 | ||||||
Digi International, Inc.* | 655 | 6,943 | ||||||
Castlight Health, Inc. — Class B* | 1,585 | 6,816 | ||||||
Presidio, Inc.* | 471 | 6,665 | ||||||
Kopin Corp.* | 1,525 | 6,359 | ||||||
Tabula Rasa HealthCare, Inc.* | 231 | 6,177 | ||||||
Brightcove, Inc.* | 840 | 6,048 | ||||||
DMC Global, Inc. | 350 | 5,915 | ||||||
Immersion Corp.* | 721 | 5,891 | ||||||
Cloudera, Inc.*,1 | 354 | 5,883 | ||||||
Sigma Designs, Inc.* | 929 | 5,853 | ||||||
EMCORE Corp.* | 667 | 5,469 | ||||||
MobileIron, Inc.* | 1,387 | 5,132 | ||||||
Maxwell Technologies, Inc.* | 894 | 4,586 | ||||||
Agilysys, Inc.* | 380 | 4,541 | ||||||
Planet Payment, Inc.* | 1,046 | 4,487 | ||||||
Alteryx, Inc. — Class A* | 220 | 4,481 | ||||||
Quantum Corp.* | 705 | 4,315 | ||||||
Rosetta Stone, Inc.* | 420 | 4,288 | ||||||
Upland Software, Inc.* | 201 | 4,253 | ||||||
Simulations Plus, Inc. | 271 | 4,201 | ||||||
Park City Group, Inc.* | 324 | 3,937 | ||||||
Amber Road, Inc.* | 497 | 3,817 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Pixelworks, Inc.* | 808 | $ | 3,806 | |||||
Avid Technology, Inc.* | 828 | 3,759 | ||||||
ExOne Co.* | 276 | 3,135 | ||||||
Veritone, Inc.* | 67 | 3,045 | ||||||
Eastman Kodak Co.* | 409 | 3,006 | ||||||
StarTek, Inc.* | 252 | 2,961 | ||||||
GSI Technology, Inc.* | 364 | 2,646 | ||||||
SecureWorks Corp. — Class A* | 200 | 2,470 | ||||||
Cogint, Inc.* | 501 | 2,455 | ||||||
NantHealth, Inc.* | 442 | 1,821 | ||||||
Radisys Corp.* | 913 | 1,251 | ||||||
Tintri, Inc.* | 240 | 754 | ||||||
Majesco* | 138 | 689 | ||||||
Total Technology | 5,151,288 | |||||||
Communications - 4.9% | ||||||||
GrubHub, Inc.* | 2,129 | 112,112 | ||||||
Proofpoint, Inc.* | 1,081 | 94,285 | ||||||
ViaSat, Inc.*,1 | 1,319 | 84,837 | ||||||
Yelp, Inc. — Class A* | 1,924 | 83,309 | ||||||
Stamps.com, Inc.* | 392 | 79,439 | ||||||
Ciena Corp.* | 3,496 | 76,806 | ||||||
Nexstar Media Group, Inc. — Class A | 1,126 | 70,149 | ||||||
Zendesk, Inc.* | 2,408 | 70,097 | ||||||
RingCentral, Inc. — Class A* | 1,546 | 64,546 | ||||||
InterDigital, Inc. | 858 | 63,278 | ||||||
Finisar Corp.* | 2,825 | 62,630 | ||||||
New York Times Co. — Class A | 3,111 | 60,976 | ||||||
TiVo Corp. | 2,909 | 57,744 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 1,789 | 57,337 | ||||||
Meredith Corp. | 980 | 54,390 | ||||||
DigitalGlobe, Inc.* | 1,531 | 53,968 | ||||||
Viavi Solutions, Inc.* | 5,671 | 53,648 | ||||||
Cogent Communications Holdings, Inc. | 1,031 | 50,416 | ||||||
Etsy, Inc.* | 2,867 | 48,395 | ||||||
Cars.com, Inc.*,1 | 1,784 | 47,472 | ||||||
Straight Path Communications, Inc. — Class B* | 243 | 43,903 | ||||||
Groupon, Inc. — Class A* | 8,415 | 43,758 | ||||||
Shenandoah Telecommunications Co. | 1,151 | 42,817 | ||||||
Shutterfly, Inc.* | 833 | 40,384 | ||||||
Vonage Holdings Corp.* | 4,950 | 40,293 | ||||||
Gigamon, Inc.* | 912 | 38,441 | ||||||
NETGEAR, Inc.* | 799 | 38,032 | ||||||
Plantronics, Inc. | 825 | 36,482 | ||||||
Trade Desk, Inc. — Class A* | 587 | 36,106 | ||||||
Imperva, Inc.* | 829 | 35,979 | ||||||
Oclaro, Inc.*,1 | 4,103 | 35,409 | ||||||
Chegg, Inc.* | 2,359 | 35,008 | ||||||
Time, Inc. | 2,480 | 33,480 | ||||||
Q2 Holdings, Inc.* | 776 | 32,320 | ||||||
Extreme Networks, Inc.* | 2,704 | 32,151 | ||||||
Ubiquiti Networks, Inc.*,1 | 573 | 32,099 | ||||||
Infinera Corp.* | 3,586 | 31,808 | ||||||
MSG Networks, Inc. — Class A* | 1,484 | 31,461 | ||||||
Consolidated Communications Holdings, Inc. | 1,619 | 30,891 | ||||||
Houghton Mifflin Harcourt Co.* | 2,562 | 30,872 | ||||||
ePlus, Inc.* | 325 | 30,046 | ||||||
8x8, Inc.* | 2,187 | 29,525 | ||||||
ADTRAN, Inc. | 1,203 | 28,872 | ||||||
Quotient Technology, Inc.* | 1,825 | 28,561 | ||||||
EW Scripps Co. — Class A* | 1,433 | 27,385 | ||||||
NIC, Inc. | 1,589 | 27,251 | ||||||
TrueCar, Inc.* | 1,717 | 27,111 | ||||||
Blucora, Inc.* | 1,069 | 27,046 | ||||||
General Communication, Inc. — Class A* | 659 | 26,881 | ||||||
Scholastic Corp. | 701 | 26,077 | ||||||
Gannett Company, Inc. | 2,832 | 25,488 | ||||||
West Corp. | 1,072 | 25,160 | ||||||
Gray Television, Inc.* | 1,586 | 24,900 | ||||||
GTT Communications, Inc.* | 767 | 24,276 | ||||||
Web.com Group, Inc.* | 951 | 23,775 | ||||||
Frontier Communications Corp.1 | 1,949 | 22,979 | ||||||
World Wrestling Entertainment, Inc. — Class A | 964 | 22,702 | ||||||
Acacia Communications, Inc.*,1 | 458 | 21,572 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 850 | 21,480 | ||||||
Iridium Communications, Inc.*,1 | 2,076 | 21,383 | ||||||
Cincinnati Bell, Inc.* | 1,040 | 20,644 | ||||||
CalAmp Corp.* | 857 | 19,925 | ||||||
Boingo Wireless, Inc.* | 901 | 19,254 | ||||||
New Media Investment Group, Inc. | 1,267 | 18,739 | ||||||
Globalstar, Inc.*,1 | 11,482 | 18,716 | ||||||
ORBCOMM, Inc.* | 1,664 | 17,422 | ||||||
Perficient, Inc.* | 850 | 16,720 | ||||||
Gogo, Inc.* | 1,412 | 16,676 | ||||||
Bankrate, Inc.* | 1,170 | 16,322 | ||||||
Loral Space & Communications, Inc.* | 318 | 15,741 | ||||||
Shutterstock, Inc.* | 460 | 15,313 | ||||||
MDC Partners, Inc. — Class A* | 1,377 | 15,147 | ||||||
HealthStream, Inc.* | 639 | 14,933 | ||||||
ATN International, Inc. | 263 | 13,860 | ||||||
Tucows, Inc. — Class A* | 225 | 13,174 | ||||||
Angie’s List, Inc.* | 1,016 | 12,659 | ||||||
Overstock.com, Inc.* | 416 | 12,355 | ||||||
XO Group, Inc.* | 609 | 11,979 | ||||||
Endurance International Group Holdings, Inc.* | 1,437 | 11,783 | ||||||
Comtech Telecommunications Corp. | 569 | 11,682 | ||||||
Lumos Networks Corp.* | 545 | 9,766 | ||||||
Okta, Inc.*,1 | 335 | 9,450 | ||||||
Entravision Communications Corp. — Class A | 1,641 | 9,354 | ||||||
A10 Networks, Inc.* | 1,214 | 9,178 | ||||||
Rapid7, Inc.* | 517 | 9,099 | ||||||
VASCO Data Security International, Inc.* | 750 | 9,038 | ||||||
Sonus Networks, Inc.* | 1,176 | 8,996 | ||||||
Quantenna Communications, Inc.* | 523 | 8,792 | ||||||
Internap Corp.* | 1,979 | 8,609 |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Windstream Holdings, Inc. | 4,722 | $ | 8,358 | |||||
Central European Media Enterprises Ltd. — Class A* | 2,042 | 8,270 | ||||||
Entercom Communications Corp. — Class A1 | 694 | 7,946 | ||||||
WideOpenWest, Inc.* | 525 | 7,917 | ||||||
Spok Holdings, Inc. | 492 | 7,552 | ||||||
Limelight Networks, Inc.* | 1,864 | 7,400 | ||||||
ChannelAdvisor Corp.* | 628 | 7,222 | ||||||
tronc, Inc.* | 485 | 7,047 | ||||||
QuinStreet, Inc.* | 906 | 6,659 | ||||||
Zix Corp.* | 1,326 | 6,484 | ||||||
1-800-Flowers.com, Inc. — Class A* | 647 | 6,373 | ||||||
Liberty Media Corporation-Liberty Braves — Class A* | 247 | 6,266 | ||||||
Daily Journal Corp.* | 28 | 6,121 | ||||||
IDT Corp. — Class B | 431 | 6,068 | ||||||
Meet Group, Inc.* | 1,659 | 6,039 | ||||||
Harmonic, Inc.* | 1,965 | 5,993 | ||||||
TechTarget, Inc.* | 486 | 5,803 | ||||||
RigNet, Inc.* | 327 | 5,624 | ||||||
FTD Companies, Inc.* | 418 | 5,451 | ||||||
Calix, Inc.* | 1,064 | 5,373 | ||||||
HC2 Holdings, Inc.* | 1,010 | 5,333 | ||||||
Preformed Line Products Co. | 76 | 5,115 | ||||||
Carvana Co.* | 342 | 5,021 | ||||||
VirnetX Holding Corp.* | 1,258 | 4,906 | ||||||
Telenav, Inc.* | 758 | 4,813 | ||||||
Hemisphere Media Group, Inc.* | 386 | 4,613 | ||||||
KVH Industries, Inc.* | 386 | 4,613 | ||||||
NeoPhotonics Corp.* | 800 | 4,448 | ||||||
Ooma, Inc.* | 420 | 4,431 | ||||||
Hawaiian Telcom Holdco, Inc.* | 148 | 4,413 | ||||||
Lands’ End, Inc.*,1 | 329 | 4,343 | ||||||
Global Eagle Entertainment, Inc.* | 1,265 | 4,326 | ||||||
Rubicon Project, Inc.* | 1,099 | 4,275 | ||||||
Saga Communications, Inc. — Class A | 93 | 4,241 | ||||||
Intelsat S.A.* | 899 | 4,225 | ||||||
Yext, Inc.* | 311 | 4,130 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 885 | 4,115 | ||||||
Reis, Inc. | 225 | 4,050 | ||||||
Clearfield, Inc.* | 285 | 3,876 | ||||||
Corindus Vascular Robotics, Inc.* | 2,525 | 3,838 | ||||||
Liquidity Services, Inc.* | 634 | 3,741 | ||||||
Aerohive Networks, Inc.* | 793 | 3,243 | ||||||
DHI Group, Inc.* | 1,201 | 3,123 | ||||||
RealNetworks, Inc.* | 602 | 2,890 | ||||||
Townsquare Media, Inc. — Class A* | 218 | 2,180 | ||||||
Leaf Group Ltd.* | 293 | 2,022 | ||||||
Salem Media Group, Inc. — Class A | 288 | 1,901 | ||||||
Ominto, Inc.* | 336 | 1,512 | ||||||
Beasley Broadcast Group, Inc. — Class A | 121 | 1,416 | ||||||
Value Line, Inc. | 27 | 476 | ||||||
Total Communications | 3,220,919 | |||||||
Energy - 2.8% | ||||||||
PDC Energy, Inc.* | 1,638 | 80,310 | ||||||
Matador Resources Co.* | 2,225 | 60,408 | ||||||
Callon Petroleum Co.* | 4,994 | 56,133 | ||||||
Oasis Petroleum, Inc.* | 5,831 | 53,179 | ||||||
Delek US Holdings, Inc. | 1,930 | 51,589 | ||||||
McDermott International, Inc.* | 7,016 | 51,005 | ||||||
SRC Energy, Inc.* | 4,977 | 48,128 | ||||||
SemGroup Corp. — Class A | 1,645 | 47,294 | ||||||
Ensco plc — Class A1 | 7,551 | 45,079 | ||||||
Peabody Energy Corp.* | 1,537 | 44,587 | ||||||
Pattern Energy Group, Inc. | 1,744 | 42,031 | ||||||
Ultra Petroleum Corp.* | 4,834 | 41,911 | ||||||
Dril-Quip, Inc.* | 939 | 41,456 | ||||||
Superior Energy Services, Inc.* | 3,772 | 40,285 | ||||||
MRC Global, Inc.* | 2,214 | 38,723 | ||||||
Arch Coal, Inc. — Class A | 528 | 37,879 | ||||||
Rowan Companies plc — Class A* | 2,890 | 37,137 | ||||||
NOW, Inc.* | 2,651 | 36,610 | ||||||
C&J Energy Services, Inc.* | 1,150 | 34,466 | ||||||
Carrizo Oil & Gas, Inc.* | 1,917 | 32,838 | ||||||
Oil States International, Inc.* | 1,259 | 31,916 | ||||||
Noble Corporation plc* | 6,050 | 27,830 | ||||||
Forum Energy Technologies, Inc.* | 1,709 | 27,173 | ||||||
TerraForm Power, Inc. — Class A* | 2,023 | 26,744 | ||||||
Unit Corp.* | 1,283 | 26,404 | ||||||
Helix Energy Solutions Group, Inc.* | 3,484 | 25,747 | ||||||
Exterran Corp.* | 795 | 25,130 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 1,603 | 23,244 | ||||||
Halcon Resources Corp.* | 3,203 | 21,780 | ||||||
Archrock, Inc. | 1,731 | 21,724 | ||||||
Newpark Resources, Inc.* | 2,086 | 20,860 | ||||||
Green Plains, Inc. | 975 | 19,646 | ||||||
Jagged Peak Energy, Inc.*,1 | 1,420 | 19,397 | ||||||
SEACOR Holdings, Inc.* | 400 | 18,444 | ||||||
Ring Energy, Inc.* | 1,238 | 17,939 | ||||||
Atwood Oceanics, Inc.*,1 | 1,901 | 17,850 | ||||||
SandRidge Energy, Inc.* | 865 | 17,378 | ||||||
Bonanza Creek Energy, Inc.* | 503 | 16,594 | ||||||
Par Pacific Holdings, Inc.* | 787 | 16,370 | ||||||
Resolute Energy Corp.* | 538 | 15,973 | ||||||
Tellurian, Inc.* | 1,430 | 15,272 | ||||||
SunCoke Energy, Inc.* | 1,596 | 14,587 | ||||||
Plug Power, Inc.*,1 | 5,535 | 14,446 | ||||||
Thermon Group Holdings, Inc.* | 798 | 14,356 | ||||||
Penn Virginia Corp.* | 353 | 14,113 | ||||||
Stone Energy Corp.* | 483 | 14,036 | ||||||
Keane Group, Inc.*,1 | 835 | 13,928 | ||||||
REX American Resources Corp.* | 144 | 13,512 | ||||||
Denbury Resources, Inc.* | 9,850 | 13,199 | ||||||
Sunrun, Inc.* | 2,105 | 11,683 | ||||||
Renewable Energy Group, Inc.* | 943 | 11,457 | ||||||
California Resources Corp.*,1 | 1,056 | 11,046 | ||||||
TerraForm Global, Inc. — Class A* | 2,211 | 10,502 | ||||||
ProPetro Holding Corp.* | 718 | 10,303 | ||||||
CVR Energy, Inc.1 | 391 | 10,127 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Matrix Service Co.* | 650 | $ | 9,880 | |||||
Warrior Met Coal, Inc. | 417 | 9,829 | ||||||
FutureFuel Corp. | 620 | 9,759 | ||||||
Frank’s International N.V. | 1,234 | 9,526 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 389 | 9,258 | ||||||
Natural Gas Services Group, Inc.* | 307 | 8,719 | ||||||
NACCO Industries, Inc. — Class A | 101 | 8,666 | ||||||
Sanchez Energy Corp.*,1 | 1,757 | 8,469 | ||||||
Clean Energy Fuels Corp.* | 3,381 | 8,385 | ||||||
Basic Energy Services, Inc.*,1 | 431 | 8,318 | ||||||
TETRA Technologies, Inc.* | 2,836 | 8,111 | ||||||
Bill Barrett Corp.* | 1,870 | 8,022 | ||||||
Energy XXI Gulf Coast, Inc.* | 733 | 7,579 | ||||||
Bristow Group, Inc.1 | 802 | 7,499 | ||||||
WildHorse Resource Development Corp.*,1 | 533 | 7,100 | ||||||
W&T Offshore, Inc.*,1 | 2,323 | 7,085 | ||||||
Abraxas Petroleum Corp.* | 3,753 | 7,056 | ||||||
Cloud Peak Energy, Inc.* | 1,832 | 6,705 | ||||||
Trecora Resources* | 487 | 6,477 | ||||||
Flotek Industries, Inc.* | 1,370 | 6,371 | ||||||
NCS Multistage Holdings, Inc.* | 263 | 6,333 | ||||||
Tesco Corp.* | 1,149 | 6,262 | ||||||
Pacific Ethanol, Inc.* | 1,069 | 5,933 | ||||||
TPI Composites, Inc.* | 265 | 5,920 | ||||||
Geospace Technologies Corp.* | 325 | 5,792 | ||||||
Era Group, Inc.* | 488 | 5,461 | ||||||
Eclipse Resources Corp.* | 2,165 | 5,413 | ||||||
Earthstone Energy, Inc. — Class A* | 481 | 5,286 | ||||||
CARBO Ceramics, Inc.* | 569 | 4,910 | ||||||
Pioneer Energy Services Corp.* | 1,886 | 4,809 | ||||||
Lilis Energy, Inc.* | 1,060 | 4,738 | ||||||
Evolution Petroleum Corp. | 627 | 4,514 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 258 | 4,497 | ||||||
Midstates Petroleum Company, Inc.* | 277 | 4,305 | ||||||
Gulf Island Fabrication, Inc. | 338 | 4,293 | ||||||
SilverBow Resources, Inc.* | 173 | 4,247 | ||||||
Gastar Exploration, Inc.* | 4,324 | 3,803 | ||||||
Parker Drilling Co.* | 3,327 | 3,660 | ||||||
Select Energy Services, Inc. — Class A* | 229 | 3,646 | ||||||
Willbros Group, Inc.* | 1,086 | 3,497 | ||||||
PHI, Inc.* | 289 | 3,399 | ||||||
Key Energy Services, Inc.*,1 | 256 | 3,372 | ||||||
Mammoth Energy Services, Inc.* | 199 | 3,355 | ||||||
Independence Contract Drilling, Inc.* | 849 | 3,226 | ||||||
EP Energy Corp. — Class A*,1 | 953 | 3,107 | ||||||
Contango Oil & Gas Co.* | 585 | 2,943 | ||||||
Approach Resources, Inc.*,1 | 1,066 | 2,676 | ||||||
Jones Energy, Inc. — Class A* | 1,255 | 2,410 | ||||||
Hallador Energy Co. | 397 | 2,271 | ||||||
Adams Resources & Energy, Inc. | 54 | 2,241 | ||||||
Vivint Solar, Inc.* | 645 | 2,193 | ||||||
Ranger Energy Services, Inc.* | 147 | 2,161 | ||||||
Isramco, Inc.* | 18 | 2,088 | ||||||
Westmoreland Coal Co.* | 458 | 1,168 | ||||||
Ramaco Resources, Inc.* | 150 | 995 | ||||||
Rosehill Resources, Inc.* | 62 | 510 | ||||||
Cobalt International Energy, Inc.* | 1 | 1 | ||||||
EXCO Resources, Inc.* | 1 | 1 | ||||||
Total Energy | 1,850,008 | |||||||
Basic Materials - 2.7% | ||||||||
Sensient Technologies Corp. | 1,097 | 84,380 | ||||||
PolyOne Corp. | 2,017 | 80,740 | ||||||
HB Fuller Co. | 1,250 | 72,575 | ||||||
Ingevity Corp.* | 1,054 | 65,843 | ||||||
Allegheny Technologies, Inc.*,1 | 2,693 | 64,363 | ||||||
Balchem Corp. | 785 | 63,813 | ||||||
US Silica Holdings, Inc. | 2,024 | 62,886 | ||||||
Minerals Technologies, Inc. | 871 | 61,536 | ||||||
Carpenter Technology Corp. | 1,149 | 55,186 | ||||||
GCP Applied Technologies, Inc.* | 1,777 | 54,554 | ||||||
Compass Minerals International, Inc.1 | 840 | 54,516 | ||||||
Commercial Metals Co. | 2,864 | 54,502 | ||||||
Cleveland-Cliffs, Inc.* | 7,383 | 52,788 | ||||||
Hecla Mining Co. | 9,765 | 49,020 | ||||||
Quaker Chemical Corp. | 322 | 47,640 | ||||||
Ferro Corp.* | 2,075 | 46,273 | ||||||
AK Steel Holding Corp.* | 7,815 | 43,686 | ||||||
Kaiser Aluminum Corp. | 410 | 42,287 | ||||||
Stepan Co. | 494 | 41,328 | ||||||
Coeur Mining, Inc.* | 4,487 | 41,236 | ||||||
Innospec, Inc. | 594 | 36,620 | ||||||
Neenah Paper, Inc. | 412 | 35,246 | ||||||
Tronox Ltd. — Class A | 1,649 | 34,794 | ||||||
Schweitzer-Mauduit International, Inc. | 754 | 31,261 | ||||||
Kraton Corp.* | 743 | 30,047 | ||||||
AdvanSix, Inc.* | 742 | 29,495 | ||||||
Calgon Carbon Corp. | 1,252 | 26,793 | ||||||
A. Schulman, Inc. | 708 | 24,178 | ||||||
Deltic Timber Corp. | 272 | 24,053 | ||||||
Koppers Holdings, Inc.* | 511 | 23,583 | ||||||
Innophos Holdings, Inc. | 479 | 23,562 | ||||||
Materion Corp. | 494 | 21,316 | ||||||
PH Glatfelter Co. | 1,076 | 20,928 | ||||||
Century Aluminum Co.* | 1,235 | 20,476 | ||||||
Clearwater Paper Corp.* | 401 | 19,749 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 655 | 18,438 | ||||||
Fairmount Santrol Holdings, Inc.*,1 | 3,843 | 18,370 | ||||||
American Vanguard Corp. | 711 | 16,282 | ||||||
CSW Industrials, Inc.* | 359 | 15,922 | ||||||
Klondex Mines Ltd.* | 4,358 | 15,863 | ||||||
Rayonier Advanced Materials, Inc. | 1,062 | 14,549 | ||||||
Kronos Worldwide, Inc. | 562 | 12,830 | ||||||
KMG Chemicals, Inc. | 229 | 12,568 | ||||||
OMNOVA Solutions, Inc.* | 1,070 | 11,717 | ||||||
Intrepid Potash, Inc.* | 2,346 | 10,229 | ||||||
Hawkins, Inc. | 239 | 9,751 | ||||||
Landec Corp.* | 665 | 8,612 | ||||||
Aceto Corp. | 728 | 8,175 | ||||||
Codexis, Inc.* | 1,010 | 6,717 | ||||||
Oil-Dri Corporation of America | 124 | 6,067 | ||||||
Gold Resource Corp. | 1,300 | 4,875 |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Shares | Value | |||||||
Uranium Energy Corp.* | 3,381 | $ | 4,666 | |||||
Verso Corp. — Class A* | 851 | 4,332 | ||||||
Ryerson Holding Corp.* | 396 | 4,297 | ||||||
United States Lime & Minerals, Inc. | 49 | 4,116 | ||||||
AgroFresh Solutions, Inc.*,1 | 546 | 3,838 | ||||||
Shiloh Industries, Inc.* | 354 | 3,682 | ||||||
Smart Sand, Inc.* | 542 | 3,675 | ||||||
Orchids Paper Products Co.1 | 223 | 3,140 | ||||||
Valhi, Inc. | 626 | 1,521 | ||||||
Total Basic Materials | 1,765,485 | |||||||
Utilities - 2.7% | ||||||||
IDACORP, Inc. | 1,252 | 110,087 | ||||||
WGL Holdings, Inc. | 1,270 | 106,933 | ||||||
Portland General Electric Co. | 2,217 | 101,183 | ||||||
ALLETE, Inc. | 1,268 | 98,004 | ||||||
ONE Gas, Inc. | 1,294 | 95,289 | ||||||
Southwest Gas Holdings, Inc. | 1,177 | 91,359 | ||||||
Black Hills Corp. | 1,325 | 91,253 | ||||||
New Jersey Resources Corp. | 2,130 | 89,780 | ||||||
Spire, Inc. | 1,170 | 87,341 | ||||||
Avista Corp. | 1,595 | 82,573 | ||||||
PNM Resources, Inc. | 1,977 | 79,673 | ||||||
NorthWestern Corp. | 1,207 | 68,727 | ||||||
South Jersey Industries, Inc. | 1,979 | 68,335 | ||||||
Ormat Technologies, Inc. | 982 | 59,951 | ||||||
MGE Energy, Inc. | 866 | 55,944 | ||||||
El Paso Electric Co. | 1,002 | 55,361 | ||||||
California Water Service Group | 1,190 | 45,400 | ||||||
Northwest Natural Gas Co. | 704 | 45,338 | ||||||
American States Water Co. | 900 | 44,325 | ||||||
Otter Tail Corp. | 974 | 42,223 | ||||||
Chesapeake Utilities Corp. | 392 | 30,674 | ||||||
NRG Yield, Inc. — Class C | 1,579 | 30,475 | ||||||
Dynegy, Inc.* | 2,738 | 26,805 | ||||||
SJW Group1 | 405 | 22,923 | ||||||
Unitil Corp. | 344 | 17,014 | ||||||
NRG Yield, Inc. — Class A | 864 | 16,390 | ||||||
Connecticut Water Service, Inc. | 274 | 16,248 | ||||||
Middlesex Water Co. | 394 | 15,472 | ||||||
York Water Co. | 318 | 10,780 | ||||||
Artesian Resources Corp. — Class A | 194 | 7,333 | ||||||
Atlantic Power Corp.* | 2,838 | 6,953 | ||||||
RGC Resources, Inc. | 166 | 4,743 | ||||||
Consolidated Water Company Ltd. | 362 | 4,634 | ||||||
Spark Energy, Inc. — Class A1 | 289 | 4,335 | ||||||
Ameresco, Inc. — Class A* | 463 | 3,611 | ||||||
Global Water Resources, Inc. | 251 | 2,364 | ||||||
Genie Energy Ltd. — Class B | 334 | 2,188 | ||||||
Total Utilities | 1,742,021 | |||||||
Diversified - 0.1% | ||||||||
HRG Group, Inc.* | 2,947 | 46,003 | ||||||
Wins Finance Holdings, Inc.*,†† | 23 | 281 | ||||||
Total Diversified | 46,284 | |||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 751 | 22,109 | ||||||
Total Common Stocks | ||||||||
(Cost $46,261,071) | 50,797,174 | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc. | ||||||||
Expires 12/31/22 | 86 | — | ||||||
Tobira Therapeutics, Inc. | ||||||||
Expires 11/02/12 | 141 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/12 | 757 | — | ||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/192 | 2,530 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
Face Amount | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 7.6% | ||||||||
Fannie Mae3 | ||||||||
0.71% due 10/02/174,5 | $ | 5,000,000 | 4,999,868 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $4,999,868) | 4,999,868 | |||||||
FEDERAL AGENCY NOTES†† - 3.8% | ||||||||
Federal Home Loan Bank6 | ||||||||
1.00% due 10/26/187 | 2,500,000 | 2,497,555 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $2,500,000) | 2,497,555 | |||||||
U.S. TREASURY BILLS†† - 0.2% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/174,5,8 | 100,000 | 99,806 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,787) | 99,806 | |||||||
CORPORATE BONDS†† - 0.0% | ||||||||
Industrial - 0.0% | ||||||||
Mueller Industries, Inc. | ||||||||
6.00% due 03/01/27 | 6,000 | 6,180 | ||||||
Total Corporate Bonds | ||||||||
(Cost $6,000) | 6,180 | |||||||
REPURCHASE AGREEMENTS††,9 - 9.9% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/1710 | 3,262,427 | 3,262,427 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/1710 | 1,631,214 | 1,631,214 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
RUSSELL 2000® FUND |
Face Amount | Values | |||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/1710 | $ | 864,234 | $ | 864,234 | ||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 693,045 | 693,045 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 72,685 | 72,685 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,523,605) | 6,523,605 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,11 - 2.3% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%12 | 1,492,890 | 1,492,890 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,492,890) | 1,492,890 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $61,883,221) | $ | 66,417,078 | ||||||
Other Assets & Liabilities, net - (1.2)% | (806,656 | ) | ||||||
Total Net Assets - 100.0% | $ | 65,610,422 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Gain | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
Russell 2000 Index Mini Futures Contracts | 10 | Dec 2017 | $ | 746,150 | $ | 707 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
BNP Paribas | Russell 2000 Index | 1.24 | % | At Maturity | 10/30/17 | 4,736 | $ | 7,061,072 | $ | 33,113 | ||||||||
Goldman Sachs International | Russell 2000 Index | 1.05 | % | At Maturity | 10/27/17 | 971 | 1,447,944 | 31,589 | ||||||||||
Barclays Bank plc | Russell 2000 Index | 1.20 | % | At Maturity | 10/31/17 | 3,737 | 5,571,786 | 7,867 | ||||||||||
$ | 14,080,802 | $ | 72,569 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | 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. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
7 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
8 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
9 | Repurchase Agreements — See Note 6. |
10 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
11 | Securities lending collateral — See Note 7. |
12 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
RUSSELL 2000® FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 50,796,893 | $ | — | $ | 281 | $ | — | $ | — | $ | 50,797,174 | ||||||||||||
Corporate Bonds | — | — | 6,180 | — | — | 6,180 | ||||||||||||||||||
Equity Futures Contracts | — | 707 | — | — | — | 707 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 72,569 | — | 72,569 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 4,999,868 | — | — | 4,999,868 | ||||||||||||||||||
Federal Agency Notes | — | — | 2,497,555 | — | — | 2,497,555 | ||||||||||||||||||
Repurchase Agreements | — | — | 6,523,605 | — | — | 6,523,605 | ||||||||||||||||||
Rights | — | — | — | — | — | ** | — | |||||||||||||||||
Securities Lending Collateral | 1,492,890 | — | — | — | — | 1,492,890 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 99,806 | — | — | 99,806 | ||||||||||||||||||
Total Assets | $ | 52,289,783 | $ | 707 | $ | 14,127,295 | $ | 72,569 | $ | — | $ | 66,490,354 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
** | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, Russell 2000 Fund had a security with a total value of $281 transfer out of Level 1 into Level 2 due to changes in security valuation methods using observable market inputs. There were no other transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
RUSSELL 2000® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $1,452,654 of securities loaned (cost $55,359,616) | $ | 59,893,473 | ||
Repurchase agreements, at value (cost $6,523,605) | 6,523,605 | |||
Cash | 6,673 | |||
Segregated cash with broker | 470,000 | |||
Unrealized appreciation on swap agreements | 72,569 | |||
Receivables: | ||||
Fund shares sold | 155,442 | |||
Dividends | 37,088 | |||
Swap settlement | 19,058 | |||
Interest | 4,906 | |||
Securities lending income | 2,000 | |||
Variation margin | 707 | |||
Total assets | 67,185,521 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 1,492,890 | |||
Management fees | 25,931 | |||
Distribution and service fees | 11,927 | |||
Fund shares redeemed | 11,650 | |||
Transfer agent and administrative fees | 8,644 | |||
Portfolio accounting fees | 5,186 | |||
Miscellaneous | 18,871 | |||
Total liabilities | 1,575,099 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 65,610,422 | ||
Net assets consist of: | ||||
Paid in capital | $ | 57,863,268 | ||
Accumulated net investment loss | (107,878 | ) | ||
Accumulated net realized gain on investments | 3,247,899 | |||
Net unrealized appreciation on investments | 4,607,133 | |||
Net assets | $ | 65,610,422 | ||
A-Class: | ||||
Net assets | $ | 16,373,117 | ||
Capital shares outstanding | 366,234 | |||
Net asset value per share | $ | 44.71 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 46.94 | ||
C-Class: | ||||
Net assets | $ | 5,509,991 | ||
Capital shares outstanding | 135,897 | |||
Net asset value per share | $ | 40.55 | ||
H-Class: | ||||
Net assets | $ | 43,727,314 | ||
Capital shares outstanding | 980,414 | |||
Net asset value per share | $ | 44.60 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $129) | $ | 203,248 | ||
Interest | 34,283 | |||
Income from securities lending, net | 15,521 | |||
Total investment income | 253,052 | |||
Expenses: | ||||
Management fees | 151,918 | |||
Distribution and service fees: | ||||
A-Class | 18,467 | |||
C-Class | 28,190 | |||
H-Class | 25,127 | |||
Transfer agent and administrative fees | 50,640 | |||
Portfolio accounting fees | 30,385 | |||
Registration fees | 29,585 | |||
Custodian fees | 2,837 | |||
Trustees’ fees* | 2,363 | |||
Miscellaneous | 13,990 | |||
Total expenses | 353,502 | |||
Net investment loss | (100,450 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 4,112,022 | |||
Swap agreements | 683,058 | |||
Futures contracts | 24,737 | |||
Net realized gain | 4,819,817 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,631,359 | ) | ||
Swap agreements | (45,824 | ) | ||
Futures contracts | (20,208 | ) | ||
Foreign currency translations | 4 | |||
Net change in unrealized appreciation (depreciation) | (1,697,387 | ) | ||
Net realized and unrealized gain | 3,122,430 | |||
Net increase in net assets resulting from operations | $ | 3,021,980 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (100,450 | ) | $ | (278,568 | ) | ||
Net realized gain on investments | 4,819,817 | 3,527,181 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,697,387 | ) | 4,922,762 | |||||
Net increase in net assets resulting from operations | 3,021,980 | 8,171,375 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 9,249,911 | 42,192,221 | ||||||
C-Class | 1,175,946 | 10,426,608 | ||||||
H-Class | 64,534,674 | 227,391,879 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (8,641,009 | ) | (42,966,394 | ) | ||||
C-Class | (1,872,687 | ) | (8,128,543 | ) | ||||
H-Class | (51,816,272 | ) | (248,133,883 | ) | ||||
Net increase (decrease) from capital share transactions | 12,630,563 | (19,218,112 | ) | |||||
Net increase (decrease) in net assets | 15,652,543 | (11,046,737 | ) | |||||
Net assets: | ||||||||
Beginning of period | 49,957,879 | 61,004,616 | ||||||
End of period | $ | 65,610,422 | $ | 49,957,879 | ||||
Accumulated net investment loss at end of period | $ | (107,878 | ) | $ | (7,428 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 217,785 | 1,104,167 | ||||||
C-Class | 30,790 | 303,834 | ||||||
H-Class | 1,514,252 | 6,113,347 | ||||||
Shares redeemed | ||||||||
A-Class | (203,668 | ) | (1,109,403 | ) | ||||
C-Class | (49,115 | ) | (239,296 | ) | ||||
H-Class | (1,243,762 | ) | (6,784,978 | ) | ||||
Net increase (decrease) in shares | 266,282 | (612,329 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 41.61 | $ | 33.56 | $ | 38.88 | $ | 37.80 | $ | 32.26 | $ | 28.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.21 | ) | (.29 | ) | (.25 | ) | (.27 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.18 | 8.26 | (4.12 | ) | 2.61 | 7.54 | 4.19 | |||||||||||||||||
Total from investment operations | 3.10 | 8.05 | (4.41 | ) | 2.36 | 7.27 | 4.06 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Total distributions | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 44.71 | $ | 41.61 | $ | 33.56 | $ | 38.88 | $ | 37.80 | $ | 32.26 | ||||||||||||
Total Returnc | 7.48 | % | 23.96 | % | (11.43 | %) | 6.42 | % | 22.87 | % | 14.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,373 | $ | 14,650 | $ | 11,993 | $ | 13,920 | $ | 3,219 | $ | 3,723 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.40 | %) | (0.54 | %) | (0.83 | %) | (0.67 | %) | (0.77 | %) | (0.44 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.62 | % | 1.59 | % | 1.57 | % | 1.60 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 203 | % | 442 | % | 947 | % | 267 | % | 160 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 37.87 | $ | 30.78 | $ | 36.00 | $ | 35.36 | $ | 30.54 | $ | 26.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (.44 | ) | (.51 | ) | (.60 | ) | (.48 | ) | (.31 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.90 | 7.53 | (3.80 | ) | 2.52 | 7.03 | 3.95 | |||||||||||||||||
Total from investment operations | 2.68 | 7.09 | (4.31 | ) | 1.92 | 6.55 | 3.64 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Total distributions | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 40.55 | $ | 37.87 | $ | 30.78 | $ | 36.00 | $ | 35.36 | $ | 30.54 | ||||||||||||
Total Returnc | 7.05 | % | 23.03 | % | (12.07 | %) | 5.61 | % | 21.78 | % | 13.53 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,510 | $ | 5,841 | $ | 2,760 | $ | 4,259 | $ | 3,245 | $ | 2,599 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.15 | %) | (1.27 | %) | (1.56 | %) | (1.77 | %) | (1.47 | %) | (1.19 | %) | ||||||||||||
Total expenses | 2.39 | % | 2.38 | % | 2.35 | % | 2.57 | % | 2.37 | % | 2.31 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 203 | % | 442 | % | 947 | % | 267 | % | 160 | % |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 41.51 | $ | 33.48 | $ | 38.79 | $ | 37.73 | $ | 32.25 | $ | 28.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.21 | ) | (.35 | ) | (.28 | ) | (.27 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.17 | 8.24 | (4.05 | ) | 2.62 | 7.48 | 4.21 | |||||||||||||||||
Total from investment operations | 3.09 | 8.03 | (4.40 | ) | 2.34 | 7.21 | 4.09 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Total distributions | — | — | (.91 | ) | (1.28 | ) | (1.73 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 44.60 | $ | 41.51 | $ | 33.48 | $ | 38.79 | $ | 37.73 | $ | 32.25 | ||||||||||||
Total Returnc | 7.47 | % | 23.95 | % | (11.43 | %) | 6.37 | % | 22.69 | % | 14.52 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,727 | $ | 29,466 | $ | 46,251 | $ | 27,902 | $ | 44,185 | $ | 101,053 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.39 | %) | (0.54 | %) | (0.97 | %) | (0.77 | %) | (0.78 | %) | (0.42 | %) | ||||||||||||
Total expenses | 1.64 | % | 1.63 | % | 1.60 | % | 1.58 | % | 1.59 | % | 1.52 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 203 | % | 442 | % | 947 | % | 267 | % | 160 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_134.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 8.5% |
Guggenheim Strategy Fund II | 8.5% |
Total | 17.0% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (8.04%) | (18.71%) | (15.44%) | (14.25%) |
A-Class Shares with sales charge‡ | (12.42%) | (22.57%) | (16.27%) | (14.67%) |
C-Class Shares | (8.45%) | (19.31%) | (16.07%) | (14.88%) |
C-Class Shares with CDSC§ | (9.37%) | (20.12%) | (16.07%) | (14.88%) |
H-Class Shares | (8.15%) | (18.78%) | (15.44%) | (14.24%) |
Russell 2000 Index | 8.27% | 20.74% | 17.08% | 9.90% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 17.0% | ||||||||
Guggenheim Strategy Fund I1 | 24,377 | $ | 612,116 | |||||
Guggenheim Strategy Fund II1 | 24,220 | 606,945 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,204,971) | 1,219,061 |
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 14.0% | ||||||||
Federal Farm Credit Bank2 | ||||||||
1.42% (U.S. Prime Rate -283 bps) due 09/12/183 | $ | 1,000,000 | 1,002,480 | |||||
Total Federal Agency Notes | ||||||||
(Cost $999,905) | 1,002,480 | |||||||
REPURCHASE AGREEMENTS††,4 - 64.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/175 | 2,311,116 | 2,311,116 |
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/175 | 1,155,558 | 1,155,558 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/175 | 661,447 | 661,447 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 446,407 | 446,407 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 46,818 | 46,818 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,621,346) | 4,621,346 | |||||||
Total Investments - 95.6% | ||||||||
(Cost $6,826,222) | $ | 6,842,887 | ||||||
Other Assets & Liabilities, net - 4.4% | 314,918 | |||||||
Total Net Assets - 100.0% | $ | 7,157,805 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
Russell 2000 Index Mini Futures Contracts | 20 | Dec 2017 | $ | 1,492,300 | $ | (74,110 | ) |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Receive | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | |||||||||||
OTC Equity Index Swap Agreements Sold Short†† | ||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 0.70 | % | At Maturity | 10/31/17 | 579 | $ | 863,136 | $ | (1,222 | ) | |||||||
BNP Paribas | Russell 2000 Index | 0.74 | % | At Maturity | 10/30/17 | 775 | 1,156,044 | (3,740 | ) | |||||||||
Goldman Sachs International | Russell 2000 Index | 0.75 | % | At Maturity | 10/27/17 | 2,443 | 3,641,496 | (47,679 | ) | |||||||||
$ | 5,660,676 | $ | (52,641 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE RUSSELL 2000® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 – Other* | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Federal Agency Notes | $ | — | $ | — | $ | 1,002,480 | $ | — | $ | — | $ | 1,002,480 | ||||||||||||
Mutual Funds | 1,219,061 | — | — | — | — | 1,219,061 | ||||||||||||||||||
Repurchase Agreements | — | — | 4,621,346 | — | — | 4,621,346 | ||||||||||||||||||
Total Assets | $ | 1,219,061 | $ | — | $ | 5,623,826 | $ | — | $ | — | $ | 6,842,887 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 – Other* | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 74,110 | $ | — | $ | — | $ | — | $ | 74,110 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 52,641 | — | 52,641 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 74,110 | $ | — | $ | 52,641 | $ | — | $ | 126,751 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 610,653 | $ | — | $ | — | $ | — | $ | 1,463 | $ | 612,116 | 24,377 | $ | 5,471 | |||||||||||||||||
Guggenheim Strategy Fund II | 605,492 | — | — | — | 1,453 | 606,945 | 24,220 | 6,821 | ||||||||||||||||||||||||
$ | 1,216,145 | $ | — | $ | — | $ | — | $ | 2,916 | $ | 1,219,061 | $ | 12,292 |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $999,905) | $ | 1,002,480 | ||
Investments in affiliated issuers, at value (cost $1,204,971) | 1,219,061 | |||
Repurchase agreements, at value (cost $4,621,346) | 4,621,346 | |||
Segregated cash with broker | 385,002 | |||
Receivables: | ||||
Fund shares sold | 3,523 | |||
Dividends | 2,067 | |||
Interest | 1,006 | |||
Variation margin | 300 | |||
Total assets | 7,234,785 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 52,641 | |||
Payable for: | ||||
Fund shares redeemed | 8,283 | |||
Management fees | 4,034 | |||
Swap settlement | 2,288 | |||
Distribution and service fees | 1,626 | |||
Transfer agent and administrative fees | 1,121 | |||
Portfolio accounting fees | 448 | |||
Miscellaneous | 6,539 | |||
Total liabilities | 76,980 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 7,157,805 | ||
Net assets consist of: | ||||
Paid in capital | $ | 58,980,120 | ||
Accumulated net investment loss | (50,110 | ) | ||
Accumulated net realized loss on investments | (51,662,119 | ) | ||
Net unrealized depreciation on investments | (110,086 | ) | ||
Net assets | $ | 7,157,805 | ||
A-Class: | ||||
Net assets | $ | 297,646 | ||
Capital shares outstanding | 13,706 | |||
Net asset value per share | $ | 21.72 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 22.80 | ||
C-Class: | ||||
Net assets | $ | 778,383 | ||
Capital shares outstanding | 39,708 | |||
Net asset value per share | $ | 19.60 | ||
H-Class: | ||||
Net assets | $ | 6,081,776 | ||
Capital shares outstanding | 279,432 | |||
Net asset value per share | $ | 21.76 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 12,292 | ||
Interest | 37,976 | |||
Total investment income | 50,268 | |||
Expenses: | ||||
Management fees | 44,387 | |||
Distribution and service fees: | ||||
A-Class | 6,413 | |||
C-Class | 4,734 | |||
H-Class | 4,733 | |||
Transfer agent and administrative fees | 12,330 | |||
Portfolio accounting fees | 4,932 | |||
Custodian fees | 632 | |||
Trustees’ fees* | 285 | |||
Miscellaneous | 10,899 | |||
Total expenses | 89,345 | |||
Net investment loss | (39,077 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 8 | |||
Swap agreements | (830,018 | ) | ||
Futures contracts | (81,683 | ) | ||
Net realized loss | (911,693 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1,586 | |||
Investments in affiliated issuers | 2,916 | |||
Swap agreements | 47,532 | |||
Futures contracts | 93,654 | |||
Net change in unrealized appreciation (depreciation) | 145,688 | |||
Net realized and unrealized loss | (766,005 | ) | ||
Net decrease in net assets resulting from operations | $ | (805,082 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (39,077 | ) | $ | (131,930 | ) | ||
Net realized loss on investments | (911,693 | ) | (3,303,482 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 145,688 | 93,420 | ||||||
Net decrease in net assets resulting from operations | (805,082 | ) | (3,341,992 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 378,317 | 14,626,343 | ||||||
C-Class | 200,469 | 4,936,900 | ||||||
H-Class | 20,728,280 | 89,823,769 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (8,332,834 | ) | (8,349,515 | ) | ||||
C-Class | (370,162 | ) | (5,311,313 | ) | ||||
H-Class | (20,091,454 | ) | (118,171,227 | ) | ||||
Net decrease from capital share transactions | (7,487,384 | ) | (22,445,043 | ) | ||||
Net decrease in net assets | (8,292,466 | ) | (25,787,035 | ) | ||||
Net assets: | ||||||||
Beginning of period | 15,450,271 | 41,237,306 | ||||||
End of period | $ | 7,157,805 | $ | 15,450,271 | ||||
Accumulated net investment loss at end of period | $ | (50,110 | ) | $ | (11,033 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 16,082 | 565,644 | ||||||
C-Class | 9,260 | 224,964 | ||||||
H-Class | 895,128 | 3,300,396 | ||||||
Shares redeemed | ||||||||
A-Class | (368,349 | ) | (290,537 | ) | ||||
C-Class | (17,552 | ) | (238,561 | ) | ||||
H-Class | (859,526 | ) | (4,247,427 | ) | ||||
Net decrease in shares | (324,957 | ) | (685,521 | ) |
138 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.62 | $ | 30.76 | $ | 29.22 | $ | 33.01 | $ | 43.21 | $ | 52.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | (.31 | ) | (.39 | ) | (.46 | ) | (.61 | ) | (.81 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.81 | ) | (6.83 | ) | 1.93 | (3.33 | ) | (9.59 | ) | (8.36 | ) | |||||||||||||
Total from investment operations | (1.90 | ) | (7.14 | ) | 1.54 | (3.79 | ) | (10.20 | ) | (9.17 | ) | |||||||||||||
Net asset value, end of period | $ | 21.72 | $ | 23.62 | $ | 30.76 | $ | 29.22 | $ | 33.01 | $ | 43.21 | ||||||||||||
Total Returnc | (8.04 | %) | (23.21 | %) | 5.27 | % | (11.48 | %) | (23.59 | %) | (17.53 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 298 | $ | 8,645 | $ | 2,795 | $ | 894 | $ | 7,302 | $ | 635 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.78 | %) | (1.11 | %) | (1.23 | %) | (1.40 | %) | (1.69 | %) | (1.60 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.71 | % | 1.70 | % | 1.71 | % | 1.72 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | — | 58 | % | 584 | % | 189 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.41 | $ | 28.07 | $ | 26.86 | $ | 30.59 | $ | 40.30 | $ | 49.22 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.15 | ) | (.45 | ) | (.58 | ) | (.63 | ) | (.83 | ) | (1.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.66 | ) | (6.21 | ) | 1.79 | (3.10 | ) | (8.88 | ) | (7.78 | ) | |||||||||||||
Total from investment operations | (1.81 | ) | (6.66 | ) | 1.21 | (3.73 | ) | (9.71 | ) | (8.92 | ) | |||||||||||||
Net asset value, end of period | $ | 19.60 | $ | 21.41 | $ | 28.07 | $ | 26.86 | $ | 30.59 | $ | 40.30 | ||||||||||||
Total Returnc | (8.45 | %) | (23.73 | %) | 4.50 | % | (12.19 | %) | (24.08 | %) | (18.16 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 778 | $ | 1,028 | $ | 1,729 | $ | 1,680 | $ | 568 | $ | 409 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.42 | %) | (1.83 | %) | (2.08 | %) | (2.13 | %) | (2.45 | %) | (2.35 | %) | ||||||||||||
Total expensesd | 2.49 | % | 2.47 | % | 2.45 | % | 2.45 | % | 2.47 | % | 2.47 | % | ||||||||||||
Portfolio turnover rate | — | 58 | % | 584 | % | 189 | % | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.69 | $ | 30.83 | $ | 29.30 | $ | 33.11 | $ | 43.26 | $ | 52.42 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.32 | ) | (.41 | ) | (.46 | ) | (.65 | ) | (.84 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.85 | ) | (6.82 | ) | 1.94 | (3.35 | ) | (9.50 | ) | (8.32 | ) | |||||||||||||
Total from investment operations | (1.93 | ) | (7.14 | ) | 1.53 | (3.81 | ) | (10.15 | ) | (9.16 | ) | |||||||||||||
Net asset value, end of period | $ | 21.76 | $ | 23.69 | $ | 30.83 | $ | 29.30 | $ | 33.11 | $ | 43.26 | ||||||||||||
Total Returnc | (8.15 | %) | (23.16 | %) | 5.22 | % | (11.51 | %) | (23.46 | %) | (17.46 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,082 | $ | 5,777 | $ | 36,713 | $ | 5,775 | $ | 11,691 | $ | 12,822 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.65 | %) | (1.14 | %) | (1.28 | %) | (1.41 | %) | (1.69 | %) | (1.62 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.72 | % | 1.70 | % | 1.70 | % | 1.72 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | — | 58 | % | 584 | % | 189 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
DOW JONES INDUSTRIAL AVERAGE® 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 Dow Jones Industrials Average® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp28137_141.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | December 1, 2015 |
C-Class | December 1, 2015 |
H-Class | December 1, 2015 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 6.5% |
Guggenheim Strategy Fund I | 6.5% |
Boeing Co. | 6.2% |
Goldman Sachs Group, Inc. | 5.8% |
3M Co. | 5.2% |
UnitedHealth Group, Inc. | 4.8% |
Home Depot, Inc. | 4.0% |
McDonald's Corp. | 3.8% |
Apple, Inc. | 3.8% |
International Business Machines Corp. | 3.6% |
Top Ten Total | 50.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | Since Inception (12/01/15) | |
A-Class Shares | 8.93% | 23.54% | 14.23% |
A-Class Shares with sales charge‡ | 3.76% | 17.66% | 11.24% |
C-Class Shares | 8.52% | 22.61% | 13.36% |
C-Class Shares with CDSC§ | 7.52% | 21.61% | 13.36% |
H-Class Shares | 8.92% | 23.54% | 14.27% |
Dow Jones Industrial Average Index | 9.76% | 25.45% | 15.96% |
* | 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 Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
DOW JONES INDUSTRIAL AVERAGE® FUND |
Shares | Value | |||||||
COMMON STOCKS† - 79.8% | ||||||||
Industrial - 17.8% | ||||||||
Boeing Co. | 20,906 | $ | 5,314,515 | |||||
3M Co. | 20,906 | 4,388,169 | ||||||
Caterpillar, Inc. | 20,906 | 2,607,187 | ||||||
United Technologies Corp. | 20,906 | 2,426,769 | ||||||
General Electric Co. | 20,906 | 505,507 | ||||||
Total Industrial | 15,242,147 | |||||||
Financial - 16.0% | ||||||||
Goldman Sachs Group, Inc. | 20,906 | 4,958,695 | ||||||
Travelers Companies, Inc. | 20,906 | 2,561,403 | ||||||
Visa, Inc. — Class A | 20,906 | 2,200,147 | ||||||
JPMorgan Chase & Co. | 20,906 | 1,996,732 | ||||||
American Express Co. | 20,906 | 1,891,157 | ||||||
Total Financial | 13,608,134 | |||||||
Consumer, Non-cyclical - 13.8% | ||||||||
UnitedHealth Group, Inc. | 20,906 | 4,094,440 | ||||||
Johnson & Johnson | 20,906 | 2,717,989 | ||||||
Procter & Gamble Co. | 20,906 | 1,902,028 | ||||||
Merck & Company, Inc. | 20,906 | 1,338,611 | ||||||
Coca-Cola Co. | 20,906 | 940,979 | ||||||
Pfizer, Inc. | 20,906 | 746,344 | ||||||
Total Consumer, Non-cyclical | 11,740,391 | |||||||
Consumer, Cyclical - 11.0% | ||||||||
Home Depot, Inc. | 20,906 | 3,419,385 | ||||||
McDonald’s Corp. | 20,906 | 3,275,552 | ||||||
Wal-Mart Stores, Inc. | 20,906 | 1,633,595 | ||||||
NIKE, Inc. — Class B | 20,906 | 1,083,976 | ||||||
Total Consumer, Cyclical | 9,412,508 | |||||||
Technology - 10.1% | ||||||||
Apple, Inc. | 20,906 | 3,222,034 | ||||||
International Business Machines Corp. | 20,906 | 3,033,042 | ||||||
Microsoft Corp. | 20,905 | 1,557,213 | ||||||
Intel Corp. | 20,906 | 796,100 | ||||||
Total Technology | 8,608,389 | |||||||
Energy - 4.9% | ||||||||
Chevron Corp. | 20,906 | 2,456,455 | ||||||
Exxon Mobil Corp. | 20,906 | 1,713,874 | ||||||
Total Energy | 4,170,329 | |||||||
Communications - 4.5% | ||||||||
Walt Disney Co. | 20,906 | 2,060,705 | ||||||
Verizon Communications, Inc. | 20,906 | 1,034,638 | ||||||
Cisco Systems, Inc. | 20,905 | 703,035 | ||||||
Total Communications | 3,798,378 | |||||||
Basic Materials - 1.7% | ||||||||
DowDuPont, Inc. | 20,906 | 1,447,322 | ||||||
Total Common Stocks | ||||||||
(Cost $60,189,011) | 68,027,598 | |||||||
MUTUAL FUNDS† - 13.1% | ||||||||
Guggenheim Strategy Fund II1 | 222,337 | 5,571,777 | ||||||
Guggenheim Strategy Fund I1 | 221,470 | 5,561,115 | ||||||
Total Mutual Funds | ||||||||
(Cost $11,065,432) | 11,132,892 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 7.8% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/173 | $ | 3,336,281 | 3,336,281 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/173 | 1,668,140 | 1,668,140 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/173 | 927,736 | 927,736 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 668,966 | 668,966 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 70,159 | 70,159 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $6,671,282) | 6,671,282 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $77,925,725) | $ | 85,831,772 | ||||||
Other Assets & Liabilities, net - (0.7)% | (618,730 | ) | ||||||
Total Net Assets - 100.0% | $ | 85,213,042 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
BNP Paribas | Dow Jones Industrial Average Index | 1.74 | % | At Maturity | 10/30/17 | 673 | $ | 15,070,091 | $ | 40,312 | ||||||||
Barclays Bank plc | Dow Jones Industrial Average Index | 1.70 | % | At Maturity | 10/31/17 | 83 | 1,859,495 | 1,722 | ||||||||||
$ | 16,929,586 | $ | 42,034 |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
DOW JONES INDUSTRIAL AVERAGE® FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Common Stocks | $ | 68,027,598 | $ | — | $ | — | $ | — | $ | 68,027,598 | ||||||||||
Equity Index Swap Agreements | — | — | 42,034 | — | 42,034 | |||||||||||||||
Mutual Funds | 11,132,892 | — | — | — | 11,132,892 | |||||||||||||||
Repurchase Agreements | — | 6,671,282 | — | — | 6,671,282 | |||||||||||||||
Total Assets | $ | 79,160,490 | $ | 6,671,282 | $ | 42,034 | $ | — | $ | 85,873,806 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 5,547,747 | $ | 200,000 | $ | (200,000 | ) | $ | 598 | $ | 12,770 | $ | 5,561,115 | 221,470 | $ | 49,579 | ||||||||||||||||
Guggenheim Strategy Fund II | 5,558,437 | — | — | — | 13,340 | 5,571,777 | 222,337 | 62,615 | ||||||||||||||||||||||||
$ | 11,106,184 | $ | 200,000 | $ | (200,000 | ) | $ | 598 | $ | 26,110 | $ | 11,132,892 | $ | 112,194 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
DOW JONES INDUSTRIAL AVERAGE® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $60,189,011) | $ | 68,027,598 | ||
Investments in affiliated issuers, at value (cost $11,065,432) | 11,132,892 | |||
Repurchase agreements, at value (cost $6,671,282) | 6,671,282 | |||
Segregated cash with broker | 310,000 | |||
Unrealized appreciation on swap agreements | 42,034 | |||
Receivables: | ||||
Fund shares sold | 491,554 | |||
Dividends | 45,752 | |||
Swap settlement | 3,810 | |||
Interest | 371 | |||
Securities lending income | 198 | |||
Total assets | 86,725,491 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,366,294 | |||
Management fees | 55,628 | |||
Distribution and service fees | 19,883 | |||
Transfer agent and administrative fees | 18,542 | |||
Portfolio accounting fees | 7,417 | |||
Miscellaneous | 44,685 | |||
Total liabilities | 1,512,449 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 85,213,042 | ||
Net assets consist of: | ||||
Paid in capital | $ | 73,542,725 | ||
Undistributed net investment income | 405,685 | |||
Accumulated net realized gain on investments | 3,316,551 | |||
Net unrealized appreciation on investments | 7,948,081 | |||
Net assets | $ | 85,213,042 | ||
A-Class: | ||||
Net assets | $ | 26,635,279 | ||
Capital shares outstanding | 419,814 | |||
Net asset value per share | $ | 63.45 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 66.60 | ||
C-Class: | ||||
Net assets | $ | 2,209,082 | ||
Capital shares outstanding | 35,307 | |||
Net asset value per share | $ | 62.57 | ||
H-Class: | ||||
Net assets | $ | 56,368,681 | ||
Capital shares outstanding | 887,991 | |||
Net asset value per share | $ | 63.48 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 704,949 | ||
Dividends from securities of affiliated issuers | 112,194 | |||
Interest | 56,419 | |||
Income from securities lending, net | 234 | |||
Total investment income | 873,796 | |||
Expenses: | ||||
Management fees | 306,690 | |||
Distribution and service fees: | ||||
A-Class | 30,620 | |||
C-Class | 10,718 | |||
H-Class | 68,930 | |||
Transfer agent and administrative fees | 102,230 | |||
Portfolio accounting fees | 40,892 | |||
Registration fees | 36,297 | |||
Custodian fees | 5,338 | |||
Trustees’ fees* | 3,220 | |||
Line of credit fees | 418 | |||
Miscellaneous | 49,545 | |||
Total expenses | 654,898 | |||
Net investment income | 218,898 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 874,552 | |||
Investments in affiliated issuers | 598 | |||
Swap agreements | 1,887,223 | |||
Futures contracts | 222,259 | |||
Net realized gain | 2,984,632 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3,742,852 | |||
Investments in affiliated issuers | 26,110 | |||
Swap agreements | 47,470 | |||
Futures contracts | 46,288 | |||
Net change in unrealized appreciation (depreciation) | 3,862,720 | |||
Net realized and unrealized gain | 6,847,352 | |||
Net increase in net assets resulting from operations | $ | 7,066,250 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW JONES INDUSTRIAL AVERAGE® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 218,898 | $ | 219,805 | ||||
Net realized gain on investments | 2,984,632 | 4,537,566 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 3,862,720 | 3,128,777 | ||||||
Net increase in net assets resulting from operations | 7,066,250 | 7,886,148 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (3,923 | ) | |||||
C-Class | — | (619 | ) | |||||
H-Class | — | (28,476 | ) | |||||
Net realized gains | ||||||||
A-Class | — | (53,197 | ) | |||||
C-Class | — | (8,391 | ) | |||||
H-Class | — | (386,186 | ) | |||||
Total distributions to shareholders | — | (480,792 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 44,551,504 | 37,739,580 | ||||||
C-Class | 1,136,986 | 1,702,969 | ||||||
H-Class | 152,959,730 | 461,245,485 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 57,061 | ||||||
C-Class | — | 8,981 | ||||||
H-Class | — | 414,467 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (39,567,978 | ) | (63,683,914 | ) | ||||
C-Class | (1,242,885 | ) | (522,595 | ) | ||||
H-Class | (143,853,470 | ) | (444,210,303 | ) | ||||
Net increase (decrease) from capital share transactions | 13,983,887 | (7,248,269 | ) | |||||
Net increase in net assets | 21,050,137 | 157,087 | ||||||
Net assets: | ||||||||
Beginning of period | 64,162,905 | 64,005,818 | ||||||
End of period | $ | 85,213,042 | $ | 64,162,905 | ||||
Undistributed net investment income at end of period | $ | 405,685 | $ | 186,787 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 743,810 | 676,602 | ||||||
C-Class | 18,981 | 32,390 | ||||||
H-Class | 2,515,277 | 8,685,078 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 1,061 | ||||||
C-Class | — | 168 | ||||||
H-Class | — | 7,701 | ||||||
Shares redeemed | ||||||||
A-Class | (659,172 | ) | (1,236,579 | ) | ||||
C-Class | (20,863 | ) | (10,162 | ) | ||||
H-Class | (2,356,382 | ) | (8,345,243 | ) | ||||
Net increase (decrease) in shares | 241,651 | (188,984 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
DOW JONES INDUSTRIAL AVERAGE® 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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Period Ended March 31, 2016b | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 58.25 | $ | 49.60 | $ | 50.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)c | .15 | .23 | (.03 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | 5.05 | 8.73 | (.37 | ) | ||||||||
Total from investment operations | 5.20 | 8.96 | (.40 | ) | ||||||||
Less distributions from: | ||||||||||||
Net investment income | — | (.02 | ) | — | ||||||||
Net realized gains | — | (.29 | ) | — | ||||||||
Total distributions | — | (.31 | ) | — | ||||||||
Net asset value, end of period | $ | 63.45 | $ | 58.25 | $ | 49.60 | ||||||
Total Returne | 8.93 | % | 18.10 | % | (0.80 | %) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 26,635 | $ | 19,523 | $ | 44,351 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 0.50 | % | 0.44 | % | (0.21 | %) | ||||||
Total expensesd | 1.58 | % | 1.56 | % | 1.55 | % | ||||||
Portfolio turnover rate | 71 | % | 668 | % | 98 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Period Ended March 31, 2016b | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 57.66 | $ | 49.47 | $ | 50.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)c | (.07 | ) | (.11 | ) | (.07 | ) | ||||||
Net gain (loss) on investments (realized and unrealized) | 4.98 | 8.61 | (.46 | ) | ||||||||
Total from investment operations | 4.91 | 8.50 | (.53 | ) | ||||||||
Less distributions from: | ||||||||||||
Net investment income | — | (.02 | ) | — | ||||||||
Net realized gains | — | (.29 | ) | — | ||||||||
Total distributions | — | (.31 | ) | — | ||||||||
Net asset value, end of period | $ | 62.57 | $ | 57.66 | $ | 49.47 | ||||||
Total Returne | 8.52 | % | 17.21 | % | (1.06 | %) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 2,209 | $ | 2,144 | $ | 732 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | (0.25 | %) | (0.21 | %) | (0.43 | %) | ||||||
Total expensesd | 2.33 | % | 2.32 | % | 2.30 | % | ||||||
Portfolio turnover rate | 71 | % | 668 | % | 98 | % |
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW JONES INDUSTRIAL AVERAGE® 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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Period Ended March 31, 2016b | |||||||||
Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 58.28 | $ | 49.59 | $ | 50.00 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)c | .18 | .28 | (.03 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | 5.02 | 8.72 | (.38 | ) | ||||||||
Total from investment operations | 5.20 | 9.00 | (.41 | ) | ||||||||
Less distributions from: | ||||||||||||
Net investment income | — | (.02 | ) | — | ||||||||
Net realized gains | — | (.29 | ) | — | ||||||||
Total distributions | — | (.31 | ) | — | ||||||||
Net asset value, end of period | $ | 63.48 | $ | 58.28 | $ | 49.59 | ||||||
Total Returne | 8.92 | % | 18.20 | % | (0.82 | %) | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 56,369 | $ | 42,495 | $ | 18,923 | ||||||
Ratios to average net assets: | ||||||||||||
Net investment income (loss) | 0.58 | % | 0.52 | % | (0.17 | %) | ||||||
Total expensesd | 1.58 | % | 1.57 | % | 1.55 | % | ||||||
Portfolio turnover rate | 71 | % | 668 | % | 98 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: December 1, 2015. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp28137_148.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Investor Class | January 3, 1994 |
A-Class | March 31, 2004 |
C-Class | May 2, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
U.S. Treasury Bond | 63.9% |
Guggenheim Strategy Fund II | 7.4% |
Guggenheim Strategy Fund I | 5.8% |
Total | 77.1% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 5.10% | (11.60%) | 2.79% | 7.95% |
A-Class Shares | 4.99% | (11.72%) | 2.66% | 7.75% |
A-Class Shares with sales charge‡ | 0.00% | (15.92%) | 1.67% | 7.22% |
C-Class Shares | 4.59% | (12.40%) | 1.83% | 6.90% |
C-Class Shares with CDSC§ | 3.59% | (13.24%) | 1.83% | 6.90% |
Bloomberg Barclays Long Treasury Bond Index | 4.56% | (6.35%) | 2.84% | 6.89% |
Daily Price Movement of Long Treasury Bond** | 3.56% | (11.52%) | (0.79%) | 3.03% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | 4.97% | (11.79%) | 5.52% | |
Bloomberg Barclays Long Treasury Bond Index | 4.56% | (6.35%) | 5.66% | |
Daily Price Movement of Long Treasury Bond** | 3.56% | (11.52%) | 2.63% |
* | 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 Bloomberg Barclays Long Treasury Bond Index and the Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce its reported returns. |
** | Does not reflect any interest. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 13.2% | ||||||||
Guggenheim Strategy Fund II1 | �� | 214,716 | $ | 5,380,775 | ||||
Guggenheim Strategy Fund I1 | 165,978 | 4,167,709 | ||||||
Total Mutual Funds | ||||||||
(Cost $9,476,633) | 9,548,484 |
Face Amount | ||||||||
U.S. GOVERNMENT SECURITIES†† - 63.9% | ||||||||
U.S. Treasury Bond | ||||||||
2.75% due 08/15/47 | $ | 47,300,000 | 46,257,923 | |||||
Total U.S. Government Securities | ||||||||
(Cost $46,471,410) | 46,257,923 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 13.8% | ||||||||
Fannie Mae2 | ||||||||
0.71% due 10/02/173,4 | 10,000,000 | 9,999,736 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $9,999,736) | 9,999,736 | |||||||
U.S. TREASURY BILLS†† - 0.7% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/173,4,5 | 500,000 | 499,029 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $498,936) | 499,029 | |||||||
REPURCHASE AGREEMENTS††,6 - 6.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 2,381,949 | 2,381,949 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 1,190,975 | 1,190,975 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 592,209 | 592,209 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 541,103 | 541,103 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 56,749 | 56,749 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,762,985) | 4,762,985 | |||||||
Total Investments - 98.2% | ||||||||
(Cost $71,209,700) | $ | 71,068,157 | ||||||
Other Assets & Liabilities, net - 1.8% | 1,274,768 | |||||||
Total Net Assets - 100.0% | $ | 72,342,925 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 282 | Dec 2017 | $ | 46,521,188 | $ | (749,658 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
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 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
6 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 9,999,736 | $ | — | $ | 9,999,736 | ||||||||||
Mutual Funds | 9,548,484 | — | — | — | 9,548,484 | |||||||||||||||
Repurchase Agreements | — | — | 4,762,985 | — | 4,762,985 | |||||||||||||||
U.S. Government Securities | — | — | 46,257,923 | — | 46,257,923 | |||||||||||||||
U.S. Treasury Bills | — | — | 499,029 | — | 499,029 | |||||||||||||||
Total Assets | $ | 9,548,484 | $ | — | $ | 61,519,673 | $ | — | $ | 71,068,157 | ||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Interest Rate Futures Contracts | $ | — | $ | 749,658 | $ | — | $ | — | $ | 749,658 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 5,157,351 | $ | — | $ | (1,000,001 | ) | $ | 997 | $ | 9,362 | $ | 4,167,709 | 165,978 | $ | 41,151 | ||||||||||||||||
Guggenheim Strategy Fund II | 5,467,852 | — | (100,000 | ) | 200 | 12,723 | 5,380,775 | 214,716 | 60,979 | |||||||||||||||||||||||
$ | 10,625,203 | $ | — | $ | (1,100,001 | ) | $ | 1,197 | $ | 22,085 | $ | 9,548,484 | $ | 102,130 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $56,970,082) | $ | 56,756,688 | ||
Investments in affiliated issuers, at value (cost $9,476,633) | 9,548,484 | |||
Repurchase agreements, at value (cost $4,762,985) | 4,762,985 | |||
Segregated cash with broker | 528,400 | |||
Receivables: | ||||
Fund shares sold | 2,326,571 | |||
Interest | 166,393 | |||
Variation margin | 69,373 | |||
Dividends | 16,375 | |||
Total assets | 74,175,269 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,740,167 | |||
Management fees | 37,607 | |||
Transfer agent and administrative fees | 15,043 | |||
Distribution and service fees | 11,588 | |||
Portfolio accounting fees | 7,521 | |||
Miscellaneous | 20,418 | |||
Total liabilities | 1,832,344 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 72,342,925 | ||
Net assets consist of: | ||||
Paid in capital | $ | 77,573,560 | ||
Undistributed net investment income | 5,765 | |||
Accumulated net realized loss on investments | (4,345,199 | ) | ||
Net unrealized depreciation on investments | (891,201 | ) | ||
Net assets | $ | 72,342,925 | ||
Investor Class: | ||||
Net assets | $ | 43,432,560 | ||
Capital shares outstanding | 825,000 | |||
Net asset value per share | $ | 52.65 | ||
A-Class: | ||||
Net assets | $ | 6,560,516 | ||
Capital shares outstanding | 123,630 | |||
Net asset value per share | $ | 53.07 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 55.72 | ||
C-Class: | ||||
Net assets | $ | 1,162,863 | ||
Capital shares outstanding | 22,070 | |||
Net asset value per share | $ | 52.69 | ||
H-Class: | ||||
Net assets | $ | 21,186,986 | ||
Capital shares outstanding | 399,086 | |||
Net asset value per share | $ | 53.09 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 102,130 | ||
Interest | 972,169 | |||
Total investment income | 1,074,299 | |||
Expenses: | ||||
Management fees | 209,172 | |||
Distribution and service fees: | ||||
A-Class | 20,107 | |||
C-Class | 6,645 | |||
H-Class | 46,224 | |||
Transfer agent and administrative fees | 83,670 | |||
Portfolio accounting fees | 41,834 | |||
Registration fees | 38,348 | |||
Custodian fees | 5,517 | |||
Trustees’ fees* | 3,764 | |||
Line of credit fees | 353 | |||
Miscellaneous | 31,844 | |||
Total expenses | 487,478 | |||
Net investment income | 586,821 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,222,044 | |||
Investments in affiliated issuers | 1,197 | |||
Futures contracts | 1,949,600 | |||
Net realized gain | 4,172,841 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (646,231 | ) | ||
Investments in affiliated issuers | 22,085 | |||
Futures contracts | (1,092,073 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,716,219 | ) | ||
Net realized and unrealized gain | 2,456,622 | |||
Net increase in net assets resulting from operations | $ | 3,043,443 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 586,821 | $ | 1,048,160 | ||||
Net realized gain (loss) on investments | 4,172,841 | (5,485,314 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,716,219 | ) | (2,028,431 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 3,043,443 | (6,465,585 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
Investor Class | (226,101 | ) | (609,269 | ) | ||||
A-Class | (107,884 | ) | (128,172 | ) | ||||
C-Class | (3,729 | ) | (6,597 | ) | ||||
H-Class | (245,811 | ) | (301,653 | ) | ||||
Net realized gains | ||||||||
Investor Class | — | (808,891 | ) | |||||
A-Class | — | (98,621 | ) | |||||
C-Class | — | (79,454 | ) | |||||
H-Class | — | (675,371 | ) | |||||
Total distributions to shareholders | (583,525 | ) | (2,708,028 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 289,532,965 | 1,300,421,018 | ||||||
A-Class | 47,528,722 | 46,105,383 | ||||||
C-Class | 445,158 | 7,485,391 | ||||||
H-Class | 576,504,859 | 1,635,285,193 | ||||||
Distributions reinvested | ||||||||
Investor Class | 224,045 | 1,395,924 | ||||||
A-Class | 104,410 | 218,258 | ||||||
C-Class | 3,400 | 81,014 | ||||||
H-Class | 245,811 | 976,087 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (263,467,692 | ) | (1,329,635,477 | ) | ||||
A-Class | (57,645,564 | ) | (39,972,613 | ) | ||||
C-Class | (1,120,768 | ) | (8,731,488 | ) | ||||
H-Class | (568,642,921 | ) | (1,677,056,978 | ) | ||||
Net increase (decrease) from capital share transactions | 23,712,425 | (63,428,288 | ) | |||||
Net increase (decrease) in net assets | 26,172,343 | (72,601,901 | ) | |||||
Net assets: | ||||||||
Beginning of period | 46,170,582 | 118,772,483 | ||||||
End of period | $ | 72,342,925 | $ | 46,170,582 | ||||
Undistributed net investment income at end of period | $ | 5,765 | $ | 2,469 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 5,499,737 | 22,993,824 | ||||||
A-Class | 903,666 | 909,264 | ||||||
C-Class | 8,520 | 131,201 | ||||||
H-Class | 10,919,071 | 28,369,982 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | 4,247 | 26,070 | ||||||
A-Class | 1,977 | 4,205 | ||||||
C-Class | 64 | 1,574 | ||||||
H-Class | 4,622 | 18,344 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,005,719 | ) | (23,663,874 | ) | ||||
A-Class | (1,093,139 | ) | (763,665 | ) | ||||
C-Class | (21,556 | ) | (154,091 | ) | ||||
H-Class | (10,761,814 | ) | (28,998,992 | ) | ||||
Net increase (decrease) in shares | 459,676 | (1,126,158 | ) |
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.49 | $ | 58.12 | $ | 59.12 | $ | 45.80 | $ | 48.55 | $ | 44.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .41 | .70 | .76 | .63 | .61 | .57 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.16 | (5.50 | ) | (.67 | ) | 13.34 | (2.76 | ) | 4.21 | |||||||||||||||
Total from investment operations | 2.57 | (4.80 | ) | .09 | 13.97 | (2.15 | ) | 4.78 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.41 | ) | (.72 | ) | (1.09 | ) | (.65 | ) | (.60 | ) | (.72 | ) | ||||||||||||
Net realized gains | — | (2.11 | ) | — | — | — | (.24 | ) | ||||||||||||||||
Total distributions | (.41 | ) | (2.83 | ) | (1.09 | ) | (.65 | ) | (.60 | ) | (.96 | ) | ||||||||||||
Net asset value, end of period | $ | 52.65 | $ | 50.49 | $ | 58.12 | $ | 59.12 | $ | 45.80 | $ | 48.55 | ||||||||||||
Total Returnc | 5.10 | % | (8.39 | %) | 0.33 | % | 30.66 | % | (4.37 | %) | 10.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,433 | $ | 16,496 | $ | 56,419 | $ | 61,460 | $ | 43,573 | $ | 281,800 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.56 | % | 1.21 | % | 1.39 | % | 1.21 | % | 1.22 | % | 1.15 | % | ||||||||||||
Total expensesd | 0.99 | % | 0.98 | % | 0.94 | % | 0.95 | % | 0.97 | % | 0.95 | % | ||||||||||||
Portfolio turnover rate | 957 | % | 2,490 | % | 2,699 | % | 1,932 | % | 2,661 | % | 1,759 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.87 | $ | 58.50 | $ | 59.47 | $ | 46.07 | $ | 48.73 | $ | 44.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .35 | .63 | .64 | .51 | .48 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.20 | (5.57 | ) | (.65 | ) | 13.42 | (2.65 | ) | 4.29 | |||||||||||||||
Total from investment operations | 2.55 | (4.94 | ) | (.01 | ) | 13.93 | (2.17 | ) | 4.77 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.35 | ) | (.58 | ) | (.96 | ) | (.53 | ) | (.49 | ) | (.57 | ) | ||||||||||||
Net realized gains | — | (2.11 | ) | — | — | — | (.24 | ) | ||||||||||||||||
Total distributions | (.35 | ) | (2.69 | ) | (.96 | ) | (.53 | ) | (.49 | ) | (.81 | ) | ||||||||||||
Net asset value, end of period | $ | 53.07 | $ | 50.87 | $ | 58.50 | $ | 59.47 | $ | 46.07 | $ | 48.73 | ||||||||||||
Total Returnc | 4.99 | % | (8.54 | %) | 0.12 | % | 30.37 | % | (4.40 | %) | 10.62 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,561 | $ | 15,827 | $ | 9,438 | $ | 3,879 | $ | 1,724 | $ | 15,476 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.34 | % | 1.19 | % | 1.16 | % | 0.97 | % | 1.04 | % | 0.94 | % | ||||||||||||
Total expensesd | 1.24 | % | 1.24 | % | 1.20 | % | 1.20 | % | 1.22 | % | 1.20 | % | ||||||||||||
Portfolio turnover rate | 957 | % | 2,490 | % | 2,699 | % | 1,932 | % | 2,661 | % | 1,759 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (continued) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.52 | $ | 58.13 | $ | 59.09 | $ | 45.79 | $ | 48.51 | $ | 44.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .15 | .13 | .22 | .13 | .12 | .15 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.17 | (5.47 | ) | (.64 | ) | 13.30 | (2.71 | ) | 4.21 | |||||||||||||||
Total from investment operations | 2.32 | (5.34 | ) | (.42 | ) | 13.43 | (2.59 | ) | 4.36 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.15 | ) | (.16 | ) | (.54 | ) | (.13 | ) | (.13 | ) | (.24 | ) | ||||||||||||
Net realized gains | — | (2.11 | ) | — | — | — | (.24 | ) | ||||||||||||||||
Total distributions | (.15 | ) | (2.27 | ) | (.54 | ) | (.13 | ) | (.13 | ) | (.48 | ) | ||||||||||||
Net asset value, end of period | $ | 52.69 | $ | 50.52 | $ | 58.13 | $ | 59.09 | $ | 45.79 | $ | 48.51 | ||||||||||||
Total Returnc | 4.59 | % | (9.24 | %) | (0.62 | %) | 29.37 | % | (5.33 | %) | 9.69 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,163 | $ | 1,770 | $ | 3,276 | $ | 2,873 | $ | 3,198 | $ | 4,594 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.56 | % | 0.22 | % | 0.41 | % | 0.26 | % | 0.34 | % | 0.31 | % | ||||||||||||
Total expensesd | 1.99 | % | 1.97 | % | 1.95 | % | 1.95 | % | 1.97 | % | 1.94 | % | ||||||||||||
Portfolio turnover rate | 957 | % | 2,490 | % | 2,699 | % | 1,932 | % | 2,661 | % | 1,759 | % |
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015e | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 50.91 | $ | 58.55 | $ | 59.44 | $ | 48.83 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | .36 | .58 | .61 | .28 | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.17 | (5.53 | ) | (.54 | ) | 10.59 | ||||||||||
Total from investment operations | 2.53 | (4.95 | ) | .07 | 10.87 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (.35 | ) | (.58 | ) | (.96 | ) | (.26 | ) | ||||||||
Net realized gains | — | (2.11 | ) | — | — | |||||||||||
Total distributions | (.35 | ) | (2.69 | ) | (.96 | ) | (.26 | ) | ||||||||
Net asset value, end of period | $ | 53.09 | $ | 50.91 | $ | 58.55 | $ | 59.44 | ||||||||
Total Returnc | 4.97 | % | (8.55 | %) | 0.26 | % | 22.28 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,187 | $ | 12,077 | $ | 49,639 | $ | 78,382 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | 1.33 | % | 1.00 | % | 1.11 | % | 0.89 | % | ||||||||
Total expensesd | 1.24 | % | 1.22 | % | 1.20 | % | 1.18 | % | ||||||||
Portfolio turnover rate | 957 | % | 2,490 | % | 2,699 | % | 1,932 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate stated is for the entire period of the Fund, not since the commencement of operations of the Class. |
f | Reverse share split — Per share amounts for the periods presented through March 31, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_158.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Investor Class | March 3, 1995 |
A-Class | March 31, 2004 |
C-Class | March 28, 2001 |
H-Class | September 18, 2014 |
The Fund invests principally in short sales and derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 8.6% |
Guggenheim Strategy Fund I | 8.2% |
Total | 16.8% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | (4.69%) | 8.61% | (4.00%) | (9.60%) |
A-Class Shares | (4.84%) | 8.33% | (4.25%) | (9.83%) |
A-Class Shares with sales charge‡ | (9.36%) | 3.19% | (5.18%) | (10.27%) |
C-Class Shares | (5.19%) | 7.51% | (4.97%) | (10.50%) |
C-Class Shares with CDSC§ | (6.14%) | 6.51% | (4.97%) | (10.50%) |
Bloomberg Barclays Long Treasury Bond Index | 4.56% | (6.35%) | 2.84% | 6.89% |
Daily Price Movement of Long Treasury Bond** | 3.56% | (11.52%) | (0.79%) | 3.03% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | (4.85%) | 8.30% | (7.41%) | |
Bloomberg Barclays Long Treasury Bond Index | 4.56% | (6.35%) | 5.66% | |
Daily Price Movement of Long Treasury Bond** | 3.56% | (11.52%) | 2.63% |
* | 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 Bloomberg Barclays Long Treasury Bond Index and the 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. |
** | Does not reflect any interest. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 16.8% | ||||||||
Guggenheim Strategy Fund II1 | 424,204 | $ | 10,630,564 | |||||
Guggenheim Strategy Fund I1 | 403,967 | 10,143,619 | ||||||
Total Mutual Funds | ||||||||
(Cost $20,549,691) | 20,774,183 |
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 65.7% | ||||||||
Federal Home Loan Bank2 | ||||||||
1.00% due 10/26/183 | $ | 17,350,000 | 17,333,032 | |||||
1.19% due 09/13/223 | 10,000,000 | 9,996,120 | ||||||
1.21% (3 Month USD LIBOR -10 bps) due 11/17/174 | 5,000,000 | 5,000,972 | ||||||
Total Federal Home Loan Bank | 32,330,124 | |||||||
Freddie Mac5 | ||||||||
1.75% due 10/26/223 | 12,500,000 | 12,500,000 | ||||||
1.19% due 08/22/223 | 10,000,000 | 9,985,780 | ||||||
1.24% due 04/25/223 | 5,000,000 | 4,999,485 | ||||||
1.00% due 01/27/203 | 3,500,000 | 3,494,194 | ||||||
Total Freddie Mac | 30,979,459 | |||||||
Federal Farm Credit Bank2 | ||||||||
1.17% (U.S. Prime Rate -308 bps) due 03/12/194 | 14,500,000 | 14,502,085 | ||||||
1.46% (U.S. Prime Rate -278 bps) due 06/12/184 | 1,300,000 | 1,303,283 | ||||||
1.50% (U.S. Prime Rate -275 bps) due 07/18/184 | 1,000,000 | 1,003,263 | ||||||
1.29% (U.S. Prime Rate+ -296 bps) due 05/11/184 | 1,000,000 | 1,000,858 | ||||||
Total Federal Farm Credit Bank | 17,809,489 | |||||||
Total Federal Agency Notes | ||||||||
(Cost $81,144,999) | 81,119,072 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 29.5% | ||||||||
Federal Home Loan Bank2 | ||||||||
0.98% due 10/27/176,7 | 28,500,000 | 28,479,828 | ||||||
1.01% due 10/16/176,7 | 1,800,000 | 1,799,239 | ||||||
1.02% due 10/16/176,7 | 700,000 | 699,704 | ||||||
1.03% due 10/23/176,7 | 500,000 | 499,685 | ||||||
Total Federal Home Loan Bank | 31,478,456 | |||||||
Fannie Mae5 | ||||||||
0.71% due 10/02/176,7 | 5,000,000 | 4,999,868 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $36,478,324) | 36,478,324 | |||||||
FEDERAL AGENCY BONDS†† - 4.3% | ||||||||
Private Export Funding Corp. | ||||||||
2.25% due 12/15/17 | 4,255,000 | 4,261,991 |
Farmer Mac2 | ||||||||
1.47% (Fed Funds Effective Rate + 32 bps) due 01/25/184 | $ | 1,000,000 | $ | 1,001,157 | ||||
Total Federal Agency Bonds | ||||||||
(Cost $5,265,088) | 5,263,148 | |||||||
U.S. TREASURY BILLS†† - 0.4% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/176,7,8 | 500,000 | 499,029 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $498,936) | 499,029 | |||||||
REPURCHASE AGREEMENTS††,9 - 86.6% | ||||||||
Individual Repurchase Agreements | ||||||||
Mizuho Financial Group, Inc. issued 09/29/17 at 1.00% due 10/02/17 (secured by U.S. Treasury Bond, at a rate of 2.75% and maturing 08/15/47 as collateral, with a value of $55,707,234) to be repurchased at $54,613,678 | 54,612,161 | 54,612,161 | ||||||
Barclays Capital issued 09/29/17 at 0.90% due 10/02/17 (secured by U.S. Treasury Bond, at a rate of 2.75% and maturing 08/15/47 as collateral, with a value of $43,283,943) to be repurchased at $42,433,061 | 42,432,000 | 42,432,000 | ||||||
Joint Repurchase Agreements | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 4,961,739 | 4,961,739 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 2,480,870 | 2,480,870 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 1,233,606 | 1,233,606 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 1,127,149 | 1,127,149 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 118,212 | 118,212 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $106,965,737) | 106,965,737 | |||||||
Total Investments - 203.3% | ||||||||
(Cost $250,902,775) | $ | 251,099,493 |
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
Face Amount | Value | |||||||
U.S. Government Securities Sold Short†† - (73.9)% | ||||||||
U.S. Treasury Bond | ||||||||
2.75% due 08/15/47 | $ | 93,300,000 | $ | (91,244,485 | ) | |||
Total U.S. Government Securities Sold Short | ||||||||
(Proceeds $92,270,785) | (91,244,485 | ) | ||||||
Other Assets & Liabilities, net - (29.4)% | (36,314,654 | ) | ||||||
Total Net Assets - 100.0% | $ | 123,540,354 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Gain | |||||||||
Interest Rate Futures Contracts Sold Short† | |||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 227 | Dec 2017 | $ | 37,447,906 | $ | 711,817 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
4 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
5 | 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. |
6 | Rate indicated is the effective yield at the time of purchase. |
7 | Zero coupon rate security. |
8 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
9 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Federal Agency Bonds | $ | — | $ | — | $ | 5,263,148 | $ | — | $ | 5,263,148 | ||||||||||
Federal Agency Discount Notes | — | — | 36,478,324 | — | 36,478,324 | |||||||||||||||
Federal Agency Notes | — | — | 81,119,072 | — | 81,119,072 | |||||||||||||||
Interest Rate Futures Contracts | — | 711,817 | — | — | 711,817 | |||||||||||||||
Mutual Funds | 20,774,183 | — | — | — | 20,774,183 | |||||||||||||||
Repurchase Agreements | — | — | 106,965,737 | — | 106,965,737 | |||||||||||||||
U.S. Treasury Bills | — | — | 499,029 | — | 499,029 | |||||||||||||||
Total Assets | $ | 20,774,183 | $ | 711,817 | $ | 230,325,310 | $ | — | $ | 251,811,310 | ||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
U.S. Government Securities | $ | — | $ | — | $ | 91,244,485 | $ | — | $ | 91,244,485 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 12,116,192 | $ | — | $ | (2,000,000 | ) | $ | 12,424 | $ | 15,003 | $ | 10,143,619 | 403,967 | $ | 106,061 | ||||||||||||||||
Guggenheim Strategy Fund II | 10,605,112 | — | — | — | 25,452 | 10,630,564 | 424,204 | 119,465 | ||||||||||||||||||||||||
$ | 22,721,304 | $ | — | $ | (2,000,000 | ) | $ | 12,424 | $ | 40,455 | $ | 20,774,183 | $ | 225,526 |
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $123,387,347) | $ | 123,359,573 | ||
Investments in affiliated issuers, at value (cost $20,549,691) | 20,774,183 | |||
Repurchase agreements, at value (cost $106,965,737) | 106,965,737 | |||
Segregated cash with broker | 583,900 | |||
Receivables: | ||||
Fund shares sold | 2,671,684 | |||
Interest | 170,817 | |||
Dividends | 35,920 | |||
Total assets | 254,561,814 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $92,270,785) | 91,244,485 | |||
Payable for: | ||||
Securities purchased | 20,128,157 | |||
Fund shares redeemed | 19,016,736 | |||
Management fees | 84,435 | |||
Variation margin | 71,929 | |||
Transfer agent and administrative fees | 23,454 | |||
Distribution and service fees | 19,838 | |||
Portfolio accounting fees | 9,381 | |||
Miscellaneous | 423,045 | |||
Total liabilities | 131,021,460 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 123,540,354 | ||
Net assets consist of: | ||||
Paid in capital | $ | 471,772,762 | ||
Accumulated net investment loss | (2,506,159 | ) | ||
Accumulated net realized loss on investments | (347,661,084 | ) | ||
Net unrealized appreciation on investments | 1,934,835 | |||
Net assets | $ | 123,540,354 | ||
Investor Class: | ||||
Net assets | $ | 79,135,275 | ||
Capital shares outstanding | 2,305,742 | |||
Net asset value per share | $ | 34.32 | ||
A-Class: | ||||
Net assets | $ | 11,278,723 | ||
Capital shares outstanding | 341,407 | |||
Net asset value per share | $ | 33.04 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 34.69 | ||
C-Class: | ||||
Net assets | $ | 18,947,860 | ||
Capital shares outstanding | 651,895 | |||
Net asset value per share | $ | 29.07 | ||
H-Class: | ||||
Net assets | $ | 14,178,496 | ||
Capital shares outstanding | 427,810 | |||
Net asset value per share | $ | 33.14 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 225,526 | ||
Interest | 901,245 | |||
Total investment income | 1,126,771 | |||
Expenses: | ||||
Management fees | 584,670 | |||
Distribution and service fees: | ||||
A-Class | 18,136 | |||
C-Class | 102,113 | |||
H-Class | 18,583 | |||
Transfer agent and administrative fees | 162,408 | |||
Short interest expense | 1,345,926 | |||
Portfolio accounting fees | 64,963 | |||
Custodian fees | 8,660 | |||
Trustees’ fees* | 6,452 | |||
Line of credit fees | 75 | |||
Miscellaneous | 108,906 | |||
Total expenses | 2,420,892 | |||
Net investment loss | (1,294,121 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 70,438 | |||
Investments in affiliated issuers | 12,424 | |||
Futures contracts | (2,527,551 | ) | ||
Securities sold short | (6,014,581 | ) | ||
Net realized loss | (8,459,270 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (44,424 | ) | ||
Investments in affiliated issuers | 40,455 | |||
Futures contracts | 765,957 | |||
Securities sold short | 1,449,537 | |||
Net change in unrealized appreciation (depreciation) | 2,211,525 | |||
Net realized and unrealized loss | (6,247,745 | ) | ||
Net decrease in net assets resulting from operations | $ | (7,541,866 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,294,121 | ) | $ | (4,762,348 | ) | ||
Net realized gain (loss) on investments | (8,459,270 | ) | 8,992,388 | |||||
Net change in unrealized appreciation (depreciation) on investments | 2,211,525 | (348,233 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (7,541,866 | ) | 3,881,807 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 181,618,996 | 1,461,086,838 | ||||||
A-Class | 1,087,251 | 10,846,573 | ||||||
C-Class | 328,817 | 6,375,655 | ||||||
H-Class | 569,807,226 | 2,601,327,502 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (182,354,758 | ) | (1,471,262,255 | ) | ||||
A-Class | (7,641,242 | ) | (10,739,740 | ) | ||||
C-Class | (3,569,474 | ) | (11,684,154 | ) | ||||
H-Class | (598,122,250 | ) | (2,627,383,990 | ) | ||||
Net decrease from capital share transactions | (38,845,434 | ) | (41,433,571 | ) | ||||
Net decrease in net assets | (46,387,300 | ) | (37,551,764 | ) | ||||
Net assets: | ||||||||
Beginning of period | 169,927,654 | 207,479,418 | ||||||
End of period | $ | 123,540,354 | $ | 169,927,654 | ||||
Accumulated net investment loss at end of period | $ | (2,506,159 | ) | $ | (1,212,038 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 5,260,918 | 44,231,107 | ||||||
A-Class | 32,580 | 330,693 | ||||||
C-Class | 11,245 | 220,928 | ||||||
H-Class | 16,837,362 | 79,320,319 | ||||||
Shares redeemed | ||||||||
Investor Class | (5,290,892 | ) | (44,494,650 | ) | ||||
A-Class | (229,283 | ) | (326,449 | ) | ||||
C-Class | (120,837 | ) | (406,484 | ) | ||||
H-Class | (17,666,742 | ) | (80,262,131 | ) | ||||
Net decrease in shares | (1,165,649 | ) | (1,386,667 | ) |
164 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.02 | $ | 34.27 | $ | 35.78 | $ | 46.01 | $ | 43.94 | $ | 48.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.30 | ) | (.88 | ) | (1.15 | ) | (1.15 | ) | (1.65 | ) | (1.20 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.40 | ) | 2.63 | (.36 | ) | (9.08 | ) | 3.72 | (3.19 | ) | ||||||||||||||
Total from investment operations | (1.70 | ) | 1.75 | (1.51 | ) | (10.23 | ) | 2.07 | (4.39 | ) | ||||||||||||||
Net asset value, end of period | $ | 34.32 | $ | 36.02 | $ | 34.27 | $ | 35.78 | $ | 46.01 | $ | 43.94 | ||||||||||||
Total Returnc | (4.69 | %) | 5.08 | % | (4.22 | %) | (22.23 | %) | 4.69 | % | (9.10 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 79,135 | $ | 84,123 | $ | 89,071 | $ | 105,696 | $ | 177,735 | $ | 143,739 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.75 | %) | (2.59 | %) | (3.07 | %) | (2.80 | %) | (3.46 | %) | (2.82 | %) | ||||||||||||
Total expensesd,g | 3.50 | % | 3.38 | % | 3.48 | % | 3.15 | % | 3.50 | % | 2.99 | % | ||||||||||||
Portfolio turnover rate | 381 | % | 1,436 | % | 838 | % | 2,190 | % | 1,097 | % | 1,309 | % |
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.71 | $ | 33.11 | $ | 34.66 | $ | 44.68 | $ | 42.77 | $ | 47.18 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.34 | ) | (.94 | ) | (1.20 | ) | (1.23 | ) | (1.73 | ) | (1.35 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.33 | ) | 2.54 | (.35 | ) | (8.79 | ) | 3.64 | (3.06 | ) | ||||||||||||||
Total from investment operations | (1.67 | ) | 1.60 | (1.55 | ) | (10.02 | ) | 1.91 | (4.41 | ) | ||||||||||||||
Net asset value, end of period | $ | 33.04 | $ | 34.71 | $ | 33.11 | $ | 34.66 | $ | 44.68 | $ | 42.77 | ||||||||||||
Total Returnc | (4.84 | %) | 4.83 | % | (4.47 | %) | (22.43 | %) | 4.51 | % | (9.43 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,279 | $ | 18,678 | $ | 17,676 | $ | 21,580 | $ | 49,859 | $ | 32,842 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.05 | %) | (2.85 | %) | (3.32 | %) | (3.06 | %) | (3.73 | %) | (3.20 | %) | ||||||||||||
Total expensesd,g | 3.78 | % | 3.67 | % | 3.75 | % | 3.40 | % | 3.78 | % | 3.37 | % | ||||||||||||
Portfolio turnover rate | 381 | % | 1,436 | % | 838 | % | 2,190 | % | 1,097 | % | 1,309 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
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.
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014f | Year Ended March 28, 2013f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.65 | $ | 29.46 | $ | 31.07 | $ | 40.35 | $ | 38.92 | $ | 43.25 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.41 | ) | (1.05 | ) | (1.31 | ) | (1.36 | ) | (1.86 | ) | (1.50 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.17 | ) | 2.24 | (.30 | ) | (7.92 | ) | 3.29 | (2.83 | ) | ||||||||||||||
Total from investment operations | (1.58 | ) | 1.19 | (1.61 | ) | (9.28 | ) | 1.43 | (4.33 | ) | ||||||||||||||
Net asset value, end of period | $ | 29.07 | $ | 30.65 | $ | 29.46 | $ | 31.07 | $ | 40.35 | $ | 38.92 | ||||||||||||
Total Returnc | (5.19 | %) | 4.04 | % | (5.18 | %) | (23.00 | %) | 3.73 | % | (10.06 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,948 | $ | 23,343 | $ | 27,899 | $ | 35,874 | $ | 57,323 | $ | 55,404 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.76 | %) | (3.59 | %) | (4.08 | %) | (3.78 | %) | (4.45 | %) | (3.96 | %) | ||||||||||||
Total expensesd,g | 4.50 | % | 4.41 | % | 4.50 | % | 4.14 | % | 4.49 | % | 4.13 | % | ||||||||||||
Portfolio turnover rate | 381 | % | 1,436 | % | 838 | % | 2,190 | % | 1,097 | % | 1,309 | % |
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015e | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 34.83 | $ | 33.12 | $ | 34.67 | $ | 41.85 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | (.36 | ) | (.92 | ) | (1.15 | ) | (.52 | ) | ||||||||
Net gain (loss) on investments (realized and unrealized) | (1.33 | ) | 2.63 | (.40 | ) | (6.66 | ) | |||||||||
Total from investment operations | (1.69 | ) | 1.71 | (1.55 | ) | (7.18 | ) | |||||||||
Net asset value, end of period | $ | 33.14 | $ | 34.83 | $ | 33.12 | $ | 34.67 | ||||||||
Total Returnc | (4.85 | %) | 5.13 | % | (4.47 | %) | (17.16 | %) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,178 | $ | 43,784 | $ | 72,833 | $ | 43,800 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (2.15 | %) | (2.80 | %) | (3.17 | %) | (2.75 | %) | ||||||||
Total expensesd,g | 3.80 | % | 3.60 | % | 3.61 | % | 3.07 | % | ||||||||
Portfolio turnover rate | 381 | % | 1,436 | % | 838 | % | 2,190 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate is for the entire period of the Fund, not since the commencement of operations of the Class. |
f | Reverse share split — Per share amounts for the periods presented through March 31, 2014 have been restated to reflect a 1:5 reverse effective February 21, 2014. |
g | Total expenses may include interest expense related to short sales. Excluding interest expense, the operating expense ratio for the period ended September 30 and years ended March 31 would be: |
9/30/17 | 3/31/17 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | ||
Investor Class | 1.43% | 1.43% | 1.40% | 1.40% | 1.41% | 1.39% | |
A-Class | 1.68% | 1.63% | 1.65% | 1.65% | 1.66% | 1.64% | |
C-Class | 2.43% | 2.43% | 2.40% | 2.40% | 2.41% | 2.39% | |
H-Class | 1.69% | 1.68% | 1.65% | 1.60% | — | — |
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_167.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 2.6% |
Guggenheim Strategy Fund I | 2.5% |
Guggenheim Strategy Fund III | 1.6% |
Total | 6.7% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 3.15% | 5.52% | 6.16% | 6.44% |
A-Class Shares with sales charge‡ | (1.73%) | 0.51% | 5.12% | 5.92% |
C-Class Shares | 2.78% | 4.73% | 5.33% | 5.63% |
C-Class Shares with CDSC§ | 1.78% | 3.73% | 5.33% | 5.63% |
H-Class Shares | 3.16% | 5.48% | 6.16% | 6.43% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
Bloomberg Barclays U.S. Corporate High Yield Index | 4.19% | 8.88% | 6.36% | 7.84% |
* | 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 Bloomberg Barclays U.S. Corporate High Yield 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 167 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
HIGH YIELD STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 6.7% | ||||||||
Guggenheim Strategy Fund II1 | 528,303 | $ | 13,239,275 | |||||
Guggenheim Strategy Fund I1 | 514,692 | 12,923,919 | ||||||
Guggenheim Strategy Fund III1 | 321,636 | 8,053,773 | ||||||
Total Mutual Funds | ||||||||
(Cost $33,895,923) | 34,216,967 |
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 34.7% | ||||||||
Federal Home Loan Bank2 | ||||||||
1.09% (1 Month USD LIBOR -15 bps) due 04/26/183 | $ | 38,000,000 | 37,996,183 | |||||
1.09% (1 Month USD LIBOR -15 bps) due 03/23/183 | 35,000,000 | 34,997,235 | ||||||
Federal Home Loan Bank | ||||||||
1.04% (1 Month USD LIBOR -19 bps) due 10/20/173 | 23,000,000 | 22,999,610 | ||||||
1.07% (1 Month USD LIBOR -16 bps) due 01/19/183 | 15,000,000 | 14,999,051 | ||||||
1.19% due 09/13/224 | 5,000,000 | 4,998,060 | ||||||
1.23% (3 Month USD LIBOR -8 bps) due 10/25/173 | 300,000 | 300,031 | ||||||
Total Federal Home Loan Bank | 116,290,170 | |||||||
Fannie Mae5 | ||||||||
1.24% (1 Month USD LIBOR + 1 bps) due 10/05/173 | 25,000,000 | 25,000,453 | ||||||
Federal Farm Credit Bank2 | ||||||||
1.17% (U.S. Prime Rate -308 bps) due 03/12/193 | 20,000,000 | 20,002,877 | ||||||
Federal Farm Credit Bank | ||||||||
1.36% (1 Month USD LIBOR + 13 bps) due 07/19/183 | 3,700,000 | 3,708,129 | ||||||
1.29% (3 Month USD LIBOR -3 bps) due 09/18/183 | 1,000,000 | 1,001,195 | ||||||
Total Federal Farm Credit Bank | 24,712,201 | |||||||
Freddie Mac5 | ||||||||
1.24% due 08/24/184 | 12,500,000 | 12,498,213 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $178,510,134) | 178,501,037 | |||||||
U.S. GOVERNMENT SECURITIES†† - 28.8% | ||||||||
United States Cash Management Bill | ||||||||
1.02% due 01/02/186 | 65,000,000 | 64,828,905 | ||||||
1.06% due 01/02/186 | 50,000,000 | 49,868,390 | ||||||
1.04% due 01/02/186 | 13,000,000 | 12,965,781 | ||||||
Total United States Cash Management Bill | 127,663,076 |
U.S. Treasury Notes | ||||||||
1.32% (3 Month U.S. Treasury Bill Rate + 27 bps) due 01/31/183 | 20,000,000 | 20,018,649 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $147,671,107) | 147,681,725 | |||||||
U.S. TREASURY BILLS†† - 13.1% | ||||||||
U.S. Treasury Bill | ||||||||
1.16% due 03/22/186,7 | 62,500,000 | 62,155,996 | ||||||
1.10% due 12/14/176,7,8 | 5,000,000 | 4,990,292 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $67,139,698) | 67,146,288 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.8% | ||||||||
Federal Home Loan Bank2 | ||||||||
1.04% due 12/20/176,7 | 40,000,000 | 39,908,720 | ||||||
1.17% due 03/19/186,7 | 15,000,000 | 14,919,495 | ||||||
Total Federal Home Loan Bank | 54,828,215 | |||||||
Fannie Mae | ||||||||
1.27% due 03/21/183,7 | 485,000 | 485,306 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $55,309,073) | 55,313,521 | |||||||
REPURCHASE AGREEMENTS††,9 - 1.9% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/1710 | 4,767,356 | 4,767,356 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/1710 | 2,383,678 | 2,383,678 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/1710 | 1,774,342 | 1,774,342 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 549,842 | 549,842 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 57,666 | 57,666 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $9,532,884) | 9,532,884 | |||||||
Total Investments - 96.0% | ||||||||
(Cost $492,058,819) | $ | 492,392,422 | ||||||
Other Assets & Liabilities, net - 4.0% | 20,262,111 | |||||||
Total Net Assets - 100.0% | $ | 512,654,533 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Loss | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 4,004 | Dec 2017 | $ | 470,282,313 | $ | (3,117,439 | ) |
168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
HIGH YIELD STRATEGY FUND |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements††,11 | ||||||||||||||||||
Goldman Sachs International | iShares iBoxx High Yield Corporate Bond Swap | 0.70 | % | At Maturity | 11/6/17 | 348,433 | $ | 30,926,913 | $ | 170,452 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS PROTECTION SOLD†† | |||||||||||||||||||||||
Counterparty | Exchange | Index | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Principal | Notional Value | Upfront Premiums Paid | Unrealized Gain | ||||||||||||||
Goldman Sachs International | ICE | CDX. NA. HY.29 5% 06/20/22 | 5.00 | % | At Maturity | 12/20/22 | $ | 222,800,000 | $ | (240,289,800 | ) | $ | 16,460,401 | $ | 1,029,399 | ||||||||
Barclays Bank plc | ICE | CDX. NA. HY.29 5% 06/20/22 | 5.00 | % | At Maturity | 12/20/22 | 237,220,000 | (255,841,770 | ) | 17,318,504 | 1,303,265 | ||||||||||||
$ | 33,778,905 | $ | 2,332,664 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
4 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
5 | 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. |
6 | Zero coupon rate security. |
7 | Rate indicated is the effective yield at the time of purchase. |
8 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
9 | Repurchase Agreements — See Note 6. |
10 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
11 | Total Return based on iShares iBoxx $ High Yield Corporate Bond ETF +/- financing at variable rate. Rate indicated is the rate effective at September 30, 2017. |
CDX.NA.HY.29 Index — Credit Default Swap North American High Yield Series 29 Index. | |
ICE — Intercontinental Exchange | |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
HIGH YIELD STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Credit Default Swaps | $ | — | $ | — | $ | — | $ | 2,332,664 | $ | — | $ | 2,332,664 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 170,452 | — | 170,452 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 55,313,521 | — | — | 55,313,521 | ||||||||||||||||||
Federal Agency Notes | — | — | 178,501,037 | — | — | 178,501,037 | ||||||||||||||||||
Mutual Funds | 34,216,967 | — | — | — | — | 34,216,967 | ||||||||||||||||||
Repurchase Agreements | — | — | 9,532,884 | — | — | 9,532,884 | ||||||||||||||||||
U.S. Government Securities | — | — | 147,681,725 | — | — | 147,681,725 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 67,146,288 | — | — | 67,146,288 | ||||||||||||||||||
Total Assets | $ | 34,216,967 | $ | — | $ | 458,,175,455 | $ | 2,503,116 | $ | — | $ | 494,895,538 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Interest Rate Futures Contracts | $ | — | $ | 3,117,439 | $ | — | $ | — | $ | — | $ | 3,117,439 |
* | Other financial instruments include futures and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 12,493,038 | $ | 399,999 | $ | — | $ | — | $ | 30,882 | $ | 12,923,919 | 514,692 | $ | 115,291 | |||||||||||||||||
Guggenheim Strategy Fund II | 12,008,695 | 1,200,001 | — | — | 30,579 | 13,239,275 | 528,303 | 141,879 | ||||||||||||||||||||||||
Guggenheim Strategy Fund III | 6,544,723 | 1,500,000 | — | — | 9,050 | 8,053,773 | 321,636 | 99,331 | ||||||||||||||||||||||||
$ | 31,046,456 | $ | 3,100,000 | $ | — | $ | — | $ | 70,511 | $ | 34,216,967 | $ | 356,501 |
170 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $448,630,012) | $ | 448,642,571 | ||
Investments in affiliated issuers, at value (cost $33,895,923) | $ | 34,216,967 | ||
Repurchase agreements, at value (cost $9,532,884) | 9,532,884 | |||
Segregated cash with broker | 516,501 | |||
Unamortized upfront premiums paid on credit default swaps | 33,778,905 | |||
Unrealized appreciation on swap agreements | 2,503,116 | |||
Receivables: | ||||
Interest | 831,370 | |||
Fund shares sold | 587,514 | |||
Dividends | 61,760 | |||
Total assets | 530,671,588 | |||
Liabilities: | ||||
Segregated cash due to broker | 15,358,951 | |||
Payable for: | ||||
Fund shares redeemed | 1,017,091 | |||
Variation margin | 844,595 | |||
Management fees | 338,441 | |||
Distribution and service fees | 115,325 | |||
Transfer agent and administrative fees | 112,814 | |||
Portfolio accounting fees | 37,974 | |||
Miscellaneous | 191,864 | |||
Total liabilities | 18,017,055 | |||
Commitments and contingent liabilities (Note12) | — | |||
Net assets | $ | 512,654,533 | ||
Net assets consist of: | ||||
Paid in capital | $ | 489,660,673 | ||
Undistributed net investment income | 4,734,017 | |||
Accumulated net realized gain on investments | 18,540,563 | |||
Net unrealized depreciation on investments | (280,720 | ) | ||
Net assets | $ | 512,654,533 | ||
A-Class: | ||||
Net assets | $ | 11,726,184 | ||
Capital shares outstanding | 459,386 | |||
Net asset value per share | $ | 25.53 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 26.80 | ||
C-Class: | ||||
Net assets | $ | 4,026,933 | ||
Capital shares outstanding | 175,461 | |||
Net asset value per share | $ | 22.95 | ||
H-Class: | ||||
Net assets | $ | 496,901,416 | ||
Capital shares outstanding | 19,486,332 | |||
Net asset value per share | $ | 25.50 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 356,501 | ||
Interest | 2,148,696 | |||
Total investment income | 2,505,197 | |||
Expenses: | ||||
Management fees | 1,881,609 | |||
Distribution and service fees: | ||||
A-Class | 17,661 | |||
C-Class | 22,016 | |||
H-Class | 604,038 | |||
Transfer agent and administrative fees | 627,203 | |||
Portfolio accounting fees | 216,668 | |||
Registration fees | 210,137 | |||
Custodian fees | 32,784 | |||
Trustees’ fees* | 20,372 | |||
Miscellaneous | 215,944 | |||
Total expenses | 3,848,432 | |||
Net investment loss | (1,343,235 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 38,450 | |||
Swap agreements | 13,511,379 | |||
Futures contracts | 6,454,564 | |||
Net realized gain | 20,004,393 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (9,633 | ) | ||
Investments in affiliated issuers | 70,511 | |||
Swap agreements | (116,791 | ) | ||
Futures contracts | (4,570,419 | ) | ||
Net change in unrealized appreciation (depreciation) | (4,626,332 | ) | ||
Net realized and unrealized gain | 15,378,061 | |||
Net increase in net assets resulting from operations | $ | 14,034,826 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 171 |
HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,343,235 | ) | $ | (4,040,998 | ) | ||
Net realized gain on investments | 20,004,393 | 42,388,427 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (4,626,332 | ) | (11,034,501 | ) | ||||
Net increase in net assets resulting from operations | 14,034,826 | 27,312,928 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (285,844 | ) | |||||
C-Class | — | (89,445 | ) | |||||
H-Class | — | (10,022,903 | ) | |||||
Total distributions to shareholders | — | (10,398,192 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 3,063,803 | 36,146,145 | ||||||
C-Class | 681,724 | 6,852,428 | ||||||
H-Class | 500,946,214 | 3,155,354,253 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 239,394 | ||||||
C-Class | — | 84,624 | ||||||
H-Class | — | 9,965,662 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (12,075,262 | ) | (28,782,857 | ) | ||||
C-Class | (1,308,416 | ) | (4,601,608 | ) | ||||
H-Class | (452,845,164 | ) | (3,528,841,089 | ) | ||||
Net increase (decrease) from capital share transactions | 38,462,899 | (353,583,048 | ) | |||||
Net increase (decrease) in net assets | 52,497,725 | (336,668,312 | ) | |||||
Net assets: | ||||||||
Beginning of period | 460,156,808 | 796,825,120 | ||||||
End of period | $ | 512,654,533 | $ | 460,156,808 | ||||
Undistributed net investment income at end of period | $ | 4,734,017 | $ | 6,077,252 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 122,060 | 1,514,841 | ||||||
C-Class | 30,118 | 314,911 | ||||||
H-Class | 19,880,912 | 131,050,068 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 10,089 | ||||||
C-Class | — | 3,934 | ||||||
H-Class | — | 420,925 | ||||||
Shares redeemed | ||||||||
A-Class | (482,713 | ) | (1,210,225 | ) | ||||
C-Class | (57,645 | ) | (210,907 | ) | ||||
H-Class | (18,008,021 | ) | (147,445,936 | ) | ||||
Net increase (decrease) in shares | 1,484,711 | (15,552,300 | ) |
172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.74 | $ | 23.32 | $ | 23.84 | $ | 22.89 | $ | 25.16 | $ | 22.93 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.20 | ) | (.09 | ) | (.15 | ) | (.30 | ) | (.22 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .86 | 2.09 | .46 | 1.10 | 2.13 | 3.13 | ||||||||||||||||||
Total from investment operations | .79 | 1.89 | .37 | .95 | 1.83 | 2.91 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.47 | ) | (.89 | ) | — | (1.14 | ) | (.43 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (2.96 | ) | (.25 | ) | ||||||||||||||||
Total distributions | — | (.47 | ) | (.89 | ) | — | (4.10 | ) | (.68 | ) | ||||||||||||||
Net asset value, end of period | $ | 25.53 | $ | 24.74 | $ | 23.32 | $ | 23.84 | $ | 22.89 | $ | 25.16 | ||||||||||||
Total Returnc | 3.15 | % | 8.24 | % | 1.66 | % | 4.06 | % | 7.53 | % | 12.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,726 | $ | 20,290 | $ | 11,787 | $ | 10,123 | $ | 12,499 | $ | 10,777 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.54 | %) | (0.85 | %) | (0.40 | %) | (0.63 | %) | (1.21 | %) | (0.92 | %) | ||||||||||||
Total expensesd | 1.53 | % | 1.51 | % | 1.49 | % | 1.50 | % | 1.53 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 360 | % | 97 | % | 521 | % | 393 | % | 205 | % | 95 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.33 | $ | 21.25 | $ | 22.01 | $ | 21.29 | $ | 23.83 | $ | 21.92 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.15 | ) | (.36 | ) | (.19 | ) | (.27 | ) | (.44 | ) | (.37 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .77 | 1.91 | .32 | .99 | 2.00 | 2.96 | ||||||||||||||||||
Total from investment operations | .62 | 1.55 | .13 | .72 | 1.56 | 2.59 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.47 | ) | (.89 | ) | — | (1.14 | ) | (.43 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (2.96 | ) | (.25 | ) | ||||||||||||||||
Total distributions | — | (.47 | ) | (.89 | ) | — | (4.10 | ) | (.68 | ) | ||||||||||||||
Net asset value, end of period | $ | 22.95 | $ | 22.33 | $ | 21.25 | $ | 22.01 | $ | 21.29 | $ | 23.83 | ||||||||||||
Total Returnc | 2.78 | % | 7.38 | % | 0.70 | % | 3.33 | % | 6.74 | % | 11.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,027 | $ | 4,533 | $ | 2,020 | $ | 3,632 | $ | 5,100 | $ | 6,958 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.29 | %) | (1.65 | %) | (0.88 | %) | (1.25 | %) | (1.89 | %) | (1.62 | %) | ||||||||||||
Total expensesd | 2.28 | % | 2.26 | % | 2.24 | % | 2.25 | % | 2.28 | % | 2.27 | % | ||||||||||||
Portfolio turnover rate | 360 | % | 97 | % | 521 | % | 393 | % | 205 | % | 95 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.72 | $ | 23.31 | $ | 23.90 | $ | 22.94 | $ | 25.12 | $ | 22.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.07 | ) | (.18 | ) | (.15 | ) | (.19 | ) | (.24 | ) | (.24 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .85 | 2.06 | .45 | 1.15 | 2.16 | 3.14 | ||||||||||||||||||
Total from investment operations | .78 | 1.88 | .30 | .96 | 1.92 | 2.90 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.47 | ) | (.89 | ) | — | (1.14 | ) | (.43 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (2.96 | ) | (.25 | ) | ||||||||||||||||
Total distributions | — | (.47 | ) | (.89 | ) | — | (4.10 | ) | (.68 | ) | ||||||||||||||
Net asset value, end of period | $ | 25.50 | $ | 24.72 | $ | 23.31 | $ | 23.90 | $ | 22.94 | $ | 25.12 | ||||||||||||
Total Returnc | 3.16 | % | 8.15 | % | 1.36 | % | 4.14 | % | 7.86 | % | 12.83 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 496,901 | $ | 435,334 | $ | 783,018 | $ | 621,455 | $ | 87,315 | $ | 434,113 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.53 | %) | (0.74 | %) | (0.64 | %) | (0.81 | %) | (0.97 | %) | (0.99 | %) | ||||||||||||
Total expensesd | 1.53 | % | 1.51 | % | 1.49 | % | 1.46 | % | 1.53 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 360 | % | 97 | % | 521 | % | 393 | % | 205 | % | 95 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
174 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that inversely correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_175.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 36.0% |
Guggenheim Strategy Fund II | 35.9% |
Total | 71.9% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (3.03%) | (5.94%) | (9.25%) | (10.53%) |
A-Class Shares with sales charge‡ | (7.63%) | (10.44%) | (10.13%) | (10.97%) |
C-Class Shares | (3.46%) | (6.65%) | (9.83%) | (11.12%) |
C-Class Shares with CDSC§ | (4.42%) | (7.59%) | (9.83%) | (11.12%) |
H-Class Shares | (3.41%) | (5.56%) | (8.84%) | (10.31%) |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
Bloomberg Barclays U.S. Corporate High Yield Index | 4.19% | 8.88% | 6.36% | 7.84% |
* | 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 Bloomberg Barclays U.S. Corporate High Yield 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 175 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE HIGH YIELD STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 71.9% | ||||||||
Guggenheim Strategy Fund I1 | 42,833 | $ | 1,075,547 | |||||
Guggenheim Strategy Fund II1 | 42,812 | 1,072,872 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,124,783) | 2,148,419 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 24.9% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 372,358 | 372,358 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 186,179 | 186,179 |
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 92,577 | 92,577 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 84,588 | 84,588 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 8,871 | 8,871 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $744,573) | 744,573 | |||||||
Total Investments - 96.8% | ||||||||
(Cost $2,869,356) | $ | 2,892,992 | ||||||
Other Assets & Liabilities, net - 3.2% | 95,136 | |||||||
Total Net Assets - 100.0% | $ | 2,988,128 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Gain | |||||||||
Interest Rate Futures Contracts Sold Short† | |||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 24 | Dec 2017 | $ | 2,818,875 | $ | 19,835 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS PROTECTION PURCHASED†† | |||||||||||||||||||||||
Counterparty | Exchange | Index | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Principal | Notional Value | Upfront Premiums Paid | Unrealized Loss | ||||||||||||||
Barclays Bank plc | ICE | CDX.NA.HY.29 Index | 5.00 | % | At Maturity | 12/20/22 | $ | 2,770,000 | $ | 2,987,445 | $ | (204,531 | ) | $ | (12,914 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Repurchase Agreements. |
CDX.NA.HY.29 Index — Credit Default Swap North American High Yield Series 29 Index | |
ICE — Intercontinental Exchange | |
See Sector Classification in Other Information section. |
176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
INVERSE HIGH YIELD STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Interest Rate Futures Contracts | $ | — | $ | 19,835 | $ | — | $ | — | $ | — | $ | 19,835 | ||||||||||||
Mutual Funds | $ | 2,148,419 | $ | — | $ | — | $ | — | $ | — | $ | 2,148,419 | ||||||||||||
Repurchase Agreements | — | — | 744,573 | — | — | 744,573 | ||||||||||||||||||
Total Assets | $ | 2,148,419 | $ | 19,835 | $ | 744,573 | $ | — | $ | — | $ | 2,912,827 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Credit Default Swaps | $ | — | $ | — | $ | — | $ | 12,914 | $ | — | $ | 12,914 |
* | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,272,956 | $ | 100,000 | $ | (300,000 | ) | $ | 1,572 | $ | 1,019 | $ | 1,075,547 | 42,833 | $ | 10,110 | ||||||||||||||||
Guggenheim Strategy Fund II | 1,270,223 | — | (199,999 | ) | 1,555 | 1,093 | 1,072,872 | 42,812 | 12,982 | |||||||||||||||||||||||
$ | 2,543,179 | $ | 100,000 | $ | (499,999 | ) | $ | 3,127 | $ | 2,112 | $ | 2,148,419 | $ | 23,092 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
INVERSE HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments in affiliated issuers, at value (cost $2,124,783) | $ | 2,148,419 | ||
Repurchase agreements, at value (cost $744,573) | 744,573 | |||
Segregated cash with broker | 317,302 | |||
Receivables: | ||||
Variation margin | 5,063 | |||
Dividends | 3,644 | |||
Interest | 41 | |||
Total assets | 3,219,042 | |||
Liabilities: | ||||
Unamortized upfront premiums received on credit default swaps | 204,531 | |||
Unrealized depreciation on swap agreements | 12,914 | |||
Payable for: | ||||
Fund shares redeemed | 3,119 | |||
Management fees | 1,936 | |||
Distribution and service fees | 1,415 | |||
Transfer agent and administrative fees | 645 | |||
Portfolio accounting fees | 258 | |||
Miscellaneous | 6,096 | |||
Total liabilities | 230,914 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 2,988,128 | ||
Net assets consist of: | ||||
Paid in capital | $ | 20,484,272 | ||
Accumulated net investment loss | (304,261 | ) | ||
Accumulated net realized loss on investments | (17,222,440 | ) | ||
Net unrealized appreciation on investments | 30,557 | |||
Net assets | $ | 2,988,128 | ||
A-Class: | ||||
Net assets | $ | 868,549 | ||
Capital shares outstanding | 13,619 | |||
Net asset value per share | $ | 63.77 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 66.95 | ||
C-Class: | ||||
Net assets | $ | 1,118,390 | ||
Capital shares outstanding | 18,802 | |||
Net asset value per share | $ | 59.48 | ||
H-Class: | ||||
Net assets | $ | 1,001,189 | ||
Capital shares outstanding | 15,308 | |||
Net asset value per share | $ | 65.40 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 23,092 | ||
Interest | 22,992 | |||
Total investment income | 46,084 | |||
Expenses: | ||||
Management fees | 27,813 | |||
Distribution and service fees: | ||||
A-Class | 3,413 | |||
C-Class | 5,591 | |||
H-Class | 4,460 | |||
Transfer agent and administrative fees | 9,271 | |||
Registration fees | 7,961 | |||
Portfolio accounting fees | 3,708 | |||
Custodian fees | 548 | |||
Trustees’ fees* | 397 | |||
Miscellaneous | (1,922 | ) | ||
Total expenses | 61,240 | |||
Net investment loss | (15,156 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 3,127 | |||
Swap agreements | (232,143 | ) | ||
Futures contracts | 487 | |||
Net realized loss | (228,529 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | 2,112 | |||
Swap agreements | 10,433 | |||
Futures contracts | 24,109 | |||
Net change in unrealized appreciation (depreciation) | 36,654 | |||
Net realized and unrealized loss | (191,875 | ) | ||
Net decrease in net assets resulting from operations | $ | (207,031 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (15,156 | ) | $ | (238,062 | ) | ||
Net realized loss on investments | (228,529 | ) | (2,832,626 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 36,654 | 89,837 | ||||||
Net decrease in net assets resulting from operations | (207,031 | ) | (2,980,851 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 42,424,449 | 58,549,494 | ||||||
C-Class | 717,129 | 992,897 | ||||||
H-Class | 114,296,366 | 1,767,267,375 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (42,282,139 | ) | (59,973,315 | ) | ||||
C-Class | (600,533 | ) | (1,489,604 | ) | ||||
H-Class | (128,171,455 | ) | (1,752,361,839 | ) | ||||
Net increase (decrease) from capital share transactions | (13,616,183 | ) | 12,985,008 | |||||
Net increase (decrease) in net assets | (13,823,214 | ) | 10,004,157 | |||||
Net assets: | ||||||||
Beginning of period | 16,811,342 | 6,807,185 | ||||||
End of period | $ | 2,988,128 | $ | 16,811,342 | ||||
Accumulated net investment loss at end of period | $ | (304,261 | ) | $ | (289,105 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 653,262 | 847,520 | * | |||||
C-Class | 11,872 | 15,264 | * | |||||
H-Class | 1,732,816 | 25,181,894 | * | |||||
Shares redeemed | ||||||||
A-Class | (653,548 | ) | (870,463 | )* | ||||
C-Class | (9,978 | ) | (22,781 | )* | ||||
H-Class | (1,936,922 | ) | (24,997,042 | )* | ||||
Net increase (decrease) in shares | (202,498 | ) | 154,392 | * |
* | Capital share activity for the periods presented through March 31, 2017 has been restated to reflect a 1:4 reverse share split effective November 4, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 179 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.78 | $ | 71.69 | $ | 76.94 | $ | 85.28 | $ | 95.91 | $ | 112.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.10 | ) | (.51 | ) | (.80 | ) | (.84 | ) | (1.40 | ) | (1.48 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.91 | ) | (5.40 | ) | (4.45 | ) | (7.50 | ) | (9.23 | ) | (15.22 | ) | ||||||||||||
Total from investment operations | (2.01 | ) | (5.91 | ) | (5.25 | ) | (8.34 | ) | (10.63 | ) | (16.70 | ) | ||||||||||||
Net asset value, end of period | $ | 63.77 | $ | 65.78 | $ | 71.69 | $ | 76.94 | $ | 85.28 | $ | 95.91 | ||||||||||||
Total Returnc | (3.03 | %) | (8.26 | %) | (6.81 | %) | (9.59 | %) | (11.30 | %) | (14.81 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 869 | $ | 915 | $ | 2,642 | $ | 372 | $ | 5,155 | $ | 157 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.30 | %) | (0.74 | %) | (1.07 | %) | (1.02 | %) | (1.52 | %) | (1.38 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.52 | % | 1.50 | % | 1.52 | % | 1.54 | % | 1.49 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 480 | % | 1,722 | % | 784 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.63 | $ | 67.67 | $ | 73.24 | $ | 81.11 | $ | 91.93 | $ | 108.83 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.85 | ) | (1.16 | ) | (1.20 | ) | (2.00 | ) | (2.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.94 | ) | (5.19 | ) | (4.41 | ) | (6.67 | ) | (8.82 | ) | (14.78 | ) | ||||||||||||
Total from investment operations | (2.15 | ) | (6.04 | ) | (5.57 | ) | (7.87 | ) | (10.82 | ) | (16.90 | ) | ||||||||||||
Net asset value, end of period | $ | 59.48 | $ | 61.63 | $ | 67.67 | $ | 73.24 | $ | 81.11 | $ | 91.93 | ||||||||||||
Total Returnc | (3.46 | %) | (8.97 | %) | (7.59 | %) | (9.49 | %) | (11.97 | %) | (15.51 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,118 | $ | 1,042 | $ | 1,653 | $ | 734 | $ | 1,561 | $ | 2,037 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.71 | %) | (1.32 | %) | (1.60 | %) | (1.53 | %) | (2.28 | %) | (2.13 | %) | ||||||||||||
Total expensesd | 2.29 | % | 2.27 | % | 2.25 | % | 2.25 | % | 2.30 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 480 | % | 1,722 | % | 784 | % | — | — |
180 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE HIGH YIELD STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.70 | $ | 72.70 | $ | 77.91 | $ | 85.66 | $ | 96.16 | $ | 112.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.74 | ) | (.64 | ) | (.76 | ) | (1.40 | ) | (1.44 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.17 | ) | (4.26 | ) | (4.57 | ) | (6.99 | ) | (9.10 | ) | (15.28 | ) | ||||||||||||
Total from investment operations | (2.30 | ) | (5.00 | ) | (5.21 | ) | (7.75 | ) | (10.50 | ) | (16.72 | ) | ||||||||||||
Net asset value, end of period | $ | 65.40 | $ | 67.70 | $ | 72.70 | $ | 77.91 | $ | 85.66 | $ | 96.16 | ||||||||||||
Total Returnc | (3.41 | %) | (6.90 | %) | (6.67 | %) | (8.84 | %) | (11.11 | %) | (14.81 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,001 | $ | 14,855 | $ | 2,513 | $ | 2,124 | $ | 2,453 | $ | 9,208 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.40 | %) | (1.06 | %) | (0.84 | %) | (0.93 | %) | (1.50 | %) | (1.38 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.52 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 480 | % | 1,722 | % | 784 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 reverse share split effective November 4, 2016. — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 181 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28137_182.jpg)
FAND — Federal Agency Discount Note
FAN — Federal Agency Note
FAN — Federal Agency Note
Inception Date: June 18, 2012 |
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.
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | Since Inception (06/18/12) | |
U.S. Government Money Market Fund | 0.04% | 0.05% | 0.01% | 0.01% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. |
† | 6 month returns are not annualized. |
182 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND |
Face Amount | Value | |||||||
FEDERAL AGENCY NOTES†† - 43.8% | ||||||||
Federal Home Loan Bank1 | ||||||||
1.09% (1 Month USD LIBOR -15 bps) due 03/23/182 | $ | 61,000,000 | $ | 61,000,000 | ||||
1.09% (1 Month USD LIBOR -15 bps) due 04/26/182 | 30,000,000 | 29,999,297 | ||||||
1.08% (1 Month USD LIBOR -15 bps) due 12/13/172 | 25,000,000 | 25,000,837 | ||||||
1.07% (1 Month USD LIBOR -16 bps) due 01/19/182 | 10,000,000 | 10,000,000 | ||||||
1.21% (3 Month USD LIBOR -10 bps) due 11/17/172 | 8,000,000 | 8,001,800 | ||||||
1.11% (3 Month USD LIBOR -21 bps) due 12/18/172 | 5,000,000 | 4,999,910 | ||||||
1.21% (3 Month USD LIBOR -10 bps) due 11/15/172 | 3,500,000 | 3,500,517 | ||||||
1.12% due 12/08/17 | 3,000,000 | 3,000,170 | ||||||
1.15% (3 Month USD LIBOR -17 bps) due 03/16/182 | 1,260,000 | 1,260,134 | ||||||
1.25% (3 Month USD LIBOR -7 bps) due 12/05/172 | 1,250,000 | 1,250,375 | ||||||
1.08% (3 Month USD LIBOR -22 bps) due 04/06/182 | 1,000,000 | 999,895 | ||||||
1.30% (1 Month USD LIBOR 7 bps) due 12/05/172 | 355,000 | 355,077 | ||||||
Total Federal Home Loan Bank | 149,368,012 | |||||||
Federal Farm Credit Bank1 | ||||||||
1.31% (U.S. Prime Rate -294 bps) due 12/20/172 | 25,000,000 | 25,007,768 | ||||||
1.40% (U.S. Prime Rate -285 bps) due 08/10/182 | 13,500,000 | 13,532,768 | ||||||
1.27% (3 Month USD LIBOR -5 bps) due 03/26/182 | 10,000,000 | 10,008,093 | ||||||
1.28% (3 Month U.S. Treasury Bill Rate + 23 bps) due 11/13/172 | 9,000,000 | 9,000,589 | ||||||
1.29% (U.S. Prime Rate -296 bps) due 05/11/182 | 5,000,000 | 5,005,860 | ||||||
1.35% (U.S. Prime Rate -290 bps) due 05/14/182 | 3,000,000 | 3,004,687 | ||||||
1.29% (3 Month USD LIBOR -3 bps) due 09/18/182 | 2,000,000 | 2,002,777 | ||||||
1.40% (1 Month USD LIBOR + 16 bps) due 03/26/182 | 1,210,000 | 1,211,857 | ||||||
1.25% (1 Month USD LIBOR + 1 bps) due 11/27/172 | 145,000 | 145,014 | ||||||
Total Federal Farm Credit Bank | 68,919,413 | |||||||
Freddie Mac3 | ||||||||
0.88% due 03/07/18 | 985,000 | 983,439 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $219,270,864) | 219,270,864 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 21.1% | ||||||||
Federal Home Loan Bank1 | ||||||||
1.08% due 12/19/174,5 | 46,000,000 | 45,889,969 | ||||||
1.04% due 12/20/174,5 | 25,000,000 | 24,941,722 | ||||||
1.17% due 03/19/184,5 | 10,000,000 | 9,944,606 | ||||||
1.01% due 11/03/174,5 | 6,700,000 | 6,693,797 | ||||||
1.01% due 10/18/174,5 | 3,850,000 | 3,848,164 | ||||||
1.00% due 10/24/174,5 | 2,580,000 | 2,578,352 | ||||||
1.01% due 11/15/174,5 | 2,196,000 | 2,193,214 | ||||||
1.01% due 10/25/174,5 | 1,900,000 | 1,898,722 | ||||||
1.00% due 10/06/174,5 | 1,200,000 | 1,199,834 | ||||||
1.03% due 12/01/174,5 | 1,100,000 | 1,098,080 | ||||||
1.01% due 11/01/174,5 | 900,000 | 899,217 | ||||||
1.02% due 11/07/174,5 | 800,000 | 799,161 | ||||||
1.01% due 11/17/174,5 | 600,000 | 599,205 | ||||||
0.99% due 11/29/174,5 | 600,000 | 599,007 | ||||||
1.10% due 11/02/174,5 | 500,000 | 499,511 | ||||||
1.03% due 12/04/174,5 | 400,000 | 399,253 | ||||||
Total Federal Home Loan Bank | 104,081,814 | |||||||
Federal Farm Credit Bank1 | ||||||||
1.04% due 12/15/174,5 | 1,700,000 | 1,696,317 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $105,778,131) | 105,778,131 | |||||||
U.S. TREASURY BILLS†† - 19.0% | ||||||||
U.S. Treasury Bill | ||||||||
1.07% due 12/14/174,5 | 50,000,000 | 49,885,912 | ||||||
1.10% due 12/14/174,5 | 32,500,000 | 32,425,843 | ||||||
1.16% due 03/22/184,5 | 12,500,000 | 12,430,125 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $94,741,880) | 94,741,880 | |||||||
U.S. GOVERNMENT SECURITIES†† - 5.0% | ||||||||
United States Cash Management Bill | ||||||||
1.06% due 01/02/184,5 | 25,000,000 | 24,931,219 | ||||||
Total U.S. Government Securities | ||||||||
(Cost $24,931,219) | 24,931,219 | |||||||
REPURCHASE AGREEMENTS††,6 - 14.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 36,875,571 | 36,875,571 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 18,437,785 | 18,437,785 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 9,168,140 | 9,168,140 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 8,376,953 | 8,376,953 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 183 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
U.S. GOVERNMENT MONEY MARKET FUND |
Face Amount | Value | |||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | $ | 878,553 | $ | 878,553 | ||||
Total Repurchase Agreements | ||||||||
(Cost $73,737,002) | 73,737,002 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $518,459,096) | $ | 518,459,096 | ||||||
Other Assets & Liabilities, net - (3.6)% | (17,849,877 | ) | ||||||
Total Net Assets - 100.0% | $ | 500,609,219 |
†† | 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 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
3 | 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. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Federal Agency Discount Notes | $ | — | $ | 105,778,131 | $ | — | $ | 105,778,131 | ||||||||
Federal Agency Notes | — | 219,270,864 | — | 219,270,864 | ||||||||||||
Repurchase Agreements | — | 73,737,002 | — | 73,737,002 | ||||||||||||
U.S. Government Securities | — | 24,931,219 | — | 24,931,219 | ||||||||||||
U.S. Treasury Bills | — | 94,741,880 | — | 94,741,880 | ||||||||||||
Total Assets | $ | — | $ | 518,459,096 | $ | — | $ | 518,459,096 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
184 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value (cost $444,722,094) | $ | 444,722,094 | ||
Repurchase agreements, at value (cost $73,737,002) | 73,737,002 | |||
Receivables: | ||||
Fund shares sold | 21,871,013 | |||
Interest | 145,758 | |||
Total assets | 540,475,867 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 2,002 | |||
Payable for: | ||||
Fund shares redeemed | 39,382,711 | |||
Management fees | 208,321 | |||
Transfer agent and administrative fees | 83,329 | |||
Portfolio accounting fees | 36,074 | |||
Miscellaneous | 154,211 | |||
Total liabilities | 39,866,648 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 500,609,219 | ||
Net assets consist of: | ||||
Paid in capital | $ | 500,554,384 | ||
Undistributed net investment income | 5,702 | |||
Accumulated net realized gain on investments | 49,133 | |||
Net unrealized appreciation on investments | — | |||
Net assets | $ | 500,609,219 | ||
Capital shares outstanding | 500,536,505 | |||
Net asset value per share | $ | 1.00 |
STATEMENT OF OPERATIONS (Unaudited) | |
Period Ended September 30, 2017 |
Investment Income: | ||||
Interest | $ | 2,579,598 | ||
Total investment income | 2,579,598 | |||
Expenses: | ||||
Management fees | 1,283,980 | |||
Transfer agent and administrative fees | 513,598 | |||
Registration fees | 283,740 | |||
Portfolio accounting fees | 221,469 | |||
Custodian fees | 34,339 | |||
Trustees’ fees* | 23,234 | |||
Miscellaneous | 148,942 | |||
Total expenses | 2,509,302 | |||
Less: | ||||
Expenses waived by Adviser | (130,288 | ) | ||
Net expenses | 2,379,014 | |||
Net investment income | 200,584 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 15,476 | |||
Net realized gain | 15,476 | |||
Net increase in net assets resulting from operations | 216,060 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 185 |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 200,584 | $ | (2,447 | ) | |||
Net realized gain on investments | 15,476 | 342,140 | ||||||
Net change in unrealized appreciation (depreciation) on investments | — | — | ||||||
Net increase in net assets resulting from operations | 216,060 | 339,693 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (194,882 | ) | (220 | ) | ||||
Net realized gains | — | (39,373 | ) | |||||
Total distributions to shareholders | (194,882 | ) | (39,593 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,228,091,153 | 8,235,820,623 | ||||||
Distributions reinvested | 194,882 | 37,712 | ||||||
Cost of shares redeemed | (3,355,211,824 | ) | (8,252,516,655 | ) | ||||
Net decrease from capital share transactions | (126,925,789 | ) | (16,658,320 | ) | ||||
Net decrease in net assets | (126,904,611 | ) | (16,358,220 | ) | ||||
Net assets: | ||||||||
Beginning of period | 627,513,830 | 643,872,050 | ||||||
End of period | $ | 500,609,219 | $ | 627,513,830 | ||||
Undistributed net investment income at end of period | $ | 5,702 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 3,228,087,068 | 8,235,820,662 | ||||||
Shares issued from reinvestment of distributions | 198,947 | 39,361 | ||||||
Shares redeemed | (3,355,211,823 | ) | (8,252,516,656 | ) | ||||
Net decrease in shares | (126,925,808 | ) | (16,656,633 | ) |
186 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Period Ended March 28, 2013b | |||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | — | c | — | c | — | c | — | c | — | c | — | c | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | — | c | — | c | — | c | — | c | — | c | — | c | ||||||||||||
Total from investment operations | — | c | — | c | — | c | — | c | — | c | — | c | ||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net realized gains | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Total Distributions | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Returng | 0.04 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 500,609 | $ | 627,514 | $ | 643,872 | $ | 694,549 | $ | 780,135 | $ | 848,370 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.08 | % | 0.00 | %e | 0.00 | %e | 0.00 | %e | 0.00 | %e | 0.00 | %e | ||||||||||||
Total expenses | 0.98 | % | 0.95 | % | 0.91 | % | 0.92 | % | 0.93 | % | 0.95 | % | ||||||||||||
Net expensesd | 0.93 | % | 0.47 | % | 0.22 | % | 0.08 | % | 0.09 | % | 0.17 | % | ||||||||||||
Portfolio turnover rate | — | — | — | 124 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Effective June 15, 2012, the Fund’s Investor Class shares, Advisor Class shares, A-Class shares, C-Class shares and Investor2 Class shares were converted into the newly created Money Market Class. The financial highlights for periods prior to that date reflect the performance of the former Investor Class. |
c | Less than $0.01 per share. |
d | Net expense information reflects the expense ratios after expense waivers |
e | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 187 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2017, the Trust consisted of fifty-three funds.
This report covers the Nova Fund, S&P 500® Fund, Inverse S&P 500® Strategy Fund, Monthly Rebalance NASDAQ-100® 2x Strategy 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, Dow Jones Industrial Average® 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 (the “Funds”), each a non-diversified investment company, with the exception of the U.S. Government Money Market Fund, which is a diversified investment company. Only Investor Class, A-Class, C-Class, H-Class and Money Market Class shares had been issued by the Funds.
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.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
The Trust calculates a NAV twice each business day; at 10:45 a.m. and at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. for the Russell 2000® Fund and the S&P 500® Fund. All other Funds in this report will price at the afternoon NAV. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the September 30, 2017, afternoon NAV.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets
188 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale 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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sale price.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value. With the exception of the U.S. Government Money Market Fund, U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
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.
(c) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 189 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
rate of the 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 Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(d) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(e) Swap Agreements
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 an agreement are recognized as realized gains or losses.
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(f) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and 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.
(g) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(h) Security Transactions
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. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(i) Distributions
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
190 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(j) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees 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) Cash
The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at September 30, 2017.
(l) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i)
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 191 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 2,965,725 | $ | — | ||||
S&P 500® Fund | Index exposure, Liquidity | 2,766,150 | — | ||||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 23,204,475 | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 3,854,205 | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 349,160 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 987,250 | ||||||
Russell 2000® Fund | Index exposure, Liquidity | 373,075 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 746,150 | ||||||
Dow Jones Industrial Average® Fund | Index exposure, Liquidity | 532,425 | — | ||||||
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 41,690,063 | — | ||||||
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | — | 39,145,797 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 399,216,820 | — | ||||||
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | — | 2,764,461 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps 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 if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap 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 if the underlying index declines in value.
192 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 192,164,029 | $ | — | ||||
S&P 500® Fund | Index exposure, Liquidity | 30,782,428 | — | ||||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 51,740,259 | ||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 50,092,289 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 7,100,916 | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 27,776,943 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 798,758 | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 12,860,964 | — | ||||||
Russell 2000® Fund | Index exposure, Liquidity | 9,163,545 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 9,122,481 | ||||||
Dow Jones Industrial Average® Fund | Index exposure, Liquidity | 29,292,440 | — | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 41,006,708 | — |
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. In accordance with its principal investment strategy, the Funds enter into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. 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 pay 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 following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | $ | 429,480,641 | $ | — | ||||
Inverse High Yield Strategy Fund | Duration, Index exposure, Liquidity | — | 2,975,119 |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 193 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | Variation margin | Variation margin |
Equity/Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Interest Rate Contracts* | Swaps Credit Default Contracts | Total Value at September 30, 2017 | |||||||||||||||
Nova Fund | $ | — | $ | 602,099 | $ | — | $ | — | $ | 602,099 | ||||||||||
S&P 500® Fund | 4,118 | 283,208 | — | — | 287,326 | |||||||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | — | 454,190 | — | — | 454,190 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 148,377 | — | — | 148,377 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 106,475 | — | — | 106,475 | |||||||||||||||
Russell 2000® Fund | 707 | 72,569 | — | — | 73,276 | |||||||||||||||
Dow Jones Industrial Average® Fund | — | 42,034 | — | — | 42,034 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 711,817 | — | 711,817 | |||||||||||||||
High Yield Strategy Fund | — | 170,452 | — | 2,332,664 | 2,503,116 | |||||||||||||||
Inverse High Yield Strategy Fund | — | — | 19,835 | — | 19,835 |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Interest Rate Contracts* | Swaps Credit Default Contracts | Total Value at September 30, 2017 | |||||||||||||||
Inverse S&P 500® Strategy Fund | $ | 104,260 | $ | 282,974 | $ | — | $ | — | $ | 387,234 | ||||||||||
Inverse NASDAQ-100® Strategy Fund | 192 | 128,682 | — | — | 128,874 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | 1,490 | 7,442 | — | — | 8,932 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | 74,110 | 52,641 | — | — | 126,751 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 749,658 | — | 749,658 | |||||||||||||||
High Yield Strategy Fund | — | — | 3,117,439 | — | 3,117,439 | |||||||||||||||
Inverse High Yield Strategy Fund | — | — | — | 12,914 | 12,914 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Equity/Credit contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements |
194 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended September 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Interest Rate Contracts | Swaps Credit Default Contracts | Total | |||||||||||||||
Nova Fund | $ | 2,277,810 | $ | 12,283,082 | $ | — | $ | — | $ | 14,560,892 | ||||||||||
S&P 500® Fund | 178,020 | (1,982 | ) | — | — | 176,038 | ||||||||||||||
Inverse S&P 500® Strategy Fund | (282,771 | ) | (5,885,011 | ) | — | — | (6,167,782 | ) | ||||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | 107,907 | 4,159,164 | — | — | 4,267,071 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | (88,114 | ) | (931,799 | ) | — | — | (1,019,913 | ) | ||||||||||||
Mid-Cap 1.5x Strategy Fund | 58,899 | 1,537,947 | — | — | 1,596,846 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | (180 | ) | (38,800 | ) | — | — | (38,980 | ) | ||||||||||||
Russell 2000® 1.5x Strategy Fund | 247,848 | 1,826,980 | — | — | 2,074,828 | |||||||||||||||
Russell 2000® Fund | 24,737 | 683,058 | — | — | 707,795 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | (81,683 | ) | (830,018 | ) | — | — | (911,701 | ) | ||||||||||||
Dow Jones Industrial Average® Fund | 222,259 | 1,887,223 | — | — | 2,109,482 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 1,949,600 | — | 1,949,600 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (2,527,551 | ) | — | (2,527,551 | ) | |||||||||||||
High Yield Strategy Fund | (30 | ) | 1,415,653 | 6,454,594 | 12,095,726 | 19,965,943 | ||||||||||||||
Inverse High Yield Strategy Fund | 3 | — | 484 | (232,143 | ) | (231,656 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Interest Rate Contracts | Swaps Credit Default Contracts | Total | |||||||||||||||
Nova Fund | $ | (132,837 | ) | $ | 615,665 | $ | — | $ | — | $ | 482,828 | |||||||||
S&P 500® Fund | 382 | 234,679 | — | — | 235,061 | |||||||||||||||
Inverse S&P 500® Strategy Fund | (110,103 | ) | 309,832 | — | — | 199,729 | ||||||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | (8,109 | ) | 338,354 | — | — | 330,245 | ||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 6,915 | (64,595 | ) | — | — | (57,680 | ) | |||||||||||||
Mid-Cap 1.5x Strategy Fund | (8,303 | ) | (361,039 | ) | — | — | (369,342 | ) | ||||||||||||
Inverse Mid-Cap Strategy Fund | (1,490 | ) | (2,426 | ) | — | — | (3,916 | ) | ||||||||||||
Russell 2000® 1.5x Strategy Fund | (41,565 | ) | (93,719 | ) | — | — | (135,284 | ) | ||||||||||||
Russell 2000® Fund | (20,208 | ) | (45,824 | ) | — | — | (66,032 | ) | ||||||||||||
Inverse Russell 2000® Strategy Fund | 93,654 | 47,532 | — | — | 141,186 | |||||||||||||||
Dow Jones Industrial Average® Fund | 46,288 | 47,470 | — | — | 93,758 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | (1,092,073 | ) | — | (1,092,073 | ) | |||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 765,957 | — | 765,957 | |||||||||||||||
High Yield Strategy Fund | — | (248,535 | ) | (4,570,419 | ) | 131,744 | (4,687,210 | ) | ||||||||||||
Inverse High Yield Strategy Fund | — | — | 24,109 | 10,433 | 34,542 |
In conjunction with the use of short sales and derivative instruments, 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 the Funds.
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.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 195 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Assets Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||
Nova Fund | Swap equity contracts | $ | 602,099 | $ | — | $ | 602,099 | $ | — | $ | — | $ | 602,099 | ||||||||||||
S&P 500® Fund | Swap equity contracts | 283,208 | — | 283,208 | — | — | 283,208 | ||||||||||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | Swap equity contracts | 454,190 | — | 454,190 | — | — | 454,190 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 148,377 | — | 148,377 | — | — | 148,377 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 106,475 | — | 106,475 | — | — | 106,475 | ||||||||||||||||||
Russell 2000® Fund | Swap equity contracts | 72,569 | — | 72,569 | — | — | 72,569 | ||||||||||||||||||
Dow Jones Industrial Average® Fund | Swap equity contracts | 42,034 | — | 42,034 | — | — | 42,034 | ||||||||||||||||||
High Yield Strategy Fund | Swap equity contracts | 170,452 | — | 170,452 | — | — | 170,452 |
196 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Liabilities Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | $ | 282,974 | $ | — | $ | 282,974 | $ | 282,974 | $ | — | $ | — | ||||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 128,682 | — | 128,682 | 114,718 | 13,964 | — | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 7,442 | — | 7,442 | 7,379 | 63 | — | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 52,641 | — | 52,641 | 51,419 | 1,222 | — |
1 | Centrally cleared swaps are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of September 30, 2017. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end.The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Counterparty | Cash Pledged | Cash Received | ||||||
Nova Fund | ||||||||
Barclays Bank plc | $ | 1,882,403 | $ | — | ||||
Nova Fund Total | 1,882,403 | — | ||||||
S&P 500® Fund | ||||||||
Barclays Bank plc | 360,000 | — | ||||||
S&P 500® Fund Total | 360,000 | — | ||||||
Inverse S&P 500® Strategy Fund | ||||||||
Barclays Bank plc | 4,788 | — | ||||||
Goldman Sachs Group | 304,500 | — | ||||||
Inverse S&P 500® Strategy Fund Total | 309,288 | — | ||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | ||||||||
Barclays Bank plc | 2,054,664 | — | ||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund Total | 2,054,664 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | ||||||||
Barclays Bank plc | 100,001 | — | ||||||
Goldman Sachs Group | 13,500 | — | ||||||
Inverse NASDAQ-100® Strategy Fund Total | 113,501 | — | ||||||
Mid-Cap 1.5x Strategy Fund | ||||||||
Barclays Bank plc | 303,104 | — | ||||||
Mid-Cap 1.5x Strategy Fund Total | 303,104 | — | ||||||
Inverse Mid-Cap Strategy Fund | ||||||||
Barclays Bank plc | 250,000 | — | ||||||
Goldman Sachs Group | 66,000 | — | ||||||
Inverse Mid-Cap Strategy Fund Total | 316,000 | — | ||||||
Russell 2000® 1.5x Strategy Fund | ||||||||
Barclays Bank plc | 240,000 | — | ||||||
Russell 2000® 1.5x Strategy Fund Total | 240,000 | — | ||||||
Russell 2000® Fund | ||||||||
Barclays Bank plc | 470,000 | — | ||||||
Russell 2000® Fund Total | 470,000 | — |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 197 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Counterparty | Cash Pledged | Cash Received | ||||||
Inverse Russell 2000® Strategy Fund | ||||||||
Barclays Bank plc | $ | 330,002 | $ | — | ||||
Goldman Sachs Group | 55,000 | — | ||||||
Inverse Russell 2000® Strategy Fund Total | 385,002 | — | ||||||
Dow Jones Industrial Average® Fund | ||||||||
Barclays Bank plc | 310,000 | — | ||||||
Dow Jones Industrial Average® Fund Total | 310,000 | — | ||||||
Government Long Bond 1.2x Strategy Fund | ||||||||
Goldman Sachs Group | 528,400 | — | ||||||
Government Long Bond 1.2x Strategy Fund Total | 528,400 | — | ||||||
Inverse Government Long Bond Strategy Fund | ||||||||
Goldman Sachs Group | 583,900 | — | ||||||
Inverse Government Long Bond Strategy Fund Total | 583,900 | — | ||||||
High Yield Strategy Fund | ||||||||
Barclays Bank plc | — | 5,858,922 | ||||||
Goldman Sachs Group | 516,501 | 9,500,029 | ||||||
High Yield Strategy Fund Total | 516,501 | 15,358,951 | ||||||
Inverse High Yield Strategy Fund | ||||||||
Barclays Bank plc | 299,050 | — | ||||||
Goldman Sachs Group | 18,252 | — | ||||||
Inverse High Yield Strategy Fund Total | 317,302 | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
198 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – 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% |
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | 0.90% |
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% |
Dow Jones Industrial Average® Fund | 0.75% |
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% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD 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 GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD 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 a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
The Board of Trustees has adopted a distribution and service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders and the maintenance of shareholder accounts in an amount up to 0.25% of its average daily net assets each year. No 12b-1 fees are currently paid by the Funds, and there are no current plans to impose these fees. No such fee may be paid in the future without further approval by the Board of Trustees.
GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.
GI has contractually agreed to reduce fees and/or reimburse expenses for the Monthly Rebalance NASDAQ-100 2x Strategy Fund to the extent necessary to keep net operating expenses for A-Class, C-Class and H-Class shares ( including Rule 12b-1 fees if any) (excluding brokerage, dividends on securities sold short, acquired fund fees and expenses, interest, taxes, litigation, indemnifi cation, and extraordinary expenses) from exceeding 1.35%, 2.10% and 1.35% of the Fund’s A-Class, C-Class and H-Class shares average daily net assets, respectively. The Total
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 199 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Annual Fund Operating Expenses After Fee Waiver and /or Expense Reimbursement includes Excluded Expenses and, thus, from time to time may be higher than 1.35%, 2.10% and 1.35%, respectively. This agreement may be terminated only with the approval of the Fund’s Board of Trustees.
For the period ended September 30, 2017, GFD retained sales charges of $90,853 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
BNP Paribas | U.S Treasury Note | |||||||||||||||||
1.00% | 1.13% | |||||||||||||||||
Due 10/02/17 | $ | 126,905,733 | $ | 126,916,309 | 02/28/21 | $ | 131,780,200 | $ | 129,443,901 | |||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
1.05% | 1.63% | |||||||||||||||||
Due 10/02/17 | 63,452,867 | 63,458,419 | 05/31/23 | 65,690,800 | 64,722,010 | |||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | |||||||||||||||||
0.98% | 1.13% | |||||||||||||||||
Due 10/02/17 | 35,069,861 | 35,072,725 | 01/15/21 | 30,577,200 | 35,771,371 | |||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | |||||||||||||||||
0.91% | 0.00% | |||||||||||||||||
Due 10/02/17 | 23,879,390 | 23,881,201 | 08/15/39 | 44,888,000 | 24,357,007 | |||||||||||||
UMB Financial Corp. | Federal Home Loan Bank | |||||||||||||||||
0.91% | 1.25% | |||||||||||||||||
Due 10/02/17 | 2,504,407 | 2,504,597 | 06/08/18 | 2,000,000 | 2,007,147 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.63% | ||||||||||||||||||
05/15/26 | 573,300 | 547,365 | ||||||||||||||||
2,573,300 | 2,554,512 |
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 adviser, acting under the supervision of the Board, 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.
200 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At September 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
Nova Fund | $ | 206,799 | $ | (206,799 | ) | $ | — | $ | 210,703 | $ | — | $ | 210,703 | |||||||||||
S&P 500® Fund | 1,253,573 | (1,253,573 | ) | — | 1,279,576 | — | 1,279,576 | |||||||||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | 144,808 | (144,808 | ) | — | 147,572 | — | 147,573 | |||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 87,067 | (87,067 | ) | — | 88,755 | — | 88,755 | |||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 78,627 | (78,627 | ) | — | 80,821 | — | 80,821 | |||||||||||||||||
Russell 2000® Fund | 1,452,654 | (1,452,654 | ) | — | 1,492,890 | — | 1,492,890 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 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, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 201 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2017, 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 | $ | 107,298,658 | $ | 3,712,439 | $ | (249,737 | ) | $ | 3,462,702 | |||||||
S&P 500® Fund | 225,581,988 | 20,659,936 | (1,337,440 | ) | 19,322,496 | |||||||||||
Inverse S&P 500® Strategy Fund | 75,999,661 | 150,190 | (422,426 | ) | (272,236 | ) | ||||||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | 29,897,309 | 1,276,702 | (91,495 | ) | 1,185,207 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 12,011,041 | 45,843 | (130,763 | ) | (84,920 | ) | ||||||||||
Mid-Cap 1.5x Strategy Fund | 18,220,434 | 520,700 | (28,366 | ) | 492,334 | |||||||||||
Inverse Mid-Cap Strategy Fund | 2,638,093 | 2,703 | (8,948 | ) | (6,245 | ) | ||||||||||
Russell 2000® 1.5x Strategy Fund | 9,811,465 | 475,722 | (7,671 | ) | 468,051 | |||||||||||
Russell 2000® Fund | 63,877,326 | 3,822,351 | (1,209,323 | ) | 2,613,028 | |||||||||||
Inverse Russell 2000® Strategy Fund | 6,827,684 | 16,495 | (128,043 | ) | (111,548 | ) | ||||||||||
Dow Jones Industrial Average® Fund | 79,349,240 | 6,739,469 | (214,903 | ) | 6,524,566 | |||||||||||
Government Long Bond 1.2x Strategy Fund | 71,456,606 | 54,783 | (1,192,890 | ) | (1,138,107 | ) | ||||||||||
Inverse Government Long Bond Strategy Fund | 159,869,767 | 759,636 | (62,578 | ) | 697,058 | |||||||||||
High Yield Strategy Fund | 492,069,669 | 2,848,170 | (3,139,740 | ) | (291,570 | ) | ||||||||||
Inverse High Yield Strategy Fund | 2,869,907 | 43,046 | (13,040 | ) | 30,006 | |||||||||||
U.S. Government Money Market Fund | 518,459,096 | — | — | — |
Note 9 – Securities Transactions
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Nova Fund | $ | 1,864,035,651 | $ | 1,843,356,332 | ||||
S&P 500® Fund | 216,023,594 | 273,240,538 | ||||||
Inverse S&P 500® Strategy Fund | 12,639,076 | 22,640,000 | ||||||
Monthly Rebalance Nasdaq-100® 2x Strategy Fund | 50,534,723 | 51,314,238 | ||||||
Inverse NASDAQ-100® Strategy Fund | — | — | ||||||
Mid-Cap 1.5x Strategy Fund | 3,835,317 | 13,564,933 | ||||||
Inverse Mid-Cap Strategy Fund | — | — | ||||||
Russell 2000® 1.5x Strategy Fund | 3,827,979 | 7,094,631 | ||||||
Russell 2000® Fund | 38,119,466 | 31,313,623 | ||||||
Inverse Russell 2000® Strategy Fund | — | — | ||||||
Dow Jones Industrial Average® Fund | 76,938,237 | 49,994,767 | ||||||
Government Long Bond 1.2x Strategy Fund | — | 1,100,000 | ||||||
Inverse Government Long Bond Strategy Fund | 12,000,288 | 56,500,000 | ||||||
High Yield Strategy Fund | 157,381,823 | 180,249,000 | ||||||
Inverse High Yield Strategy Fund | 100,000 | 500,000 | ||||||
U.S. Government Money Market Fund | — | — |
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Government Long Bond 1.2x Strategy Fund | $ | 720,907,766 | $ | 697,135,281 | ||||
Inverse Government Long Bond Strategy Fund | 655,958,422 | 606,618,922 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment
202 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized Gain (Loss) | |||||||||
Nova Fund | $ | 357,148,750 | $ | 240,009,900 | $ | (884,026 | ) | |||||
S&P 500 Fund | 163,012,849 | 202,729,286 | 34,116,377 | |||||||||
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | 16,046,967 | 21,655,385 | 1,663,229 | |||||||||
Mid-Cap 1.5x Strategy Fund | 1,770,775 | 2,092,114 | (43,909 | ) | ||||||||
Russell 2000® 1.5x Strategy Fund | 3,613,311 | 3,854,589 | (22,434 | ) | ||||||||
Russell 2000® Fund | 15,410,345 | 22,893,166 | 3,831,228 | |||||||||
Dow Jones Industrial Average® Fund | 25,154,423 | 24,941,993 | 599,888 | |||||||||
U.S. Government Money Market Fund | 13,536,893 | — | — |
Note 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 11, 2018. 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 1.92% for the period ended September 30, 2017. The Funds did not have any borrowings outstanding under this agreement at September 30, 2017.
The average daily balances borrowed for the period ended September 30, 2017, were as follows:
Fund | Average Daily Balance | |||
Nova Fund | $ | 94,486 | ||
S&P 500® Fund | 1,710 | |||
Inverse S&P 500® Strategy Fund | 5,590 | |||
Monthly Rebalance NASDAQ-100® 2x Strategy Fund | 372 | |||
Inverse NASDAQ-100® Strategy Fund | 301 | |||
Mid-Cap 1.5x Strategy Fund | 19,214 | |||
Russell 2000® 1.5x Strategy Fund | 984 | |||
Dow Jones Industrial Average® Fund | 35,738 | |||
Government Long Bond 1.2x Strategy Fund | 33,867 | |||
Inverse Government Long Bond Strategy Fund | 6,584 |
Note 11 – Reverse Share Splits
Share splits occurred for the following Funds at the close of business:
Fund | Effective Date | Split Type |
Inverse S&P 500® Strategy Fund | October 28, 2016 | One-for-Six Reverse Share Split |
Inverse NASDAQ-100® Strategy Fund | November 4, 2016 | One-for-Four Reverse Share Split |
Inverse High Yield Strategy Fund | November 4, 2016 | One-for-Four Reverse Share Split |
Note 12 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 203 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges 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.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
204 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek 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. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
These lawsuits do 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; Long Short Equity Fund f/k/a 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 205 |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Nova Fund, S&P 500® Fund, Inverse S&P 500® Strategy Fund, Monthly Rebalance NASDAQ-100® 2x Strategy 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, Dow Jones Industrial Average® 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, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving
206 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 207 |
OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, Distribution Plans, and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
208 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present). Former: President and CEO, certain other funds in the Fund complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Nominating and Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 209 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Nominating and Governance Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Nominating and Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Member of the Nominating and Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
210 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 211 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-Present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
212 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 213 |
![]() |
9.30.2017
Rydex Funds Semi-Annual Report
Domestic Equity Funds |
S&P 500® Pure Growth Fund |
S&P 500® Pure Value Fund |
S&P MidCap 400® Pure Growth Fund |
S&P MidCap 400® Pure Value Fund |
S&P SmallCap 600® Pure Growth Fund |
S&P SmallCap 600® Pure Value Fund |
International Equity Funds |
Europe 1.25x Strategy Fund |
Japan 2x Strategy Fund |
Specialty Funds |
Strengthening Dollar 2x Strategy |
Weakening Dollar 2x Strategy |
GuggenheimInvestments.com | RBENF2-SEMI-0917x0318 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_ii.jpg)
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
S&P 500® PURE GROWTH FUND | 10 |
S&P 500® PURE VALUE FUND | 18 |
S&P MIDCAP 400® PURE GROWTH FUND | 26 |
S&P MIDCAP 400® PURE VALUE FUND | 33 |
S&P SMALLCAP 600® PURE GROWTH FUND | 41 |
S&P SMALLCAP 600® PURE VALUE FUND | 49 |
EUROPE 1.25x STRATEGY FUND | 57 |
JAPAN 2x STRATEGY FUND | 65 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 72 |
WEAKENING DOLLAR 2x STRATEGY FUND | 79 |
NOTES TO FINANCIAL STATEMENTS | 86 |
OTHER INFORMATION | 100 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 103 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 107 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
September 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2017.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC October 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses, and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
September 30, 2017 |
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
Pure Style Funds may not be suitable for all investors. ● The Funds are subject to the risk that large, medium and small-capitalization stocks may underperform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities. ● The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Funds’ ability to achieve their investment objective and may decrease the Funds’ performance. ● These Funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
The Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus
The Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2017 |
Over the past few months, the equity markets have faced massive hurricanes in the South, rising tensions with North Korea and ongoing uncertainty surrounding domestic policy. Despite it all, the major stock indices continue to trade at/near record levels. The market’s resiliency seems to underscore that, at the end of the day, it’s fundamentals that drive equity markets and not political headlines or geopolitical tensions.
A noticeable shift in market sentiment during the third quarter led to a rotation into cyclical and small capitalization stocks. Value factors also began to outperform in September, a significant change from year-to-date performance. From a macro standpoint, the primary drivers of the value trade include rising inflationary expectations, economic growth and the prospects of tax reform.
Outside the U.S., both the European and emerging markets outperformed the Standard & Poor’s 500® (“S&P 500”) Index* on a dollar denominated basis. Renewed interest in both regions reflected attractive relative valuation and the synchronized global economic expansion.
Assuming no major geopolitical or other unforeseen shocks, we expect the U.S. economy will grow by between 2.0–2.5% in real terms in 2017 and 2018, supported by a strong labor market at home, a synchronized upswing in the global economy, and favorable financial conditions. Risks to our growth outlook are to the upside if Washington delivers on promises to cut taxes. Third quarter economic data was less distorted by the recent hurricanes than expected, and rebuilding efforts should be a positive for growth heading into 2018.
The labor market is steadily tightening, as seen in the drop in the unemployment rate to a cycle low of 4.2% in September, underscoring the robust—and unsustainable—underlying trend in hiring. Leading indicators, including hiring intentions surveys, point to further declines in the unemployment rate. Meanwhile, inflation continues to be well below the U.S. Federal Reserve’s (the “Fed”) 2% longer-run goal, with core personal consumption expenditure inflation coming in at 1.3% in September. However, inflation lags GDP growth by about six quarters; because growth has accelerated over the past year, and the dollar has depreciated, inflation will likely move closer to 2% by the second quarter of 2018.
The firming U.S. economy, coupled with synchronized global growth and stabilization in the U.S. dollar, is likely to be supportive of the U.S. earnings environment. On the valuation front, while elevated relative to long-term averages, multiples still remain well below extreme levels. Economic and financial conditions are supportive enough for the Fed to continue to resume a quarterly pattern of rate increases in December, and to begin balance sheet normalization this year. Interest rates are expected to remain supportive of risk assets.
For the six months ended September 30, 2017, the S&P 500 Index* returned 7.71%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 10.99%. The return of the MSCI Emerging Markets Index* was 14.66%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.31% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.19%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.47% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2017 |
Bloomberg Barclays Long Treasury Bond Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and non convertible. The Long U.S. Treasury Index is market-capitalization weighted and the securities in the index are updated on the last business day of each month.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
STOXX® Europe 50 Index provides a blue-chip representation of super-sector leaders in Europe. The index covers 50 stocks from developed European countries such as Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.
Nikkei-225 Stock Average Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
S&P 500® Pure Growth Index is narrow in focus, containing only those S&P 500 Index companies with strong growth characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P 500® Pure Value Index is narrow in focus, containing only those S&P 500 Index companies with strong value characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation, and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P MidCap 400® Pure Growth Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong growth characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P MidCap 400® Pure Value Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong value characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Growth Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong growth characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Value Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong value characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
The USD or U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: euro (EUR), 57.6% + Japanese yen (JPY), 13.6% + pound sterling (GBP), 11.9% + Canadian dollar (CAD), 9.1% + Swedish krona (SEK), 4.2% + Swiss franc (CHF) 3.6%.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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 on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
Index 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.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2017 and ending September 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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 the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
S&P 500® Pure Growth Fund | |||||
A-Class | 1.55% | 11.20% | $ 1,000.00 | $ 1,112.00 | $ 8.21 |
C-Class | 2.30% | 10.78% | 1,000.00 | 1,107.80 | 12.15 |
H-Class | 1.55% | 11.21% | 1,000.00 | 1,112.10 | 8.21 |
S&P 500® Pure Value Fund | |||||
A-Class | 1.55% | 5.05% | 1,000.00 | 1,050.50 | 7.97 |
C-Class | 2.30% | 4.65% | 1,000.00 | 1,046.50 | 11.80 |
H-Class | 1.55% | 5.05% | 1,000.00 | 1,050.50 | 7.97 |
S&P MidCap 400® Pure Growth Fund | |||||
A-Class | 1.55% | 6.30% | 1,000.00 | 1,063.00 | 8.02 |
C-Class | 2.30% | 5.89% | 1,000.00 | 1,058.90 | 11.87 |
H-Class | 1.55% | 6.29% | 1,000.00 | 1,062.90 | 8.02 |
S&P MidCap 400® Pure Value Fund | |||||
A-Class | 1.55% | 3.74% | 1,000.00 | 1,037.40 | 7.92 |
C-Class | 2.30% | 3.34% | 1,000.00 | 1,033.40 | 11.72 |
H-Class | 1.55% | 3.72% | 1,000.00 | 1,037.20 | 7.92 |
S&P SmallCap 600® Pure Growth Fund | |||||
A-Class | 1.55% | 9.06% | 1,000.00 | 1,090.60 | 8.12 |
C-Class | 2.30% | 8.63% | 1,000.00 | 1,086.30 | 12.03 |
H-Class | 1.55% | 9.04% | 1,000.00 | 1,090.40 | 8.12 |
S&P SmallCap 600® Pure Value Fund | |||||
A-Class | 1.55% | 1.39% | 1,000.00 | 1,013.90 | 7.83 |
C-Class | 2.30% | 1.01% | 1,000.00 | 1,010.10 | 11.59 |
H-Class | 1.55% | 1.59% | 1,000.00 | 1,015.90 | 7.83 |
Europe 1.25x Strategy Fund | |||||
A-Class | 1.72% | 15.04% | 1,000.00 | 1,150.40 | 9.27 |
C-Class | 2.47% | 14.62% | 1,000.00 | 1,146.20 | 13.29 |
H-Class | 1.72% | 15.08% | 1,000.00 | 1,150.80 | 9.27 |
Japan 2x Strategy Fund | |||||
A-Class | 1.52% | 12.78% | 1,000.00 | 1,127.80 | 8.11 |
C-Class | 2.27% | 12.35% | 1,000.00 | 1,123.50 | 12.08 |
H-Class | 1.53% | 12.80% | 1,000.00 | 1,128.00 | 8.16 |
Strengthening Dollar 2x Strategy Fund | |||||
A-Class | 1.74% | (13.68%) | 1,000.00 | 863.20 | 8.13 |
C-Class | 2.49% | (13.99%) | 1,000.00 | 860.10 | 11.61 |
H-Class | 1.74% | (13.67%) | 1,000.00 | 863.30 | 8.13 |
Weakening Dollar 2x Strategy Fund | |||||
A-Class | 1.74% | 14.31% | 1,000.00 | 1,143.10 | 9.35 |
C-Class | 2.49% | 13.92% | 1,000.00 | 1,139.20 | 13.35 |
H-Class | 1.74% | 14.34% | 1,000.00 | 1,143.40 | 9.35 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
S&P 500® Pure Growth Fund | |||||
A-Class | 1.55% | 5.00% | $ 1,000.00 | $ 1,017.30 | $ 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
S&P 500® Pure Value Fund | |||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
S&P MidCap 400® Pure Growth Fund | |||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
S&P MidCap 400® Pure Value Fund | |||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
S&P SmallCap 600® Pure Growth Fund | |||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
S&P SmallCap 600® Pure Value Fund | |||||
A-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
C-Class | 2.30% | 5.00% | 1,000.00 | 1,013.54 | 11.61 |
H-Class | 1.55% | 5.00% | 1,000.00 | 1,017.30 | 7.84 |
Europe 1.25x Strategy Fund | |||||
A-Class | 1.72% | 5.00% | 1,000.00 | 1,016.44 | 8.69 |
C-Class | 2.47% | 5.00% | 1,000.00 | 1,012.68 | 12.46 |
H-Class | 1.72% | 5.00% | 1,000.00 | 1,016.44 | 8.69 |
Japan 2x Strategy Fund | |||||
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.45 | 7.69 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.69 | 11.46 |
H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.40 | 7.74 |
Strengthening Dollar 2x Strategy Fund | |||||
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
Weakening Dollar 2x Strategy Fund | |||||
A-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
C-Class | 2.49% | 5.00% | 1,000.00 | 1,012.58 | 12.56 |
H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.34 | 8.80 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2017 to September 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_10.jpg)
“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) | |
Applied Materials, Inc. | 3.4% |
NVIDIA Corp. | 3.0% |
Lam Research Corp. | 2.4% |
Align Technology, Inc. | 2.0% |
Broadcom Ltd. | 1.8% |
IDEXX Laboratories, Inc. | 1.7% |
Facebook, Inc. — Class A | 1.7% |
UnitedHealth Group, Inc. | 1.5% |
Prologis, Inc. | 1.5% |
Ulta Beauty, Inc. | 1.4% |
Top Ten Total | 20.4% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 11.20% | 17.96% | 14.57% | 9.25% |
A-Class Shares with sales charge‡ | 5.93% | 12.36% | 13.46% | 8.72% |
C-Class Shares | 10.78% | 17.08% | 13.71% | 8.43% |
C-Class Shares with CDSC§ | 9.78% | 16.08% | 13.71% | 8.43% |
H-Class Shares | 11.21% | 17.96% | 14.58% | 9.25% |
S&P 500 Pure Growth Index | 12.11% | 19.99% | 16.50% | 11.05% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P 500® PURE GROWTH FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Non-cyclical - 22.0% | ||||||||
Align Technology, Inc.* | 12,000 | $ | 2,235,240 | |||||
IDEXX Laboratories, Inc.* | 11,800 | 1,834,782 | ||||||
UnitedHealth Group, Inc. | 8,600 | 1,684,310 | ||||||
Quanta Services, Inc.* | 41,200 | 1,539,644 | ||||||
PayPal Holdings, Inc.* | 20,100 | 1,287,003 | ||||||
Celgene Corp.* | 8,752 | 1,276,217 | ||||||
Constellation Brands, Inc. — Class A | 6,305 | 1,257,532 | ||||||
Aetna, Inc. | 6,585 | 1,047,081 | ||||||
Humana, Inc. | 4,100 | 998,883 | ||||||
Biogen, Inc.* | 3,103 | 971,611 | ||||||
United Rentals, Inc.*,1 | 6,000 | 832,440 | ||||||
Total System Services, Inc. | 12,694 | 831,457 | ||||||
Cintas Corp. | 5,730 | 826,724 | ||||||
Incyte Corp.* | 6,700 | 782,158 | ||||||
S&P Global, Inc. | 4,890 | 764,356 | ||||||
Gartner, Inc.* | 6,100 | 758,901 | ||||||
Intuitive Surgical, Inc.* | 700 | 732,116 | ||||||
Verisk Analytics, Inc. — Class A* | 8,790 | 731,240 | ||||||
Becton Dickinson and Co. | 3,500 | 685,825 | ||||||
CR Bard, Inc. | 2,130 | 682,665 | ||||||
Edwards Lifesciences Corp.* | 6,020 | 658,046 | ||||||
Boston Scientific Corp.* | 21,207 | 618,608 | ||||||
Stryker Corp. | 3,900 | 553,878 | ||||||
Gilead Sciences, Inc. | 6,682 | 541,376 | ||||||
Total Consumer, Non-cyclical | 24,132,093 | |||||||
Technology - 21.8% | ||||||||
Applied Materials, Inc. | 70,650 | 3,680,158 | ||||||
NVIDIA Corp. | 18,315 | 3,274,173 | ||||||
Lam Research Corp. | 13,943 | 2,580,013 | ||||||
Broadcom Ltd. | 8,065 | 1,956,085 | ||||||
Microchip Technology, Inc. | 15,791 | 1,417,716 | ||||||
Activision Blizzard, Inc. | 20,702 | 1,335,485 | ||||||
Skyworks Solutions, Inc. | 10,443 | 1,064,142 | ||||||
salesforce.com, Inc.* | 10,618 | 991,933 | ||||||
Red Hat, Inc.* | 8,089 | 896,747 | ||||||
Adobe Systems, Inc.* | 5,800 | 865,244 | ||||||
Electronic Arts, Inc.* | 7,287 | 860,303 | ||||||
Fidelity National Information Services, Inc. | 7,700 | 719,103 | ||||||
Cerner Corp.* | 9,798 | 698,793 | ||||||
Texas Instruments, Inc. | 7,700 | 690,228 | ||||||
Analog Devices, Inc. | 7,600 | 654,892 | ||||||
Akamai Technologies, Inc.* | 12,173 | 593,069 | ||||||
Citrix Systems, Inc.* | 7,408 | 569,083 | ||||||
Fiserv, Inc.* | 4,386 | 565,619 | ||||||
QUALCOMM, Inc. | 8,900 | 461,376 | ||||||
Total Technology | 23,874,162 | |||||||
Industrial - 14.8% | ||||||||
Packaging Corporation of America | 13,000 | 1,490,840 | ||||||
Corning, Inc. | 49,500 | 1,481,040 | ||||||
Vulcan Materials Co. | 10,397 | 1,243,481 | ||||||
Ingersoll-Rand plc | 12,900 | 1,150,293 | ||||||
Amphenol Corp. — Class A | 11,300 | 956,432 | ||||||
Northrop Grumman Corp. | 3,000 | 863,161 | ||||||
Martin Marietta Materials, Inc. | 4,074 | 840,181 | ||||||
Cummins, Inc. | 4,900 | 823,347 | ||||||
TransDigm Group, Inc. | 3,220 | 823,193 | ||||||
FedEx Corp. | 3,500 | 789,530 | ||||||
Illinois Tool Works, Inc. | 5,100 | 754,596 | ||||||
Harris Corp. | 5,600 | 737,408 | ||||||
General Dynamics Corp. | 3,500 | 719,530 | ||||||
AO Smith Corp. | 12,100 | 719,103 | ||||||
Garmin Ltd. | 12,500 | 674,625 | ||||||
Xylem, Inc. | 9,400 | 588,722 | ||||||
Republic Services, Inc. — Class A | 8,900 | 587,934 | ||||||
J.B. Hunt Transport Services, Inc. | 4,900 | 544,292 | ||||||
Acuity Brands, Inc. | 2,730 | 467,594 | ||||||
Total Industrial | 16,255,302 | |||||||
Financial - 13.9% | ||||||||
Prologis, Inc. REIT | 25,556 | 1,621,783 | ||||||
E*TRADE Financial Corp.* | 29,481 | 1,285,667 | ||||||
Intercontinental Exchange, Inc. | 16,650 | 1,143,855 | ||||||
UDR, Inc. REIT | 28,021 | 1,065,639 | ||||||
Apartment Investment & Management Co. — Class A REIT | 21,900 | 960,534 | ||||||
American Tower Corp. — Class A REIT | 6,694 | 914,936 | ||||||
AvalonBay Communities, Inc. REIT | 4,471 | 797,716 | ||||||
Host Hotels & Resorts, Inc. REIT | 41,800 | 772,882 | ||||||
Digital Realty Trust, Inc. REIT | 6,300 | 745,479 | ||||||
Welltower, Inc. REIT | 10,600 | 744,968 | ||||||
Duke Realty Corp. REIT | 23,900 | 688,798 | ||||||
Charles Schwab Corp. | 14,415 | 630,512 | ||||||
Arthur J Gallagher & Co. | 10,200 | 627,810 | ||||||
GGP, Inc. REIT | 29,700 | 616,869 | ||||||
Mastercard, Inc. — Class A | 4,206 | 593,887 | ||||||
Marsh & McLennan Companies, Inc. | 6,200 | 519,622 | ||||||
Extra Space Storage, Inc. REIT | 6,300 | 503,496 | ||||||
Kimco Realty Corp. REIT | 25,588 | 500,245 | ||||||
Discover Financial Services | 7,300 | 470,704 | ||||||
Total Financial | 15,205,402 | |||||||
Communications - 13.6% | ||||||||
Facebook, Inc. — Class A* | 10,629 | 1,816,177 | ||||||
Charter Communications, Inc. — Class A* | 4,200 | 1,526,364 | ||||||
Amazon.com, Inc.* | 1,500 | 1,442,025 | ||||||
Priceline Group, Inc.* | 631 | 1,155,247 | ||||||
Scripps Networks Interactive, Inc. — Class A | 13,300 | 1,142,337 | ||||||
Netflix, Inc.* | 6,024 | 1,092,452 | ||||||
F5 Networks, Inc.* | 9,000 | 1,085,040 | ||||||
Motorola Solutions, Inc. | 12,600 | 1,069,362 | ||||||
Expedia, Inc. | 6,189 | 890,845 | ||||||
Time Warner, Inc. | 7,400 | 758,130 | ||||||
CBS Corp. — Class B | 10,800 | 626,400 | ||||||
VeriSign, Inc.* | 5,705 | 606,955 | ||||||
Comcast Corp. — Class A | 14,700 | 565,656 | ||||||
Alphabet, Inc. — Class C* | 387 | 371,176 | ||||||
Discovery Communications, Inc. — Class C* | 14,900 | 301,874 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® PURE GROWTH FUND |
Shares | Value | |||||||
Alphabet, Inc. — Class A* | 302 | $ | 294,063 | |||||
Discovery Communications, Inc. — Class A* | 10,330 | 219,926 | ||||||
Total Communications | 14,964,029 | |||||||
Consumer, Cyclical - 11.2% | ||||||||
Ulta Beauty, Inc.* | 7,000 | 1,582,420 | ||||||
Starbucks Corp. | 22,000 | 1,181,620 | ||||||
LKQ Corp.* | 31,577 | 1,136,456 | ||||||
Dollar Tree, Inc.* | 13,063 | 1,134,130 | ||||||
Darden Restaurants, Inc. | 13,400 | 1,055,652 | ||||||
Michael Kors Holdings Ltd.* | 21,200 | 1,014,420 | ||||||
United Continental Holdings, Inc.* | 14,000 | 852,320 | ||||||
Ross Stores, Inc. | 11,773 | 760,183 | ||||||
Dollar General Corp. | 8,900 | 721,345 | ||||||
Marriott International, Inc. — Class A | 5,700 | 628,482 | ||||||
Southwest Airlines Co. | 9,842 | 550,955 | ||||||
Hasbro, Inc. | 4,900 | 478,583 | ||||||
Harley-Davidson, Inc. | 9,300 | 448,353 | ||||||
O’Reilly Automotive, Inc.* | 1,875 | 403,819 | ||||||
Advance Auto Parts, Inc. | 2,821 | 279,843 | ||||||
Total Consumer, Cyclical | 12,228,581 | |||||||
Basic Materials - 1.8% | ||||||||
Albemarle Corp. | 9,400 | 1,281,314 | ||||||
Newmont Mining Corp. | 17,800 | 667,678 | ||||||
Total Basic Materials | 1,948,992 | |||||||
Utilities - 0.4% | ||||||||
American Water Works Company, Inc. | 5,900 | 477,369 | ||||||
Total Common Stocks | ||||||||
(Cost $87,740,715) | 109,085,930 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 341,483 | $ | 341,483 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 170,742 | 170,742 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 84,901 | 84,901 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 77,574 | 77,574 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 8,136 | 8,136 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $682,836) | 682,836 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 622,819 | 622,819 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $622,819) | 622,819 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $89,046,370) | $ | 110,391,585 | ||||||
Other Assets & Liabilities, net - (0.7)% | (738,015 | ) | ||||||
Total Net Assets - 100.0% | $ | 109,653,570 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P 500® PURE GROWTH FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Ubobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 109,085,930 | $ | — | $ | — | $ | 109,085,930 | ||||||||
Repurchase Agreements | — | 682,836 | — | 682,836 | ||||||||||||
Securities Lending Collateral | 622,819 | — | — | 622,819 | ||||||||||||
Total Assets | $ | 109,708,749 | $ | 682,836 | $ | — | $ | 110,391,585 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $613,925 of securities loaned (cost $88,363,534) | $ | 109,708,749 | ||
Repurchase agreements, at value (cost $682,836) | 682,836 | |||
Cash | 19,011 | |||
Receivables: | ||||
Securities sold | 3,008,182 | |||
Dividends | 57,404 | |||
Fund shares sold | 49,479 | |||
Securities lending income | 112 | |||
Interest | 38 | |||
Total assets | 113,525,811 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 3,081,276 | |||
Return of securities loaned | 622,819 | |||
Management fees | 62,756 | |||
Distribution and service fees | 28,103 | |||
Transfer agent and administrative fees | 20,918 | |||
Portfolio accounting fees | 8,367 | |||
Miscellaneous | 48,002 | |||
Total liabilities | 3,872,241 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 109,653,570 | ||
Net assets consist of: | ||||
Paid in capital | $ | 76,239,702 | ||
Accumulated net investment loss | (625,354 | ) | ||
Accumulated net realized gain on investments | 12,694,007 | |||
Net unrealized appreciation on investments | 21,345,215 | |||
Net assets | $ | 109,653,570 | ||
A-Class: | ||||
Net assets | $ | 14,338,894 | ||
Capital shares outstanding | 222,917 | |||
Net asset value per share | $ | 64.32 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 67.53 | ||
C-Class: | ||||
Net assets | $ | 11,603,385 | ||
Capital shares outstanding | 200,899 | |||
Net asset value per share | $ | 57.76 | ||
H-Class: | ||||
Net assets | $ | 83,711,291 | ||
Capital shares outstanding | 1,301,633 | |||
Net asset value per share | $ | 64.31 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 672,517 | ||
Interest | 2,837 | |||
Income from securities lending, net | 2,101 | |||
Total investment income | 677,455 | |||
Expenses: | ||||
Management fees | 450,014 | |||
Distribution and service fees: | ||||
A-Class | 19,181 | |||
C-Class | 58,241 | |||
H-Class | 116,263 | |||
Transfer agent and administrative fees | 150,005 | |||
Portfolio accounting fees | 60,001 | |||
Registration fees | 56,015 | |||
Custodian fees | 7,858 | |||
Trustees’ fees* | 4,765 | |||
Line of credit fees | 32 | |||
Miscellaneous | 48,673 | |||
Total expenses | 971,048 | |||
Net investment loss | (293,593 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 8,705,278 | |||
Net realized gain | 8,705,278 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,539,542 | |||
Net change in unrealized appreciation (depreciation) | 4,539,542 | |||
Net realized and unrealized gain | 13,244,820 | |||
Net increase in net assets resulting from operations | $ | 12,951,227 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (293,593 | ) | $ | (912,048 | ) | ||
Net realized gain on investments | 8,705,278 | 20,611,148 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,539,542 | (8,959,618 | ) | |||||
Net increase in net assets resulting from operations | 12,951,227 | 10,739,482 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | — | (6,873 | ) | |||||
C-Class | — | (5,189 | ) | |||||
H-Class | — | (25,208 | ) | |||||
Total distributions to shareholders | — | (37,270 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 9,573,370 | 14,412,065 | ||||||
C-Class | 1,712,620 | 1,978,513 | ||||||
H-Class | 129,488,737 | 196,453,565 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 6,784 | ||||||
C-Class | — | 5,050 | ||||||
H-Class | — | 24,834 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (12,461,685 | ) | (24,797,962 | ) | ||||
C-Class | (2,254,495 | ) | (9,884,631 | ) | ||||
H-Class | (134,554,797 | ) | (238,506,871 | ) | ||||
Net decrease from capital share transactions | (8,496,250 | ) | (60,308,653 | ) | ||||
Net increase (decrease) in net assets | 4,454,977 | (49,606,441 | ) | |||||
Net assets: | ||||||||
Beginning of period | 105,198,593 | 154,805,034 | ||||||
End of period | $ | 109,653,570 | $ | 105,198,593 | ||||
Accumulated net investment loss at end of period | $ | (625,354 | ) | $ | (331,761 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 161,472 | 266,962 | ||||||
C-Class | 31,543 | 39,085 | ||||||
H-Class | 2,151,923 | 3,652,903 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 125 | ||||||
C-Class | — | 103 | ||||||
H-Class | — | 458 | ||||||
Shares redeemed | ||||||||
A-Class | (207,820 | ) | (462,388 | ) | ||||
C-Class | (40,713 | ) | (202,526 | ) | ||||
H-Class | (2,210,694 | ) | (4,481,621 | ) | ||||
Net decrease in shares | (114,289 | ) | (1,186,899 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 57.84 | $ | 51.74 | $ | 55.85 | $ | 50.81 | $ | 38.86 | $ | 34.54 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.44 | ) | (.22 | ) | (.33 | ) | (.23 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.60 | 6.56 | (2.47 | ) | 6.86 | 12.18 | 4.45 | |||||||||||||||||
Total from investment operations | 6.48 | 6.12 | (2.69 | ) | 6.53 | 11.95 | 4.32 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Total distributions | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 64.32 | $ | 57.84 | $ | 51.74 | $ | 55.85 | $ | 50.81 | $ | 38.86 | ||||||||||||
Total Returnc | 11.20 | % | 11.84 | % | (4.90 | %) | 12.98 | % | 30.75 | % | 12.51 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,339 | $ | 15,575 | $ | 24,037 | $ | 25,768 | $ | 19,978 | $ | 15,001 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.39 | %) | (0.82 | %) | (0.41 | %) | (0.62 | %) | (0.51 | %) | (0.38 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.50 | % | 1.52 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 91 | % | 184 | % | 290 | % | 274 | % | 594 | % | 421 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 52.13 | $ | 46.99 | $ | 51.23 | $ | 47.07 | $ | 36.27 | $ | 32.48 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.31 | ) | (.77 | ) | (.57 | ) | (.67 | ) | (.52 | ) | (.38 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.94 | 5.93 | (2.25 | ) | 6.32 | 11.32 | 4.17 | |||||||||||||||||
Total from investment operations | 5.63 | 5.16 | (2.82 | ) | 5.65 | 10.80 | 3.79 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Total distributions | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 57.76 | $ | 52.13 | $ | 46.99 | $ | 51.23 | $ | 47.07 | $ | 36.27 | ||||||||||||
Total Returnc | 10.78 | % | 10.99 | % | (5.61 | %) | 12.13 | % | 29.78 | % | 11.70 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,603 | $ | 10,951 | $ | 17,546 | $ | 22,701 | $ | 17,042 | $ | 8,692 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.14 | %) | (1.57 | %) | (1.16 | %) | (1.37 | %) | (1.24 | %) | (1.19 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.27 | % | 2.25 | % | 2.25 | % | 2.27 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | 91 | % | 184 | % | 290 | % | 274 | % | 594 | % | 421 | % |
16 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 57.83 | $ | 51.73 | $ | 55.84 | $ | 50.80 | $ | 38.84 | $ | 34.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.44 | ) | (.18 | ) | (.34 | ) | (.23 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.61 | 6.56 | (2.51 | ) | 6.87 | 12.19 | 4.47 | |||||||||||||||||
Total from investment operations | 6.48 | 6.12 | (2.69 | ) | 6.53 | 11.96 | 4.32 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Total distributions | — | (.02 | ) | (1.42 | ) | (1.49 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 64.31 | $ | 57.83 | $ | 51.73 | $ | 55.84 | $ | 50.80 | $ | 38.84 | ||||||||||||
Total Returnc | 11.21 | % | 11.84 | % | (4.91 | %) | 12.98 | % | 30.79 | % | 12.51 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 83,711 | $ | 78,673 | $ | 113,223 | $ | 104,628 | $ | 103,502 | $ | 52,483 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.43 | %) | (0.81 | %) | (0.35 | %) | (0.65 | %) | (0.50 | %) | (0.43 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.52 | % | 1.51 | % | 1.50 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 91 | % | 184 | % | 290 | % | 274 | % | 594 | % | 421 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_18.jpg)
“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) | |
Centene Corp. | 2.6% |
Berkshire Hathaway, Inc. — Class B | 2.6% |
Arconic, Inc. | 2.3% |
General Motors Co. | 2.2% |
Valero Energy Corp. | 2.0% |
Anthem, Inc. | 2.0% |
Andeavor | 1.8% |
Prudential Financial, Inc. | 1.7% |
Archer-Daniels-Midland Co. | 1.6% |
Hartford Financial Services Group, Inc. | 1.6% |
Top Ten Total | 20.4% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 5.05% | 17.11% | 14.55% | 6.17% |
A-Class Shares with sales charge‡ | 0.06% | 11.55% | 13.44% | 5.65% |
C-Class Shares | 4.65% | 16.23% | 13.69% | 5.41% |
C-Class Shares with CDSC§ | 3.65% | 15.23% | 13.69% | 5.41% |
H-Class Shares | 5.05% | 17.11% | 14.54% | 6.21% |
S&P 500 Pure Value Index | 5.77% | 18.90% | 16.53% | 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 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P 500® PURE VALUE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Financial - 35.3% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 9,529 | $ | 1,746,857 | |||||
Prudential Financial, Inc. | 11,016 | 1,171,222 | ||||||
Hartford Financial Services Group, Inc. | 19,559 | 1,084,155 | ||||||
Assurant, Inc. | 11,250 | 1,074,600 | ||||||
Unum Group | 20,525 | 1,049,443 | ||||||
Lincoln National Corp. | 13,704 | 1,006,970 | ||||||
Allstate Corp. | 10,588 | 973,143 | ||||||
XL Group Ltd. | 24,361 | 961,041 | ||||||
MetLife, Inc. | 17,448 | 906,424 | ||||||
Citigroup, Inc. | 12,295 | 894,339 | ||||||
Loews Corp. | 16,807 | 804,383 | ||||||
Bank of America Corp. | 30,965 | 784,653 | ||||||
Capital One Financial Corp. | 8,287 | 701,577 | ||||||
Aflac, Inc. | 8,368 | 681,072 | ||||||
American International Group, Inc. | 11,036 | 677,500 | ||||||
Travelers Companies, Inc. | 5,048 | 618,481 | ||||||
Regions Financial Corp. | 39,735 | 605,164 | ||||||
Morgan Stanley | 12,488 | 601,547 | ||||||
Everest Re Group Ltd. | 2,500 | 570,975 | ||||||
SunTrust Banks, Inc. | 9,344 | 558,491 | ||||||
Chubb Ltd. | 3,677 | 524,156 | ||||||
Progressive Corp. | 10,563 | 511,460 | ||||||
JPMorgan Chase & Co. | 4,967 | 474,398 | ||||||
Principal Financial Group, Inc. | 7,300 | 469,682 | ||||||
Zions Bancorporation | 9,513 | 448,823 | ||||||
PNC Financial Services Group, Inc. | 3,211 | 432,746 | ||||||
Fifth Third Bancorp | 15,215 | 425,716 | ||||||
Goldman Sachs Group, Inc. | 1,736 | 411,762 | ||||||
People’s United Financial, Inc. | 19,315 | 350,374 | ||||||
Bank of New York Mellon Corp. | 6,454 | 342,191 | ||||||
BB&T Corp. | 6,780 | 318,253 | ||||||
Navient Corp. | 20,912 | 314,098 | ||||||
Torchmark Corp. | 3,849 | 308,266 | ||||||
Wells Fargo & Co. | 5,379 | 296,652 | ||||||
Huntington Bancshares, Inc. | 20,587 | 287,395 | ||||||
State Street Corp. | 2,964 | 283,181 | ||||||
Invesco Ltd. | 7,299 | 255,757 | ||||||
Brighthouse Financial, Inc.* | 1,522 | 92,538 | ||||||
Total Financial | 24,019,485 | |||||||
Consumer, Cyclical - 18.8% | ||||||||
General Motors Co. | 37,340 | 1,507,789 | ||||||
Ford Motor Co. | 88,950 | 1,064,732 | ||||||
PulteGroup, Inc. | 36,245 | 990,576 | ||||||
DR Horton, Inc. | 22,347 | 892,316 | ||||||
Wal-Mart Stores, Inc. | 10,691 | 835,394 | ||||||
Goodyear Tire & Rubber Co. | 24,591 | 817,651 | ||||||
CVS Health Corp. | 9,689 | 787,909 | ||||||
Lennar Corp. — Class A | 14,520 | 766,656 | ||||||
Kohl’s Corp. | 14,055 | 641,611 | ||||||
Whirlpool Corp. | 3,418 | 630,416 | ||||||
BorgWarner, Inc. | 11,048 | 565,989 | ||||||
PVH Corp. | 4,069 | 512,938 | ||||||
Gap, Inc. | 15,558 | 459,428 | ||||||
Costco Wholesale Corp. | 2,390 | 392,653 | ||||||
Carnival Corp. | 4,840 | 312,519 | ||||||
Target Corp. | 5,284 | 311,809 | ||||||
American Airlines Group, Inc. | 6,468 | 307,165 | ||||||
Macy’s, Inc. | 13,458 | 293,654 | ||||||
Delta Air Lines, Inc. | 6,068 | 292,599 | ||||||
Walgreens Boots Alliance, Inc. | 3,620 | 279,536 | ||||||
Signet Jewelers Ltd.1 | 2,710 | 180,351 | ||||||
Total Consumer, Cyclical | 12,843,691 | |||||||
Consumer, Non-cyclical - 14.7% | ||||||||
Centene Corp.* | 18,117 | 1,753,183 | ||||||
Anthem, Inc. | 7,307 | 1,387,453 | ||||||
Archer-Daniels-Midland Co. | 25,941 | 1,102,752 | ||||||
McKesson Corp. | 5,599 | 860,061 | ||||||
Tyson Foods, Inc. — Class A | 11,188 | 788,195 | ||||||
Cardinal Health, Inc. | 10,905 | 729,763 | ||||||
AmerisourceBergen Corp. — Class A | 8,490 | 702,548 | ||||||
Express Scripts Holding Co.* | 8,693 | 550,441 | ||||||
Cigna Corp. | 2,570 | 480,436 | ||||||
Allergan plc | 2,340 | 479,583 | ||||||
Patterson Companies, Inc. | 11,933 | 461,210 | ||||||
Kroger Co. | 21,307 | 427,418 | ||||||
DaVita, Inc.* | 4,979 | 295,703 | ||||||
Total Consumer, Non-cyclical | 10,018,746 | |||||||
Utilities - 8.5% | ||||||||
Exelon Corp. | 20,873 | 786,285 | ||||||
NRG Energy, Inc. | 29,547 | 756,108 | ||||||
Entergy Corp. | 9,534 | 728,016 | ||||||
FirstEnergy Corp. | 17,891 | 551,580 | ||||||
AES Corp. | 45,294 | 499,140 | ||||||
Duke Energy Corp. | 5,778 | 484,890 | ||||||
Consolidated Edison, Inc. | 5,352 | 431,799 | ||||||
Eversource Energy | 5,595 | 338,162 | ||||||
Public Service Enterprise Group, Inc. | 7,307 | 337,949 | ||||||
Ameren Corp. | 5,324 | 307,940 | ||||||
Xcel Energy, Inc. | 6,141 | 290,592 | ||||||
DTE Energy Co. | 2,606 | 279,780 | ||||||
Total Utilities | 5,792,241 | |||||||
Energy - 6.5% | ||||||||
Valero Energy Corp. | 18,158 | 1,396,894 | ||||||
Andeavor | 11,628 | 1,199,428 | ||||||
Marathon Petroleum Corp. | 17,771 | 996,598 | ||||||
Phillips 66 | 7,132 | 653,363 | ||||||
Marathon Oil Corp. | 15,330 | 207,875 | ||||||
Total Energy | 4,454,158 | |||||||
Industrial - 6.5% | ||||||||
Arconic, Inc. | 61,686 | 1,534,747 | ||||||
Fluor Corp. | 14,813 | 623,627 | ||||||
WestRock Co. | 10,871 | 616,712 | ||||||
Jacobs Engineering Group, Inc. | 9,686 | 564,403 | ||||||
Textron, Inc. | 8,319 | 448,228 | ||||||
Johnson Controls International plc | 8,299 | 334,367 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P 500® PURE VALUE FUND |
Shares | Value | |||||||
Eaton Corporation plc | 3,819 | $ | 293,261 | |||||
Total Industrial | 4,415,345 | |||||||
Technology - 3.3% | ||||||||
Xerox Corp. | 31,831 | 1,059,654 | ||||||
Hewlett Packard Enterprise Co. | 32,166 | 473,161 | ||||||
HP, Inc. | 21,237 | 423,891 | ||||||
Western Digital Corp. | 3,620 | 312,768 | ||||||
Total Technology | 2,269,474 | |||||||
Communications - 3.2% | ||||||||
CenturyLink, Inc.1 | 46,514 | 879,115 | ||||||
News Corp. — Class A | 58,546 | 776,320 | ||||||
AT&T, Inc. | 6,977 | 273,289 | ||||||
News Corp. — Class B | 18,459 | 251,965 | ||||||
Total Communications | 2,180,689 | |||||||
Diversified - 1.5% | ||||||||
Leucadia National Corp. | 40,497 | 1,022,549 | ||||||
Basic Materials - 1.2% | ||||||||
Mosaic Co. | 23,697 | 511,618 | ||||||
Eastman Chemical Co. | 3,190 | 288,663 | ||||||
Total Basic Materials | 800,281 | |||||||
Total Common Stocks | ||||||||
(Cost $55,495,186) | 67,816,659 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 186,799 | $ | 186,799 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 93,400 | 93,400 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 46,443 | 46,443 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 42,435 | 42,435 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 4,450 | 4,450 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $373,527) | 373,527 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 797,810 | 797,810 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $797,810) | 797,810 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $56,666,523) | $ | 68,987,996 | ||||||
Other Assets & Liabilities, net - (1.2)% | (846,585 | ) | ||||||
Total Net Assets - 100.0% | $ | 68,141,411 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P 500® PURE VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Ubobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 67,816,659 | $ | — | $ | — | $ | 67,816,659 | ||||||||
Repurchase Agreements | — | 373,527 | — | 373,527 | ||||||||||||
Securities Lending Collateral | 797,810 | — | — | 797,810 | ||||||||||||
Total Assets | $ | 68,614,469 | $ | 373,527 | $ | — | $ | 68,987,996 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
S&P 500® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $765,352 of securities loaned (cost $56,292,996) | $ | 68,614,469 | ||
Repurchase agreements, at value (cost $373,527) | 373,527 | |||
Receivables: | ||||
Securities sold | 782,067 | |||
Fund shares sold | 210,735 | |||
Dividends | 64,588 | |||
Securities lending income | 50 | |||
Interest | 21 | |||
Total assets | 70,045,457 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,016,964 | |||
Return of securities loaned | 797,810 | |||
Management fees | 37,435 | |||
Distribution and service fees | 16,669 | |||
Transfer agent and administrative fees | 12,478 | |||
Portfolio accounting fees | 4,992 | |||
Miscellaneous | 17,698 | |||
Total liabilities | 1,904,046 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 68,141,411 | ||
Net assets consist of: | ||||
Paid in capital | $ | 57,861,273 | ||
Undistributed net investment income | 522,462 | |||
Accumulated net realized loss on investments | (2,563,797 | ) | ||
Net unrealized appreciation on investments | 12,321,473 | |||
Net assets | $ | 68,141,411 | ||
A-Class: | ||||
Net assets | $ | 5,501,667 | ||
Capital shares outstanding | 68,541 | |||
Net asset value per share | $ | 80.27 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 84.27 | ||
C-Class: | ||||
Net assets | $ | 6,935,814 | ||
Capital shares outstanding | 98,734 | |||
Net asset value per share | $ | 70.25 | ||
H-Class: | ||||
Net assets | $ | 55,703,930 | ||
Capital shares outstanding | 691,377 | |||
Net asset value per share | $ | 80.57 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 663,979 | ||
Interest | 1,292 | |||
Income from securities lending, net | 598 | |||
Total investment income | 665,869 | |||
Expenses: | ||||
Management fees | 226,109 | |||
Distribution and service fees: | ||||
A-Class | 6,856 | |||
C-Class | 26,215 | |||
H-Class | 61,960 | |||
Transfer agent and administrative fees | 75,370 | |||
Registration fees | 45,009 | |||
Portfolio accounting fees | 30,148 | |||
Custodian fees | 4,164 | |||
Trustees’ fees* | 2,830 | |||
Line of credit fees | 6 | |||
Miscellaneous | 6,979 | |||
Total expenses | 485,646 | |||
Net investment income | 180,223 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,540,773 | |||
Net realized gain | 2,540,773 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (273,460 | ) | ||
Net change in unrealized appreciation (depreciation) | (273,460 | ) | ||
Net realized and unrealized gain | 2,267,313 | |||
Net increase in net assets resulting from operations | $ | 2,447,536 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 180,223 | $ | 517,481 | ||||
Net realized gain on investments | 2,540,773 | 9,473,645 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (273,460 | ) | (2,541,794 | ) | ||||
Net increase in net assets resulting from operations | 2,447,536 | 7,449,332 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (80,316 | ) | |||||
C-Class | — | (33,250 | ) | |||||
H-Class | — | (679,152 | ) | |||||
Total distributions to shareholders | — | (792,718 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 5,497,053 | 25,346,366 | ||||||
C-Class | 3,787,812 | 5,011,398 | ||||||
H-Class | 73,030,551 | 218,922,617 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 78,769 | ||||||
C-Class | — | 32,403 | ||||||
H-Class | — | 677,330 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (6,907,648 | ) | (30,688,025 | ) | ||||
C-Class | (1,034,912 | ) | (5,062,879 | ) | ||||
H-Class | (74,890,770 | ) | (240,430,536 | ) | ||||
Net decrease from capital share transactions | (517,914 | ) | (26,112,557 | ) | ||||
Net increase (decrease) in net assets | 1,929,622 | (19,455,943 | ) | |||||
Net assets: | ||||||||
Beginning of period | 66,211,789 | 85,667,732 | ||||||
End of period | $ | 68,141,411 | $ | 66,211,789 | ||||
Undistributed net investment income at end of period | $ | 522,462 | $ | 342,239 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 70,704 | 363,232 | * | |||||
C-Class | 55,789 | 75,970 | * | |||||
H-Class | 933,980 | 3,073,769 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 1,086 | * | |||||
C-Class | — | 507 | * | |||||
H-Class | — | 9,301 | * | |||||
Shares redeemed | ||||||||
A-Class | (89,649 | ) | (445,468 | )* | ||||
C-Class | (15,337 | ) | (78,861 | )* | ||||
H-Class | (967,606 | ) | (3,429,081 | )* | ||||
Net decrease in shares | (12,119 | ) | (429,545 | )* |
* | Capital share activity for the period through March 31, 2017, has been restated to reflect a 2:1 share split effective October 28, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 76.42 | $ | 66.03 | $ | 72.54 | $ | 70.69 | $ | 55.84 | $ | 46.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .26 | .55 | .73 | .57 | .31 | .29 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.59 | 10.52 | (4.63 | ) | 3.42 | 17.50 | 8.87 | |||||||||||||||||
Total from investment operations | 3.85 | 11.07 | (3.90 | ) | 3.99 | 17.81 | 9.16 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.68 | ) | (.98 | ) | (.07 | ) | (.12 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | — | (1.63 | ) | (2.07 | ) | (2.84 | ) | — | |||||||||||||||
Total distributions | — | (.68 | ) | (2.61 | ) | (2.14 | ) | (2.96 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 80.27 | $ | 76.42 | $ | 66.03 | $ | 72.54 | $ | 70.69 | $ | 55.84 | ||||||||||||
Total Returnc | 5.05 | % | 16.80 | % | (5.44 | %) | 5.60 | % | 32.21 | % | 19.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,502 | $ | 6,686 | $ | 11,135 | $ | 16,222 | $ | 4,435 | $ | 1,303 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.68 | % | 0.79 | % | 1.08 | % | 0.78 | % | 0.47 | % | 0.61 | % | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 110 | % | 321 | % | 365 | % | 295 | % | 410 | % | 669 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.13 | $ | 58.51 | $ | 65.08 | $ | 64.10 | $ | 51.23 | $ | 43.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.01 | ) | .17 | .02 | (.15 | ) | (.10 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.13 | 9.31 | (4.13 | ) | 3.10 | 15.98 | 8.19 | |||||||||||||||||
Total from investment operations | 3.12 | 9.30 | (3.96 | ) | 3.12 | 15.83 | 8.09 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.68 | ) | (.98 | ) | (.07 | ) | (.12 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | — | (1.63 | ) | (2.07 | ) | (2.84 | ) | — | |||||||||||||||
Total distributions | — | (.68 | ) | (2.61 | ) | (2.14 | ) | (2.96 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 70.25 | $ | 67.13 | $ | 58.51 | $ | 65.08 | $ | 64.10 | $ | 51.23 | ||||||||||||
Total Returnc | 4.65 | % | 15.94 | % | (6.15 | %) | 4.81 | % | 31.21 | % | 18.76 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,936 | $ | 3,913 | $ | 3,550 | $ | 6,390 | $ | 5,090 | $ | 3,430 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | %) | (0.01 | %) | 0.28 | % | 0.03 | % | (0.26 | %) | (0.22 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.28 | % | 2.25 | % | 2.25 | % | 2.27 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 110 | % | 321 | % | 365 | % | 295 | % | 410 | % | 669 | % |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Year Ended March 31, 2014d | Year Ended March 28, 2013d | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 76.71 | $ | 66.28 | $ | 72.81 | $ | 70.94 | $ | 56.03 | $ | 46.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .25 | .59 | .80 | .49 | .26 | .29 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.61 | 10.52 | (4.72 | ) | 3.52 | 17.61 | 8.91 | |||||||||||||||||
Total from investment operations | 3.86 | 11.11 | (3.92 | ) | 4.01 | 17.87 | 9.20 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.68 | ) | (.98 | ) | (.07 | ) | (.12 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | — | (1.63 | ) | (2.07 | ) | (2.84 | ) | — | |||||||||||||||
Total distributions | — | (.68 | ) | (2.61 | ) | (2.14 | ) | (2.96 | ) | (.07 | ) | |||||||||||||
Net asset value, end of period | $ | 80.57 | $ | 76.71 | $ | 66.28 | $ | 72.81 | $ | 70.94 | $ | 56.03 | ||||||||||||
Total Returnc | 5.05 | % | 16.81 | % | (5.44 | %) | 5.60 | % | 32.21 | % | 19.64 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,704 | $ | 55,613 | $ | 70,983 | $ | 48,920 | $ | 114,984 | $ | 78,480 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.65 | % | 0.83 | % | 1.17 | % | 0.66 | % | 0.40 | % | 0.58 | % | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.52 | % | ||||||||||||
Portfolio turnover rate | 110 | % | 321 | % | 365 | % | 295 | % | 410 | % | 669 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 2:1 share split effective October 28, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_26.jpg)
“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) | |
Cognex Corp. | 2.8% |
ABIOMED, Inc. | 2.8% |
Take-Two Interactive Software, Inc. | 2.7% |
Thor Industries, Inc. | 2.1% |
InterDigital, Inc. | 2.0% |
WellCare Health Plans, Inc. | 1.9% |
LogMeIn, Inc. | 1.9% |
Royal Gold, Inc. | 1.8% |
Domino's Pizza, Inc. | 1.8% |
MarketAxess Holdings, Inc. | 1.8% |
Top Ten Total | 21.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 6.30% | 14.98% | 9.66% | 8.84% |
A-Class Shares with sales charge‡ | 1.26% | 9.52% | 8.60% | 8.31% |
C-Class Shares | 5.89% | 14.11% | 8.85% | 8.03% |
C-Class Shares with CDSC§ | 4.89% | 13.11% | 8.85% | 8.03% |
H-Class Shares | 6.29% | 14.98% | 9.67% | 8.84% |
S&P MidCap 400 Pure Growth Index | 7.12% | 16.79% | 11.06% | 10.50% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Cyclical - 20.0% | ||||||||
Thor Industries, Inc. | 18,162 | $ | 2,286,777 | |||||
Domino’s Pizza, Inc.1 | 10,175 | 2,020,245 | ||||||
Urban Outfitters, Inc.* | 65,481 | 1,564,995 | ||||||
Copart, Inc.* | 45,196 | 1,553,387 | ||||||
NVR, Inc.*,1 | 500 | 1,427,500 | ||||||
Churchill Downs, Inc. | 6,700 | 1,381,540 | ||||||
Skechers U.S.A., Inc. — Class A* | 53,077 | 1,331,702 | ||||||
Wendy’s Co. | 84,209 | 1,307,766 | ||||||
Papa John’s International, Inc. | 17,010 | 1,242,921 | ||||||
Texas Roadhouse, Inc. — Class A | 24,949 | 1,225,994 | ||||||
Jack in the Box, Inc. | 11,283 | 1,149,963 | ||||||
Toro Co. | 16,960 | 1,052,538 | ||||||
Dunkin’ Brands Group, Inc. | 16,345 | 867,593 | ||||||
Pool Corp. | 7,540 | 815,602 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 10,580 | 799,531 | ||||||
Dick’s Sporting Goods, Inc. | 23,653 | 638,868 | ||||||
Buffalo Wild Wings, Inc.* | 4,795 | 506,832 | ||||||
Cheesecake Factory, Inc. | 10,980 | 462,478 | ||||||
Brinker International, Inc.1 | 13,870 | 441,898 | ||||||
Total Consumer, Cyclical | 22,078,130 | |||||||
Consumer, Non-cyclical - 19.1% | ||||||||
ABIOMED, Inc.* | 18,179 | 3,064,979 | ||||||
WellCare Health Plans, Inc.* | 12,470 | 2,141,597 | ||||||
MarketAxess Holdings, Inc. | 10,827 | 1,997,690 | ||||||
Masimo Corp.* | 17,987 | 1,556,955 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 29,548 | 1,545,360 | ||||||
NuVasive, Inc.* | 27,132 | 1,504,741 | ||||||
Bioverativ, Inc.* | 25,200 | 1,438,164 | ||||||
CoreLogic, Inc.* | 28,940 | 1,337,607 | ||||||
Avis Budget Group, Inc.*,1 | 33,269 | 1,266,218 | ||||||
HealthSouth Corp. | 26,450 | 1,225,958 | ||||||
Bio-Techne Corp. | 9,437 | 1,140,839 | ||||||
Post Holdings, Inc.* | 12,805 | 1,130,297 | ||||||
Akorn, Inc.* | 33,117 | 1,099,153 | ||||||
Sotheby’s* | 15,670 | 722,544 | ||||||
Total Consumer, Non-cyclical | 21,172,102 | |||||||
Industrial – 18.0% | ||||||||
Cognex Corp. | 28,492 | 3,142,097 | ||||||
Eagle Materials, Inc. | 13,855 | 1,478,329 | ||||||
Littelfuse, Inc. | 6,880 | 1,347,655 | ||||||
Old Dominion Freight Line, Inc. | 12,100 | 1,332,331 | ||||||
Nordson Corp. | 10,700 | 1,267,949 | ||||||
Granite Construction, Inc. | 21,760 | 1,260,992 | ||||||
Carlisle Companies, Inc. | 11,080 | 1,111,213 | ||||||
Coherent, Inc.* | �� | 4,600 | 1,081,783 | |||||
Zebra Technologies Corp. — Class A* | 8,775 | 952,790 | ||||||
Landstar System, Inc. | 9,290 | 925,749 | ||||||
Gentex Corp. | 46,519 | 921,076 | ||||||
Worthington Industries, Inc. | 18,882 | 868,572 | ||||||
Knight-Swift Transportation Holdings, Inc.* | 19,800 | 822,690 | ||||||
Huntington Ingalls Industries, Inc. | 3,600 | 815,184 | ||||||
Woodward, Inc. | 9,368 | 727,050 | ||||||
Crane Co.1 | 8,500 | 679,915 | ||||||
Curtiss-Wright Corp. | 6,300 | 658,602 | ||||||
EnerSys | 7,390 | 511,166 | ||||||
Total Industrial | 19,905,143 | |||||||
Financial - 17.2% | ||||||||
SLM Corp.* | 154,700 | 1,774,409 | ||||||
Home BancShares, Inc. | 64,900 | 1,636,778 | ||||||
First Horizon National Corp. | 80,982 | 1,550,805 | ||||||
Primerica, Inc. | 18,560 | 1,513,568 | ||||||
First Industrial Realty Trust, Inc. REIT | 48,970 | 1,473,508 | ||||||
DCT Industrial Trust, Inc. REIT | 23,120 | 1,339,110 | ||||||
Kilroy Realty Corp. REIT | 17,050 | 1,212,596 | ||||||
Pinnacle Financial Partners, Inc. | 17,450 | 1,168,278 | ||||||
Brown & Brown, Inc. | 23,430 | 1,129,092 | ||||||
Education Realty Trust, Inc. REIT | 25,280 | 908,310 | ||||||
Uniti Group, Inc. REIT1 | 59,406 | 870,892 | ||||||
Washington Federal, Inc. | 25,065 | 843,437 | ||||||
Sterling Bancorp | 31,600 | 778,940 | ||||||
Lamar Advertising Co. — Class A REIT | 10,709 | 733,888 | ||||||
Weingarten Realty Investors REIT | 23,060 | 731,924 | ||||||
Bank of the Ozarks | 15,220 | 731,321 | ||||||
Liberty Property Trust REIT | 16,120 | 661,887 | ||||||
Total Financial | 19,058,743 | |||||||
Technology - 15.6% | ||||||||
Take-Two Interactive Software, Inc.* | 29,328 | 2,998,200 | ||||||
Cirrus Logic, Inc.* | 29,748 | 1,586,164 | ||||||
Monolithic Power Systems, Inc. | 13,904 | 1,481,471 | ||||||
Microsemi Corp.* | 24,329 | 1,252,457 | ||||||
MSCI, Inc. — Class A | 9,855 | 1,152,049 | ||||||
Medidata Solutions, Inc.* | 13,900 | 1,085,034 | ||||||
MAXIMUS, Inc. | 16,776 | 1,082,052 | ||||||
IPG Photonics Corp.* | 5,670 | 1,049,290 | ||||||
Ultimate Software Group, Inc.* | 5,166 | 979,474 | ||||||
NCR Corp.* | 25,155 | 943,816 | ||||||
Integrated Device Technology, Inc.* | 30,566 | 812,444 | ||||||
Science Applications International Corp. | 11,680 | 780,808 | ||||||
Fair Isaac Corp. | 5,441 | 764,461 | ||||||
Broadridge Financial Solutions, Inc. | 8,591 | 694,325 | ||||||
CommVault Systems, Inc.* | 10,634 | 646,547 | ||||||
Total Technology | 17,308,592 | |||||||
Communications - 3.9% | ||||||||
InterDigital, Inc. | 29,835 | 2,200,331 | ||||||
LogMeIn, Inc. | 19,400 | 2,134,970 | ||||||
Total Communications | 4,335,301 | |||||||
Basic Materials - 3.1% | ||||||||
Royal Gold, Inc. | 23,749 | 2,043,363 | ||||||
Minerals Technologies, Inc. | 19,070 | 1,347,296 | ||||||
Total Basic Materials | 3,390,659 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P MIDCAP 400® PURE GROWTH FUND |
Shares | Value | |||||||
Utilities - 1.4% | ||||||||
Southwest Gas Holdings, Inc. | 11,180 | $ | 867,792 | |||||
MDU Resources Group, Inc. | 25,640 | 665,358 | ||||||
Total Utilities | 1,533,150 | |||||||
Energy - 1.2% | ||||||||
Murphy Oil Corp. | 49,700 | 1,320,032 | ||||||
Total Common Stocks | ||||||||
(Cost $97,091,775) | 110,101,852 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 286,722 | 286,722 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 143,361 | 143,361 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 71,286 | 71,286 |
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 65,134 | 65,134 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 6,831 | 6,831 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $573,334) | 573,334 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 4.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 4,421,049 | 4,421,049 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $4,421,049) | 4,421,049 | |||||||
Total Investments - 104.0% | ||||||||
(Cost $102,086,158) | $ | 115,096,235 | ||||||
Other Assets & Liabilities, net - (4.0)% | (4,467,669 | ) | ||||||
Total Net Assets - 100.0% | $ | 110,628,566 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Ubobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 110,101,852 | $ | — | $ | — | $ | 110,101,852 | ||||||||
Repurchase Agreements | — | 573,334 | — | 573,334 | ||||||||||||
Securities Lending Collateral | 4,421,049 | — | — | 4,421,049 | ||||||||||||
Total Assets | $ | 114,522,901 | $ | 573,334 | $ | — | $ | 115,096,235 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $4,327,541 of securities loaned (cost $101,512,824) | $ | 114,522,901 | ||
Repurchase agreements, at value (cost $573,334) | 573,334 | |||
Receivables: | ||||
Securities sold | 2,047,286 | |||
Fund shares sold | 262,119 | |||
Dividends | 88,892 | |||
Securities lending income | 247 | |||
Interest | 32 | |||
Total assets | 117,494,811 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 4,421,049 | |||
Fund shares redeemed | 1,493,582 | |||
Securities purchased | 788,800 | |||
Management fees | 62,109 | |||
Distribution and service fees | 29,254 | |||
Transfer agent and administrative fees | 20,703 | |||
Portfolio accounting fees | 8,281 | |||
Miscellaneous | 42,467 | |||
Total liabilities | 6,866,245 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 110,628,566 | ||
Net assets consist of: | ||||
Paid in capital | $ | 91,425,591 | ||
Accumulated net investment loss | (515,253 | ) | ||
Accumulated net realized gain on investments | 6,708,151 | |||
Net unrealized appreciation on investments | 13,010,077 | |||
Net assets | $ | 110,628,566 | ||
A-Class: | ||||
Net assets | $ | 14,009,023 | ||
Capital shares outstanding | 259,254 | |||
Net asset value per share | $ | 54.04 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 56.73 | ||
C-Class: | ||||
Net assets | $ | 14,019,743 | ||
Capital shares outstanding | 295,312 | |||
Net asset value per share | $ | 47.47 | ||
H-Class: | ||||
Net assets | $ | 82,599,800 | ||
Capital shares outstanding | 1,527,004 | |||
Net asset value per share | $ | 54.09 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 456,293 | ||
Interest | 2,034 | |||
Income from securities lending, net | 3,482 | |||
Total investment income | 461,809 | |||
Expenses: | ||||
Management fees | 374,069 | |||
Distribution and service fees: | ||||
A-Class | 17,488 | |||
C-Class | 72,691 | |||
H-Class | 89,028 | |||
Transfer agent and administrative fees | 124,690 | |||
Registration fees | 53,952 | |||
Portfolio accounting fees | 49,876 | |||
Custodian fees | 6,648 | |||
Trustees’ fees* | 4,388 | |||
Line of credit fees | 51 | |||
Miscellaneous | 32,566 | |||
Total expenses | 825,447 | |||
Net investment loss | (363,638 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 6,056,631 | |||
Net realized gain | 6,056,631 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 190,831 | |||
Net change in unrealized appreciation (depreciation) | 190,831 | |||
Net realized and unrealized gain | 6,247,462 | |||
Net increase in net assets resulting from operations | $ | 5,883,824 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (363,638 | ) | $ | (950,230 | ) | ||
Net realized gain on investments | 6,056,631 | 11,414,440 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 190,831 | 360,205 | ||||||
Net increase in net assets resulting from operations | 5,883,824 | 10,824,415 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | — | (297,374 | ) | |||||
C-Class | — | (291,932 | ) | |||||
H-Class | — | (1,136,619 | ) | |||||
Total distributions to shareholders | — | (1,725,925 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 15,163,328 | 10,325,932 | ||||||
C-Class | 247,694 | 2,821,225 | ||||||
H-Class | 37,480,836 | 79,121,033 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 290,748 | ||||||
C-Class | — | 289,859 | ||||||
H-Class | — | 1,122,775 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (18,227,722 | ) | (25,120,641 | ) | ||||
C-Class | (2,095,535 | ) | (9,691,842 | ) | ||||
H-Class | (37,514,599 | ) | (102,777,781 | ) | ||||
Net decrease from capital share transactions | (4,945,998 | ) | (43,618,692 | ) | ||||
Net increase (decrease) in net assets | 937,826 | (34,520,202 | ) | |||||
Net assets: | ||||||||
Beginning of period | 109,690,740 | 144,210,942 | ||||||
End of period | $ | 110,628,566 | $ | 109,690,740 | ||||
Accumulated net investment loss at end of period | $ | (515,253 | ) | $ | (151,615 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 288,367 | 212,056 | ||||||
C-Class | 5,366 | 66,159 | ||||||
H-Class | 712,412 | 1,640,941 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 6,116 | ||||||
C-Class | — | 6,895 | ||||||
H-Class | — | 23,593 | ||||||
Shares redeemed | ||||||||
A-Class | (349,136 | ) | (522,005 | ) | ||||
C-Class | (45,731 | ) | (227,092 | ) | ||||
H-Class | (725,387 | ) | (2,163,025 | ) | ||||
Net decrease in shares | (114,109 | ) | (956,362 | ) |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.84 | $ | 46.51 | $ | 53.86 | $ | 58.66 | $ | 49.76 | $ | 44.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.34 | ) | (.36 | ) | (.29 | ) | (.22 | ) | (.19 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.38 | 5.41 | (4.48 | ) | 3.88 | 11.05 | 5.84 | |||||||||||||||||
Total from investment operations | 3.20 | 5.07 | (4.84 | ) | 3.59 | 10.83 | 5.65 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Total distributions | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 54.04 | $ | 50.84 | $ | 46.51 | $ | 53.86 | $ | 58.66 | $ | 49.76 | ||||||||||||
Total Returnc | 6.30 | % | 10.98 | % | (9.23 | %) | 7.18 | % | 21.90 | % | 12.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,009 | $ | 16,269 | $ | 29,017 | $ | 40,648 | $ | 59,293 | $ | 45,638 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.68 | %) | (0.71 | %) | (0.71 | %) | (0.53 | %) | (0.40 | %) | (0.43 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.52 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 127 | % | 143 | % | 134 | % | 131 | % | 188 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 44.83 | $ | 41.41 | $ | 48.60 | $ | 54.13 | $ | 46.39 | $ | 41.43 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.32 | ) | (.61 | ) | (.66 | ) | (.64 | ) | (.58 | ) | (.49 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.96 | 4.77 | (4.02 | ) | 3.50 | 10.25 | 5.45 | |||||||||||||||||
Total from investment operations | 2.64 | 4.16 | (4.68 | ) | 2.86 | 9.67 | 4.96 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Total distributions | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 47.47 | $ | 44.83 | $ | 41.41 | $ | 48.60 | $ | 54.13 | $ | 46.39 | ||||||||||||
Total Returnc | 5.89 | % | 10.16 | % | (9.92 | %) | 6.39 | % | 20.98 | % | 12.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,020 | $ | 15,049 | $ | 20,279 | $ | 26,689 | $ | 28,567 | $ | 18,837 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.37 | %) | (1.44 | %) | (1.46 | %) | (1.26 | %) | (1.15 | %) | (1.19 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.27 | % | 2.25 | % | 2.26 | % | 2.27 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 127 | % | 143 | % | 134 | % | 131 | % | 188 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.89 | $ | 46.56 | $ | 53.91 | $ | 58.71 | $ | 49.80 | $ | 44.14 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.33 | ) | (.36 | ) | (.29 | ) | (.18 | ) | (.20 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.36 | 5.40 | (4.48 | ) | 3.88 | 11.02 | 5.86 | |||||||||||||||||
Total from investment operations | 3.20 | 5.07 | (4.84 | ) | �� | 3.59 | 10.84 | 5.66 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Total distributions | — | (.74 | ) | (2.51 | ) | (8.39 | ) | (1.93 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 54.09 | $ | 50.89 | $ | 46.56 | $ | 53.91 | $ | 58.71 | $ | 49.80 | ||||||||||||
Total Returnc | 6.29 | % | 10.99 | % | (9.22 | %) | 7.18 | % | 21.91 | % | 12.82 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 82,600 | $ | 78,373 | $ | 94,915 | $ | 124,672 | $ | 186,863 | $ | 242,157 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.61 | %) | (0.68 | %) | (0.71 | %) | (0.52 | %) | (0.33 | %) | (0.45 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 127 | % | 143 | % | 134 | % | 131 | % | 188 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_33.jpg)
“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) | |
KB Home | 3.1% |
First Solar, Inc. | 2.2% |
LifePoint Health, Inc. | 2.0% |
Domtar Corp. | 2.0% |
Jabil, Inc. | 2.0% |
Arrow Electronics, Inc. | 1.9% |
CNO Financial Group, Inc. | 1.8% |
AutoNation, Inc. | 1.8% |
Transocean Ltd. | 1.8% |
PBF Energy, Inc. — Class A | 1.7% |
Top Ten Total | 20.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 3.74% | 16.31% | 12.61% | 5.62% |
A-Class Shares with sales charge‡ | (1.19%) | 10.78% | 11.52% | 5.11% |
C-Class Shares | 3.34% | 15.46% | 11.76% | 4.79% |
C-Class Shares with CDSC§ | 2.34% | 14.46% | 11.76% | 4.79% |
H-Class Shares | 3.72% | 16.30% | 12.60% | 5.61% |
S&P MidCap 400 Pure Value Index | 4.73% | 18.57% | 15.08% | 8.57% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.2% | ||||||||
Financial - 21.7% | ||||||||
CNO Financial Group, Inc. | 16,964 | $ | 395,939 | |||||
Reinsurance Group of America, Inc. — Class A | 2,531 | 353,150 | ||||||
Old Republic International Corp. | 15,329 | 301,828 | ||||||
First American Financial Corp. | 5,943 | 296,972 | ||||||
Genworth Financial, Inc. — Class A* | 71,567 | 275,533 | ||||||
Kemper Corp. | 5,159 | 273,427 | ||||||
Hanover Insurance Group, Inc. | 2,703 | 262,002 | ||||||
Jones Lang LaSalle, Inc. | 1,900 | 234,650 | ||||||
Legg Mason, Inc. | 5,830 | 229,177 | ||||||
Aspen Insurance Holdings Ltd. | 4,864 | 196,506 | ||||||
Quality Care Properties, Inc. REIT* | 12,273 | 190,231 | ||||||
Medical Properties Trust, Inc. REIT | 14,270 | 187,365 | ||||||
American Financial Group, Inc. | 1,690 | 174,831 | ||||||
Alleghany Corp.* | 314 | 173,959 | ||||||
Cousins Properties, Inc. REIT | 17,340 | 161,956 | ||||||
Umpqua Holdings Corp. | 8,093 | 157,894 | ||||||
WR Berkley Corp. | 2,363 | 157,707 | ||||||
Stifel Financial Corp. | 2,234 | 119,430 | ||||||
LaSalle Hotel Properties REIT | 3,920 | 113,758 | ||||||
Associated Banc-Corp. | 4,406 | 106,846 | ||||||
Mercury General Corp. | 1,710 | 96,940 | ||||||
Janus Henderson Group plc | 2,696 | 93,929 | ||||||
TCF Financial Corp. | 5,426 | 92,459 | ||||||
CoreCivic, Inc. REIT | 3,210 | 85,932 | ||||||
Total Financial | 4,732,421 | |||||||
Industrial - 21.1% | ||||||||
Jabil, Inc. | 15,036 | 429,277 | ||||||
Arrow Electronics, Inc.* | 5,123 | 411,940 | ||||||
Tech Data Corp.* | 3,979 | 353,534 | ||||||
Avnet, Inc. | 8,236 | 323,675 | ||||||
Terex Corp. | 7,009 | 315,545 | ||||||
Trinity Industries, Inc. | 8,917 | 284,452 | ||||||
AECOM* | 7,293 | 268,455 | ||||||
Ryder System, Inc. | 3,170 | 268,023 | ||||||
SYNNEX Corp. | 2,005 | 253,653 | ||||||
KLX, Inc.* | 4,721 | 249,883 | ||||||
AGCO Corp. | 3,328 | 245,507 | ||||||
Owens-Illinois, Inc.* | 8,560 | 215,370 | ||||||
KBR, Inc. | 9,470 | 169,324 | ||||||
Vishay Intertechnology, Inc. | 8,305 | 156,134 | ||||||
Cree, Inc.* | 4,933 | 139,061 | ||||||
Regal Beloit Corp. | 1,675 | 132,325 | ||||||
Werner Enterprises, Inc. | 3,292 | 120,323 | ||||||
Greif, Inc. — Class A | 1,641 | 96,064 | ||||||
Esterline Technologies Corp.* | 980 | 88,347 | ||||||
Kirby Corp.* | 1,282 | 84,548 | ||||||
Total Industrial | 4,605,440 | |||||||
Consumer, Cyclical - 20.4% | ||||||||
KB Home | 28,447 | 686,142 | ||||||
AutoNation, Inc.*,1 | 8,210 | 389,647 | ||||||
Dillard’s, Inc. — Class A1 | 6,570 | 368,380 | ||||||
CalAtlantic Group, Inc. | 9,870 | 361,538 | ||||||
Office Depot, Inc. | 71,252 | 323,484 | ||||||
TRI Pointe Group, Inc.* | 22,890 | 316,111 | ||||||
GameStop Corp. — Class A | 15,278 | 315,643 | ||||||
Toll Brothers, Inc. | 6,860 | 284,484 | ||||||
Dana, Inc. | 9,737 | 272,247 | ||||||
World Fuel Services Corp. | 7,119 | 241,405 | ||||||
Big Lots, Inc. | 3,321 | 177,906 | ||||||
Bed Bath & Beyond, Inc. | 7,290 | 171,096 | ||||||
Cooper Tire & Rubber Co. | 4,550 | 170,170 | ||||||
JetBlue Airways Corp.* | 6,236 | 115,553 | ||||||
International Speedway Corp. — Class A | 2,809 | 101,124 | ||||||
HSN, Inc. | 2,181 | 85,168 | ||||||
American Eagle Outfitters, Inc. | 5,495 | 78,579 | ||||||
Total Consumer, Cyclical | 4,458,677 | |||||||
Consumer, Non-cyclical - 16.8% | ||||||||
LifePoint Health, Inc.* | 7,680 | 444,672 | ||||||
Molina Healthcare, Inc.* | 5,424 | 372,954 | ||||||
ManpowerGroup, Inc. | 2,946 | 347,097 | ||||||
Aaron’s, Inc. | 7,210 | 314,572 | ||||||
United Natural Foods, Inc.* | 6,619 | 275,283 | ||||||
Graham Holdings Co. — Class B | 428 | 250,423 | ||||||
Owens & Minor, Inc. | 7,893 | 230,476 | ||||||
Endo International plc* | 25,551 | 218,844 | ||||||
Adtalem Global Education, Inc.* | 5,308 | 190,292 | ||||||
TreeHouse Foods, Inc.* | 2,708 | 183,413 | ||||||
Sanderson Farms, Inc. | 1,130 | 182,518 | ||||||
Mallinckrodt plc* | 4,680 | 174,892 | ||||||
Dean Foods Co. | 11,377 | 123,782 | ||||||
Halyard Health, Inc.* | 2,670 | 120,230 | ||||||
Tenet Healthcare Corp.*,1 | 6,758 | 111,034 | ||||||
Flowers Foods, Inc. | 4,780 | 89,912 | ||||||
Avon Products, Inc.* | 14,784 | 34,447 | ||||||
Total Consumer, Non-cyclical | 3,664,841 | |||||||
Energy - 9.4% | ||||||||
First Solar, Inc.* | 10,272 | 471,279 | ||||||
Transocean Ltd.*,1 | 36,200 | 389,511 | ||||||
PBF Energy, Inc. — Class A1 | 13,770 | 380,190 | ||||||
HollyFrontier Corp. | 8,301 | 298,587 | ||||||
Murphy USA, Inc.* | 3,314 | 228,666 | ||||||
Rowan Companies plc — Class A* | 14,610 | 187,739 | ||||||
Oceaneering International, Inc. | 3,495 | 91,814 | ||||||
Total Energy | 2,047,786 | |||||||
Basic Materials - 4.7% | ||||||||
Domtar Corp. | 10,137 | 439,844 | ||||||
Reliance Steel & Aluminum Co. | 2,472 | 188,293 | ||||||
Commercial Metals Co. | 7,983 | 151,916 | ||||||
Carpenter Technology Corp. | 2,962 | 142,265 | ||||||
Olin Corp. | 3,205 | 109,771 | ||||||
Total Basic Materials | 1,032,089 | |||||||
Communications - 2.6% | ||||||||
Telephone & Data Systems, Inc. | 11,715 | 326,732 | ||||||
Frontier Communications Corp.1 | 7,427 | 87,564 |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND |
Shares | Value | |||||||
Cars.com, Inc.*,1 | 2,840 | $ | 75,572 | |||||
TEGNA, Inc. | 5,040 | 67,183 | ||||||
Total Communications | 557,051 | |||||||
Utilities - 1.4% | ||||||||
Great Plains Energy, Inc. | 6,380 | 193,314 | ||||||
Hawaiian Electric Industries, Inc. | 3,351 | 111,823 | ||||||
Total Utilities | 305,137 | |||||||
Technology - 1.1% | ||||||||
Leidos Holdings, Inc. | 2,452 | 145,207 | ||||||
Diebold Nixdorf, Inc. | 4,300 | 98,255 | ||||||
Total Technology | 243,462 | |||||||
Total Common Stocks | ||||||||
(Cost $18,435,814) | 21,646,904 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 53,201 | 53,201 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 26,601 | 26,601 |
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 13,227 | 13,227 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 12,086 | 12,086 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 1,268 | 1,268 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $106,383) | 106,383 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.2% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 1,359,498 | 1,359,498 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,359,498) | 1,359,498 | |||||||
Total Investments - 105.9% | ||||||||
(Cost $19,901,695) | $ | 23,112,785 | ||||||
Other Assets & Liabilities, net - (5.9)% | (1,292,508 | ) | ||||||
Total Net Assets - 100.0% | $ | 21,820,277 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P MIDCAP 400® PURE VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 21,646,904 | $ | — | $ | — | $ | 21,646,904 | ||||||||
Repurchase Agreements | — | 106,383 | — | 106,383 | ||||||||||||
Securities Lending Collateral | 1,359,498 | — | — | 1,359,498 | ||||||||||||
Total Assets | $ | 23,006,402 | $ | 106,383 | $ | — | $ | 23,112,785 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $1,322,812 of securities loaned (cost $19,795,312) | $ | 23,006,402 | ||
Repurchase agreements, at value (cost $106,383) | 106,383 | |||
Cash | 351 | |||
Receivables: | ||||
Fund shares sold | 91,563 | |||
Dividends | 17,694 | |||
Securities lending income | 2,079 | |||
Interest | 6 | |||
Total assets | 23,224,478 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 1,359,497 | |||
Management fees | 13,314 | |||
Fund shares redeemed | 12,591 | |||
Distribution and service fees | 5,602 | |||
Transfer agent and administrative fees | 4,438 | |||
Portfolio accounting fees | 1,775 | |||
Miscellaneous | 6,984 | |||
Total liabilities | 1,404,201 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 21,820,277 | ||
Net assets consist of: | ||||
Paid in capital | $ | 19,634,157 | ||
Accumulated net investment loss | (20,620 | ) | ||
Accumulated net realized loss on investments | (1,004,350 | ) | ||
Net unrealized appreciation on investments | 3,211,090 | |||
Net assets | $ | 21,820,277 | ||
A-Class: | ||||
Net assets | $ | 1,347,616 | ||
Capital shares outstanding | 25,281 | |||
Net asset value per share | $ | 53.31 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 55.96 | ||
C-Class: | ||||
Net assets | $ | 1,938,983 | ||
Capital shares outstanding | 40,722 | |||
Net asset value per share | $ | 47.62 | ||
H-Class: | ||||
Net assets | $ | 18,533,678 | ||
Capital shares outstanding | 348,112 | |||
Net asset value per share | $ | 53.24 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 154,142 | ||
Interest | 478 | |||
Income from securities lending, net | 6,291 | |||
Total investment income | 160,911 | |||
Expenses: | ||||
Management fees | 83,901 | |||
Distribution and service fees: | ||||
A-Class | 3,146 | |||
C-Class | 11,312 | |||
H-Class | 21,993 | |||
Transfer agent and administrative fees | 27,967 | |||
Registration fees | 13,526 | |||
Portfolio accounting fees | 11,187 | |||
Custodian fees | 1,518 | |||
Trustees’ fees* | 1,249 | |||
Line of credit fees | 130 | |||
Miscellaneous | 5,602 | |||
Total expenses | 181,531 | |||
Net investment loss | (20,620 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 854,762 | |||
Net realized gain | 854,762 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (11,922 | ) | ||
Net change in unrealized appreciation (depreciation) | (11,922 | ) | ||
Net realized and unrealized gain | 842,840 | |||
Net increase in net assets resulting from operations | $ | 822,220 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (20,620 | ) | $ | (78,684 | ) | ||
Net realized gain on investments | 854,762 | 5,833,493 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (11,922 | ) | (1,694,499 | ) | ||||
Net increase in net assets resulting from operations | 822,220 | 4,060,310 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (4,378 | ) | |||||
C-Class | — | (5,759 | ) | |||||
H-Class | — | (42,411 | ) | |||||
Total distributions to shareholders | — | (52,548 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 3,835,755 | 5,501,146 | ||||||
C-Class | 115,610 | 5,468,549 | ||||||
H-Class | 70,694,449 | 250,100,866 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 4,352 | ||||||
C-Class | — | 5,625 | ||||||
H-Class | — | 42,140 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (5,478,091 | ) | (7,712,771 | ) | ||||
C-Class | (1,491,361 | ) | (4,823,563 | ) | ||||
H-Class | (74,044,397 | ) | (280,216,330 | ) | ||||
Net decrease from capital share transactions | (6,368,035 | ) | (31,629,986 | ) | ||||
Net decrease in net assets | (5,545,815 | ) | (27,622,224 | ) | ||||
Net assets: | ||||||||
Beginning of period | 27,366,092 | 54,988,316 | ||||||
End of period | $ | 21,820,277 | $ | 27,366,092 | ||||
Accumulated net investment loss at end of period | $ | (20,620 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 74,224 | 114,895 | ||||||
C-Class | 2,516 | 127,191 | ||||||
H-Class | 1,381,950 | 5,516,255 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 89 | ||||||
C-Class | — | 127 | ||||||
H-Class | — | 860 | ||||||
Shares redeemed | ||||||||
A-Class | (106,491 | ) | (169,970 | ) | ||||
C-Class | (32,664 | ) | (112,934 | ) | ||||
H-Class | (1,445,713 | ) | (6,238,907 | ) | ||||
Net decrease in shares | (126,178 | ) | (762,394 | ) |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 51.39 | $ | 42.43 | $ | 45.68 | $ | 43.04 | $ | 36.18 | $ | 30.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.08 | ) | .16 | .11 | (.03 | ) | .07 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.93 | 9.14 | (3.30 | ) | 2.58 | 7.08 | 5.23 | |||||||||||||||||
Total from investment operations | 1.92 | 9.06 | (3.14 | ) | 2.69 | 7.05 | 5.30 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Total distributions | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 53.31 | $ | 51.39 | $ | 42.43 | $ | 45.68 | $ | 43.04 | $ | 36.18 | ||||||||||||
Total Returnc | 3.74 | % | 21.34 | % | (6.88 | %) | 6.25 | % | 19.49 | % | 17.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,348 | $ | 2,957 | $ | 4,775 | $ | 1,904 | $ | 2,357 | $ | 1,571 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.05 | %) | (0.17 | %) | 0.39 | % | 0.26 | % | (0.06 | %) | 0.23 | % | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.51 | % | 1.52 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 628 | % | 493 | % | 638 | % | 506 | % | 757 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 46.08 | $ | 38.33 | $ | 41.59 | $ | 39.48 | $ | 33.46 | $ | 28.78 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.36 | ) | (.12 | ) | (.18 | ) | (.25 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.70 | 8.21 | (3.03 | ) | 2.34 | 6.46 | 4.81 | |||||||||||||||||
Total from investment operations | 1.54 | 7.85 | (3.15 | ) | 2.16 | 6.21 | 4.68 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Total distributions | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 47.62 | $ | 46.08 | $ | 38.33 | $ | 41.59 | $ | 39.48 | $ | 33.46 | ||||||||||||
Total Returnc | 3.34 | % | 20.46 | % | (7.58 | %) | 5.47 | % | 18.57 | % | 16.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,939 | $ | 3,266 | $ | 2,165 | $ | 3,033 | $ | 2,207 | $ | 3,413 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.69 | %) | (0.85 | %) | (0.30 | %) | (0.44 | %) | (0.71 | %) | (0.45 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.28 | % | 2.25 | % | 2.26 | % | 2.28 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 628 | % | 493 | % | 638 | % | 506 | % | 757 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
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.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 51.33 | $ | 42.38 | $ | 45.62 | $ | 42.98 | $ | 36.16 | $ | 30.86 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.07 | ) | .20 | .11 | .06 | .08 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.95 | 9.12 | (3.33 | ) | 2.58 | 6.95 | 5.22 | |||||||||||||||||
Total from investment operations | 1.91 | 9.05 | (3.13 | ) | 2.69 | 7.01 | 5.30 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Total distributions | — | (.10 | ) | (.11 | ) | (.05 | ) | (.19 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 53.24 | $ | 51.33 | $ | 42.38 | $ | 45.62 | $ | 42.98 | $ | 36.16 | ||||||||||||
Total Returnc | 3.72 | % | 21.36 | % | (6.86 | %) | 6.26 | % | 19.39 | % | 17.17 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,534 | $ | 21,143 | $ | 48,048 | $ | 8,968 | $ | 10,563 | $ | 78,237 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.14 | %) | (0.16 | %) | 0.47 | % | 0.25 | % | 0.15 | % | 0.24 | % | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.51 | % | 1.51 | % | 1.52 | % | 1.52 | % | ||||||||||||
Portfolio turnover rate | 281 | % | 628 | % | 493 | % | 638 | % | 506 | % | 757 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_41.jpg)
“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) | |
LendingTree, Inc. | 2.4% |
Installed Building Products, Inc. | 1.9% |
NutriSystem, Inc. | 1.8% |
OraSure Technologies, Inc. | 1.8% |
MKS Instruments, Inc. | 1.7% |
BioTelemetry, Inc. | 1.6% |
Supernus Pharmaceuticals, Inc. | 1.5% |
National Storage Affiliates Trust | 1.3% |
Mercury Systems, Inc. | 1.3% |
MiMedx Group, Inc. | 1.3% |
Top Ten Total | 16.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 9.06% | 22.11% | 13.27% | 8.19% |
A-Class Shares with sales charge‡ | 3.88% | 16.31% | 12.18% | 7.67% |
C-Class Shares | 8.63% | 21.19% | 12.43% | 7.38% |
C-Class Shares with CDSC§ | 7.63% | 20.19% | 12.43% | 7.38% |
H-Class Shares | 9.04% | 22.11% | 13.27% | 8.18% |
S&P SmallCap 600 Pure Growth Index | 9.96% | 24.34% | 15.40% | 10.43% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
Shares | Value | |||||||
COMMON STOCKS† - 98.9% | ||||||||
Consumer, Non-cyclical - 29.7% | ||||||||
LendingTree, Inc.*,1 | 1,512 | $ | 369,608 | |||||
NutriSystem, Inc. | 5,105 | 285,370 | ||||||
OraSure Technologies, Inc.* | 12,148 | 273,331 | ||||||
BioTelemetry, Inc.* | 7,323 | 241,659 | ||||||
Supernus Pharmaceuticals, Inc.* | 5,975 | 238,999 | ||||||
MiMedx Group, Inc.* | 16,998 | 201,936 | ||||||
Viad Corp. | 3,275 | 199,448 | ||||||
Innoviva, Inc.* | 12,930 | 182,571 | ||||||
Insperity, Inc. | 1,543 | 135,784 | ||||||
Central Garden & Pet Co. — Class A* | 3,526 | 131,132 | ||||||
AMN Healthcare Services, Inc.* | 2,734 | 124,944 | ||||||
Progenics Pharmaceuticals, Inc.* | 16,549 | 121,800 | ||||||
LeMaitre Vascular, Inc. | 3,199 | 119,707 | ||||||
Lantheus Holdings, Inc.* | 6,645 | 118,281 | ||||||
SciClone Pharmaceuticals, Inc.* | 9,853 | 110,354 | ||||||
Heska Corp.* | 1,208 | 106,413 | ||||||
Cytokinetics, Inc.* | 7,146 | 103,617 | ||||||
Cross Country Healthcare, Inc.* | 7,035 | 100,108 | ||||||
SpartanNash Co. | 3,720 | 98,096 | ||||||
Cantel Medical Corp. | 948 | 89,273 | ||||||
ANI Pharmaceuticals, Inc.* | 1,677 | 88,026 | ||||||
Merit Medical Systems, Inc.* | 1,935 | 81,947 | ||||||
Calavo Growers, Inc. | 1,063 | 77,812 | ||||||
CryoLife, Inc.* | 3,379 | 76,703 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 548 | 74,610 | ||||||
Enanta Pharmaceuticals, Inc.* | 1,567 | 73,336 | ||||||
AMAG Pharmaceuticals, Inc.* | 3,654 | 67,416 | ||||||
Luminex Corp. | 3,209 | 65,239 | ||||||
Landauer, Inc. | 874 | 58,820 | ||||||
B&G Foods, Inc.1 | 1,786 | 56,884 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A*,1 | 4,586 | 54,115 | ||||||
Forrester Research, Inc. | 1,213 | 50,764 | ||||||
Capella Education Co. | 713 | 50,017 | ||||||
HMS Holdings Corp.* | 2,429 | 48,240 | ||||||
Neogen Corp.* | 606 | 46,941 | ||||||
Surmodics, Inc.* | 1,509 | 46,779 | ||||||
Navigant Consulting, Inc.* | 2,678 | 45,312 | ||||||
Momenta Pharmaceuticals, Inc.* | 2,435 | 45,048 | ||||||
Central Garden & Pet Co.* | 1,052 | 40,860 | ||||||
US Physical Therapy, Inc. | 659 | 40,496 | ||||||
Cardtronics plc — Class A* | 1,732 | 39,853 | ||||||
Eagle Pharmaceuticals, Inc.*,1 | 600 | 35,784 | ||||||
Total Consumer, Non-cyclical | 4,617,433 | |||||||
Industrial - 18.9% | ||||||||
Trex Company, Inc.* | 2,201 | 198,243 | ||||||
TopBuild Corp.* | 2,910 | 189,644 | ||||||
CTS Corp. | 7,470 | 180,027 | ||||||
Patrick Industries, Inc.* | 2,024 | 170,218 | ||||||
Advanced Energy Industries, Inc.* | 2,095 | 169,192 | ||||||
II-VI, Inc.* | 3,813 | 156,905 | ||||||
Tetra Tech, Inc. | 3,239 | 150,776 | ||||||
TTM Technologies, Inc.* | 9,181 | 141,112 | ||||||
Orion Group Holdings, Inc.* | 20,984 | 137,655 | ||||||
Griffon Corp. | 5,488 | 121,834 | ||||||
Fabrinet* | 3,058 | 113,328 | ||||||
John Bean Technologies Corp. | 1,108 | 112,019 | ||||||
US Ecology, Inc. | 2,039 | 109,698 | ||||||
Vicor Corp.* | 4,628 | 109,221 | ||||||
Axon Enterprise, Inc.*,1 | 4,750 | 107,683 | ||||||
Lydall, Inc.* | 1,669 | 95,634 | ||||||
Quanex Building Products Corp.1 | 4,110 | 94,325 | ||||||
Gibraltar Industries, Inc.* | 2,532 | 78,872 | ||||||
PGT Innovations, Inc.* | 5,199 | 77,725 | ||||||
Itron, Inc.* | 897 | 69,473 | ||||||
MYR Group, Inc.* | 2,305 | 67,168 | ||||||
ESCO Technologies, Inc. | 1,118 | 67,024 | ||||||
AAON, Inc. | 1,750 | 60,331 | ||||||
Insteel Industries, Inc. | 2,032 | 53,056 | ||||||
Astec Industries, Inc. | 879 | 49,233 | ||||||
Simpson Manufacturing Company, Inc. | 976 | 47,863 | ||||||
Total Industrial | 2,928,259 | |||||||
Financial - 16.8% | ||||||||
National Storage Affiliates Trust REIT | 8,450 | 204,828 | ||||||
Four Corners Property Trust, Inc. REIT | 7,218 | 179,873 | ||||||
Walker & Dunlop, Inc.* | 2,574 | 134,696 | ||||||
First BanCorp* | 24,716 | 126,546 | ||||||
BofI Holding, Inc.*,1 | 4,215 | 120,001 | ||||||
Piper Jaffray Cos. | 1,870 | 110,985 | ||||||
Universal Insurance Holdings, Inc. | 4,634 | 106,582 | ||||||
LegacyTexas Financial Group, Inc. | 2,624 | 104,750 | ||||||
CareTrust REIT, Inc. | 5,495 | 104,625 | ||||||
Meta Financial Group, Inc. | 1,290 | 101,136 | ||||||
Summit Hotel Properties, Inc. REIT | 6,231 | 99,634 | ||||||
National Bank Holdings Corp. — Class A | 2,750 | 98,148 | ||||||
ServisFirst Bancshares, Inc. | 2,403 | 93,357 | ||||||
Ameris Bancorp | 1,921 | 92,208 | ||||||
WageWorks, Inc.* | 1,450 | 88,015 | ||||||
Lexington Realty Trust REIT | 8,138 | 83,170 | ||||||
Northfield Bancorp, Inc. | 4,659 | 80,834 | ||||||
United Community Banks, Inc. | 2,790 | 79,627 | ||||||
Getty Realty Corp. REIT | 2,686 | 76,846 | ||||||
Evercore, Inc. — Class A | 889 | 71,342 | ||||||
Customers Bancorp, Inc.* | 2,036 | 66,414 | ||||||
Agree Realty Corp. REIT | 1,241 | 60,908 | ||||||
Hanmi Financial Corp. | 1,783 | 55,184 | ||||||
Central Pacific Financial Corp. | 1,621 | 52,164 | ||||||
American Assets Trust, Inc. REIT | 1,284 | 51,065 | ||||||
Southside Bancshares, Inc. | 1,354 | 49,231 | ||||||
Tompkins Financial Corp. | 478 | 41,175 | ||||||
First Financial Bankshares, Inc. | 856 | 38,691 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 1,572 | 34,112 | ||||||
Total Financial | 2,606,147 | |||||||
Consumer, Cyclical - 14.2% | ||||||||
Installed Building Products, Inc.* | 4,472 | 289,786 | ||||||
Five Below, Inc.* | 3,165 | 173,695 | ||||||
Scientific Games Corp. — Class A* | 3,281 | 150,434 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
Shares | Value | |||||||
LGI Homes, Inc.* | 2,960 | $ | 143,767 | |||||
iRobot Corp.* | 1,853 | 142,793 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 3,016 | 139,942 | ||||||
Fox Factory Holding Corp.* | 3,173 | 136,757 | ||||||
LCI Industries | 1,104 | 127,898 | ||||||
Wingstop, Inc.1 | 3,807 | 126,583 | ||||||
Winnebago Industries, Inc. | 2,184 | 97,734 | ||||||
Marcus Corp. | 3,429 | 94,983 | ||||||
Dorman Products, Inc.* | 1,274 | 91,244 | ||||||
Children’s Place, Inc. | 662 | 78,215 | ||||||
Dave & Buster’s Entertainment, Inc.* | 1,475 | 77,408 | ||||||
Hawaiian Holdings, Inc.* | 1,803 | 67,703 | ||||||
Zumiez, Inc.* | 3,414 | 61,793 | ||||||
Belmond Ltd. — Class A* | 4,466 | 60,961 | ||||||
Universal Electronics, Inc.* | 836 | 53,002 | ||||||
Tile Shop Holdings, Inc. | 3,133 | 39,789 | ||||||
Chuy’s Holdings, Inc.* | 1,054 | 22,187 | ||||||
Francesca’s Holdings Corp.* | 2,329 | 17,141 | ||||||
Total Consumer, Cyclical | 2,193,815 | |||||||
Technology - 10.9% | ||||||||
MKS Instruments, Inc. | 2,737 | 258,509 | ||||||
Mercury Systems, Inc.* | 3,895 | 202,072 | ||||||
Nanometrics, Inc.* | 5,911 | 170,236 | ||||||
Qualys, Inc.* | 2,791 | 144,574 | ||||||
Ebix, Inc.1 | 2,045 | 133,436 | ||||||
Omnicell, Inc.* | 2,435 | 124,307 | ||||||
CEVA, Inc.* | 2,631 | 112,607 | ||||||
MaxLinear, Inc. — Class A* | 4,622 | 109,773 | ||||||
Lumentum Holdings, Inc.* | 1,785 | 97,015 | ||||||
Rudolph Technologies, Inc.* | 3,329 | 87,553 | ||||||
Xperi Corp. | 2,813 | 71,169 | ||||||
Progress Software Corp. | 1,498 | 57,179 | ||||||
Rambus, Inc.* | 4,242 | 56,631 | ||||||
SPS Commerce, Inc.* | 858 | 48,657 | ||||||
Synchronoss Technologies, Inc.* | 2,170 | 20,246 | ||||||
Total Technology | 1,693,964 | |||||||
Communications - 5.9% | ||||||||
TiVo Corp. | 9,106 | 180,754 | ||||||
Gigamon, Inc.* | 3,840 | 161,856 | ||||||
Stamps.com, Inc.* | 625 | 126,656 | ||||||
Shutterfly, Inc.* | 1,962 | 95,118 | ||||||
Oclaro, Inc.*,1 | 9,288 | 80,155 | ||||||
Shutterstock, Inc.* | 2,186 | 72,772 | ||||||
Cogent Communications Holdings, Inc. | 1,306 | 63,863 | ||||||
World Wrestling Entertainment, Inc. — Class A | 2,686 | 63,255 | ||||||
8x8, Inc.* | 2,907 | 39,245 | ||||||
NIC, Inc. | 1,710 | 29,327 | ||||||
Total Communications | 913,001 | |||||||
Basic Materials - 1.7% | ||||||||
Kraton Corp.* | 3,592 | 145,260 | ||||||
Balchem Corp. | 713 | 57,960 | ||||||
Quaker Chemical Corp. | 378 | 55,925 | ||||||
Total Basic Materials | 259,145 | |||||||
Utilities - 0.8% | ||||||||
South Jersey Industries, Inc. | 1,996 | 68,922 | ||||||
California Water Service Group | 1,275 | 48,641 | ||||||
Total Utilities | 117,563 | |||||||
Total Common Stocks | ||||||||
(Cost $11,593,157) | 15,329,327 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 39,409 | 39,409 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 19,704 | 19,704 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 9,798 | 9,798 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 8,952 | 8,952 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 939 | 939 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $78,802) | 78,802 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 770,484 | 770,484 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $770,484) | 770,484 | |||||||
Total Investments - 104.4% | ||||||||
(Cost $12,442,443) | $ | 16,178,613 | ||||||
Other Assets & Liabilities, net - (4.4)% | (681,979 | ) | ||||||
Total Net Assets - 100.0% | $ | 15,496,634 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P SMALLCAP 600® PURE GROWTH FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 15,329,327 | $ | — | $ | — | $ | 15,329,327 | ||||||||
Repurchase Agreements | — | 78,802 | — | 78,802 | ||||||||||||
Securities Lending Collateral | 770,484 | — | — | 770,484 | ||||||||||||
Total Assets | $ | 16,099,811 | $ | 78,802 | $ | — | $ | 16,178,613 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $753,001 of securities loaned (cost $12,363,641) | $ | 16,099,811 | ||
Repurchase agreements, at value (cost $78,802) | 78,802 | |||
Receivables: | ||||
Fund shares sold | 86,354 | |||
Securities sold | 48,955 | |||
Dividends | 9,818 | |||
Securities lending income | 249 | |||
Interest | 4 | |||
Total assets | 16,323,993 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 770,484 | |||
Fund shares redeemed | 35,331 | |||
Management fees | 8,849 | |||
Distribution and service fees | 4,117 | |||
Transfer agent and administrative fees | 2,950 | |||
Portfolio accounting fees | 1,180 | |||
Miscellaneous | 4,448 | |||
Total liabilities | 827,359 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 15,496,634 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,293,654 | ||
Accumulated net investment loss | (164,273 | ) | ||
Accumulated net realized loss on investments | (368,917 | ) | ||
Net unrealized appreciation on investments | 3,736,170 | |||
Net assets | $ | 15,496,634 | ||
A-Class: | ||||
Net assets | $ | 1,864,412 | ||
Capital shares outstanding | 26,068 | |||
Net asset value per share | $ | 71.52 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 75.09 | ||
C-Class: | ||||
Net assets | $ | 1,969,387 | ||
Capital shares outstanding | 30,449 | |||
Net asset value per share | $ | 64.68 | ||
H-Class: | ||||
Net assets | $ | 11,662,835 | ||
Capital shares outstanding | 163,077 | |||
Net asset value per share | $ | 71.52 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 64,610 | ||
Interest | 421 | |||
Income from securities lending, net | 2,679 | |||
Total investment income | 67,710 | |||
Expenses: | ||||
Management fees | 71,699 | |||
Distribution and service fees: | ||||
A-Class | 2,770 | |||
C-Class | 10,082 | |||
H-Class | 18,609 | |||
Transfer agent and administrative fees | 23,900 | |||
Registration fees | 12,865 | |||
Portfolio accounting fees | 9,560 | |||
Trustees’ fees* | 1,432 | |||
Custodian fees | 1,327 | |||
Line of credit fees | 36 | |||
Miscellaneous | 3,005 | |||
Total expenses | 155,285 | |||
Net investment loss | (87,575 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 799,042 | |||
Net realized gain | 799,042 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (797,516 | ) | ||
Net change in unrealized appreciation (depreciation) | (797,516 | ) | ||
Net realized and unrealized gain | 1,526 | |||
Net decrease in net assets resulting from operations | $ | (86,049 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (87,575 | ) | $ | (275,040 | ) | ||
Net realized gain on investments | 799,042 | 4,960,010 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (797,516 | ) | 808,620 | |||||
Net increase (decrease) in net assets resulting from operations | (86,049 | ) | 5,493,590 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 6,760,167 | 10,600,986 | ||||||
C-Class | 73,604 | 2,703,118 | ||||||
H-Class | 63,832,292 | 288,735,660 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (7,441,825 | ) | (10,942,756 | ) | ||||
C-Class | (1,294,758 | ) | (2,795,500 | ) | ||||
H-Class | (83,677,188 | ) | (286,503,580 | ) | ||||
Net increase (decrease) from capital share transactions | (21,747,708 | ) | 1,797,928 | |||||
Net increase (decrease) in net assets | (21,833,757 | ) | 7,291,518 | |||||
Net assets: | ||||||||
Beginning of period | 37,330,391 | 30,038,873 | ||||||
End of period | $ | 15,496,634 | $ | 37,330,391 | ||||
Accumulated net investment loss at end of period | $ | (164,273 | ) | $ | (76,698 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 100,489 | 179,803 | ||||||
C-Class | 1,205 | 49,846 | ||||||
H-Class | 955,007 | 5,017,807 | ||||||
Shares redeemed | ||||||||
A-Class | (112,942 | ) | (188,156 | ) | ||||
C-Class | (22,045 | ) | (51,716 | ) | ||||
H-Class | (1,276,043 | ) | (5,012,877 | ) | ||||
Net decrease in shares | (354,329 | ) | (5,293 | ) |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.58 | $ | 52.28 | $ | 58.90 | $ | 52.99 | $ | 41.94 | $ | 37.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.28 | ) | (.41 | ) | (.20 | ) | (.46 | ) | (.31 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.22 | 13.71 | (6.42 | ) | 6.37 | 11.36 | 4.09 | |||||||||||||||||
Total from investment operations | 5.94 | 13.30 | (6.62 | ) | 5.91 | 11.05 | 3.97 | |||||||||||||||||
Net asset value, end of period | $ | 71.52 | $ | 65.58 | $ | 52.28 | $ | 58.90 | $ | 52.99 | $ | 41.94 | ||||||||||||
Total Returnc | 9.06 | % | 25.44 | % | (11.24 | %) | 11.15 | % | 26.35 | % | 10.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,864 | $ | 2,526 | $ | 2,451 | $ | 2,825 | $ | 7,265 | $ | 995 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82 | %) | (0.71 | %) | (0.36 | %) | (0.88 | %) | (0.60 | %) | (0.31 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.52 | % | 1.50 | % | 1.51 | % | 1.53 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 312 | % | 818 | % | 309 | % | 380 | % | 677 | % | 645 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 59.55 | $ | 47.82 | $ | 54.28 | $ | 49.21 | $ | 39.24 | $ | 35.79 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.48 | ) | (.79 | ) | (.62 | ) | (.74 | ) | (.66 | ) | (.42 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.61 | 12.52 | (5.84 | ) | 5.81 | 10.63 | 3.87 | |||||||||||||||||
Total from investment operations | 5.13 | 11.73 | (6.46 | ) | 5.07 | 9.97 | 3.45 | |||||||||||||||||
Net asset value, end of period | $ | 64.68 | $ | 59.55 | $ | 47.82 | $ | 54.28 | $ | 49.21 | $ | 39.24 | ||||||||||||
Total Returnc | 8.63 | % | 24.51 | % | (11.90 | %) | 10.30 | % | 25.41 | % | 9.64 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,969 | $ | 3,054 | $ | 2,542 | $ | 5,436 | $ | 4,268 | $ | 3,122 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.59 | %) | (1.48 | %) | (1.19 | %) | (1.50 | %) | (1.46 | %) | (1.17 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.28 | % | 2.25 | % | 2.25 | % | 2.28 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 312 | % | 818 | % | 309 | % | 380 | % | 677 | % | 645 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 65.58 | $ | 52.27 | $ | 58.89 | $ | 52.99 | $ | 41.94 | $ | 37.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.28 | ) | (.44 | ) | (.28 | ) | (.31 | ) | (.38 | ) | (.31 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.22 | 13.75 | (6.34 | ) | 6.21 | 11.43 | 4.28 | |||||||||||||||||
Total from investment operations | 5.94 | 13.31 | (6.62 | ) | 5.90 | 11.05 | 3.97 | |||||||||||||||||
Net asset value, end of period | $ | 71.52 | $ | 65.58 | $ | 52.27 | $ | 58.89 | $ | 52.99 | $ | 41.94 | ||||||||||||
Total Returnc | 9.04 | % | 25.46 | % | (11.24 | %) | 11.13 | % | 26.35 | % | 10.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,663 | $ | 31,750 | $ | 25,046 | $ | 50,810 | $ | 16,996 | $ | 5,844 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.84 | %) | (0.75 | %) | (0.49 | %) | (0.58 | %) | (0.77 | %) | (0.81 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.49 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 312 | % | 818 | % | 309 | % | 380 | % | 677 | % | 645 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_49.jpg)
“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) | |
Comtech Telecommunications Corp. | 1.6% |
Exterran Corp. | 1.6% |
Kelly Services, Inc. — Class A | 1.6% |
Select Medical Holdings Corp. | 1.4% |
M/I Homes, Inc. | 1.3% |
Diplomat Pharmacy, Inc. | 1.3% |
Invacare Corp. | 1.3% |
RH | 1.3% |
Boise Cascade Co. | 1.3% |
Meritage Homes Corp. | 1.3% |
Top Ten Total | 14.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 1.39% | 10.13% | 10.04% | 4.40% |
A-Class Shares with sales charge‡ | (3.43%) | 4.90% | 8.98% | 3.90% |
C-Class Shares | 1.01% | 9.32% | 9.22% | 3.59% |
C-Class Shares with CDSC§ | 0.01% | 8.32% | 9.22% | 3.59% |
H-Class Shares | 1.59% | 10.42% | 10.08% | 4.40% |
S&P SmallCap 600 Pure Value Index | 2.70% | 12.70% | 12.33% | 7.71% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
Shares | Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Cyclical - 30.2% | ||||||||
M/I Homes, Inc.* | 7,833 | $ | 209,376 | |||||
RH*,1 | 2,953 | 207,654 | ||||||
Meritage Homes Corp.* | 4,449 | 197,536 | ||||||
ScanSource, Inc.* | 4,311 | 188,175 | ||||||
Wabash National Corp. | 8,170 | 186,439 | ||||||
MDC Holdings, Inc. | 5,377 | 178,570 | ||||||
Abercrombie & Fitch Co. — Class A | 12,175 | 175,807 | ||||||
SkyWest, Inc. | 3,452 | 151,543 | ||||||
Regis Corp.* | 10,269 | 146,539 | ||||||
Guess?, Inc. | 8,261 | 140,685 | ||||||
Sonic Automotive, Inc. — Class A | 6,736 | 137,414 | ||||||
Lithia Motors, Inc. — Class A | 1,088 | 130,897 | ||||||
G-III Apparel Group Ltd.* | 4,103 | 119,069 | ||||||
Group 1 Automotive, Inc. | 1,637 | 118,617 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 6,660 | 117,083 | ||||||
Haverty Furniture Companies, Inc. | 4,390 | 114,799 | ||||||
Anixter International, Inc.* | 1,346 | 114,410 | ||||||
Essendant, Inc. | 8,480 | 111,682 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,656 | 110,952 | ||||||
Perry Ellis International, Inc.* | 4,651 | 110,043 | ||||||
Barnes & Noble Education, Inc.* | 16,828 | 109,550 | ||||||
Cooper-Standard Holdings, Inc.* | 896 | 103,909 | ||||||
Shoe Carnival, Inc.1 | 4,298 | 96,189 | ||||||
Penn National Gaming, Inc.* | 4,082 | 95,478 | ||||||
Veritiv Corp.* | 2,932 | 95,290 | ||||||
MarineMax, Inc.* | 5,700 | 94,335 | ||||||
Kirkland’s, Inc.* | 7,629 | 87,199 | ||||||
Asbury Automotive Group, Inc.* | 1,300 | 79,430 | ||||||
Fred’s, Inc. — Class A1 | 11,872 | 76,456 | ||||||
Barnes & Noble, Inc. | 9,239 | 70,216 | ||||||
Express, Inc.* | 10,270 | 69,425 | ||||||
EZCORP, Inc. — Class A* | 7,259 | 68,961 | ||||||
Core-Mark Holding Company, Inc. | 2,139 | 68,747 | ||||||
Caleres, Inc. | 2,181 | 66,564 | ||||||
Fossil Group, Inc.*,1 | 6,855 | 63,957 | ||||||
Ascena Retail Group, Inc.* | 25,200 | 61,740 | ||||||
Unifi, Inc.* | 1,689 | 60,179 | ||||||
Crocs, Inc.*,1 | 5,490 | 53,253 | ||||||
Genesco, Inc.* | 1,996 | 53,094 | ||||||
Movado Group, Inc. | 1,818 | 50,904 | ||||||
J.C. Penney Company, Inc.* | 12,460 | 47,473 | ||||||
Finish Line, Inc. — Class A1 | 3,751 | 45,125 | ||||||
Big 5 Sporting Goods Corp.1 | 5,852 | 44,768 | ||||||
Superior Industries International, Inc. | 2,275 | 37,879 | ||||||
Ruby Tuesday, Inc.* | 17,037 | 36,459 | ||||||
Vitamin Shoppe, Inc.* | 5,601 | 29,965 | ||||||
Cato Corp. — Class A1 | 1,790 | 23,682 | ||||||
Total Consumer, Cyclical | 4,757,517 | |||||||
Consumer, Non-cyclical - 19.1% | ||||||||
Kelly Services, Inc. — Class A | 9,916 | 248,792 | ||||||
Select Medical Holdings Corp.* | 11,613 | 222,970 | ||||||
Diplomat Pharmacy, Inc.* | 10,100 | 209,171 | ||||||
Invacare Corp. | 13,247 | 208,640 | ||||||
Seneca Foods Corp. — Class A* | 5,331 | 183,919 | ||||||
PharMerica Corp.* | 5,937 | 173,954 | ||||||
Integer Holdings Corp.* | 3,000 | 153,450 | ||||||
Darling Ingredients, Inc.* | 8,648 | 151,513 | ||||||
Universal Corp. | 2,468 | 141,416 | ||||||
Almost Family, Inc.* | 2,305 | 123,779 | ||||||
TrueBlue, Inc.* | 5,023 | 112,766 | ||||||
Providence Service Corp.* | 2,058 | 111,297 | ||||||
Myriad Genetics, Inc.* | 2,910 | 105,284 | ||||||
LSC Communications, Inc. | 6,121 | 101,058 | ||||||
Andersons, Inc. | 2,723 | 93,263 | ||||||
Community Health Systems, Inc.* | 10,487 | 80,540 | ||||||
FTI Consulting, Inc.* | 2,110 | 74,863 | ||||||
Heidrick & Struggles International, Inc. | 3,477 | 73,539 | ||||||
Korn/Ferry International | 1,830 | 72,157 | ||||||
RR Donnelley & Sons Co. | 6,929 | 71,369 | ||||||
LHC Group, Inc.* | 957 | 67,870 | ||||||
Kindred Healthcare, Inc. | 8,390 | 57,052 | ||||||
Quorum Health Corp.* | 9,674 | 50,111 | ||||||
American Public Education, Inc.* | 2,113 | 44,479 | ||||||
SUPERVALU, Inc.* | 1,841 | 40,042 | ||||||
Resources Connection, Inc. | 2,256 | 31,358 | ||||||
Total Consumer, Non-cyclical | 3,004,652 | |||||||
Industrial - 14.9% | ||||||||
Boise Cascade Co.* | 5,680 | 198,232 | ||||||
Greenbrier Companies, Inc. | 3,992 | 192,215 | ||||||
Roadrunner Transportation Systems, Inc.* | 18,789 | 179,058 | ||||||
Benchmark Electronics, Inc.* | 4,826 | 164,809 | ||||||
Sanmina Corp.* | 4,263 | 158,370 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 2,336 | 153,709 | ||||||
ArcBest Corp. | 4,524 | 151,328 | ||||||
Electro Scientific Industries, Inc.* | 10,585 | 147,343 | ||||||
Olympic Steel, Inc. | 5,935 | 130,570 | ||||||
Briggs & Stratton Corp. | 4,216 | 99,076 | ||||||
Hub Group, Inc. — Class A* | 2,291 | 98,398 | ||||||
Echo Global Logistics, Inc.* | 3,708 | 69,896 | ||||||
AAR Corp. | 1,849 | 69,856 | ||||||
Plexus Corp.* | 1,189 | 66,679 | ||||||
General Cable Corp. | 3,059 | 57,663 | ||||||
Aegion Corp. — Class A* | 2,462 | 57,315 | ||||||
LSB Industries, Inc.* | 7,078 | 56,199 | ||||||
DXP Enterprises, Inc.* | 1,769 | 55,706 | ||||||
TimkenSteel Corp.* | 3,350 | 55,275 | ||||||
KapStone Paper and Packaging Corp. | 2,363 | 50,781 | ||||||
Encore Wire Corp. | 1,089 | 48,760 | ||||||
Kaman Corp. | 794 | 44,289 | ||||||
Powell Industries, Inc. | 1,458 | 43,725 | ||||||
Total Industrial | 2,349,252 | |||||||
Financial - 13.9% | ||||||||
Encore Capital Group, Inc.* | 4,149 | 183,801 | ||||||
United Insurance Holdings Corp. | 9,421 | 153,561 | ||||||
American Equity Investment Life Holding Co. | 5,279 | 153,512 | ||||||
International. FCStone, Inc.* | 3,179 | 121,819 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
Shares | Value | |||||||
World Acceptance Corp.* | 1,415 | $ | 117,289 | |||||
Banc of California, Inc.1 | 5,442 | 112,922 | ||||||
Third Point Reinsurance Ltd.* | 7,090 | 110,604 | ||||||
Enova International, Inc.* | 7,479 | 100,593 | ||||||
Infinity Property & Casualty Corp. | 1,058 | 99,664 | ||||||
Maiden Holdings Ltd. | 11,326 | 90,042 | ||||||
HCI Group, Inc. | 1,946 | 74,435 | ||||||
United Fire Group, Inc. | 1,622 | 74,320 | ||||||
Stewart Information Services Corp. | 1,871 | 70,649 | ||||||
Selective Insurance Group, Inc. | 1,306 | 70,328 | ||||||
Employers Holdings, Inc. | 1,410 | 64,085 | ||||||
Investment Technology Group, Inc. | 2,832 | 62,700 | ||||||
Horace Mann Educators Corp. | 1,566 | 61,622 | ||||||
Capstead Mortgage Corp. REIT | 6,329 | 61,075 | ||||||
Opus Bank* | 2,477 | 59,448 | ||||||
HomeStreet, Inc.* | 2,150 | 58,050 | ||||||
Navigators Group, Inc. | 970 | 56,600 | ||||||
OFG Bancorp | 5,594 | 51,185 | ||||||
Chesapeake Lodging Trust REIT | 1,800 | 48,546 | ||||||
Waddell & Reed Financial, Inc. — Class A | 2,313 | 46,422 | ||||||
Safety Insurance Group, Inc. | 530 | 40,439 | ||||||
ARMOUR Residential REIT, Inc. | 1,430 | 38,467 | ||||||
Total Financial | 2,182,178 | |||||||
Energy - 7.3% | ||||||||
Exterran Corp.* | 7,946 | 251,172 | ||||||
Noble Corporation plc* | 37,106 | 170,688 | ||||||
Atwood Oceanics, Inc.*,1 | 13,872 | 130,258 | ||||||
Gulf Island Fabrication, Inc. | 9,716 | 123,393 | ||||||
Green Plains, Inc. | 5,212 | 105,022 | ||||||
Matrix Service Co.* | 5,973 | 90,790 | ||||||
Era Group, Inc.* | 7,615 | 85,212 | ||||||
Bristow Group, Inc.1 | 6,931 | 64,805 | ||||||
SolarEdge Technologies, Inc.* | 2,102 | 60,012 | ||||||
SunCoke Energy, Inc.* | 3,650 | 33,361 | ||||||
Cloud Peak Energy, Inc.* | 7,655 | 28,017 | ||||||
Total Energy | 1,142,730 | |||||||
Communications - 7.0% | ||||||||
Comtech Telecommunications Corp. | 12,331 | 253,155 | ||||||
QuinStreet, Inc.* | 25,535 | 187,683 | ||||||
Gannett Company, Inc. | 18,338 | 165,042 | ||||||
New Media Investment Group, Inc. | 9,290 | 137,399 | ||||||
Time, Inc. | 9,617 | 129,830 | ||||||
Iridium Communications, Inc.*,1 | 6,870 | 70,761 | ||||||
Scholastic Corp. | 1,757 | 65,360 | ||||||
Spok Holdings, Inc. | 3,020 | 46,357 | ||||||
FTD Companies, Inc.* | 2,906 | 37,894 | ||||||
Black Box Corp. | 3,151 | 10,241 | ||||||
Total Communications | 1,103,722 | |||||||
Basic Materials - 3.7% | ||||||||
AdvanSix, Inc.* | 4,772 | 189,687 | ||||||
Century Aluminum Co.* | 9,053 | 150,099 | ||||||
PH Glatfelter Co. | 4,512 | 87,758 | ||||||
Materion Corp. | 1,467 | 63,301 | ||||||
Clearwater Paper Corp.* | 919 | 45,261 | ||||||
Rayonier Advanced Materials, Inc. | 3,120 | 42,744 | ||||||
Total Basic Materials | 578,850 | |||||||
Technology - 3.4% | ||||||||
Insight Enterprises, Inc.* | 3,646 | 167,425 | ||||||
Virtusa Corp.* | 2,610 | 98,606 | ||||||
Cohu, Inc. | 2,850 | 67,944 | ||||||
Sykes Enterprises, Inc.* | 2,020 | 58,903 | ||||||
ManTech International Corp. — Class A | 1,320 | 58,278 | ||||||
CACI International, Inc. — Class A* | 355 | 49,469 | ||||||
Digi International, Inc.* | 3,780 | 40,068 | ||||||
Total Technology | 540,693 | |||||||
Total Common Stocks | ||||||||
(Cost $14,249,617) | 15,659,594 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 2.4% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 190,860 | 190,860 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 95,431 | 95,431 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 47,453 | 47,453 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 43,358 | 43,358 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 4,547 | 4,547 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $381,649) | 381,649 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.4% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%4 | 536,523 | 536,523 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $536,523) | 536,523 | |||||||
Total Investments - 105.3% | ||||||||
(Cost $15,167,789) | $ | 16,577,766 | ||||||
Other Assets & Liabilities, net - (5.3)% | (840,712 | ) | ||||||
Total Net Assets - 100.0% | $ | 15,737,054 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
S&P SMALLCAP 600® PURE VALUE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Common Stocks | $ | 15,659,594 | $ | — | $ | — | $ | 15,659,594 | ||||||||
Repurchase Agreements | — | 381,649 | — | 381,649 | ||||||||||||
Securities Lending Collateral | 536,523 | — | — | 536,523 | ||||||||||||
Total Assets | $ | 16,196,117 | $ | 381,649 | $ | — | $ | 16,577,766 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $521,267 of securities loaned (cost $14,786,139) | $ | 16,196,117 | ||
Repurchase agreements, at value (cost $381,649) | 381,649 | |||
Cash | 30,162 | |||
Receivables: | ||||
Securities sold | 195,504 | |||
Fund shares sold | 9,689 | |||
Dividends | 6,615 | |||
Securities lending income | 629 | |||
Interest | 21 | |||
Total assets | 16,820,386 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 536,522 | |||
Securities purchased | 278,866 | |||
Fund shares redeemed | 259,885 | |||
Management fees | 4,506 | |||
Distribution and service fees | 2,232 | |||
Transfer agent and administrative fees | 1,502 | |||
Portfolio accounting fees | 601 | |||
Miscellaneous | (782 | ) | ||
Total liabilities | 1,083,332 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 15,737,054 | ||
Net assets consist of: | ||||
Paid in capital | $ | 40,847,405 | ||
Accumulated net investment loss | (78,699 | ) | ||
Accumulated net realized loss on investments | (26,441,629 | ) | ||
Net unrealized appreciation on investments | 1,409,977 | |||
Net assets | $ | 15,737,054 | ||
A-Class: | ||||
Net assets | $ | 1,699,339 | ||
Capital shares outstanding | 61,514 | |||
Net asset value per share | $ | 27.63 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 29.01 | ||
C-Class: | ||||
Net assets | $ | 1,268,296 | ||
Capital shares outstanding | 53,026 | |||
Net asset value per share | $ | 23.92 | ||
H-Class: | ||||
Net assets | $ | 12,769,419 | ||
Capital shares outstanding | 463,279 | |||
Net asset value per share | $ | 27.56 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $53) | $ | 87,399 | ||
Interest | 283 | |||
Income from securities lending, net | 6,012 | |||
Total investment income | 93,694 | |||
Expenses: | ||||
Management fees | 52,605 | |||
Distribution and service fees: | ||||
A-Class | 987 | |||
C-Class | 6,453 | |||
H-Class | 14,935 | |||
Transfer agent and administrative fees | 17,535 | |||
Registration fees | 10,858 | |||
Portfolio accounting fees | 7,014 | |||
Trustees’ fees* | 1,487 | |||
Custodian fees | 1,011 | |||
Line of credit fees | 118 | |||
Miscellaneous | 337 | |||
Total expenses | 113,340 | |||
Net investment loss | (19,646 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,877,590 | |||
Net realized gain | 1,877,590 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,676,587 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,676,587 | ) | ||
Net realized and unrealized loss | (798,997 | ) | ||
Net decrease in net assets resulting from operations | $ | (818,643 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (19,646 | ) | $ | (186,768 | ) | ||
Net realized gain on investments | 1,877,590 | 1,534,523 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,676,587 | ) | 132,291 | |||||
Net increase (decrease) in net assets resulting from operations | (818,643 | ) | 1,480,046 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 2,135,603 | 11,499,336 | ||||||
C-Class | 42,759 | 4,241,862 | ||||||
H-Class | 203,736,294 | 493,896,036 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (2,123,185 | ) | (11,116,920 | ) | ||||
C-Class | (542,267 | ) | (4,531,766 | ) | ||||
H-Class | (209,972,201 | ) | (493,220,325 | ) | ||||
Net increase (decrease) from capital share transactions | (6,722,997 | ) | 768,223 | |||||
Net increase (decrease) in net assets | (7,541,640 | ) | 2,248,269 | |||||
Net assets: | ||||||||
Beginning of period | 23,278,694 | 21,030,425 | ||||||
End of period | $ | 15,737,054 | $ | 23,278,694 | ||||
Accumulated net investment loss at end of period | $ | (78,699 | ) | $ | (59,053 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 79,287 | 417,739 | ||||||
C-Class | 1,852 | 181,220 | ||||||
H-Class | 7,967,622 | 19,425,410 | ||||||
Shares redeemed | ||||||||
A-Class | (80,890 | ) | (402,677 | ) | ||||
C-Class | (23,895 | ) | (197,201 | ) | ||||
H-Class | (8,233,501 | ) | (19,479,582 | ) | ||||
Net decrease in shares | (289,525 | ) | (55,091 | ) |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.24 | $ | 23.16 | $ | 25.81 | $ | 25.66 | $ | 19.55 | $ | 17.07 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.14 | ) | (.10 | ) | (.03 | ) | (.09 | ) | (.01 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .43 | 4.22 | (2.55 | ) | .18 | 6.20 | 2.49 | |||||||||||||||||
Total from investment operations | .39 | 4.08 | (2.65 | ) | .15 | 6.11 | 2.48 | |||||||||||||||||
Net asset value, end of period | $ | 27.63 | $ | 27.24 | $ | 23.16 | $ | 25.81 | $ | 25.66 | $ | 19.55 | ||||||||||||
Total Returnc | 1.39 | % | 17.62 | % | (10.27 | %) | 0.58 | % | 31.25 | % | 14.53 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,699 | $ | 1,720 | $ | 1,113 | $ | 1,592 | $ | 1,016 | $ | 1,551 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.28 | %) | (0.50 | %) | (0.42 | %) | (0.10 | %) | (0.39 | %) | (0.08 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.50 | % | 1.52 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 1,488 | % | 1,449 | % | 417 | % | 579 | % | 658 | % | 655 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.68 | $ | 20.28 | $ | 22.78 | $ | 22.81 | $ | 17.51 | $ | 15.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.28 | ) | (.24 | ) | (.19 | ) | (.22 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .35 | 3.68 | (2.26 | ) | .16 | 5.52 | 2.24 | |||||||||||||||||
Total from investment operations | .24 | 3.40 | (2.50 | ) | (.03 | ) | 5.30 | 2.11 | ||||||||||||||||
Net asset value, end of period | $ | 23.92 | $ | 23.68 | $ | 20.28 | $ | 22.78 | $ | 22.81 | $ | 17.51 | ||||||||||||
Total Returnc | 1.01 | % | 16.77 | % | (10.97 | %) | (0.13 | %) | 30.27 | % | 13.70 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,268 | $ | 1,778 | $ | 1,847 | $ | 3,082 | $ | 4,514 | $ | 3,932 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.99 | %) | (1.26 | %) | (1.17 | %) | (0.84 | %) | (1.10 | %) | (0.84 | %) | ||||||||||||
Total expenses | 2.30 | % | 2.28 | % | 2.25 | % | 2.25 | % | 2.27 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 1,488 | % | 1,449 | % | 417 | % | 579 | % | 658 | % | 655 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.13 | $ | 23.07 | $ | 25.71 | $ | 25.55 | $ | 19.47 | $ | 17.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | (.12 | ) | (.07 | ) | (.01 | ) | (.06 | ) | (.06 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .46 | 4.18 | (2.57 | ) | .17 | 6.14 | 2.53 | |||||||||||||||||
Total from investment operations | .43 | 4.06 | (2.64 | ) | .16 | 6.08 | 2.47 | |||||||||||||||||
Net asset value, end of period | $ | 27.56 | $ | 27.13 | $ | 23.07 | $ | 25.71 | $ | 25.55 | $ | 19.47 | ||||||||||||
Total Returnc | 1.59 | % | 17.60 | % | (10.27 | %) | 0.63 | % | 31.23 | % | 14.53 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,769 | $ | 19,782 | $ | 18,071 | $ | 11,374 | $ | 22,380 | $ | 30,743 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.20 | %) | (0.47 | %) | (0.32 | %) | (0.03 | %) | (0.25 | %) | (0.32 | %) | ||||||||||||
Total expenses | 1.55 | % | 1.53 | % | 1.50 | % | 1.50 | % | 1.53 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 1,488 | % | 1,449 | % | 417 | % | 579 | % | 658 | % | 655 | % |
a | Unaudited figures for the period ended September 30, 2017. 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. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
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 Europe 50® Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_57.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
A-Class | March 31, 2004 |
C-Class | May 10, 2001 |
H-Class | May 8, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 11.9% |
Guggenheim Strategy Fund I | 10.1% |
Nestle S.A. ADR | 4.2% |
Novartis AG ADR | 3.4% |
HSBC Holdings plc ADR | 3.2% |
Roche Holding AG ADR | 2.9% |
British American Tobacco plc ADR | 2.3% |
Royal Dutch Shell plc — Class A ADR | 2.2% |
Total S.A. ADR | 2.1% |
BP plc ADR | 2.0% |
Top Ten Total | 44.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 15.04% | 23.50% | 5.41% | (4.54%) |
A-Class Shares with sales charge‡ | 9.57% | 17.67% | 4.38% | (5.00%) |
C-Class Shares | 14.62% | 22.57% | 4.41% | (5.33%) |
C-Class Shares with CDSC§ | 13.62% | 21.57% | 4.41% | (5.33%) |
H-Class Shares | 15.08% | 23.96% | 5.22% | (4.61%) |
STOXX Europe 50 Index | 12.97% | 21.28% | 6.41% | (0.28%) |
* | 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 Europe 50 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
EUROPE 1.25x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 70.1% | ||||||||
Consumer, Non-cyclical - 28.5% | ||||||||
Nestle S.A. ADR | 7,303 | $ | 613,524 | |||||
Novartis AG ADR | 5,891 | 505,742 | ||||||
Roche Holding AG ADR | 13,250 | 424,000 | ||||||
British American Tobacco plc ADR | 5,492 | 342,976 | ||||||
Sanofi ADR | 5,410 | 269,364 | ||||||
Bayer AG ADR | 7,747 | 265,102 | ||||||
GlaxoSmithKline plc ADR | 5,707 | 231,704 | ||||||
Unilever N.V. — Class Y | 3,688 | 217,740 | ||||||
Anheuser-Busch InBev S.A. ADR | 1,752 | 209,013 | ||||||
Novo Nordisk A/S ADR | 4,191 | 201,797 | ||||||
AstraZeneca plc ADR | 5,891 | 199,587 | ||||||
Diageo plc ADR | 1,475 | 194,892 | ||||||
Unilever plc ADR | 3,073 | 178,111 | ||||||
Reckitt Benckiser Group plc ADR | 7,737 | 143,986 | ||||||
L’Oreal S.A. ADR | 2,868 | 121,947 | ||||||
Imperial Brands plc ADR | 2,149 | 92,987 | ||||||
Total Consumer, Non-cyclical | 4,212,472 | |||||||
Financial - 16.4% | ||||||||
HSBC Holdings plc ADR | 9,509 | 469,839 | ||||||
Banco Santander S.A. ADR | 37,556 | 260,639 | ||||||
Allianz SE ADR | 10,544 | 236,081 | ||||||
BNP Paribas S.A. ADR | 5,356 | 216,543 | ||||||
ING Groep N.V. ADR1 | 9,110 | 167,806 | ||||||
Lloyds Banking Group plc ADR | 42,515 | 155,605 | ||||||
UBS Group AG* | 9,008 | 154,487 | ||||||
AXA S.A. ADR | 4,877 | 146,895 | ||||||
Prudential plc ADR | 3,032 | 145,263 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. ADR | 15,626 | 139,384 | ||||||
Intesa Sanpaolo SpA ADR | 5,594 | 119,018 | ||||||
Zurich Insurance Group AG ADR | 3,562 | 109,006 | ||||||
Barclays plc ADR | 9,427 | 97,569 | ||||||
Total Financial | 2,418,135 | |||||||
Energy - 7.0% | ||||||||
Royal Dutch Shell plc — Class A ADR | 5,298 | 320,953 | ||||||
Total S.A. ADR | 5,872 | 314,269 | ||||||
BP plc ADR | 7,716 | 296,526 | ||||||
Eni SpA ADR | 2,961 | 97,920 | ||||||
Total Energy | 1,029,668 | |||||||
Industrial - 5.2% | ||||||||
Siemens AG ADR | 3,976 | 281,302 | ||||||
Airbus SE ADR | 5,573 | 132,024 | ||||||
Vinci S.A. ADR | 5,246 | 124,488 | ||||||
ABB Ltd. ADR | 4,785 | 118,429 | ||||||
Schneider Electric SE ADR | 6,538 | 113,696 | ||||||
Total Industrial | 769,939 | |||||||
Basic Materials - 4.1% | ||||||||
BASF SE ADR | 2,131 | 226,952 | ||||||
Glencore plc ADR* | 14,252 | 130,263 | ||||||
Rio Tinto plc ADR | 2,746 | 129,584 | ||||||
Air Liquide S.A. ADR | 4,549 | 121,367 | ||||||
Total Basic Materials | 608,166 | |||||||
Communications - 2.9% | ||||||||
Vodafone Group plc ADR | 6,147 | 174,943 | ||||||
Deutsche Telekom AG ADR | 7,625 | 142,283 | ||||||
Telefonica S.A. ADR | 10,463 | 112,896 | ||||||
Total Communications | 430,122 | |||||||
Technology - 2.8% | ||||||||
SAP SE ADR | 2,346 | 257,239 | ||||||
ASML Holding N.V. — Class G | 891 | 152,539 | ||||||
Total Technology | 409,778 | |||||||
Consumer, Cyclical - 2.5% | ||||||||
Daimler AG ADR | 2,359 | 188,171 | ||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 3,204 | 177,213 | ||||||
Total Consumer, Cyclical | 365,384 | |||||||
Utilities - 0.7% | ||||||||
National Grid plc ADR | 1,618 | 101,465 | ||||||
Total Common Stocks | ||||||||
(Cost $9,525,378) | 10,345,129 | |||||||
MUTUAL FUNDS† - 22.0% | ||||||||
Guggenheim Strategy Fund II2 | 70,146 | 1,757,855 | ||||||
Guggenheim Strategy Fund I2 | 59,201 | 1,486,527 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,230,842) | 3,244,382 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 5.1% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/173,4,5 | $ | 750,000 | 748,544 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $748,404) | 748,544 | |||||||
REPURCHASE AGREEMENTS††,6 - 5.9% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 435,644 | 435,644 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 217,822 | 217,822 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 108,311 | 108,311 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 98,964 | 98,964 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 10,379 | 10,379 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $871,120) | 871,120 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EUROPE 1.25x STRATEGY FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%8 | 4,294 | $ | 4,294 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $4,294) | 4,294 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $14,380,038) | $ | 15,213,469 | ||||||
Other Assets & Liabilities, net - (3.1)% | (451,278 | ) | ||||||
Total Net Assets - 100.0% | $ | 14,762,191 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Gain (Loss) | |||||||||
Equity Futures Contracts Purchased†† | |||||||||||||
STOXX 50 Index Futures Contracts | 223 | Dec 2017 | $ | 8,323,295 | $ | 165,367 | |||||||
Currency Futures Contracts Purchased† | |||||||||||||
Euro FX Futures Contracts | 57 | Dec 2017 | 8,455,950 | (51,868 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Affiliated issuer — See Note 5. |
3 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of September 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
COUNTRY DIVERSIFICATION
Country | % of Long-Term Investments |
United Kingdom | 31.7% |
Switzerland | 19.9% |
France | 16.8% |
Germany | 15.4% |
Netherlands | 5.2% |
Spain | 5.0% |
Italy | 2.1% |
Other | 3.9% |
Total Long-Term Investments | 100.0% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
EUROPE 1.25x STRATEGY FUND |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 10,345,129 | $ | — | $ | — | $ | — | $ | — | $ | 10,345,129 | ||||||||||||
Equity Futures Contracts | — | — | — | 165,367 | — | 165,367 | ||||||||||||||||||
Mutual Funds | 3,244,382 | — | — | — | — | 3,244,382 | ||||||||||||||||||
Repurchase Agreements | — | — | 871,120 | — | — | 871,120 | ||||||||||||||||||
Securities Lending Collateral | 4,294 | — | — | — | — | 4,294 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 748,544 | — | — | 748,544 | ||||||||||||||||||
Total Assets | $ | 13,593,805 | $ | — | $ | 1,619,664 | $ | 165,367 | $ | — | $ | 15,378,836 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Currency Futures Contracts | $ | — | $ | 51,868 | $ | — | $ | — | $ | — | $ | 51,868 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 732,497 | $ | 1,050,000 | $ | (300,000 | ) | $ | 478 | $ | 3,552 | $ | 1,486,527 | 59,201 | $ | 14,359 | ||||||||||||||||
Guggenheim Strategy Fund II | 903,646 | 850,000 | — | — | 4,209 | 1,757,855 | 70,146 | 18,378 | ||||||||||||||||||||||||
$ | 1,636,143 | $ | 1,900,000 | $ | (300,000 | ) | $ | 478 | $ | 7,761 | $ | 3,244,382 | $ | 32,737 |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $4,218 of securities loaned (cost $10,278,076) | $ | 11,097,967 | ||
Investments in affiliated issuers, at value (cost $3,230,842) | 3,244,382 | |||
Repurchase agreements, at value (cost $871,120) | 871,120 | |||
Foreign currency, at value (cost $119,234) | 119,643 | |||
Receivables: | ||||
Securities sold | 92,265 | |||
Variation margin | 61,114 | |||
Fund shares sold | 37,053 | |||
Dividends | 28,368 | |||
Foreign taxes reclaim | 25,389 | |||
Securities lending income | 719 | |||
Swap settlement | 535 | |||
Interest | 48 | |||
Total assets | 15,578,603 | |||
Liabilities: | ||||
Segregated cash due to broker | 119,304 | |||
Payable for: | ||||
Fund shares redeemed | 649,610 | |||
Management fees | 12,276 | |||
Distribution and service fees | 4,564 | |||
Return of securities loaned | 4,294 | |||
Transfer agent and administrative fees | 3,410 | |||
Portfolio accounting fees | 1,364 | |||
Miscellaneous | 21,590 | |||
Total liabilities | 816,412 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 14,762,191 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,400,404 | ||
Undistributed net investment income | 153,234 | |||
Accumulated net realized loss on investments | (1,738,786 | ) | ||
Net unrealized appreciation on investments | 947,339 | |||
Net assets | $ | 14,762,191 | ||
A-Class: | ||||
Net assets | $ | 1,002,458 | ||
Capital shares outstanding | 10,254 | |||
Net asset value per share | $ | 97.76 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 102.64 | ||
C-Class: | ||||
Net assets | $ | 1,934,764 | ||
Capital shares outstanding | 22,791 | |||
Net asset value per share | $ | 84.89 | ||
H-Class: | ||||
Net assets | $ | 11,824,969 | ||
Capital shares outstanding | 121,796 | |||
Net asset value per share | $ | 97.09 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $11,514) | $ | 243,228 | ||
Dividends from securities of affiliated issuers | 32,737 | |||
Interest | 20,837 | |||
Income from securities lending, net | 9,332 | |||
Total investment income | 306,134 | |||
Expenses: | ||||
Management fees | 89,350 | |||
Distribution and service fees: | ||||
A-Class | 3,049 | |||
C-Class | 8,752 | |||
H-Class | 19,582 | |||
Transfer agent and administrative fees | 24,819 | |||
Portfolio accounting fees | 9,928 | |||
Custodian fees | 1,348 | |||
Trustees’ fees* | 506 | |||
Line of credit fees | 17 | |||
Miscellaneous | 19,681 | |||
Total expenses | 177,032 | |||
Net investment income | 129,102 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 218,148 | |||
Investments in affiliated issuers | 478 | |||
Futures contracts | 1,684,886 | |||
Foreign currency transactions | 9,543 | |||
Net realized gain | 1,913,055 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 693,488 | |||
Investments in affiliated issuers | 7,761 | |||
Futures contracts | 84,698 | |||
Foreign currency translations | 520 | |||
Net change in unrealized appreciation (depreciation) | 786,467 | |||
Net realized and unrealized gain | 2,699,522 | |||
Net increase in net assets resulting from operations | $ | 2,828,624 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
EUROPE 1.25x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 129,102 | $ | 35,331 | ||||
Net realized gain on investments | 1,913,055 | 3,236,907 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 786,467 | (108,227 | ) | |||||
Net increase in net assets resulting from operations | 2,828,624 | 3,164,011 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (3,592 | ) | |||||
C-Class | — | (2,755 | ) | |||||
H-Class | — | (29,013 | ) | |||||
Total distributions to shareholders | — | (35,360 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,859,523 | 1,224,419 | ||||||
C-Class | 1,889,453 | 1,340,603 | ||||||
H-Class | 118,048,099 | 182,443,083 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 2,826 | ||||||
C-Class | — | 2,507 | ||||||
H-Class | — | 28,695 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,622,009 | ) | (1,660,138 | ) | ||||
C-Class | (1,026,080 | ) | (969,457 | ) | ||||
H-Class | (114,911,756 | ) | (183,677,062 | ) | ||||
Net increase (decrease) from capital share transactions | 4,237,230 | (1,264,524 | ) | |||||
Net increase in net assets | 7,065,854 | 1,864,127 | ||||||
Net assets: | ||||||||
Beginning of period | 7,696,337 | 5,832,210 | ||||||
End of period | $ | 14,762,191 | $ | 7,696,337 | ||||
Undistributed net investment income at end of period | $ | 153,234 | $ | 24,132 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 54,511 | 14,952 | * | |||||
C-Class | 24,146 | 18,798 | * | |||||
H-Class | 1,325,128 | 2,397,923 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 39 | * | |||||
C-Class | — | 39 | * | |||||
H-Class | — | 398 | * | |||||
Shares redeemed | ||||||||
A-Class | (49,162 | ) | (21,083 | )* | ||||
C-Class | (12,696 | ) | (13,915 | )* | ||||
H-Class | (1,279,650 | ) | (2,380,582 | )* | ||||
Net increase in shares | 62,277 | 16,569 | * |
* | Capital share activity for the period presented through March 31, 2017 has been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 84.99 | $ | 78.10 | $ | 93.32 | $ | 104.40 | $ | 84.97 | $ | 75.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .49 | 1.08 | (.06 | ) | .30 | .96 | (.18 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.28 | 6.51 | (14.44 | ) | (11.08 | ) | 18.47 | 9.94 | ||||||||||||||||
Total from investment operations | 12.77 | 7.59 | (14.50 | ) | (10.78 | ) | 19.43 | 9.76 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Total distributions | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Net asset value, end of period | $ | 97.76 | $ | 84.99 | $ | 78.10 | $ | 93.32 | $ | 104.40 | $ | 84.97 | ||||||||||||
Total Returnc | 15.04 | % | 9.83 | % | (15.58 | %) | (10.33 | %) | 22.88 | % | 12.92 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,002 | $ | 417 | $ | 859 | $ | 1,165 | $ | 2,551 | $ | 3,916 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.06 | % | 1.35 | % | (0.08 | %) | 0.33 | % | 1.00 | % | (0.23 | %) | ||||||||||||
Total expensesd | 1.72 | % | 1.72 | % | 1.67 | % | 1.72 | % | 1.72 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 230 | % | 1,616 | % | 920 | % | 608 | % | 654 | % | 903 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.07 | $ | 68.62 | $ | 82.63 | $ | 93.15 | $ | 77.34 | $ | 69.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .06 | .35 | (.54 | ) | (.48 | ) | (.42 | ) | (.60 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.76 | 5.80 | (12.75 | ) | (9.74 | ) | 16.23 | 8.97 | ||||||||||||||||
Total from investment operations | 10.82 | 6.15 | (13.29 | ) | (10.22 | ) | 15.81 | 8.37 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Total distributions | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Net asset value, end of period | $ | 84.89 | $ | 74.07 | $ | 68.62 | $ | 82.63 | $ | 93.15 | $ | 77.34 | ||||||||||||
Total Returnc | 14.62 | % | 9.09 | % | (16.14 | %) | (10.94 | %) | 20.40 | % | 12.09 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,935 | $ | 840 | $ | 440 | $ | 1,023 | $ | 535 | $ | 402 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.14 | % | 0.50 | % | (0.64 | %) | (0.50 | %) | (0.48 | %) | (0.83 | %) | ||||||||||||
Total expensesd | 2.47 | % | 2.49 | % | 2.42 | % | 2.48 | % | 2.47 | % | 2.42 | % | ||||||||||||
Portfolio turnover rate | 230 | % | 1,616 | % | 920 | % | 608 | % | 654 | % | 903 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | �� | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 84.38 | $ | 77.38 | $ | 92.50 | $ | 103.56 | $ | 85.18 | $ | 75.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .67 | .46 | .18 | .60 | .18 | (.12 | ) | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.04 | 7.24 | (14.58 | ) | (11.36 | ) | 18.20 | 9.96 | ||||||||||||||||
Total from investment operations | 12.71 | 7.70 | (14.40 | ) | (10.76 | ) | 18.38 | 9.84 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Total distributions | — | (.70 | ) | (.72 | ) | (.30 | ) | — | (.18 | ) | ||||||||||||||
Net asset value, end of period | $ | 97.09 | $ | 84.38 | $ | 77.38 | $ | 92.50 | $ | 103.56 | $ | 85.18 | ||||||||||||
Total Returnc | 15.08 | % | 10.06 | % | (15.64 | %) | (10.36 | %) | 21.55 | % | 13.06 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,825 | $ | 6,439 | $ | 4,533 | $ | 9,719 | $ | 11,553 | $ | 10,752 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.47 | % | 0.59 | % | 0.19 | % | 0.62 | % | 0.19 | % | (0.18 | %) | ||||||||||||
Total expensesd | 1.72 | % | 1.73 | % | 1.66 | % | 1.72 | % | 1.71 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 230 | % | 1,616 | % | 920 | % | 608 | % | 654 | % | 903 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_65.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 27.5% |
Guggenheim Strategy Fund II | 18.4% |
Total | 45.9% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | Since Inception (02/22/08) | |
A-Class Shares | 12.78% | 21.77% | 17.10% | 1.50% |
A-Class Shares with sales charge‡ | 7.42% | 15.99% | 15.97% | 0.99% |
C-Class Shares | 12.35% | 20.81% | 16.37% | 0.81% |
C-Class Shares with CDSC§ | 11.35% | 19.81% | 16.37% | 0.81% |
H-Class Shares | 12.80% | 22.16% | 17.22% | 1.58% |
Nikkei-225 Stock Average Index | 6.40% | 11.45% | 9.69% | 3.80% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
JAPAN 2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 45.9% | ||||||||
Guggenheim Strategy Fund I1 | 35,894 | $ | 901,296 | |||||
Guggenheim Strategy Fund II1 | 24,001 | 601,475 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,495,545) | 1,502,771 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 3.1% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/172,3,4 | $ | 100,000 | 99,806 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,787) | 99,806 | |||||||
REPURCHASE AGREEMENTS††,5 - 49.0% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | 801,485 | 801,485 |
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 400,743 | 400,743 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 199,268 | 199,268 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 182,072 | 182,072 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 19,095 | 19,095 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,602,663) | 1,602,663 | |||||||
Total Investments - 98.0% | ||||||||
(Cost $3,197,995) | $ | 3,205,240 | ||||||
Other Assets & Liabilities, net - 2.0% | 66,744 | |||||||
Total Net Assets - 100.0% | $ | 3,271,984 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Gain (Loss) | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
Nikkei 225 (CME) Index Futures Contracts | 64 | Dec 2017 | $ | 6,524,800 | $ | 348,022 | |||||||
Currency Futures Contracts Purchased† | |||||||||||||
Japanese Yen Futures Contracts | 59 | Dec 2017 | 6,577,763 | (113,735 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 5. |
2 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
JAPAN 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Equity Futures Contracts | $ | — | $ | 348,022 | $ | — | $ | — | $ | 348,022 | ||||||||||
Mutual Funds | 1,502,771 | — | — | — | 1,502,771 | |||||||||||||||
Repurchase Agreements | — | — | 1,602,663 | — | 1,602,663 | |||||||||||||||
U.S. Treasury Bills | — | — | 99,806 | — | 99,806 | |||||||||||||||
Total Assets | $ | 1,502,771 | $ | 348,022 | $ | 1,702,469 | $ | — | $ | 3,553,262 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Currency Futures Contracts | $ | — | $ | 113,735 | $ | — | $ | — | $ | 113,735 |
* | Other financial instruments include futures contracts, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 599,382 | $ | 300,000 | $ | — | $ | — | $ | 1,914 | $ | 901,296 | 35,894 | $ | 6,598 | |||||||||||||||||
Guggenheim Strategy Fund II | 600,035 | — | — | — | 1,440 | 601,475 | 24,001 | 6,759 | ||||||||||||||||||||||||
$ | 1,199,417 | $ | 300,000 | $ | — | $ | — | $ | 3,354 | $ | 1,502,771 | $ | 13,357 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
JAPAN 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $99,787) | $ | 99,806 | ||
Investments in affiliated issuers, at value (cost $1,495,545) | 1,502,771 | |||
Repurchase agreements, at value (cost $1,602,663) | 1,602,663 | |||
Segregated cash with broker | 54,692 | |||
Receivables: | ||||
Fund shares sold | 16,881 | |||
Variation margin | 3,460 | |||
Dividends | 2,505 | |||
Swap settlement | 650 | |||
Interest | 89 | |||
Total assets | 3,283,517 | |||
Liabilities: | ||||
Payable for: | ||||
Legal fees | 2,602 | |||
Fund shares redeemed | 2,128 | |||
Management fees | 2,022 | |||
Distribution and service fees | 717 | |||
Transfer agent and administrative fees | 674 | |||
Portfolio accounting fees | 270 | |||
Miscellaneous | 3,120 | |||
Total liabilities | 11,533 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 3,271,984 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,263,268 | ||
Accumulated net investment loss | (17,620 | ) | ||
Accumulated net realized loss on investments | (215,196 | ) | ||
Net unrealized appreciation on investments | 241,532 | |||
Net assets | $ | 3,271,984 | ||
A-Class: | ||||
Net assets | $ | 300,497 | ||
Capital shares outstanding | 2,606 | |||
Net asset value per share | $ | 115.31 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 121.06 | ||
C-Class: | ||||
Net assets | $ | 79,814 | ||
Capital shares outstanding | 739 | |||
Net asset value per share | $ | 108.00 | ||
H-Class: | ||||
Net assets | $ | 2,891,673 | ||
Capital shares outstanding | 24,895 | |||
Net asset value per share | $ | 116.15 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 13,357 | ||
Interest | 19,544 | |||
Total investment income | 32,901 | |||
Expenses: | ||||
Management fees | 21,882 | |||
Distribution and service fees: | ||||
C-Class | 325 | |||
A-Class | 489 | |||
H-Class | 6,723 | |||
Transfer agent and administrative fees | 7,294 | |||
Portfolio accounting fees | 2,918 | |||
Custodian fees | 373 | |||
Trustees’ fees* | 147 | |||
Miscellaneous | 4,661 | |||
Total expenses | 44,812 | |||
Net investment loss | (11,911 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Futures contracts | 276,403 | |||
Net realized gain | 276,403 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 19 | |||
Investments in affiliated issuers | 3,354 | |||
Futures contracts | 146,839 | |||
Net change in unrealized appreciation (depreciation) | 150,212 | |||
Net realized and unrealized gain | 426,615 | |||
Net increase in net assets resulting from operations | $ | 414,704 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
JAPAN 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (11,911 | ) | $ | (35,030 | ) | ||
Net realized gain on investments | 276,403 | 2,807,128 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 150,212 | (1,539 | ) | |||||
Net increase in net assets resulting from operations | 414,704 | 2,770,559 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 184,016 | 242,044 | ||||||
C-Class | 467,414 | 259,751 | ||||||
H-Class | 220,558,507 | 263,867,281 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (314,952 | ) | (299,177 | ) | ||||
C-Class | (446,648 | ) | (274,295 | ) | ||||
H-Class | (221,177,055 | ) | (265,800,357 | ) | ||||
Net decrease from capital share transactions | (728,718 | ) | (2,004,753 | ) | ||||
Net increase (decrease) in net assets | (314,014 | ) | 765,806 | |||||
Net assets: | ||||||||
Beginning of period | 3,585,998 | 2,820,192 | ||||||
End of period | $ | 3,271,984 | $ | 3,585,998 | ||||
Accumulated net investment loss at end of period | $ | (17,620 | ) | $ | (5,709 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,651 | 2,777 | * | |||||
C-Class | 4,453 | 3,281 | * | |||||
H-Class | 2,024,180 | 2,921,713 | * | |||||
Shares redeemed | ||||||||
A-Class | (2,850 | ) | (3,428 | )* | ||||
C-Class | (4,252 | ) | (3,495 | )* | ||||
H-Class | (2,029,829 | ) | (2,921,654 | )* | ||||
Net decrease in shares | (6,647 | ) | (806 | )* |
* | Capital share activity for the period presented through March 31, 2017 has been restated to reflect a 1:4 reverse share split effective November 4, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
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.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 102.24 | $ | 78.81 | $ | 93.15 | $ | 77.23 | $ | 69.56 | $ | 61.79 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.74 | ) | (1.12 | ) | (1.00 | ) | (1.24 | ) | (.80 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.21 | 24.17 | (13.22 | ) | 16.92 | 8.91 | 8.57 | |||||||||||||||||
Total from investment operations | 13.07 | 23.43 | (14.34 | ) | 15.92 | 7.67 | 7.77 | |||||||||||||||||
Net asset value, end of period | $ | 115.31 | $ | 102.24 | $ | 78.81 | $ | 93.15 | $ | 77.23 | $ | 69.56 | ||||||||||||
Total Returnc | 12.78 | % | 29.73 | % | (15.41 | %) | 20.61 | % | 11.04 | % | 12.56 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 300 | $ | 389 | $ | 351 | $ | 447 | $ | 624 | $ | 2,025 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.25 | %) | (0.80 | %) | (1.22 | %) | (1.27 | %) | (1.50 | %) | (1.40 | %) | ||||||||||||
Total expensesd | 1.52 | % | 1.52 | % | 1.51 | % | 1.54 | % | 1.52 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | — | 1,225 | % | 543 | % | 405 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 96.17 | $ | 74.63 | $ | 88.92 | $ | 73.98 | $ | 67.04 | $ | 59.95 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.51 | ) | (1.33 | ) | (1.68 | ) | (1.56 | ) | (1.72 | ) | (1.16 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.34 | 22.87 | (12.61 | ) | 16.50 | 8.66 | 8.25 | |||||||||||||||||
Total from investment operations | 11.83 | 21.54 | (14.29 | ) | 14.94 | 6.94 | 7.09 | |||||||||||||||||
Net asset value, end of period | $ | 108.00 | $ | 96.17 | $ | 74.63 | $ | 88.92 | $ | 73.98 | $ | 67.04 | ||||||||||||
Total Returnc | 12.35 | % | 28.74 | % | (16.06 | %) | 20.23 | % | 10.32 | % | 11.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 80 | $ | 52 | $ | 56 | $ | 317 | $ | 104 | $ | 246 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.99 | %) | (1.53 | %) | (1.91 | %) | (2.04 | %) | (2.25 | %) | (2.15 | %) | ||||||||||||
Total expensesd | 2.27 | % | 2.27 | % | 2.24 | % | 2.30 | % | 2.27 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate | — | 1,225 | % | 543 | % | 405 | % | — | — |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 102.97 | $ | 79.15 | $ | 93.52 | $ | 77.52 | $ | 69.77 | $ | 61.96 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.23 | ) | (.86 | ) | (1.08 | ) | (1.04 | ) | (1.20 | ) | (.80 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.41 | 24.68 | (13.29 | ) | 17.04 | 8.95 | 8.61 | |||||||||||||||||
Total from investment operations | 13.18 | 23.82 | (14.37 | ) | 16.00 | 7.75 | 7.81 | |||||||||||||||||
Net asset value, end of period | $ | 116.15 | $ | 102.97 | $ | 79.15 | $ | 93.52 | $ | 77.52 | $ | 69.77 | ||||||||||||
Total Returnc | 12.80 | % | 30.08 | % | (15.36 | %) | 20.64 | % | 11.12 | % | 12.59 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,892 | $ | 3,145 | $ | 2,413 | $ | 16,862 | $ | 3,104 | $ | 9,020 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.41 | %) | (0.95 | %) | (1.17 | %) | (1.28 | %) | (1.50 | %) | (1.40 | %) | ||||||||||||
Total expensesd | 1.53 | % | 1.52 | % | 1.49 | % | 1.54 | % | 1.52 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | — | 1,225 | % | 543 | % | 405 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 share split effective November 4, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_72.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 17.3% |
Guggenheim Strategy Fund I | 6.0% |
Total | 23.3% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | (13.68%) | (4.75%) | 3.48% | (0.89%) |
A-Class Shares with sales charge‡ | (17.77%) | (9.28%) | 2.48% | (1.37%) |
C-Class Shares | (13.99%) | (5.46%) | 2.71% | (1.58%) |
C-Class Shares with CDSC§ | (14.85%) | (6.41%) | 2.71% | (1.58%) |
H-Class Shares | (13.67%) | (4.74%) | 3.48% | (0.91%) |
U.S. Dollar Index | (7.24%) | (2.49%) | 3.09% | 1.82% |
* | 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 U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 23.3% | ||||||||
Guggenheim Strategy Fund II1 | 70,094 | $ | 1,756,561 | |||||
Guggenheim Strategy Fund I1 | 23,971 | 601,906 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,335,172) | 2,358,467 | |||||||
Face Amount | ||||||||
U.S. TREASURY BILLS†† - 1.5% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/172,3,4 | $ | 150,000 | 149,709 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $149,681) | 149,709 | |||||||
REPURCHASE AGREEMENTS††,5 - 78.5% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/176 | 3,977,587 | 3,977,587 |
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/176 | 1,988,793 | 1,988,793 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/176 | 996,514 | 996,513 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 896,710 | 896,710 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 94,045 | 94,045 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $7,953,648) | 7,953,648 | |||||||
Total Investments - 103.3% | ||||||||
(Cost $10,438,501) | $ | 10,461,824 | ||||||
Other Assets & Liabilities, net - (3.3)% | (331,264 | ) | ||||||
Total Net Assets - 100.0% | $ | 10,130,560 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Gain | |||||||||
Currency Futures Contracts Purchased† | |||||||||||||
U.S. Dollar Index Futures Contracts | 196 | Dec 2017 | $ | 18,209,380 | $ | 127,783 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | ||||||||||||
OTC Currency Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | U.S. Dollar Index | 1.31 | % | At Maturity | 12/15/17 | 21,879 | $ | 2,031,652 | $ | 12,025 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 5. |
2 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2017. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 – Other* | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Currency Futures Contracts | $ | — | $ | 127,783 | $ | — | $ | — | $ | — | $ | 127,783 | ||||||||||||
Currency Index Swap Agreements | — | — | — | 12,025 | — | 12,025 | ||||||||||||||||||
Mutual Funds | 2,358,467 | — | — | — | — | 2,358,467 | ||||||||||||||||||
Repurchase Agreements | — | — | 7,953,648 | — | — | 7,953,648 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 149,709 | — | — | 149,709 | ||||||||||||||||||
Total Assets | $ | 2,358,467 | $ | 127,783 | $ | 8,103,357 | $ | 12,025 | $ | — | $ | 10,601,632 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 600,468 | $ | — | $ | — | $ | — | $ | 1,438 | $ | 601,906 | 23,971 | $ | 5,380 | |||||||||||||||||
Guggenheim Strategy Fund II | 1,752,355 | — | — | — | 4,206 | 1,756,561 | 70,094 | 19,740 | ||||||||||||||||||||||||
$ | 2,352,823 | $ | — | $ | — | $ | — | $ | 5,644 | $ | 2,358,467 | $ | 25,120 |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $149,681) | $ | 149,709 | ||
Investments in affiliated issuers, at value (cost $2,335,172) | 2,358,467 | |||
Repurchase agreements, at value (cost $7,953,648) | 7,953,648 | |||
Segregated cash with broker | 229,050 | |||
Unrealized appreciation on swap agreements | 12,025 | |||
Receivables: | ||||
Fund shares sold | 90,866 | |||
Swap settlement | 48,026 | |||
Dividends | 4,170 | |||
Interest | 441 | |||
Total assets | 10,846,402 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 683,977 | |||
Management fees | 8,845 | |||
Variation margin | 5,876 | |||
Distribution and service fees | 3,009 | |||
Transfer agent and administrative fees | 2,457 | |||
Portfolio accounting fees | 983 | |||
Miscellaneous | 10,695 | |||
Total liabilities | 715,842 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 10,130,560 | ||
Net assets consist of: | ||||
Paid in capital | $ | 31,027,819 | ||
Accumulated net investment loss | (125,385 | ) | ||
Accumulated net realized loss on investments | (20,935,005 | ) | ||
Net unrealized appreciation on investments | 163,131 | |||
Net assets | $ | 10,130,560 | ||
A-Class: | ||||
Net assets | $ | 1,545,431 | ||
Capital shares outstanding | 33,634 | |||
Net asset value per share | $ | 45.95 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 48.24 | ||
C-Class: | ||||
Net assets | $ | 897,527 | ||
Capital shares outstanding | 21,602 | |||
Net asset value per share | $ | 41.55 | ||
H-Class: | ||||
Net assets | $ | 7,687,602 | ||
Capital shares outstanding | 167,978 | |||
Net asset value per share | $ | 45.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 25,120 | ||
Interest | 39,732 | |||
Total investment income | 64,852 | |||
Expenses: | ||||
Management fees | 48,743 | |||
Distribution and service fees: | ||||
C-Class | 5,685 | |||
A-Class | 2,313 | |||
H-Class | 9,805 | |||
Transfer agent and administrative fees | 13,539 | |||
Portfolio accounting fees | 5,416 | |||
Registration fees | 5,372 | |||
Custodian fees | 729 | |||
Trustees’ fees* | 712 | |||
Line of credit fees | 19 | |||
Miscellaneous | 6,245 | |||
Total expenses | 98,578 | |||
Net investment loss | (33,726 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 11,277 | |||
Swap agreements | (399,709 | ) | ||
Futures contracts | (1,476,957 | ) | ||
Net realized loss | (1,865,389 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (2,442 | ) | ||
Investments in affiliated issuers | 5,644 | |||
Swap agreements | 82,815 | |||
Futures contracts | 344,962 | |||
Net change in unrealized appreciation (depreciation) | 430,979 | |||
Net realized and unrealized loss | (1,434,410 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,468,136 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (33,726 | ) | $ | (253,288 | ) | ||
Net realized gain (loss) on investments | (1,865,389 | ) | 2,122,644 | |||||
Net change in unrealized appreciation (depreciation) on investments | 430,979 | 459,977 | ||||||
Net increase (decrease) in net assets resulting from operations | (1,468,136 | ) | 2,329,333 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 1,463,798 | 8,015,246 | ||||||
C-Class | 448,658 | 4,990,031 | ||||||
H-Class | 35,484,474 | 156,831,439 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,869,336 | ) | (8,071,303 | ) | ||||
C-Class | (676,478 | ) | (5,831,709 | ) | ||||
H-Class | (34,313,119 | ) | (161,648,841 | ) | ||||
Net increase (decrease) from capital share transactions | 537,997 | (5,715,137 | ) | |||||
Net decrease in net assets | (930,139 | ) | (3,385,804 | ) | ||||
Net assets: | ||||||||
Beginning of period | 11,060,699 | 14,446,503 | ||||||
End of period | $ | 10,130,560 | $ | 11,060,699 | ||||
Accumulated net investment loss at end of period | $ | (125,385 | ) | $ | (91,659 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 29,723 | 154,635 | ||||||
C-Class | 10,055 | 108,852 | ||||||
H-Class | 742,347 | 3,132,819 | ||||||
Shares redeemed | ||||||||
A-Class | (38,264 | ) | (152,304 | ) | ||||
C-Class | (15,549 | ) | (126,213 | ) | ||||
H-Class | (715,931 | ) | (3,214,633 | ) | ||||
Net increase (decrease) in shares | 12,381 | (96,844 | ) |
76 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 53.23 | $ | 47.68 | $ | 55.75 | $ | 38.36 | $ | 42.75 | $ | 40.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.55 | ) | (.58 | ) | (.56 | ) | (.69 | ) | (.63 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.15 | ) | 6.10 | (5.32 | ) | 17.95 | (3.70 | ) | 3.03 | |||||||||||||||
Total from investment operations | (7.28 | ) | 5.55 | (5.90 | ) | 17.39 | (4.39 | ) | 2.40 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 45.95 | $ | 53.23 | $ | 47.68 | $ | 55.75 | $ | 38.36 | $ | 42.75 | ||||||||||||
Total Returnc | (13.68 | %) | 11.64 | % | (11.01 | %) | 45.33 | % | (10.27 | %) | 5.95 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,545 | $ | 2,245 | $ | 1,900 | $ | 15,765 | $ | 3,547 | $ | 10,427 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.55 | %) | (1.07 | %) | (1.10 | %) | (1.19 | %) | (1.72 | %) | (1.53 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.73 | % | 1.69 | % | 1.68 | % | 1.74 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | — | 142 | % | 376 | % | 299 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 48.32 | $ | 43.60 | $ | 51.55 | $ | 35.74 | $ | 40.15 | $ | 38.14 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.29 | ) | (.82 | ) | (.85 | ) | (.81 | ) | (.94 | ) | (.90 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.48 | ) | 5.54 | (4.93 | ) | 16.62 | (3.47 | ) | 2.91 | |||||||||||||||
Total from investment operations | (6.77 | ) | 4.72 | (5.78 | ) | 15.81 | (4.41 | ) | 2.01 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 41.55 | $ | 48.32 | $ | 43.60 | $ | 51.55 | $ | 35.74 | $ | 40.15 | ||||||||||||
Total Returnc | (13.99 | %) | 10.80 | % | (11.69 | %) | 44.24 | % | (10.96 | %) | 5.27 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 898 | $ | 1,309 | $ | 1,938 | $ | 3,836 | $ | 2,099 | $ | 3,530 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.29 | %) | (1.80 | %) | (1.75 | %) | (1.96 | %) | (2.48 | %) | (2.29 | %) | ||||||||||||
Total expensesd | 2.49 | % | 2.48 | % | 2.45 | % | 2.44 | % | 2.50 | % | 2.42 | % | ||||||||||||
Portfolio turnover rate | — | 142 | % | 376 | % | 299 | % | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 53.03 | $ | 47.49 | $ | 55.53 | $ | 38.21 | $ | 42.60 | $ | 40.17 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | (.56 | ) | (.59 | ) | (.56 | ) | (.69 | ) | (.63 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.13 | ) | 6.10 | (5.28 | ) | 17.88 | (3.70 | ) | 3.06 | |||||||||||||||
Total from investment operations | (7.26 | ) | 5.54 | (5.87 | ) | 17.32 | (4.39 | ) | 2.43 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (2.17 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 45.77 | $ | 53.03 | $ | 47.49 | $ | 55.53 | $ | 38.21 | $ | 42.60 | ||||||||||||
Total Returnc | (13.67 | %) | 11.64 | % | (11.00 | %) | 45.33 | % | (10.31 | %) | 6.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,688 | $ | 7,506 | $ | 10,608 | $ | 158,098 | $ | 9,764 | $ | 11,979 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.54 | %) | (1.11 | %) | (1.12 | %) | (1.19 | %) | (1.72 | %) | (1.53 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.73 | % | 1.70 | % | 1.68 | % | 1.74 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | — | 142 | % | 376 | % | 299 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through February 7, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014 |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/f28138_79.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
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.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 8.3% |
Guggenheim Strategy Fund II | 8.3% |
Total | 16.6% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 14.31% | 1.57% | (7.66%) | (4.69%) |
A-Class Shares with sales charge‡ | 8.88% | (3.27%) | (8.55%) | (5.15%) |
C-Class Shares | 13.92% | 0.88% | (8.36%) | (5.41%) |
C-Class Shares with CDSC§ | 12.92% | (0.12%) | (8.36%) | (5.41%) |
H-Class Shares | 14.34% | 1.64% | (7.65%) | (4.69%) |
U.S. Dollar Index | (7.24%) | (2.49%) | 3.09% | 1.82% |
* | 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 U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 16.7% | ||||||||
Guggenheim Strategy Fund I1 | 15,004 | $ | 376,752 | |||||
Guggenheim Strategy Fund II1 | 15,033 | 376,732 | ||||||
Total Mutual Funds | ||||||||
(Cost $747,983) | 753,484 | |||||||
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 22.1% | ||||||||
Federal Farm Credit Bank2 | ||||||||
1.41% (Fed Bank Prime Loan Rate U.S. Daily + -283 bps) due 09/12/183 | $ | 500,000 | 501,239 | |||||
1.17% (Fed Bank Prime Loan Rate U.S. Daily + -308 bps) due 03/12/193 | 500,000 | 500,072 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $999,916) | 1,001,311 | |||||||
U.S. TREASURY BILLS†† - 2.2% | ||||||||
U.S. Treasury Bill | ||||||||
1.03% due 12/14/174,5,6 | 100,000 | 99,806 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,787) | 99,806 |
REPURCHASE AGREEMENTS††,7 - 68.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/178 | 1,551,712 | 1,551,712 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/178 | 775,856 | 775,856 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/178 | 403,380 | 403,380 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 336,581 | 336,581 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 35,300 | 35,300 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,102,829) | 3,102,829 | |||||||
Total Investments - 109.7% | ||||||||
(Cost $4,950,515) | $ | 4,957,430 | ||||||
Other Assets & Liabilities, net - (9.7)% | (438,372 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,519,058 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Loss | |||||||||
Currency Futures Contract Sold Short† | |||||||||||||
U.S. Dollar Index Futures Contracts | 91 | Dec 2017 | $ | 8,454,355 | $ | (58,690 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | ||||||||||||
OTC Currency Index Swap Agreements Sold Short†† | |||||||||||||||||||
Goldman Sachs International | U.S. Dollar Index | 1.31 | % | At Maturity | 12/15/17 | 6,578 | $ | 610,848 | $ | (7,949 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer — See Note 5. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
4 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | Repurchase Agreements — See Note 6. |
8 | All or a portion of this security is pledged as currency index swap collateral at September 30, 2017. |
See Sector Classification in Other Information section. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
WEAKENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 – Other* | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Federal Agency Notes | $ | — | $ | — | $ | 1,001,311 | $ | — | $ | — | $ | 1,001,311 | ||||||||||||
Mutual Funds | 753,484 | — | — | — | — | 753,484 | ||||||||||||||||||
Repurchase Agreements | — | — | 3,102,829 | — | — | 3,102,829 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 99,806 | — | — | 99,806 | ||||||||||||||||||
Total Assets | $ | 753,484 | $ | — | $ | 4,203,946 | $ | — | $ | — | $ | 4,957,430 | ||||||||||||
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 – Other* | Level 2 Significant Observable Inputs | Level 2 – Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Currency Futures Contracts | $ | — | $ | 58,690 | $ | — | $ | — | $ | — | $ | 58,690 | ||||||||||||
Currency Index Swap Agreements | — | — | — | 7,949 | — | 7,949 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 58,690 | $ | — | $ | 7,949 | $ | — | $ | 66,639 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Funds may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 250,891 | $ | 225,000 | $ | (100,000 | ) | $ | — | $ | 861 | $ | 376,752 | 15,004 | $ | 3,165 | ||||||||||||||||
Guggenheim Strategy Fund II | 250,840 | 225,000 | (100,000 | ) | — | 892 | 376,732 | 15,033 | 3,955 | |||||||||||||||||||||||
$ | 501,731 | $ | 450,000 | $ | (200,000 | ) | $ | — | $ | 1,753 | $ | 753,484 | $ | 7,120 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,099,703) | $ | 1,101,117 | ||
Investments in affiliated issuers, at value (cost $747,983) | 753,484 | |||
Repurchase agreements, at value (cost $3,102,829) | 3,102,829 | |||
Segregated cash with broker | 80,700 | |||
Receivables: | ||||
Variation margin | 2,738 | |||
Fund shares sold | 1,760 | |||
Dividends | 1,278 | |||
Interest | 856 | |||
Total assets | 5,044,762 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 7,949 | |||
Payable for: | ||||
Fund shares redeemed | 455,627 | |||
Swap settlement | 46,077 | |||
Management fees | 5,146 | |||
Distribution and service fees | 1,798 | |||
Transfer agent and administrative fees | 1,429 | |||
Portfolio accounting fees | 572 | |||
Miscellaneous | 7,106 | |||
Total liabilities | 525,704 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 4,519,058 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,664,927 | ||
Accumulated net investment loss | (35,463 | ) | ||
Accumulated net realized loss on investments | (13,050,682 | ) | ||
Net unrealized depreciation on investments | (59,724 | ) | ||
Net assets | $ | 4,519,058 | ||
A-Class: | ||||
Net assets | $ | 351,714 | ||
Capital shares outstanding | 4,734 | |||
Net asset value per share | $ | 74.30 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 78.00 | ||
C-Class: | ||||
Net assets | $ | 570,809 | ||
Capital shares outstanding | 8,535 | |||
Net asset value per share | $ | 66.88 | ||
H-Class: | ||||
Net assets | $ | 3,596,535 | ||
Capital shares outstanding | 48,455 | |||
Net asset value per share | $ | 74.22 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 7,120 | ||
Interest | 26,376 | |||
Total investment income | 33,496 | |||
Expenses: | ||||
Management fees | 29,030 | |||
Distribution and service fees: | ||||
C-Class | 3,001 | |||
A-Class | 2,051 | |||
H-Class | 5,262 | |||
Transfer agent and administrative fees | 8,064 | |||
Portfolio accounting fees | 3,225 | |||
Custodian fees | 423 | |||
Trustees’ fees* | 209 | |||
Miscellaneous | 7,144 | |||
Total expenses | 58,409 | |||
Net investment loss | (24,913 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Swap agreements | 142,929 | |||
Futures contracts | 812,540 | |||
Net realized gain | 955,469 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 983 | |||
Investments in affiliated issuers | 1,753 | |||
Swap agreements | (23,919 | ) | ||
Futures contracts | (139,725 | ) | ||
Net change in unrealized appreciation (depreciation) | (160,908 | ) | ||
Net realized and unrealized gain | 794,561 | |||
Net increase in net assets resulting from operations | $ | 769,648 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (24,913 | ) | $ | (67,934 | ) | ||
Net realized gain (loss) on investments | 955,469 | (1,547,174 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (160,908 | ) | (161,375 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 769,648 | (1,776,483 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,657,179 | 6,990,845 | ||||||
C-Class | 120,144 | 1,177,429 | ||||||
H-Class | 20,066,698 | 66,296,972 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (4,780,074 | ) | (7,813,379 | ) | ||||
C-Class | (322,997 | ) | (919,788 | ) | ||||
H-Class | (22,079,026 | ) | (63,362,959 | ) | ||||
Net increase (decrease) from capital share transactions | (2,338,076 | ) | 2,369,120 | |||||
Net increase (decrease) in net assets | (1,568,428 | ) | 592,637 | |||||
Net assets: | ||||||||
Beginning of period | 6,087,486 | 5,494,849 | ||||||
End of period | $ | 4,519,058 | $ | 6,087,486 | ||||
Accumulated net investment loss at end of period | $ | (35,463 | ) | $ | (10,550 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 67,164 | 100,872 | * | |||||
C-Class | 1,842 | 18,572 | * | |||||
H-Class | 286,684 | 917,915 | * | |||||
Shares redeemed | ||||||||
A-Class | (67,420 | ) | (113,327 | )* | ||||
C-Class | (5,144 | ) | (14,545 | )* | ||||
H-Class | (316,300 | ) | (888,300 | )* | ||||
Net increase (decrease) in shares | (33,174 | ) | 21,187 | * |
* | Capital share activity for the periods presented through March 31, 2017 has been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.99 | $ | 75.31 | $ | 70.69 | $ | 107.17 | $ | 101.72 | $ | 113.72 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.23 | ) | (.80 | ) | (.84 | ) | (1.20 | ) | (1.80 | ) | (1.68 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.54 | (9.52 | ) | 5.46 | (35.28 | ) | 7.25 | (10.32 | ) | |||||||||||||||
Total from investment operations | 9.31 | (10.32 | ) | 4.62 | (36.48 | ) | 5.45 | (12.00 | ) | |||||||||||||||
Net asset value, end of period | $ | 74.30 | $ | 64.99 | $ | 75.31 | $ | 70.69 | $ | 107.17 | $ | 101.72 | ||||||||||||
Total Returnc | 14.31 | % | (13.69 | %) | 6.54 | % | (34.04 | %) | 5.37 | % | (10.55 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 352 | $ | 324 | $ | 1,314 | $ | 508 | $ | 1,129 | $ | 1,346 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.65 | %) | (1.13 | %) | (1.13 | %) | (1.23 | %) | (1.73 | %) | (1.53 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.72 | % | 1.70 | % | 1.70 | % | 1.75 | % | 1.65 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 77 | % | 699 | % | 219 | % | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 58.72 | $ | 68.57 | $ | 64.88 | $ | 99.08 | $ | 94.76 | $ | 106.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.46 | ) | (1.19 | ) | (1.20 | ) | (1.74 | ) | (2.40 | ) | (2.28 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.62 | (8.66 | ) | 4.89 | (32.46 | ) | 6.72 | (9.69 | ) | |||||||||||||||
Total from investment operations | 8.16 | (9.85 | ) | 3.69 | (34.20 | ) | 4.32 | (11.97 | ) | |||||||||||||||
Net asset value, end of period | $ | 66.88 | $ | 58.72 | $ | 68.57 | $ | 64.88 | $ | 99.08 | $ | 94.76 | ||||||||||||
Total Returnc | 13.92 | % | (14.39 | %) | 5.74 | % | (34.52 | %) | 4.56 | % | (11.24 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 571 | $ | 695 | $ | 536 | $ | 163 | $ | 821 | $ | 1,687 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.46 | %) | (1.88 | %) | (1.81 | %) | (1.94 | %) | (2.49 | %) | (2.27 | %) | ||||||||||||
Total expensesd | 2.49 | % | 2.47 | % | 2.45 | % | 2.46 | % | 2.52 | % | 2.39 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 77 | % | 699 | % | 219 | % | — | — |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.92 | $ | 75.23 | $ | 70.59 | $ | 106.99 | $ | 101.58 | $ | 113.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.26 | ) | (.85 | ) | (.78 | ) | (1.14 | ) | (1.80 | ) | (1.62 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.56 | (9.46 | ) | 5.42 | (35.26 | ) | 7.21 | (10.39 | ) | |||||||||||||||
Total from investment operations | 9.30 | (10.31 | ) | 4.64 | (36.40 | ) | 5.41 | (12.01 | ) | |||||||||||||||
Net asset value, end of period | $ | 74.22 | $ | 64.92 | $ | 75.23 | $ | 70.59 | $ | 106.99 | $ | 101.58 | ||||||||||||
Total Returnc | 14.34 | % | (13.73 | %) | 6.54 | % | (33.99 | %) | 5.32 | % | (10.57 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,597 | $ | 5,068 | $ | 3,645 | $ | 3,651 | $ | 5,449 | $ | 10,058 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.72 | %) | (1.19 | %) | (1.04 | %) | (1.20 | %) | (1.74 | %) | (1.52 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.71 | % | 1.70 | % | 1.70 | % | 1.76 | % | 1.64 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 77 | % | 699 | % | 219 | % | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 28, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2017, the Trust consisted of fifty-three funds.
This report covers the 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 and Weakening Dollar 2x Strategy Fund, (the “Funds”), each a non-diversified investment company. Only A-Class, C-Class and H-Class shares had been issued by the Funds.
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.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sale price.
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.
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.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of 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 using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(c) Swap Agreements
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 an agreement are recognized as realized gains or losses.
(d) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their statement of operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2017, if any, are disclosed in the Funds’ statements of assets and liabilities.
(e) Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and 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.
(f) Security Transactions
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. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(g) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(h) Income
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees 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.
(i) Cash
The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at September 30, 2017.
(j) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, 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.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, 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 a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 20,104,760 | $ | — | ||||
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | 62,772,394 | — | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | 16,833,305 | — | ||||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 9,093,343 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing over-the-counter (“OTC”) swaps 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 if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. 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.
Currency swaps enable the Funds to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Funds may be at risk due to the counterparty’s inability to perform.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of currency swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 3,358,973 | $ | — | ||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 1,741,876 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin | Variation margin |
Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures Equity Contracts* | Futures Currency Contracts* | Swaps Currency Contracts | Total Value at September 30, 2017 | ||||||||||||
Europe 1.25x Strategy Fund | $ | 165,367 | $ | — | $ | — | $ | 165,367 | ||||||||
Japan 2x Strategy Fund | 348,022 | — | — | 348,022 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 127,783 | 12,025 | 139,808 |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures Equity Contracts* | Futures Currency Contracts* | Swaps Currency Contracts | Total Value at September 30, 2017 | ||||||||||||
Europe 1.25x Strategy Fund | $ | — | $ | 51,868 | $ | — | $ | 51,868 | ||||||||
Japan 2x Strategy Fund | — | 113,735 | — | 113,735 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | 58,690 | 7,949 | 66,639 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Net realized gain (loss) on swap agreements | |
Net change in unrealized appreciation (depreciation) on swap agreements |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(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 period ended September 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures Equity Contracts | Futures Currency Contracts | Swaps Currency Contracts | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | 137,556 | $ | 1,547,330 | $ | — | $ | 1,684,886 | ||||||||
Japan 2x Strategy Fund | 31,711 | 244,692 | — | 276,403 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | (1,476,957 | ) | (399,709 | ) | (1,876,666 | ) | |||||||||
Weakening Dollar 2x Strategy Fund | — | 812,540 | 142,929 | 955,469 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures Equity Contracts | Futures Currency Contracts | Swaps Currency Contracts | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | 98,317 | $ | (13,619 | ) | $ | — | $ | 84,698 | |||||||
Japan 2x Strategy Fund | 448,763 | (301,924 | ) | — | 146,839 | |||||||||||
Strengthening Dollar 2x Strategy Fund | — | 344,962 | 82,815 | 427,777 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | (139,725 | ) | (23,919 | ) | (163,644 | ) |
In conjunction with the use of derivative instruments, 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 the Funds.
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.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets | Gross Amounts Offset In the Statements of Assets and Liabilities1 | Net Amount of Assets Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | $ | 12,025 | $ | — | $ | 12,025 | $ | (12,025 | ) | $ | — | $ | — |
Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities | Gross Amounts Offset In the Statements of Assets and Liabilities1 | Net Amount of Liabilities Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | Swap currency contracts | $ | 7,949 | $ | — | $ | 7,949 | $ | (7,949 | ) | $ | — | $ | — |
1 | Exchange-traded derivatives are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of September 30, 2017. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Counterparty | Cash Pledged | Cash Received | ||||||
Japan 2x Strategy Fund | ||||||||
Goldman Sachs Group | $ | 54,692 | $ | — | ||||
Japan 2x Strategy Fund Total | 54,692 | — | ||||||
Strengthening Dollar 2x Strategy Fund | ||||||||
Goldman Sachs Group | 229,050 | — | ||||||
Strengthening Dollar 2x Strategy Fund Total | 229,050 | — | ||||||
Weakening Dollar 2x Strategy Fund | ||||||||
Goldman Sachs Group | 80,700 | — | ||||||
Weakening Dollar 2x Strategy Fund Total | 80,700 | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – 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) |
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% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD 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 GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD 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 a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
The Board of Trustees has adopted a distribution and service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, each Fund is authorized to pay distribution fees in connection with the sale and distribution of its shares and pay service fees in connection with the provision of ongoing services to shareholders and the maintenance of shareholder accounts in an amount up to 0.25% of its average daily net assets each year. No 12b-1 fees are currently paid by the Funds, and there are no current plans to impose these fees. No such fee may be paid in the future without further approval by the Board of Trustees.
For the period ended September 30, 2017, GFD retained sales charges of $90,853 relating to sales of A-Class shares of the Trust.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At September 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | ||||||||||||||
BNP Paribas | U.S Treasury Note | ||||||||||||||||||
1.00% | 1.13% | ||||||||||||||||||
Due 10/02/17 | $ | 126,905,733 | 126,916,309 | 02/28/21 | $ | 131,780,200 | $ | 129,443,901 | |||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | ||||||||||||||||||
1.05% | 1.63% | ||||||||||||||||||
Due 10/02/17 | 63,452,867 | 63,458,419 | 05/31/23 | 65,690,800 | 64,722,010 | ||||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | ||||||||||||||||||
0.98% | 1.13% | ||||||||||||||||||
Due 10/02/17 | 35,069,861 | 35,072,725 | 01/15/21 | 30,577,200 | 35,771,371 | ||||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | ||||||||||||||||||
0.91% | 0.00% | ||||||||||||||||||
Due 10/02/17 | 23,879,390 | 23,881,201 | 08/15/39 | 44,888,000 | 24,357,007 | ||||||||||||||
UMB Financial Corp. | Federal Home Loan Bank | ||||||||||||||||||
0.91% | 1.25% | ||||||||||||||||||
Due 10/02/17 | 2,504,407 | 2,504,597 | 06/08/18 | 2,000,000 | 2,007,147 | ||||||||||||||
U.S. Treasury Note | |||||||||||||||||||
1.63% | |||||||||||||||||||
05/15/26 | 573,300 | 547,365 |
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. GI, acting under the supervision of the Board, 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.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of business each day; any additional collateral required due to changes in security values
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At September 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
S&P 500® Pure Growth Fund | $ | 613,925 | $ | (613,925 | ) | $ | — | $ | 622,819 | $ | — | $ | 622,819 | |||||||||||
S&P 500® Pure Value Fund | 765,352 | (765,352 | ) | — | 797,810 | — | 797,810 | |||||||||||||||||
S&P MidCap 400® Pure Growth Fund | 4,327,541 | (4,327,541 | ) | — | 4,421,049 | — | 4,421,049 | |||||||||||||||||
S&P MidCap 400® Pure Value Fund | 1,322,812 | (1,322,812 | ) | — | 1,359,498 | — | 1,359,498 | |||||||||||||||||
S&P SmallCap 600® Pure Growth Fund | 753,001 | (753,001 | ) | — | 770,484 | — | 770,484 | |||||||||||||||||
S&P SmallCap 600® Pure Value Fund | 521,267 | (521,267 | ) | — | 536,523 | — | 536,523 | |||||||||||||||||
Europe 1.25x Strategy Fund | 4,218 | (4,218 | ) | — | 4,294 | — | 4,294 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds have securities lending agreements to evaluate potential risks.
Note 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, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2017, 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) | ||||||||||||
S&P 500® Pure Growth Fund | $ | 92,150,870 | $ | 19,216,502 | $ | (975,787 | ) | $ | 18,240,715 | |||||||
S&P 500® Pure Value Fund | 61,177,822 | 8,294,743 | (484,569 | ) | 7,810,174 | |||||||||||
S&P MidCap 400® Pure Growth Fund | 105,330,525 | 13,558,537 | (3,792,827 | ) | 9,765,710 | |||||||||||
S&P MidCap 400® Pure Value Fund | 22,155,176 | 1,056,593 | (98,984 | ) | 957,609 | |||||||||||
S&P SmallCap 600® Pure Growth Fund | 13,845,327 | 2,606,830 | (273,544 | ) | 2,333,286 | |||||||||||
S&P SmallCap 600® Pure Value Fund | 15,905,923 | 679,277 | (7,434 | ) | 671,843 | |||||||||||
Europe 1.25x Strategy Fund | 14,619,415 | 834,296 | (126,743 | ) | 707,553 | |||||||||||
Japan 2x Strategy Fund | 3,198,560 | 354,839 | (113,872 | ) | 240,967 | |||||||||||
Strengthening Dollar 2x Strategy Fund | 10,440,057 | 161,575 | — | 161,575 | ||||||||||||
Weakening Dollar 2x Strategy Fund | 4,950,854 | 6,883 | (66,946 | ) | (60,063 | ) |
Note 9 – Securities Transactions
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
S&P 500® Pure Growth Fund | $ | 109,100,558 | $ | 117,813,239 | ||||
S&P 500® Pure Value Fund | 70,020,663 | 70,408,921 | ||||||
S&P MidCap 400® Pure Growth Fund | 59,651,989 | 64,929,914 | ||||||
S&P MidCap 400® Pure Value Fund | 65,279,478 | 71,807,425 | ||||||
S&P SmallCap 600® Pure Growth Fund | 62,335,466 | 84,123,338 | ||||||
S&P SmallCap 600® Pure Value Fund | 200,134,849 | 207,004,113 | ||||||
Europe 1.25x Strategy Fund | 39,865,925 | 32,348,080 | ||||||
Japan 2x Strategy Fund | 300,000 | — | ||||||
Strengthening Dollar 2x Strategy Fund | — | 2,500,000 | ||||||
Weakening Dollar 2x Strategy Fund | 450,000 | 200,000 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized Gain | |||||||||
S&P 500® Pure Growth Fund | $ | 15,774,528 | $ | 19,468,332 | $ | 3,365,077 | ||||||
S&P 500® Pure Value Fund | 8,156,637 | 19,366,830 | 1,753,582 | |||||||||
S&P MidCap 400® Pure Growth Fund | 3,566,407 | 8,637,957 | 1,734,779 | |||||||||
S&P MidCap 400® Pure Value Fund | 3,409,302 | 4,658,384 | 149,588 | |||||||||
S&P SmallCap 600® Pure Growth Fund | 1,520,060 | 4,377,105 | 445,180 | |||||||||
S&P SmallCap 600® Pure Value Fund | 993,963 | 2,377,158 | 61,453 | |||||||||
Europe 1.25x Strategy Fund | 1,181,880 | 3,854,903 | 28,560 |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 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 11, 2018. 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 1.92% for the period ended September 30, 2017. The Funds did not have any borrowings outstanding under this agreement at September 30, 2017.
The average daily balances borrowed for the period ended September 30, 2017, were as follows:
Fund | Average Daily Balance | |||
S&P 500® Pure Growth Fund | $ | 2,781 | ||
S&P 500® Pure Value Fund | 638 | |||
S&P MidCap 400® Pure Growth Fund | 5,028 | |||
S&P MidCap 400® Pure Value Fund | 11,742 | |||
S&P SmallCap 600® Pure Growth Fund | 3,195 | |||
S&P SmallCap 600® Pure Value Fund | 10,301 | |||
Europe 1.25x Strategy Fund | 1,492 |
Note 11 – Share Splits
Share splits occurred for the following Funds at the close of business:
Fund | Effective Date | Split Type |
S&P 500® Pure Value Fund | October 28, 2016 | Two-for-One Share Split |
Europe 1.25x Strategy Fund | October 28, 2016 | One-for-Six Reverse Share Split |
Japan 2x Strategy Fund | November 4, 2016 | One-for-Four Reverse Share Split |
Weakening Dollar 2x Strategy Fund | October 28, 2016 | One-for-Six Reverse Share Split |
The effect of these transactions was to multiply the number of outstanding shares of the S&P 500® Pure Value Fund by its split ratio, resulting in a corresponding decrease in the NAV and to divide the number of outstanding shares of the Europe 1.25x Strategy Fund, Japan 2x Strategy Fund and the Weakening Dollar 2x Strategy Fund by their respective reverse split ratio, resulting in a corresponding increase in the NAV. The share transactions presented in the Statements of Changes in net assets and the per share data in the Financial Highlights for each of the periods presented prior to the eff ective date, have been restated to reflect these respective share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 12 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges 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.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek 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. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
These lawsuits do 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; Long Short Equity Fund f/k/a 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the 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, and Weakening Dollar 2x Strategy Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between a Fund’s assets under management and tracking error, noting that a Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, Distribution Plans, and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present). Former: President and CEO, certain other funds in the Fund complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Nominating and Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee **** |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Nominating and Governance Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Nominating and Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Member of the Nominating and Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
This page intentionally left blank.
This page intentionally left blank.
![]() |
9.30.2017
Rydex Funds Semi-Annual Report
Domestic Equity Fund |
NASDAQ-100® Fund |
GuggenheimInvestments.com | ROTCF-SEMI-0917x0318 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028139_ii.jpg)
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
NASDAQ-100® FUND | 8 |
NOTES TO FINANCIAL STATEMENTS | 24 |
OTHER INFORMATION | 42 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 46 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 52 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
September 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for NASDAQ-100® Fund (the “Fund”). This report covers performance for the six-month period ended September 30, 2017.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2017
October 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses, and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
There can be no assurance that any investment product will achieve its investment objective(s). There are risks associated with investing, including the entire loss of principal invested. Investing involves market risks. The investment return and principal value of any investment product will fluctuate with changes in market conditions. The Fund is subject to the risk that large-capitalization stocks may underperform other segments of the equity market or the equity markets as a whole.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2017 |
Over the past few months, the equity markets have faced massive hurricanes in the South, rising tensions with North Korea and ongoing uncertainty surrounding domestic policy. Despite it all, the major stock indices continue to trade at or near record levels. The market’s resiliency seems to underscore that, at the end of the day, it’s fundamentals that drive equity markets and not political headlines or geopolitical tensions.
A noticeable shift in market sentiment during the third quarter led to a rotation into cyclical and small capitalization stocks. Value factors also began to outperform in September, a significant change from year-to-date performance. From a macro standpoint, the primary drivers of the value trade include rising inflationary expectations, economic growth and the prospects of tax reform.
Outside the U.S., both the European and emerging markets outperformed the Standard & Poor’s 500® (“S&P 500”) Index on a dollar denominated basis. Renewed interest in both regions reflected attractive relative valuation and the synchronized global economic expansion.
Assuming no major geopolitical or other unforeseen shocks, we expect the U.S. economy will grow by between 2.0–2.5% in real terms in 2017 and 2018, supported by a strong labor market at home, a synchronized upswing in the global economy, and favorable financial conditions. Risks to our growth outlook are to the upside if Washington delivers on promises to cut taxes. Third quarter economic data was less distorted by the recent hurricanes than expected, and rebuilding efforts should be a positive for growth leading into 2018.
The labor market is steadily tightening, as seen in the drop in the unemployment rate to a cycle low of 4.2% in September, underscoring the robust—and unsustainable—underlying trend in hiring. Leading indicators, including hiring intentions surveys, point to further declines in the unemployment rate. Meanwhile, inflation continues to be well below the U.S. Federal Reserve’s (the “Fed”) 2% longer-run goal, with core personal consumption expenditure inflation coming in at 1.3% in September. However, inflation lags Gross Domestic Product (“GDP”) growth by about six quarters; because growth has accelerated over the past year, and the dollar has depreciated, inflation will likely move closer to 2% by the second quarter of 2018.
The firming U.S. economy, coupled with synchronized global growth and stabilization in the U.S. dollar, is likely to be supportive of the U.S. earnings environment. On the valuation front, while elevated relative to long-term averages, multiples still remain well below extreme levels. Economic and financial conditions are supportive enough for the Fed to continue to resume a quarterly pattern of rate increases in December, and to begin balance sheet normalization this year. Interest rates are expected to remain supportive of risk assets.
For the six months ended September 30, 2017, the S&P 500® Index* returned 7.71%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 10.99%. The return of the MSCI Emerging Markets Index* was 14.66%.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2017 |
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.31% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.19%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.47% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2017 and ending September 30, 2017.
The following tables illustrate the 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 fifth 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
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 the Fund’s expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), 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 Fund’s prospectus.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
NASDAQ-100® Fund | |||||
Investor Class | 1.29% | 9.88% | $ 1,000.00 | $ 1,098.80 | $ 6.79 |
A-Class | 1.54% | 9.72% | 1,000.00 | 1,097.20 | 8.10 |
C-Class | 2.29% | 9.37% | 1,000.00 | 1,093.70 | 12.02 |
H-Class | 1.54% | 9.76% | 1,000.00 | 1,097.60 | 8.10 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
NASDAQ-100® Fund | |||||
Investor Class | 1.29% | 5.00% | $ 1,000.00 | $ 1,018.60 | $ 6.53 |
A-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
C-Class | 2.29% | 5.00% | 1,000.00 | 1,013.59 | 11.56 |
H-Class | 1.54% | 5.00% | 1,000.00 | 1,017.35 | 7.79 |
1 | Annualized and excludes expenses of the underlying funds in which the Fund invests. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2017 to September 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028139_8.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Inception Dates: | |
Investor Class | February 14, 1994 |
A-Class | March 31, 2004 |
C-Class | March 26, 2001 |
H-Class | September 18, 2014 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 10.1% |
Microsoft Corp. | 7.3% |
Amazon.com, Inc. | 5.9% |
Facebook, Inc. — Class A | 5.1% |
Alphabet, Inc. — Class C | 4.2% |
Alphabet, Inc. — Class A | 3.7% |
Comcast Corp. — Class A | 2.3% |
Intel Corp. | 2.3% |
Cisco Systems, Inc. | 2.1% |
Amgen, Inc. | 1.7% |
Top Ten Total | 44.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
Investor Class Shares | 9.88% | 22.39% | 16.42% | 10.85% |
A-Class Shares | 9.72% | 22.09% | 16.10% | 10.55% |
A-Class Shares with sales charge‡ | 4.51% | 16.30% | 14.98% | 10.01% |
C-Class Shares | 9.37% | 21.24% | 15.27% | 9.77% |
C-Class Shares with CDSC§ | 8.37% | 20.24% | 15.27% | 9.77% |
NASDAQ-100 Index | 10.61% | 24.08% | 17.91% | 12.24% |
6 month† | 1 Year | Since Inception (09/18/14) | ||
H-Class Shares | 9.76% | 22.14% | 12.87% | |
NASDAQ-100 Index | 10.61% | 24.08% | 14.60% |
* | 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. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
NASDAQ-100® FUND |
Shares | Value | |||||||
COMMON STOCKS† - 86.7% | ||||||||
Technology - 33.1% | ||||||||
Apple, Inc. | 681,717 | $ | 105,066,224 | |||||
Microsoft Corp. | 1,016,557 | 75,723,330 | ||||||
Intel Corp. | 620,183 | 23,616,569 | ||||||
NVIDIA Corp. | 79,190 | 14,156,796 | ||||||
Broadcom Ltd. | 53,663 | 13,015,424 | ||||||
Texas Instruments, Inc. | 130,667 | 11,712,990 | ||||||
QUALCOMM, Inc. | 194,814 | 10,099,158 | ||||||
Adobe Systems, Inc.* | 65,120 | 9,714,601 | ||||||
Applied Materials, Inc. | 140,756 | 7,331,980 | ||||||
Activision Blizzard, Inc. | 99,636 | 6,427,518 | ||||||
Micron Technology, Inc.* | 147,036 | 5,782,926 | ||||||
Cognizant Technology Solutions Corp. — Class A | 77,952 | 5,654,638 | ||||||
Electronic Arts, Inc.* | 40,747 | 4,810,591 | ||||||
Intuit, Inc. | 33,815 | 4,806,464 | ||||||
Analog Devices, Inc. | 48,525 | 4,181,399 | ||||||
Lam Research Corp. | 21,441 | 3,967,443 | ||||||
Fiserv, Inc.* | 27,778 | 3,582,251 | ||||||
Western Digital Corp. | 38,918 | 3,362,515 | ||||||
Autodesk, Inc.* | 28,930 | 3,247,682 | ||||||
Cerner Corp.* | 43,763 | 3,121,177 | ||||||
Paychex, Inc. | 47,434 | 2,844,143 | ||||||
Microchip Technology, Inc. | 30,716 | 2,757,682 | ||||||
NetEase, Inc. ADR | 10,012 | 2,641,266 | ||||||
Skyworks Solutions, Inc. | 24,250 | 2,471,075 | ||||||
Check Point Software Technologies Ltd.* | 21,571 | 2,459,525 | ||||||
Xilinx, Inc. | 32,811 | 2,324,003 | ||||||
KLA-Tencor Corp. | 20,700 | 2,194,200 | ||||||
CA, Inc. | 55,600 | 1,855,928 | ||||||
Maxim Integrated Products, Inc. | 37,228 | 1,776,148 | ||||||
Citrix Systems, Inc.* | 19,997 | 1,536,170 | ||||||
Seagate Technology plc | 37,988 | 1,260,062 | ||||||
Akamai Technologies, Inc.* | 22,625 | 1,102,290 | ||||||
Total Technology | 344,604,168 | |||||||
Communications - 32.0% | ||||||||
Amazon.com, Inc.* | 63,402 | 60,951,512 | ||||||
Facebook, Inc. — Class A* | 312,841 | 53,455,141 | ||||||
Alphabet, Inc. — Class C* | 45,895 | 44,018,353 | ||||||
Alphabet, Inc. — Class A* | 39,337 | 38,303,224 | ||||||
Comcast Corp. — Class A | 620,834 | 23,889,691 | ||||||
Cisco Systems, Inc. | 659,917 | 22,193,009 | ||||||
Charter Communications, Inc. — Class A* | 34,036 | 12,369,363 | ||||||
Priceline Group, Inc.* | 6,475 | 11,854,560 | ||||||
Netflix, Inc.* | 56,983 | 10,333,867 | ||||||
Baidu, Inc. ADR* | 36,364 | 9,006,999 | ||||||
T-Mobile US, Inc.* | 109,684 | 6,763,115 | ||||||
eBay, Inc.* | 141,262 | 5,432,937 | ||||||
JD.com, Inc. ADR* | 121,154 | 4,628,083 | ||||||
Twenty-First Century Fox, Inc. — Class A | 138,916 | 3,664,604 | ||||||
Sirius XM Holdings, Inc.1 | 608,834 | 3,360,764 | ||||||
Ctrip.com International Ltd. ADR* | 60,458 | 3,188,555 | ||||||
Twenty-First Century Fox, Inc. — Class B | 105,391 | 2,718,034 | ||||||
Symantec Corp. | 81,108 | 2,661,153 | ||||||
Expedia, Inc. | 18,324 | 2,637,557 | ||||||
Liberty Global plc — Class C* | 78,604 | 2,570,351 | ||||||
Vodafone Group plc ADR | 61,328 | 1,745,395 | ||||||
DISH Network Corp. — Class A* | 30,049 | 1,629,557 | ||||||
MercadoLibre, Inc. | 5,828 | 1,509,044 | ||||||
Viacom, Inc. — Class B | 46,553 | 1,296,036 | ||||||
Liberty Global plc — Class A* | 29,760 | 1,009,162 | ||||||
Liberty Ventures* | 10,732 | 617,627 | ||||||
Discovery Communications, Inc. — Class C* | 28,841 | 584,319 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NASDAQ-100® FUND |
Shares | Value | |||||||
Discovery Communications, Inc. — Class A* | 20,316 | $ | 432,528 | |||||
Liberty Global plc LiLAC — Class C* | 15,940 | 371,402 | ||||||
Liberty Global plc LiLAC — Class A* | 6,423 | 152,610 | ||||||
Total Communications | 333,348,552 | |||||||
Consumer, Non-cyclical - 14.0% | ||||||||
Amgen, Inc. | 96,304 | 17,955,881 | ||||||
Celgene Corp.* | 103,256 | 15,056,790 | ||||||
Gilead Sciences, Inc. | 172,359 | 13,964,526 | ||||||
Kraft Heinz Co. | 160,787 | 12,469,032 | ||||||
PayPal Holdings, Inc.* | 158,695 | 10,161,241 | ||||||
Biogen, Inc.* | 27,905 | 8,737,614 | ||||||
Mondelez International, Inc. — Class A | 198,982 | 8,090,608 | ||||||
Automatic Data Processing, Inc. | 58,649 | 6,411,509 | ||||||
Regeneron Pharmaceuticals, Inc.* | 13,890 | 6,210,497 | ||||||
Intuitive Surgical, Inc.* | 4,921 | 5,146,776 | ||||||
Vertex Pharmaceuticals, Inc.* | 33,275 | 5,059,131 | ||||||
Express Scripts Holding Co.* | 76,226 | 4,826,630 | ||||||
Monster Beverage Corp.* | 74,988 | 4,143,087 | ||||||
Alexion Pharmaceuticals, Inc.* | 29,457 | 4,132,523 | ||||||
Illumina, Inc.* | 19,269 | 3,838,385 | ||||||
Incyte Corp.* | 27,149 | 3,169,374 | ||||||
Mylan N.V.* | 70,780 | 2,220,369 | ||||||
BioMarin Pharmaceutical, Inc.* | 23,132 | 2,152,895 | ||||||
Cintas Corp.1 | 13,916 | 2,007,800 | ||||||
Dentsply Sirona, Inc. | 30,290 | 1,811,645 | ||||||
Verisk Analytics, Inc. — Class A* | 21,718 | 1,806,720 | ||||||
IDEXX Laboratories, Inc.* | 11,519 | 1,791,089 | ||||||
Henry Schein, Inc.* | 20,868 | 1,710,967 | ||||||
Shire plc ADR | 9,620 | 1,473,207 | ||||||
Hologic, Inc.* | 37,018 | 1,358,190 | ||||||
Total Consumer, Non-cyclical | 145,706,486 | |||||||
Consumer, Cyclical - 6.8% | ||||||||
Walgreens Boots Alliance, Inc. | 141,234 | 10,906,090 | ||||||
Starbucks Corp. | 190,568 | 10,235,408 | ||||||
Costco Wholesale Corp. | 57,886 | 9,510,091 | ||||||
Tesla, Inc.*,1 | 22,026 | 7,513,068 | ||||||
Marriott International, Inc. — Class A | 49,153 | 5,419,610 | ||||||
PACCAR, Inc. | 46,376 | 3,354,840 | ||||||
Ross Stores, Inc. | 51,365 | 3,316,638 | ||||||
American Airlines Group, Inc. | 64,276 | 3,052,467 | ||||||
Dollar Tree, Inc.* | 31,259 | 2,713,906 | ||||||
O’Reilly Automotive, Inc.*,1 | 11,616 | 2,501,738 | ||||||
Wynn Resorts Ltd. | 13,537 | 2,015,930 | ||||||
Ulta Beauty, Inc.* | 8,107 | 1,832,668 | ||||||
Fastenal Co. | 38,008 | 1,732,405 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 30,113 | 1,627,608 | ||||||
Hasbro, Inc. | 16,509 | 1,612,434 | ||||||
Liberty Interactive Corporation QVC Group — Class A* | 55,690 | 1,312,613 | ||||||
Tractor Supply Co. | 16,721 | 1,058,272 | ||||||
Mattel, Inc.1 | 45,233 | 700,207 | ||||||
Total Consumer, Cyclical | 70,415,993 | |||||||
Industrial - 0.8% | ||||||||
CSX Corp. | 120,541 | 6,540,554 | ||||||
J.B. Hunt Transport Services, Inc. | 14,444 | 1,604,440 | ||||||
Total Industrial | 8,144,994 | |||||||
Total Common Stocks | ||||||||
(Cost $522,461,685) | 902,220,193 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NASDAQ-100® FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 1.9% | ||||||||
Guggenheim Strategy Fund II2 | 356,055 | $ | 8,922,739 | |||||
Guggenheim Strategy Fund III2 | 319,831 | 8,008,556 | ||||||
Guggenheim Strategy Fund I2 | 104,674 | 2,628,367 | ||||||
Total Mutual Funds | ||||||||
(Cost $19,427,874) | 19,559,662 |
Face Amount | ||||||||
FEDERAL AGENCY NOTES†† - 8.9% | ||||||||
Freddie Mac3 | ||||||||
1.24% due 08/24/184 | $ | 12,500,000 | 12,498,213 | |||||
1.12% due 01/26/224 | 10,000,000 | 9,992,880 | ||||||
0.80% due 10/27/17 | 7,500,000 | 7,498,680 | ||||||
0.74% due 10/25/194 | 7,412,000 | 7,404,106 | ||||||
1.00% due 10/28/194 | 5,750,000 | 5,747,913 | ||||||
Total Freddie Mac | 43,141,792 | |||||||
Federal Farm Credit Bank5 | ||||||||
1.17% (U.S. Prime Rate -308 bps) due 03/12/196 | 40,000,000 | 40,005,753 | ||||||
Federal Home Loan Bank5 | ||||||||
1.08% (1 Month USD LIBOR -15 bps) due 12/13/176 | 7,500,000 | 7,499,996 | ||||||
1.00% due 10/26/184 | 2,000,000 | 1,998,044 | ||||||
Total Federal Home Loan Bank | 9,498,040 | |||||||
Total Federal Agency Notes | ||||||||
(Cost $92,642,470) | 92,645,585 | |||||||
U.S. TREASURY BILLS†† - 0.2% | ||||||||
U.S. Treasury Bill | ||||||||
1.01% due 12/28/177,8,9 | 2,000,000 | 1,994,937 | ||||||
1.05% due 12/14/178,9,10 | 250,000 | 249,515 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $2,244,337) | 2,244,452 |
REPURCHASE AGREEMENTS††,11 - 2.1% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/177 | 11,177,180 | 11,177,180 | ||||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/177 | 5,588,590 | 5,588,590 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/177 | 3,572,585 | 3,572,585 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 1,820,762 | 1,820,762 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 190,957 | 190,957 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $22,350,074) | 22,350,074 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,12 - 1.0% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%13 | 10,139,049 | 10,139,049 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $10,139,049) | 10,139,049 | |||||||
Total Investments - 100.8% | ||||||||
(Cost $669,265,489) | $ | 1,049,159,015 | ||||||
Other Assets & Liabilities, net - (0.8)% | (8,514,890 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,040,644,125 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NASDAQ-100® FUND |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration date | Notional Amount | Unrealized Gain | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 10 | 12/31/17 | $ | 1,196,200 | $ | 22,672 |
Total Return Swap Agreements | ||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | |||||||||||
OTC Equity Index Swap Agreements†† | ||||||||||||||||||
BNP Paribas | NASDAQ-100 Index | 1.74 | % | At Maturity | 10/30/17 | 15,275 | $ | 91,333,070 | $ | 603,750 | ||||||||
Barclays Bank plc | NASDAQ-100 Index | 1.70 | % | At Maturity | 10/31/17 | 4,763 | 28,481,469 | 216,212 | ||||||||||
Goldman Sachs International | NASDAQ-100 Index | 1.80 | % | At Maturity | 10/27/17 | 2,744 | 16,409,711 | 209,398 | ||||||||||
$ | 136,224,250 | $ | 1,029,360 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Affiliated issuer. |
3 | 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. |
4 | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
5 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
6 | Variable rate security. Rate indicated is rate effective at September 30, 2017. |
7 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
8 | Rate indicated is the effective yield at the time of purchase. |
9 | Zero coupon rate security. |
10 | All or a portion of this security is pledged as futures collateral at September 30, 2017. |
11 | Repurchase Agreements — See Note 6. |
12 | Securities lending collateral — See Note 7. |
13 | Rate indicated is the 7 day yield as of September 30, 2017. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
LIBOR — London Interbank Offered Rate | |
USD — United States Dollar | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
NASDAQ-100® FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 902,220,193 | $ | — | $ | — | $ | — | $ | — | $ | 902,220,193 | ||||||||||||
Equity Futures Contracts | — | 22,672 | — | — | — | 22,672 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 1,029,360 | — | 1,029,360 | ||||||||||||||||||
Federal Agency Notes | — | — | 92,645,585 | — | — | 92,645,585 | ||||||||||||||||||
Mutual Funds | 19,559,662 | — | — | — | — | 19,559,662 | ||||||||||||||||||
Repurchase Agreements | — | — | 22,350,074 | — | — | 22,350,074 | ||||||||||||||||||
Securities Lending Collateral | 10,139,049 | — | — | — | — | 10,139,049 | ||||||||||||||||||
U.S. Treasury Bills | — | — | 2,244,452 | — | — | 2,244,452 | ||||||||||||||||||
Total Assets | $ | 931,918,904 | $ | 22,672 | $ | 117,240,111 | $ | 1,029,360 | $ | — | $ | 1,050,211,047 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
NASDAQ-100® FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at http://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 12,527,345 | $ | 75,000 | $ | (10,000,000 | ) | $ | 111,554 | $ | (85,532 | ) | $ | 2,628,367 | 104,674 | $ | 110,460 | |||||||||||||||
Guggenheim Strategy Fund II | 11,992,159 | 900,000 | (4,000,000 | ) | 23,487 | 7,093 | 8,922,739 | 356,055 | 139,700 | |||||||||||||||||||||||
Guggenheim Strategy Fund III | — | 8,000,000 | — | — | 8,556 | 8,008,556 | 319,831 | 87,943 | ||||||||||||||||||||||||
$ | 24,519,504 | $ | 8,975,000 | $ | (14,000,000 | ) | $ | 135,041 | $ | (69,883 | ) | $ | 19,559,662 | $ | 338,103 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
NASDAQ-100® FUND |
September 30, 2017
Assets: | ||||
Investments in unaffiliated issuers, at value - including $9,926,791 of securities loaned (cost $627,487,541) | $ | 1,007,249,279 | ||
Investments in affiliated issuers, at value (cost $19,427,874) | 19,559,662 | |||
Repurchase agreements, at value (cost $22,350,074) | 22,350,074 | |||
Cash | 54,418 | |||
Segregated cash with broker | 872,745 | |||
Unrealized appreciation on swap agreements | 1,029,360 | |||
Receivables: | ||||
Fund shares sold | 1,653,265 | |||
Swap settlement | 375,111 | |||
Dividends | 245,801 | |||
Interest | 144,671 | |||
Variation margin | 51,942 | |||
Securities lending income | 4,306 | |||
Total assets | 1,053,590,634 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 10,139,049 | |||
Fund shares redeemed | 1,255,233 | |||
Management fees | 644,477 | |||
Transfer agent and administrative fees | 214,826 | |||
Distribution and service fees | 85,463 | |||
Securities purchased | 75,000 | |||
Portfolio accounting fees | 53,519 | |||
Miscellaneous | 478,942 | |||
Total liabilities | 12,946,509 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 1,040,644,125 | ||
Net assets consist of: | ||||
Paid in capital | $ | 604,241,337 | ||
Accumulated net investment loss | (954,609 | ) | ||
Accumulated net realized gain on investments | 56,411,839 | |||
Net unrealized appreciation on investments | 380,945,558 | |||
Net assets | $ | 1,040,644,125 | ||
Investor Class: | ||||
Net assets | $ | 843,514,130 | ||
Capital shares outstanding | 25,028,107 | |||
Net asset value per share | $ | 33.70 | ||
A-Class: | ||||
Net assets | $ | 69,284,865 | ||
Capital shares outstanding | 2,216,013 | |||
Net asset value per share | $ | 31.27 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 32.83 | ||
C-Class: | ||||
Net assets | $ | 72,858,520 | ||
Capital shares outstanding | 2,623,001 | |||
Net asset value per share | $ | 27.78 | ||
H-Class: | ||||
Net assets | $ | 54,986,610 | ||
Capital shares outstanding | 1,759,094 | |||
Net asset value per share | $ | 31.26 |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENT OF OPERATIONS (Unaudited) |
NASDAQ-100® FUND |
Period Ended September 30, 2017
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $3,417) | $ | 5,160,246 | ||
Dividends from securities of affiliated issuers | 338,103 | |||
Interest | 703,475 | |||
Income from securities lending, net | 43,408 | |||
Other income | 1,122 | |||
Total investment income | 6,246,354 | |||
Expenses: | ||||
Management fees | 3,875,939 | |||
Distribution and service fees: | ||||
C-Class | 345,056 | |||
A-Class | 91,244 | |||
H-Class | 75,287 | |||
Transfer agent and administrative fees | 1,291,980 | |||
Registration fees | 473,492 | |||
Portfolio accounting fees | 324,252 | |||
Custodian fees | 68,908 | |||
Trustees’ fees* | 40,853 | |||
Line of credit fees | 3,425 | |||
Miscellaneous | 610,527 | |||
Total expenses | 7,200,963 | |||
Net investment loss | (954,609 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | $ | 9,491,026 | ||
Investments in affiliated issuers | 135,041 | |||
Swap agreements | 13,611,373 | |||
Futures contracts | 4,483,814 | |||
Net realized gain | 27,721,254 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 68,442,007 | |||
Investments in affiliated issuers | (69,883 | ) | ||
Swap agreements | 622,762 | |||
Futures contracts | (256,862 | ) | ||
Net change in unrealized appreciation (depreciation) | 68,738,024 | |||
Net realized and unrealized gain | 96,459,278 | |||
Net increase in net assets resulting from operations | $ | 95,504,669 |
* | Relates to Trustees not deemed "interested persons" within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
STATEMENTS OF CHANGES IN NET ASSETS | |
NASDAQ-100® FUND |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (954,609 | ) | $ | (2,577,210 | ) | ||
Net realized gain on investments | 27,721,254 | 119,120,680 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 68,738,024 | 29,744,202 | ||||||
Net increase in net assets resulting from operations | 95,504,669 | 146,287,672 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
Investor Class | — | (11,493,337 | ) | |||||
A-Class | — | (1,213,212 | ) | |||||
C-Class | — | (908,738 | ) | |||||
H-Class | — | (730,868 | ) | |||||
Total distributions to shareholders | — | (14,346,155 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Investor Class | 542,963,496 | 730,466,228 | ||||||
A-Class | 31,510,391 | 379,758,963 | ||||||
C-Class | 17,950,359 | 26,908,652 | ||||||
H-Class | 94,788,154 | 149,256,328 | ||||||
Distributions reinvested | ||||||||
Investor Class | — | 11,102,330 | ||||||
A-Class | — | 1,121,838 | ||||||
C-Class | — | 870,733 | ||||||
H-Class | — | 730,637 | ||||||
Cost of shares redeemed | ||||||||
Investor Class | (537,276,958 | ) | (761,641,400 | ) | ||||
A-Class | (32,327,479 | ) | (386,462,077 | ) | ||||
C-Class | (9,671,896 | ) | (15,520,363 | ) | ||||
H-Class | (98,680,225 | ) | (272,703,570 | ) | ||||
Net increase (decrease) from capital share transactions | 9,255,842 | (136,111,701 | ) | |||||
Net increase (decrease) in net assets | 104,760,511 | (4,170,184 | ) | |||||
Net assets: | ||||||||
Beginning of period | 935,883,614 | 940,053,798 | ||||||
End of period | $ | 1,040,644,125 | $ | 935,883,614 | ||||
Accumulated net investment loss at end of period | $ | (954,609 | ) | $ | — |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STATEMENTS OF CHANGES IN NET ASSETS (concluded) | |
NASDAQ-100® FUND |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Capital share activity: | ||||||||
Shares sold | ||||||||
Investor Class | 16,887,216 | 26,388,585 | ||||||
A-Class | 1,070,652 | 15,502,252 | ||||||
C-Class | 674,329 | 1,153,374 | ||||||
H-Class | 3,158,490 | 5,959,584 | ||||||
Shares issued from reinvestment of distributions | ||||||||
Investor Class | — | 407,126 | ||||||
A-Class | — | 44,254 | ||||||
C-Class | — | 38,409 | ||||||
H-Class | — | 28,833 | ||||||
Shares redeemed | ||||||||
Investor Class | (16,650,665 | ) | (27,904,023 | ) | ||||
A-Class | (1,076,642 | ) | (15,841,438 | ) | ||||
C-Class | (359,585 | ) | (682,673 | ) | ||||
H-Class | (3,275,502 | ) | (11,346,835 | ) | ||||
Net increase (decrease) in shares | 428,293 | (6,252,552 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
FINANCIAL HIGHLIGHTS | |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Investor Class | Period Ended Sept. 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.68 | $ | 25.75 | $ | 25.38 | $ | 21.38 | $ | 18.38 | $ | 17.92 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | (.06 | ) | (.05 | ) | (.01 | ) | .02 | .02 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.03 | 5.47 | .96 | 4.39 | 5.01 | .44 | ||||||||||||||||||
Total from investment operations | 3.02 | 5.41 | .91 | 4.38 | 5.03 | .46 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Total distributions | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 33.70 | $ | 30.68 | $ | 25.75 | $ | 25.38 | $ | 21.38 | $ | 18.38 | ||||||||||||
Total Returnc | 9.88 | % | 21.21 | % | 3.49 | % | 20.53 | % | 27.74 | % | 2.57 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 843,514 | $ | 760,485 | $ | 667,018 | $ | 769,257 | $ | 632,598 | $ | 461,269 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.09 | %) | (0.21 | %) | (0.19 | %) | (0.05 | %) | 0.10 | % | 0.13 | % | ||||||||||||
Total expensesd | 1.29 | % | 1.29 | % | 1.25 | % | 1.26 | % | 1.29 | % | 1.26 | % | ||||||||||||
Portfolio turnover rate | 35 | % | 72 | % | 228 | % | 267 | % | 141 | % | 94 | % |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (continued) | |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended Sept. 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 28.49 | $ | 24.04 | $ | 23.78 | $ | 20.10 | $ | 17.42 | $ | 17.03 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.13 | ) | (.10 | ) | (.06 | ) | (.03 | ) | (.02 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.83 | 5.06 | .90 | 4.12 | 4.74 | .41 | ||||||||||||||||||
Total from investment operations | 2.78 | 4.93 | .80 | 4.06 | 4.71 | .39 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Total distributions | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 31.27 | $ | 28.49 | $ | 24.04 | $ | 23.78 | $ | 20.10 | $ | 17.42 | ||||||||||||
Total Returnc | 9.72 | % | 20.76 | % | 3.26 | % | 20.24 | % | 27.42 | % | 2.29 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 69,285 | $ | 63,311 | $ | 60,499 | $ | 70,821 | $ | 21,751 | $ | 23,656 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.34 | %) | (0.51 | %) | (0.42 | %) | (0.29 | %) | (0.14 | %) | (0.09 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.53 | % | 1.51 | % | 1.50 | % | 1.54 | % | 1.52 | % | ||||||||||||
Portfolio turnover rate | 35 | % | 72 | % | 228 | % | 267 | % | 141 | % | 94 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
FINANCIAL HIGHLIGHTS (continued) |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
C-Class | Period Ended Sept. 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 31, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.41 | $ | 21.62 | $ | 21.60 | $ | 18.42 | $ | 16.22 | $ | 15.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.15 | ) | (.28 | ) | (.26 | ) | (.21 | ) | (.16 | ) | (.13 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.52 | 4.55 | .82 | 3.77 | 4.39 | .38 | ||||||||||||||||||
Total from investment operations | 2.37 | 4.27 | .56 | 3.56 | 4.23 | .25 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Total distributions | — | (.48 | ) | (.54 | ) | (.38 | ) | (2.03 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 27.78 | $ | 25.41 | $ | 21.62 | $ | 21.60 | $ | 18.42 | $ | 16.22 | ||||||||||||
Total Returnc | 9.37 | % | 19.98 | % | 2.48 | % | 19.37 | % | 26.46 | % | 1.57 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 72,859 | $ | 58,647 | $ | 38,900 | $ | 32,324 | $ | 19,175 | $ | 13,015 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.09 | %) | (1.21 | %) | (1.19 | %) | (1.05 | %) | (0.89 | %) | (0.84 | %) | ||||||||||||
Total expensesd | 2.29 | % | 2.28 | % | 2.26 | % | 2.25 | % | 2.29 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate | 35 | % | 72 | % | 228 | % | 267 | % | 141 | % | 94 | % |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL HIGHLIGHTS (concluded) |
NASDAQ-100® FUND |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
H-Class | Period Ended Sept. 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Period Ended March 31, 2015e | ||||||||||||
Per Share Data | ||||||||||||||||
Net asset value, beginning of period | $ | 28.49 | $ | 24.00 | $ | 23.76 | $ | 22.91 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.14 | ) | (.13 | ) | .01 | |||||||||
Net gain (loss) on investments (realized and unrealized) | 2.82 | 5.11 | .91 | 1.22 | ||||||||||||
Total from investment operations | 2.77 | 4.97 | .78 | 1.23 | ||||||||||||
Less distributions from: | ||||||||||||||||
Net realized gains | — | (.48 | ) | (.54 | ) | (.38 | ) | |||||||||
Total distributions | — | (.48 | ) | (.54 | ) | (.38 | ) | |||||||||
Net asset value, end of period | $ | 31.26 | $ | 28.49 | $ | 24.00 | $ | 23.76 | ||||||||
Total Returnc | 9.76 | % | 20.92 | % | 3.18 | % | 5.40 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 54,987 | $ | 53,441 | $ | 173,638 | $ | 12,009 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Net investment income (loss) | (0.31 | %) | (0.57 | %) | (0.51 | %) | 0.07 | % | ||||||||
Total expensesd | 1.54 | % | 1.54 | % | 1.51 | % | 1.47 | % | ||||||||
Portfolio turnover rate | 35 | % | 72 | % | 228 | % | 267 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. The portfolio turnover rate stated is for the entire period of the Fund, not since commencement of operation of the Class. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2017, the Trust consisted of fifty-three funds (the “Funds”).
This report covers the NASDAQ-100® Fund (the “Fund”), a non-diversified investment company. Only Investor Class, A-Class, C-Class, and H-Class shares had been issued by the Fund.
The Fund is designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offers unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Fund to experience high portfolio turnover.
Security Investors, LLC which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Fund operates as an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The NAV of each Class of the Fund is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
(a) Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has adopted policies and procedures for the valuation of the Fund’s investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Fund’s securities and/or other assets.
Valuations of the Fund’s securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Fund’s officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sales price.
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.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset value.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of over-the-counter (“OTC”) swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) Interests in Securities
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedule of Investments reflect the effective rates paid at the time of purchase by the Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Futures Contracts
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
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
(d) Swap Agreements
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 an agreement are recognized as realized gains or losses.
(e) Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Fund and reflected in its statement of operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2017, if any, are disclosed in the Fund’s statement of assets and liabilities.
(f) Security Transactions
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 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. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(g) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(h) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees 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.
(i) Cash
The Fund may leave cash overnight in its cash account with the custodian. Periodically, the 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, which was 1.06% at September 30, 2017.
(j) Indemnifications
Under the Fund’s organizational documents, its Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund and/or its affiliates that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of its investment strategy, the Fund utilizes a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statement of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Liquidity: the ability to buy or sell exposure with little price/market impact.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, 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 a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.
The following table represents the Fund’s use and volume of futures on a quarterly basis:
Average Notional | |||||
Fund | Use | Long | |||
NASDAQ-100® Fund | Index exposure, Liquidity | $ | 12,187,775 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing over-the-counter (“OTC”) swaps 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 if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. 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.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
A fund utilizing a total return index swap 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 if the underlying index declines in value.
The following table represents the Fund’s use and volume of total return swaps on a quarterly basis:
Average Notional | |||||
Fund | Use | Long | |||
NASDAQ-100® Fund | Index exposure, Liquidity | $ | 131,824,289 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Fund’s Statement of Assets and Liabilities as of September 30, 2017:
Derivative Investment Type | Asset Derivatives |
Equity contracts | Variation margin |
Unrealized appreciation on swap agreements |
The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at September 30, 2017:
Asset Derivative Investments Value | ||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Total Value at September 30, 2017 | |||||||||
NASDAQ-100® Fund | $ | 22,672 | $ | 1,029,360 | $ | 1,052,032 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the period ended September 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Net realized gain (loss) on swap agreements | |
Net change in unrealized appreciation (depreciation) on swap agreements |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the Fund’s realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statement of Operations categorized by primary risk exposure for the period ended September 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Total | |||||||||
NASDAQ-100® Fund | $ | 4,483,814 | $ | 13,611,373 | $ | 18,095,187 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations | ||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Total | |||||||||
NASDAQ-100® Fund | $ | (256,862 | ) | $ | 622,762 | $ | 365,900 |
In conjunction with the use of derivative instruments, the Fund is required to maintain collateral in various forms. The Fund uses, 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 the 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.
Note 3 – Offsetting
In the normal course of business, the Fund enters into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Fund to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any,arereported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statement of Assets and Liabilities in conformity with U.S. GAAP:
Fund | Instrument | Gross Amounts of Recognized Assets | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Assets Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||
NASDAQ-100® Fund | Swap equity contracts | $ | 1,029,360 | $ | — | $ | 1,029,360 | $ | — | $ | — | $ | 1,029,360 |
The following table presents deposits held by others in connection with derivative investments as of September 30, 2017. The derivatives tables following the Schedule of Investments list each counteryparty for which cash collateral may have been pledged or received at period end. The Fund has the right to offset these deposits against any related liabilities outstanding with each counterparty.
Counterparty | Cash Pledged | Cash Received | ||||||
NASDAQ-100® Fund | ||||||||
Barclays Bank plc | $ | 850,995 | — | |||||
Goldman Sachs Group | 21,750 | — | ||||||
NASDAQ-100® Fund Total | 872,745 | — |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Fund pays GI investment advisory fees calculated at an annualized rate of 0.75% of the average daily net assets of the Fund.
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Fund will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Fund to pay annual distribution and service fees of 1.00% of the Fund’s C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
For the period ended September 30, 2017, GFD retained sales charges of $90,853 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. 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.
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
BNP Paribas | U.S Treasury Note | |||||||||||||||||
1.00% | 1.13% | |||||||||||||||||
Due 10/02/17 | $ | 126,905,733 | $ | 126,916,309 | 02/28/21 | $ | 131,780,200 | $ | 129,443,901 | |||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
1.05% | 1.63% | |||||||||||||||||
Due 10/02/17 | 63,452,867 | 63,458,419 | 05/31/23 | 65,690,800 | 64,722,010 | |||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | |||||||||||||||||
0.98% | 1.13% | |||||||||||||||||
Due 10/02/17 | 35,069,861 | 35,072,725 | 01/15/21 | 30,577,200 | 35,771,371 | |||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | |||||||||||||||||
0.91% | 0.00% | |||||||||||||||||
Due 10/02/17 | 23,879,390 | 23,881,201 | 08/15/39 | 44,888,000 | 24,357,007 | |||||||||||||
UMB Financial Corp. | Federal Home Loan Bank | |||||||||||||||||
0.91% | 1.25% | |||||||||||||||||
Due 10/02/17 | 2,504,407 | 2,504,597 | 06/08/18 | 2,000,000 | 2,007,147 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.63% | ||||||||||||||||||
05/15/26 | 573,300 | 547,365 | ||||||||||||||||
2,573,300 | 2,554,512 |
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 adviser, acting under the supervision of the Board, 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.
Note 7 – Portfolio Securities Loaned
The Fund may lend its securities to approved brokers to earn additional income. Security lending income shown on the Statement of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Fund act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Fund receives cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Fund’s securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Fund bears the risk of loss on cash collateral investments.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Fund could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Fund has the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At September 30, 2017, the Fund participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
NASDAQ-100® Fund | $ | 9,926,791 | $ | (9,926,791 | ) | $ | — | $ | 10,139,049 | $ | — | $ | 10,139,049 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to over collateralization. |
In the event of counterparty default, the Fund has the right to collect the collateral to offset losses incurred. There is potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right 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 Fund seeks to assert its rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Fund intends 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 Fund 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 Fund’s 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 Fund’s tax positions taken, or to be taken, on federal income tax returns for all open tax years, and
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At September 30, 2017, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Tax Cost | Tax Unrealized Gain | Tax Unrealized Loss | Net Unrealized Gain | |||||||||||||
NASDAQ-100® Fund | $ | 709,682,140 | $ | 343,630,678 | $ | (3,101,770 | ) | $ | 340,528,908 |
Note 9 – Securities Transactions
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
NASDAQ-100® Fund | $ | 369,456,001 | $ | 314,995,011 |
The Fund is permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2017, the Fund engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | �� | Realized Gain | ||||||||
NASDAQ-100® Fund | $ | 226,369,231 | $ | 180,767,234 | $ | 8,122,520 |
Note 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 11, 2018. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Rate, minus 2%, which shall be paid monthly, averaging 1.92% for the period ended September 30, 2017. The Fund did not have any borrowings outstanding under this agreement at September 30, 2017.
Note 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 Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges 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.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek 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. The Creditor Trust Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
These lawsuits do 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; Long Short Equity Fund f/k/a 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the NASDAQ-100® Fund, a series of the Trust (the “Fund”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Fund. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Fund’s fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Fund’s advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) the Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Fund; and (k) the Advisor’s maintenance of operational resources necessary to manage the Fund in a professional manner consistent with the best interests of the Fund and its shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for the Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
OTHER INFORMATION (Unaudited)(continued) |
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Fund uses derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Fund in the past, and whether these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Fund to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Fund and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of the Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Fund’s fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, the Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise the Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer group compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Fund and its peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of the Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. The Board also discussed the correlation between the Fund’s assets under management and tracking error, noting that the Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Fund are reasonable in relation to the nature and quality of the services provided by the Advisor.
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
Costs of Services Provided to the Fund and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Fund to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Fund’s expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Fund by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Fund is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Fund’s asset levels. In light of the relatively small size of the Fund, the Board concluded that the Fund has not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as the Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Fund, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, Distribution Plans, and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Fund, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Fund and its shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present). Former: President and CEO, certain other funds in the Fund Complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - continued | ||||
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Nominating and Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Member of the Audit Committee from 2005 to present; Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Nominating and Governance Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - concluded | ||||
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Nominating and Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Member of the Nominating and Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee, from 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - continued | ||
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Max E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - concluded | ||
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-Present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 funds or the services offered through another Guggenheim Investments
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
![]() |
9.30.2017
Rydex Funds Semi-Annual Report
Guggenheim Alternatives Funds |
Guggenheim Long Short Equity Fund |
Guggenheim Event Driven and Distressed Strategies Fund |
Rydex International Equity Funds |
Rydex Emerging Markets 2x Strategy Fund |
Rydex Inverse Emerging Markets 2x Strategy Fund |
Rydex Fixed Income Fund |
Rydex Emerging Markets Bond Strategy Fund |
GuggenheimInvestments.com | RSTF-SEMI-0917x0318 |
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028136_ii.jpg)
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
LONG SHORT EQUITY FUND | 10 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | 23 |
EMERGING MARKETS 2x STRATEGY FUND | 38 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND | 46 |
EMERGING MARKETS BOND STRATEGY FUND | 52 |
NOTES TO FINANCIAL STATEMENTS | 59 |
OTHER INFORMATION | 75 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 78 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 82 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
September 30, 2017 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for a selection of our alternative strategy funds (the “Fund” or “Funds”). This report covers performance for the six-month period ended September 30, 2017.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
October 31, 2017
October 31, 2017
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/ or legal professional regarding your specific situation.
Alternative funds may not be suitable for all investors because of the sophisticated and aggressive investment techniques the funds employ, such as leverage, derivatives and short selling. ● The more you invest in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The use of short selling involves increased risks and costs. You risk paying more for a security than you received from its sale. Theoretically, stocks sold short have the risk of unlimited losses. ● The use of derivatives such as futures, options and swap agreements may expose an investment to additional risks that it would not be subject to if you invested directly in the securities underlying those derivatives. ● Additionally, certain alternative strategies tied to hard assets such as commodities, currencies and real estate, may be subject to greater volatility as they may be affected by overall market movements, changes in interest rates or factors affecting a particular industry, commodity or currency, such as droughts, floods, weather, livestock disease, embargos, tariff s and international economic, political and regulatory developments. ● No investment strategy can guarantee a return in a declining market. Additionally, an investor could lose all or a substantial amount of their investment.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
September 30, 2017 |
The Long Short Equity Fund may not be suitable for all investors. ● The Fund is subject to the risk that the Adviser’s use of a momentum-driven investment strategy may cause the Fund to underperform other types of mutual funds that use different investment strategies during periods when momentum investing is out of favor. ● It is possible that the stocks the Fund holds long will decline in value at the same time that the stocks or indices being shorted increase in value, thereby increasing potential losses to the Fund. ● The Fund’s loss on a short sale is potentially unlimited because there is no upper limit on the price a borrowed security could attain. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The use of derivatives, such as futures, options and swap agreements, may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund may invest in American Depositary Receipts (“ADRs”) therefore subjecting the value of the Fund’s portfolio to fluctuations in foreign exchange rates. ● This Fund is considered nondiversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. See the prospectus for more information on these and additional risks.
The Event Driven and Distressed Strategies Fund is subject to a number of risks and is not suitable for all investors. ● The Fund’s use of derivatives such as futures, options, structured notes, exchange-traded notes and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● Certain of the derivative instruments, such as swaps and structured notes, are also subject to the risks of counterparty default and adverse tax treatment. ● The Fund’s use of short selling involves increased risk and costs, including paying more for a security than it received from its sale and the risk of unlimited losses. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s investments in foreign markets may increase the Fund’s volatility due to the impact of diplomatic, political or economic developments on the country in question. ● Additionally, the Fund’s 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 currencies. ● The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● The Fund’s exposure to the high yield bond market may subject the Fund to greater volatility because (i) it will be affected by the ability of high yield security issuers’ ability to make principal and interest payments and (ii) the prices of derivatives linked to high yield bonds may fluctuate unpredictably and not necessarily in relation to interest rates. ● The Fund’s exposure to the event driven market is considered speculative and may subject the Fund to additional losses. ● In certain circumstances the Fund may be subject to liquidity risk and it may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified Fund. See the prospectus for more information on these and additional risks.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus. ● The leveraged and Inverse Emerging Markets Funds’ investments in developed and emerging foreign markets may increase the Funds’ volatility due to the impact of diplomatic, political or economic developments on the country in question. ● Additionally, the Funds’ direct and indirect exposure to foreign currencies subjects the Funds 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 currencies. ● A Fund’s investment in the securities of non-U.S. companies in the form of American Depositary Receipts (ADRs) poses special risks associated with international investing, including fluctuating exchange rates, government regulations and differences in liquidity, which may affect the volatility and performance of a fund.
The Emerging Markets Bond Strategy Fund may not be suitable for all investors. Investments in securities, in general, are subject to market risks that may cause their prices to fluctuate over time. An investment in the Fund may lose money. ● The Fund’s investments in bonds and financial instruments that in combination have economic characteristics similar to emerging markets bonds carries additional risks when compared to investing in U.S. securities, due to the impact of diplomatic, political or economic developments in the country in question. ● The Fund’s investments in derivatives, including credit default swaps, may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. To the extent the Fund invests in derivatives to seek to hedge risk or limit leveraged exposure created by other investments, there is no guarantee that such hedging strategies will be effective at managing risk or limiting exposure to leveraged investments. ● The Fund’s exposure to high yield securities may subject the Fund to greater volatility. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund’s investments in bank obligations may expose it to adverse developments in or related to the banking industry. ● The Funds use of leverage will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ● The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● The Fund’s investments in other investment vehicles subject the Fund to those risks and expenses affecting the investment vehicle. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● See the prospectus for more information on these and other risks.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | September 30, 2017 |
Over the past few months, the equity markets have faced massive hurricanes in the South, rising tensions with North Korea and ongoing uncertainty surrounding domestic policy. Despite it all, the major stock indices continue to trade at or near record levels. The market’s resiliency seems to underscore that, at the end of the day, it’s fundamentals that drive equity markets and not political headlines or geopolitical tensions.
A noticeable shift in market sentiment during the third quarter led to a rotation into cyclical and small capitalization stocks. Value factors also began to outperform in September, a significant change from year-to-date performance. From a macro standpoint, the primary drivers of the value trade include rising inflationary expectations, economic growth and the prospects of tax reform.
Outside the U.S., both the European and emerging markets outperformed the Standard & Poor’s 500® (“S&P 500”) Index* on a dollar denominated basis. Renewed interest in both regions reflected attractive relative valuation and the synchronized global economic expansion.
Assuming no major geopolitical or other unforeseen shocks, we expect the U.S. economy will grow by between 2.0–2.5% in real terms in 2017 and 2018, supported by a strong labor market at home, a synchronized upswing in the global economy, and favorable financial conditions. Risks to our growth outlook are to the upside if Washington delivers on promises to cut taxes. Third quarter economic data was less distorted by the recent hurricanes than expected, and rebuilding efforts should be a positive for growth heading into 2018.
The labor market is steadily tightening, as seen in the drop in the unemployment rate to a cycle low of 4.2% in September, underscoring the robust—and unsustainable—underlying trend in hiring. Leading indicators, including hiring intentions surveys, point to further declines in the unemployment rate. Meanwhile, inflation continues to be well below the U.S. Federal Reserve’s (the “Fed”) 2% longer-run goal, with core personal consumption expenditure inflation coming in at 1.3% in September. However, inflation lags Gross Domestic Product (“GDP”) growth by about six quarters; because growth has accelerated over the past year, and the dollar has depreciated, inflation will likely move closer to 2% by the second quarter of 2018.
The firming U.S. economy, coupled with synchronized global growth and stabilization in the U.S. dollar, is likely to be supportive of the U.S. earnings environment. On the valuation front, while elevated relative to long-term averages, multiples still remain well below extreme levels. Economic and financial conditions are supportive enough for the Fed to continue to resume a quarterly pattern of rate increases in December, and to begin balance sheet normalization this year. Interest rates are expected to remain supportive of risk assets.
For the six months ended September 30, 2017, the S&P 500 returned 7.71%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 10.99%. The return of the MSCI Emerging Markets Index* was 14.66%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 2.31% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 4.19%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.47% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | September 30, 2017 |
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
BofA Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index tracks the performance of U.S. dollar-denominated emerging market and crossover sovereign debt publicly issued in the eurobond or U.S. domestic market. Qualifying countries must have a BBB1 or lower foreign currency long-term sovereign debt rating (based on an average of Moody’s, S&P and Fitch). Countries that are not rated, or that are rated “D” or “SD” by one or several rating agencies qualify for inclusion in the index but individual non-performing securities are removed. Qualifying securities must have at least one year remaining term to final maturity, at least 18 months to maturity at point of issuance, a fixed or floating coupon and a minimum amount outstanding of $250 million. Local currency debt is excluded from the Index. Index constituents are capitalization-weighted based on their current amount outstanding times the market price plus accrued interest.
BNY Mellon Emerging Markets 50 ADR Index is capitalization-weighted and designed to track the performance of approximately 50 emerging market-based depositary receipts.
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.
HFRX Equity Hedge Index is designed to be representative of the overall composition of the equity hedge segment of the hedge fund universe. In an equity hedge strategy both long and short positions primarily in equities are maintained. Equities which are believed to be undervalued are bought and equities which are believed to be overvalued are sold.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
Russell 3000® Index measures the performance of 3,000 publicly held U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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 on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
Index 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.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2017 and ending September 30, 2017.
The following tables illustrate the Funds’ 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 fifth 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 the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 1. Based on actual Fund return3 | |||||
Long Short Equity Fund | |||||
A-Class | 1.88% | 8.54% | $ 1,000.00 | $ 1,085.40 | $ 9.77 |
C-Class | 2.63% | 8.16% | 1,000.00 | 1,081.60 | 13.65 |
P-Class | 1.88% | 8.52% | 1,000.00 | 1,085.20 | 9.77 |
Institutional Class | 1.61% | 8.63% | 1,000.00 | 1,086.30 | 8.37 |
Event Driven and Distressed Strategies Fund | |||||
A-Class | 1.90% | 2.99% | 1,000.00 | 1,029.90 | 9.67 |
C-Class | 2.65% | 2.61% | 1,000.00 | 1,026.10 | 13.46 |
P-Class | 1.90% | 2.99% | 1,000.00 | 1,029.90 | 9.67 |
Institutional Class | 1.65% | 3.08% | 1,000.00 | 1,030.80 | 8.40 |
Emerging Markets 2x Strategy Fund | |||||
A-Class | 1.77% | 31.58% | 1,000.00 | 1,315.80 | 10.28 |
C-Class | 2.64% | 31.07% | 1,000.00 | 1,310.70 | 15.29 |
H-Class | 1.79% | 31.57% | 1,000.00 | 1,315.70 | 10.39 |
Inverse Emerging Markets 2x Strategy Fund | |||||
A-Class | 1.80% | (27.36%) | 1,000.00 | 726.40 | 7.79 |
C-Class | 2.55% | (27.64%) | 1,000.00 | 723.60 | 11.02 |
H-Class | 1.79% | (27.40%) | 1,000.00 | 726.00 | 7.75 |
Emerging Markets Bond Strategy Fund | |||||
A-Class | 1.60% | 4.05% | 1,000.00 | 1,040.50 | 8.18 |
C-Class | 2.35% | 3.66% | 1,000.00 | 1,036.60 | 12.00 |
H-Class | 1.59% | 4.04% | 1,000.00 | 1,040.40 | 8.13 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense Ratio1 | Fund Return | Beginning Account Value March 31, 2017 | Ending Account Value September 30, 2017 | Expenses Paid During Period2 | |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Long Short Equity Fund | |||||
A-Class | 1.88% | 5.00% | $ 1,000.00 | $ 1,015.89 | $ 9.45 |
C-Class | 2.63% | 5.00% | 1,000.00 | 1,012.13 | 13.19 |
P-Class | 1.88% | 5.00% | 1,000.00 | 1,015.94 | 9.45 |
Institutional Class | 1.61% | 5.00% | 1,000.00 | 1,017.25 | 8.10 |
Event Driven and Distressed Strategies Fund | |||||
A-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 |
C-Class | 2.65% | 5.00% | 1,000.00 | 1,011.78 | 13.36 |
P-Class | 1.90% | 5.00% | 1,000.00 | 1,015.54 | 9.60 |
Institutional Class | 1.65% | 5.00% | 1,000.00 | 1,016.80 | 8.34 |
Emerging Markets 2x Strategy Fund | |||||
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.19 | 8.95 |
C-Class | 2.64% | 5.00% | 1,000.00 | 1,011.83 | 13.31 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Inverse Emerging Markets 2x Strategy Fund | |||||
A-Class | 1.80% | 5.00% | 1,000.00 | 1,016.04 | 9.10 |
C-Class | 2.55% | 5.00% | 1,000.00 | 1,012.28 | 12.86 |
H-Class | 1.79% | 5.00% | 1,000.00 | 1,016.09 | 9.05 |
Emerging Markets Bond Strategy Fund | |||||
A-Class | 1.60% | 5.00% | 1,000.00 | 1,017.05 | 8.09 |
C-Class | 2.35% | 5.00% | 1,000.00 | 1,013.29 | 11.86 |
H-Class | 1.59% | 5.00% | 1,000.00 | 1,017.10 | 8.04 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. This ratio represents Net Expenses, which includes interest and dividend expense related to securities sold short. Excluding these expenses, the operating expense ratios would be: |
Long Short Equity Fund | |||
A-Class | 1.70% | ||
C-Class | 2.45% | ||
P-Class | 1.70% | ||
Institutional Class | 1.45% |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period March 31, 2017 to September 30, 2017. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028140_10.jpg)
Inception Dates: | |
Institutional Class | November 30, 2011 |
A-Class | March 31, 2004 |
C-Class | March 22, 2002 |
P-Class | March 22, 2002 |
Ten Largest Holdings (% of Total Net Assets) | |
CVS Health Corp. | 1.8% |
Pfizer, Inc. | 1.7% |
Intel Corp. | 1.7% |
International Business Machines Corp. | 1.6% |
Verizon Communications, Inc. | 1.6% |
Sysco Corp. | 1.6% |
Walgreens Boots Alliance, Inc. | 1.5% |
Union Pacific Corp. | 1.5% |
Corning, Inc. | 1.4% |
AbbVie, Inc. | 1.3% |
Top Ten Total | 15.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | 10 Year | |
A-Class Shares | 8.54% | 10.22% | 6.06% | 1.01% |
A-Class Shares with sales charge‡ | 3.38% | 4.96% | 5.03% | 0.52% |
C-Class Shares | 8.16% | 9.40% | 5.26% | 0.26% |
C-Class Shares with CDSC§ | 7.16% | 8.40% | 5.26% | 0.26% |
P-Class Shares | 8.52% | 10.19% | 6.05% | 1.01% |
Russell 3000 Index | 7.72% | 18.71% | 14.23% | 7.57% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 7.44% |
HFRX Equity Hedge Index | 4.25% | 7.91% | 3.64% | (0.97%) |
6 month† | 1 Year | 5 Year | Since Inception (11/30/11) | |
Institutional Class Shares | 8.63% | 10.48% | 6.32% | 6.12% |
Russell 3000 Index | 7.72% | 18.71% | 14.23% | 15.14% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 15.23% |
HFRX Equity Hedge Index | 4.25% | 7.91% | 3.64% | 3.55% |
* | 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 HFRX Equity Hedge Index, Russell 3000 Index and S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 6 month returns are not annualized. |
‡ | Fund returns are calculated using the maximum sales charge of 4.75%. |
§ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 98.9% | ||||||||
Consumer, Non-cyclical - 28.6% | ||||||||
Pfizer, Inc.1 | 16,076 | $ | 573,913 | |||||
Sysco Corp. | 9,865 | 532,217 | ||||||
AbbVie, Inc.1 | 4,805 | 426,972 | ||||||
US Foods Holding Corp.* | 13,052 | 348,488 | ||||||
Merck & Company, Inc.1 | 5,365 | 343,521 | ||||||
UnitedHealth Group, Inc. | 1,627 | 318,649 | ||||||
DaVita, Inc.*,1 | 5,229 | 310,550 | ||||||
Archer-Daniels-Midland Co.1 | 6,748 | 286,858 | ||||||
Aetna, Inc.1 | 1,759 | 279,699 | ||||||
Medtronic plc | 3,519 | 273,673 | ||||||
Humana, Inc.1 | 1,007 | 245,335 | ||||||
Halyard Health, Inc.* | 5,213 | 234,741 | ||||||
HealthSouth Corp. | 4,915 | 227,810 | ||||||
Darling Ingredients, Inc.* | 12,486 | 218,755 | ||||||
Johnson & Johnson1 | 1,656 | 215,297 | ||||||
Zimmer Biomet Holdings, Inc.1 | 1,717 | 201,044 | ||||||
WellCare Health Plans, Inc.* | 1,169 | 200,764 | ||||||
Danaher Corp.1 | 2,339 | 200,639 | ||||||
PepsiCo, Inc. | 1,799 | 200,462 | ||||||
Cardinal Health, Inc. | 2,915 | 195,072 | ||||||
Eli Lilly & Co.1 | 2,197 | 187,931 | ||||||
Baxter International, Inc.1 | 2,965 | 186,054 | ||||||
McKesson Corp.1 | 1,191 | 182,950 | ||||||
Universal Corp. | 3,068 | 175,796 | ||||||
Thermo Fisher Scientific, Inc. | 910 | 172,172 | ||||||
Dean Foods Co. | 15,757 | 171,436 | ||||||
United Natural Foods, Inc.* | 3,969 | 165,071 | ||||||
Boston Beer Company, Inc. — Class A* | 1,054 | 164,635 | ||||||
Universal Health Services, Inc. — Class B1 | 1,434 | 159,088 | ||||||
Conagra Brands, Inc.1 | 4,701 | 158,612 | ||||||
Mylan N.V.* | 4,902 | 153,776 | ||||||
United Rentals, Inc.*,2 | 1,017 | 141,098 | ||||||
Spectrum Brands Holdings, Inc. | 1,326 | 140,450 | ||||||
Sanderson Farms, Inc. | 869 | 140,361 | ||||||
USANA Health Sciences, Inc.* | 2,371 | 136,807 | ||||||
Hologic, Inc.*,1 | 3,470 | 127,314 | ||||||
Sabre Corp. | 6,930 | 125,432 | ||||||
Centene Corp.*,1 | 1,194 | 115,543 | ||||||
Flowers Foods, Inc. | 5,781 | 108,741 | ||||||
FTI Consulting, Inc.* | 3,010 | 106,795 | ||||||
SpartanNash Co. | 3,914 | 103,212 | ||||||
CoreLogic, Inc.* | 2,225 | 102,840 | ||||||
Masimo Corp.* | 1,152 | 99,717 | ||||||
TreeHouse Foods, Inc.* | 1,472 | 99,699 | ||||||
United Therapeutics Corp.* | 839 | 98,322 | ||||||
Total System Services, Inc. | 1,489 | 97,530 | ||||||
Pilgrim’s Pride Corp.* | 3,378 | 95,969 | ||||||
Total Consumer, Non-cyclical | 9,551,810 | |||||||
Industrial - 17.0% | ||||||||
Union Pacific Corp. | 4,329 | 502,034 | ||||||
Corning, Inc.1 | 16,115 | 482,161 | ||||||
Cummins, Inc.1 | 2,236 | 375,715 | ||||||
Benchmark Electronics, Inc.* | 10,759 | 367,420 | ||||||
Snap-on, Inc. | 2,246 | 334,676 | ||||||
Plexus Corp.* | 5,461 | 306,253 | ||||||
Timken Co. | 5,676 | 275,570 | ||||||
Arrow Electronics, Inc.* | 3,164 | 254,417 | ||||||
Gentex Corp. | 11,944 | 236,491 | ||||||
Oshkosh Corp. | 2,644 | 218,236 | ||||||
Avnet, Inc. | 5,513 | 216,661 | ||||||
Huntington Ingalls Industries, Inc. | 917 | 207,645 | ||||||
Eaton Corporation plc | 2,407 | 184,833 | ||||||
Belden, Inc. | 2,255 | 181,595 | ||||||
Regal Beloit Corp. | 2,135 | 168,665 | ||||||
AECOM* | 4,550 | 167,486 | ||||||
Jabil, Inc. | 5,797 | 165,504 | ||||||
Sanmina Corp.* | 3,877 | 144,031 | ||||||
USG Corp.* | 4,396 | 143,529 | ||||||
Vishay Intertechnology, Inc. | 6,888 | 129,494 | ||||||
ITT, Inc. | 2,676 | 118,467 | ||||||
EnerSys | 1,568 | 108,459 | ||||||
Crane Co. | 1,330 | 106,387 | ||||||
Methode Electronics, Inc. | 2,499 | 105,833 | ||||||
Owens-Illinois, Inc.* | 4,167 | 104,842 | ||||||
Tech Data Corp.* | 938 | 83,341 | ||||||
Total Industrial | 5,689,745 | |||||||
Technology - 15.0% | ||||||||
Intel Corp.1 | 14,744 | 561,451 | ||||||
International Business Machines Corp.1 | 3,778 | 548,113 | ||||||
Apple, Inc.1 | 2,509 | 386,687 | ||||||
KLA-Tencor Corp.1 | 3,466 | 367,396 | ||||||
Texas Instruments, Inc. | 3,256 | 291,868 | ||||||
NetApp, Inc.1 | 6,004 | 262,735 | ||||||
HP, Inc.1 | 12,676 | 253,013 | ||||||
Convergys Corp. | 9,751 | 252,453 | ||||||
Applied Materials, Inc.1 | 4,645 | 241,958 | ||||||
NCR Corp.* | 5,644 | 211,763 | ||||||
CSRA, Inc. | 5,377 | 173,516 | ||||||
Xerox Corp. | 5,063 | 168,547 | ||||||
j2 Global, Inc. | 1,969 | 145,470 | ||||||
Western Digital Corp.1 | 1,651 | 142,646 | ||||||
MKS Instruments, Inc. | 1,506 | 142,242 | ||||||
Akamai Technologies, Inc.* | 2,457 | 119,705 | ||||||
Skyworks Solutions, Inc. | 1,172 | 119,427 | ||||||
Kulicke & Soffa Industries, Inc.* | 5,253 | 113,307 | ||||||
Cirrus Logic, Inc.* | 2,079 | 110,852 | ||||||
CACI International, Inc. — Class A* | 783 | 109,111 | ||||||
Science Applications International Corp. | 1,572 | 105,088 | ||||||
Seagate Technology plc | 3,162 | 104,884 | ||||||
CA, Inc. | 3,018 | 100,741 | ||||||
Total Technology | 5,032,973 | |||||||
Consumer, Cyclical - 14.5% | ||||||||
CVS Health Corp.1 | 7,298 | 593,471 | ||||||
Walgreens Boots Alliance, Inc.1 | 6,525 | 503,861 | ||||||
Wal-Mart Stores, Inc.1 | 5,208 | 406,953 | ||||||
Delta Air Lines, Inc.1 | 5,927 | 285,799 | ||||||
Lear Corp. | 1,465 | 253,562 | ||||||
Tailored Brands, Inc.2 | 15,147 | 218,723 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Value | |||||||
Alaska Air Group, Inc.1 | 2,817 | $ | 214,853 | |||||
Southwest Airlines Co.1 | 3,598 | 201,416 | ||||||
Brinker International, Inc. | 6,273 | 199,858 | ||||||
Goodyear Tire & Rubber Co. | 5,553 | 184,637 | ||||||
United Continental Holdings, Inc.* | 2,899 | 176,491 | ||||||
Lowe’s Companies, Inc.1 | 2,203 | 176,108 | ||||||
CalAtlantic Group, Inc. | 4,610 | 168,864 | ||||||
Cooper-Standard Holdings, Inc.* | 1,350 | 156,560 | ||||||
Anixter International, Inc.* | 1,772 | 150,620 | ||||||
Ford Motor Co.1 | 12,197 | 145,998 | ||||||
Nu Skin Enterprises, Inc. — Class A | 2,225 | 136,793 | ||||||
JetBlue Airways Corp.* | 7,241 | 134,176 | ||||||
Bed Bath & Beyond, Inc. | 5,010 | 117,585 | ||||||
Ralph Lauren Corp. — Class A | 1,266 | 111,775 | ||||||
American Airlines Group, Inc. | 2,202 | 104,573 | ||||||
Hawaiian Holdings, Inc.* | 2,701 | 101,423 | ||||||
Dick’s Sporting Goods, Inc. | 3,675 | 99,262 | ||||||
Total Consumer, Cyclical | 4,843,361 | |||||||
Financial - 9.7% | ||||||||
Principal Financial Group, Inc. | 6,367 | 409,652 | ||||||
Northern Trust Corp.1 | 4,080 | 375,074 | ||||||
Lazard Ltd. — Class A | 6,494 | 293,658 | ||||||
CIT Group, Inc. | 5,592 | 274,288 | ||||||
LaSalle Hotel Properties REIT | 7,546 | 218,985 | ||||||
Franklin Resources, Inc.1 | 4,656 | 207,239 | ||||||
RenaissanceRe Holdings Ltd. | 1,405 | 189,872 | ||||||
Old Republic International Corp. | 9,269 | 182,507 | ||||||
Synchrony Financial1 | 5,212 | 161,833 | ||||||
Torchmark Corp. | 1,706 | 136,634 | ||||||
Waddell & Reed Financial, Inc. — Class A | 6,277 | 125,979 | ||||||
Hospitality Properties Trust REIT | 4,177 | 119,003 | ||||||
State Street Corp.1 | 1,234 | 117,896 | ||||||
PacWest Bancorp | 2,166 | 109,405 | ||||||
E*TRADE Financial Corp.*,1 | 2,421 | 105,580 | ||||||
Sabra Health Care, Inc. REIT | 4,777 | 104,807 | ||||||
Capital One Financial Corp.1 | 1,226 | 103,793 | ||||||
Total Financial | 3,236,205 | |||||||
Communications - 5.5% | ||||||||
Verizon Communications, Inc.1 | 10,802 | 534,591 | ||||||
Juniper Networks, Inc.1 | 10,456 | 290,990 | ||||||
Motorola Solutions, Inc.1 | 3,243 | 275,233 | ||||||
InterDigital, Inc. | 2,322 | 171,248 | ||||||
ARRIS International plc* | 4,709 | 134,159 | ||||||
AT&T, Inc.1 | 3,321 | 130,084 | ||||||
Viavi Solutions, Inc.* | 11,345 | 107,324 | ||||||
CommScope Holding Company, Inc.* | 3,148 | 104,545 | ||||||
Viacom, Inc. — Class B | 3,468 | 96,549 | ||||||
Total Communications | 1,844,723 | |||||||
Utilities - 4.4% | ||||||||
Hawaiian Electric Industries, Inc. | 10,351 | 345,413 | ||||||
Entergy Corp.1 | 3,858 | 294,597 | ||||||
Portland General Electric Co. | 5,949 | 271,512 | ||||||
American Electric Power Company, Inc.1 | 3,749 | 263,330 | ||||||
Vectren Corp. | 2,885 | 189,746 | ||||||
PNM Resources, Inc. | 2,957 | 119,167 | ||||||
Total Utilities | 1,483,765 | |||||||
Energy - 2.8% | ||||||||
Devon Energy Corp.1 | 9,910 | 363,795 | ||||||
Exxon Mobil Corp.1 | 3,819 | 313,082 | ||||||
ConocoPhillips1 | 2,880 | 144,144 | ||||||
Marathon Oil Corp. | 8,919 | 120,942 | ||||||
Total Energy | 941,963 | |||||||
Basic Materials - 1.4% | ||||||||
Mosaic Co. | 6,597 | 142,429 | ||||||
LyondellBasell Industries N.V. — Class A | 1,277 | 126,487 | ||||||
AK Steel Holding Corp.*,2 | 18,705 | 104,561 | ||||||
International Paper Co.1 | 1,816 | 103,185 | ||||||
Total Basic Materials | 476,662 | |||||||
Total Common Stocks | ||||||||
(Cost $31,668,503) | 33,101,207 | |||||||
MONEY MARKET FUND† - 3.5% | ||||||||
STIT — Treasury Obligations Portfolio 0.88%3 | 1,170,021 | 1,170,021 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,170,021) | 1,170,021 | |||||||
SECURITIES LENDING COLLATERAL†,4 - 1.1% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%3 | 352,633 | 352,633 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $352,633) | 352,633 | |||||||
Total Investments - 103.5% | ||||||||
(Cost $33,191,157) | $ | 34,623,861 | ||||||
Other Assets & Liabilities, net - (3.5)% | (1,157,218 | ) | ||||||
Total Net Assets - 100.0% | $ | 33,466,643 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
LONG SHORT EQUITY FUND |
Total Return Swap Agreements | ||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Notional Value | Unrealized Gain (Loss) | ||||||||
OTC Equity Swap Agreements Sold Short†† | ||||||||||||||
Morgan Stanley | Long Short Equity Portfolio Short Custom Basket Swap5 | (1.63 | %) | At Maturity | 5/31/19 | $ | 36,582,334 | $ | (1,690,350 | ) | ||||
OTC Equity Swap Agreements†† | ||||||||||||||
Morgan Stanley | Long Short Equity Portfolio Long Custom Basket Swap6 | 0.81 | % | At Maturity | 5/31/19 | $ | 27,408,371 | $ | 1,055,596 |
Shares | Unrealized Gain | |||||||
CUSTOM BASKET OF LONG SECURITIES6 | ||||||||
Amgen, Inc. | 2,066 | $ | 65,063 | |||||
Gilead Sciences, Inc. | 3,541 | 57,265 | ||||||
ManpowerGroup, Inc. | 2,761 | 46,949 | ||||||
Teradata Corp.* | 7,555 | 46,600 | ||||||
Lam Research Corp. | 1,532 | 44,982 | ||||||
Tyson Foods, Inc. — Class A | 3,475 | 44,237 | ||||||
Biogen, Inc.* | 711 | 43,587 | ||||||
Cigna Corp. | 1,633 | 37,658 | ||||||
Cisco Systems, Inc. | 18,211 | 34,586 | ||||||
Deluxe Corp. | 6,930 | 34,333 | ||||||
PACCAR, Inc. | 4,157 | 33,771 | ||||||
Reinsurance Group of America, Inc. — Class A | 2,242 | 33,614 | ||||||
Dolby Laboratories, Inc. — Class A | 3,736 | 31,499 | ||||||
Jacobs Engineering Group, Inc. | 5,443 | 31,328 | ||||||
Aflac, Inc. | 5,046 | 30,977 | ||||||
Robert Half International, Inc. | 6,366 | 30,209 | ||||||
JPMorgan Chase & Co. | 3,933 | 28,819 | ||||||
Citigroup, Inc. | 2,319 | 28,601 | ||||||
Berkshire Hathaway, Inc. — Class B* | 1,585 | 28,451 | ||||||
Anadarko Petroleum Corp. | 5,018 | 28,256 | ||||||
Discover Financial Services | 6,023 | 25,730 | ||||||
FirstEnergy Corp. | 15,318 | 24,535 | ||||||
WW Grainger, Inc. | 1,460 | 24,174 | ||||||
Public Service Enterprise Group, Inc. | 5,733 | 23,640 | ||||||
FedEx Corp. | 1,574 | 21,378 | ||||||
VeriSign, Inc.* | 1,358 | 21,370 | ||||||
Owens & Minor, Inc. | 9,494 | 20,873 | ||||||
Textron, Inc. | 3,832 | 20,830 | ||||||
Big Lots, Inc. | 4,158 | 19,849 | ||||||
Cullen/Frost Bankers, Inc. | 2,115 | 19,464 | ||||||
Microsoft Corp. | 4,481 | 19,398 | ||||||
TE Connectivity Ltd. | 5,051 | 18,941 | ||||||
Norfolk Southern Corp. | 1,755 | 18,847 | ||||||
Teradyne, Inc. | 3,369 | 18,026 | ||||||
Curtiss-Wright Corp. | 1,196 | 18,012 | ||||||
Allstate Corp. | 3,243 | 17,996 | ||||||
Federated Investors, Inc. — Class B | 6,496 | 17,676 | ||||||
Oracle Corp. | 7,552 | 17,656 | ||||||
Express Scripts Holding Co.* | 4,434 | 16,543 | ||||||
Alphabet, Inc. — Class C* | 527 | 16,444 | ||||||
WESCO International, Inc.* | 1,954 | 15,514 | ||||||
Parker-Hannifin Corp. | 921 | 14,841 |
Unrealized Gain (Loss) | ||||||||
Accenture plc — Class A | 1,378 | $ | 14,838 | |||||
Exelon Corp. | 10,907 | 14,720 | ||||||
Waste Management, Inc. | 2,538 | 14,651 | ||||||
Prudential Financial, Inc. | 4,707 | 14,109 | ||||||
Ingredion, Inc. | 1,994 | 12,589 | ||||||
Maxim Integrated Products, Inc. | 4,504 | 11,745 | ||||||
Freeport-McMoRan, Inc.* | 7,516 | 11,585 | ||||||
Raymond James Financial, Inc. | 2,167 | 10,905 | ||||||
Cerner Corp.* | 1,679 | 10,540 | ||||||
Laboratory Corporation of America Holdings* | 843 | 10,450 | ||||||
Bristol-Myers Squibb Co. | 1,746 | 10,132 | ||||||
CenterPoint Energy, Inc. | 14,797 | 9,914 | ||||||
PG&E Corp. | 6,092 | 9,334 | ||||||
Illinois Tool Works, Inc. | 831 | 9,113 | ||||||
Iridium Communications, Inc.* | 31,351 | 9,064 | ||||||
Leucadia National Corp. | 7,605 | 9,004 | ||||||
DST Systems, Inc. | 2,350 | 8,599 | ||||||
Fidelity National Information Services, Inc. | 1,074 | 8,419 | ||||||
Ameren Corp. | 7,321 | 8,083 | ||||||
Unum Group | 2,751 | 8,058 | ||||||
Allison Transmission Holdings, Inc. | 4,877 | 7,861 | ||||||
Casey’s General Stores, Inc. | 1,232 | 7,706 | ||||||
CDW Corp. | 1,601 | 7,638 | ||||||
Wells Fargo & Co. | 2,547 | 7,088 | ||||||
Ingersoll-Rand plc | 1,737 | 7,088 | ||||||
Anthem, Inc. | 1,635 | 6,341 | ||||||
Procter & Gamble Co. | 2,147 | 6,239 | ||||||
MAXIMUS, Inc. | 1,921 | 5,615 | ||||||
Legg Mason, Inc. | 2,876 | 5,230 | ||||||
OGE Energy Corp. | 2,876 | 4,625 | ||||||
Western Union Co. | 17,482 | 2,988 | ||||||
Hubbell, Inc. | 1,984 | 2,471 | ||||||
HRG Group, Inc.* | 7,086 | 1,630 | ||||||
Zayo Group Holdings, Inc.* | 3,899 | 980 | ||||||
Bank of New York Mellon Corp. | 4,604 | 744 | ||||||
Hill-Rom Holdings, Inc. | 1,397 | 675 | ||||||
Alliance Data Systems Corp. | 444 | 570 | ||||||
CoStar Group, Inc.* | 254 | 556 | ||||||
Performance Food Group Co.* | 2,400 | 196 | ||||||
Catalent, Inc.* | 1,705 | 104 | ||||||
National Fuel Gas Co. | 5,405 | 19 | ||||||
GoDaddy, Inc. — Class A* | 924 | (202 | ) | |||||
WEC Energy Group, Inc. | 2,813 | (222 | ) |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Unrealized Gain (Loss) | |||||||
Pinnacle West Capital Corp. | 1,286 | $ | (390 | ) | ||||
Cloudera, Inc.* | 1,951 | (1,230 | ) | |||||
Altria Group, Inc. | 3,652 | (1,370 | ) | |||||
Portola Pharmaceuticals, Inc.* | 1,749 | (1,948 | ) | |||||
Dr Pepper Snapple Group, Inc. | 1,658 | (2,784 | ) | |||||
Xcel Energy, Inc. | 5,678 | (3,511 | ) | |||||
Carlisle Companies, Inc. | 5,175 | (3,660 | ) | |||||
Philip Morris International, Inc. | 897 | (3,760 | ) | |||||
Telephone & Data Systems, Inc. | 11,326 | (4,308 | ) | |||||
CMS Energy Corp. | 4,690 | (6,023 | ) | |||||
Travelers Companies, Inc. | 3,334 | (6,395 | ) | |||||
Consolidated Edison, Inc. | 3,339 | (7,084 | ) | |||||
United Technologies Corp. | 1,872 | (8,910 | ) | |||||
AmerisourceBergen Corp. — Class A | 1,822 | (9,609 | ) | |||||
HCA Healthcare, Inc.* | 4,267 | (10,016 | ) | |||||
Henry Schein, Inc.* | 1,454 | (12,535 | ) | |||||
Fluor Corp. | 6,007 | (13,502 | ) | |||||
Edison International | 4,770 | (13,984 | ) | |||||
F5 Networks, Inc.* | 2,068 | (15,823 | ) | |||||
Kroger Co. | 7,419 | (20,417 | ) | |||||
Energizer Holdings, Inc. | 7,114 | (23,365 | ) | |||||
Omnicom Group, Inc. | 3,925 | (35,673 | ) | |||||
UGI Corp. | 8,552 | (36,602 | ) | |||||
Kimberly-Clark Corp. | 3,717 | (37,020 | ) | |||||
MEDNAX, Inc.* | 3,571 | (39,636 | ) | |||||
Quest Diagnostics, Inc. | 3,225 | (48,878 | ) | |||||
ATN International, Inc. | 6,658 | (90,051 | ) | |||||
Total Custom Basket of Long Securities | 1,025,830 | |||||||
CUSTOM BASKET OF SHORT SECURITIES5 | ||||||||
NewMarket Corp. | (1,018 | ) | 39,899 | |||||
Pool Corp. | (1,868 | ) | 18,943 | |||||
Charter Communications, Inc. — Class A* | (587 | ) | 18,620 | |||||
iRobot Corp.* | (1,058 | ) | 17,992 | |||||
Ultimate Software Group, Inc.* | (567 | ) | 17,338 | |||||
Sensient Technologies Corp. | (4,636 | ) | 14,903 | |||||
Dominion Energy, Inc. | (3,714 | ) | 14,079 | |||||
Ecolab, Inc. | (3,678 | ) | 13,620 | |||||
Papa John’s International, Inc. | (1,815 | ) | 12,918 | |||||
Martin Marietta Materials, Inc. | (744 | ) | 12,850 | |||||
Sun Communities, Inc. | (2,763 | ) | 11,977 | |||||
NIKE, Inc. — Class B | (1,819 | ) | 11,850 | |||||
American Campus Communities, Inc. | (3,550 | ) | 11,302 | |||||
Vulcan Materials Co. | (2,429 | ) | 11,062 | |||||
Toro Co. | (1,396 | ) | 10,997 | |||||
Wright Medical Group N.V.* | (3,809 | ) | 10,802 | |||||
Dunkin’ Brands Group, Inc. | (1,974 | ) | 10,117 | |||||
RPM International, Inc. | (4,161 | ) | 9,069 | |||||
Axon Enterprise, Inc.* | (4,972 | ) | 8,523 | |||||
Equity LifeStyle Properties, Inc. | (2,028 | ) | 8,338 | |||||
Crown Castle International Corp. | (2,090 | ) | 7,833 | |||||
Southern Co. | (5,075 | ) | 7,096 | |||||
Education Realty Trust, Inc. | (3,122 | ) | 6,845 | |||||
CoStar Group, Inc.* | (533 | ) | 6,675 | |||||
MarketAxess Holdings, Inc. | (1,027 | ) | 5,854 | |||||
Wendy’s Co. | (12,984 | ) | 5,819 | |||||
Domino’s Pizza, Inc. | (521 | ) | 5,587 | |||||
Yum! Brands, Inc. | (1,989 | ) | 4,994 | |||||
Essex Property Trust, Inc. | (799 | ) | 4,882 | |||||
PTC, Inc.* | (2,607 | ) | 4,589 | |||||
Sempra Energy | (1,815 | ) | 4,577 | |||||
Healthcare Trust of America, Inc. — Class A | (6,637 | ) | 4,236 | |||||
NiSource, Inc. | (9,937 | ) | 4,117 | |||||
Cable One, Inc. | (131 | ) | 4,074 | |||||
Atlassian Corporation plc — Class A* | (7,167 | ) | 3,268 | |||||
Retail Opportunity Investments Corp. | (5,412 | ) | 3,092 | |||||
Corporate Office Properties Trust | (4,324 | ) | 2,959 | |||||
SBA Communications Corp.* | (1,345 | ) | 2,959 | |||||
Kilroy Realty Corp. | (1,731 | ) | 2,914 | |||||
McCormick & Company, Inc. | (1,643 | ) | 2,537 | |||||
Southern Copper Corp. | (2,383 | ) | 2,497 | |||||
TripAdvisor, Inc.* | (2,826 | ) | 2,335 | |||||
Black Hills Corp. | (4,731 | ) | 2,249 | |||||
Bio-Rad Laboratories, Inc. — Class A* | (971 | ) | 1,993 | |||||
Realty Income Corp. | (2,667 | ) | 1,910 | |||||
SPS Commerce, Inc.* | (1,834 | ) | 1,860 | |||||
Rexford Industrial Realty, Inc. | (5,383 | ) | 1,337 | |||||
Equinix, Inc. | (505 | ) | 620 | |||||
Autodesk, Inc.* | (1,500 | ) | 548 | |||||
Public Storage | (641 | ) | 392 | |||||
SL Green Realty Corp. | (1,122 | ) | (12 | ) | ||||
Federal Realty Investment Trust | (2,043 | ) | (80 | ) | ||||
Mohawk Industries, Inc.* | (807 | ) | (212 | ) | ||||
Alliant Energy Corp. | (11,002 | ) | (358 | ) | ||||
Howard Hughes Corp.* | (1,202 | ) | (697 | ) | ||||
Lamb Weston Holdings, Inc. | (2,685 | ) | (776 | ) | ||||
Bank of Hawaii Corp. | (3,035 | ) | (916 | ) | ||||
Workday, Inc. — Class A* | (1,208 | ) | (1,050 | ) | ||||
ANSYS, Inc.* | (1,923 | ) | (1,063 | ) | ||||
Semtech Corp.* | (3,560 | ) | (1,517 | ) | ||||
Aqua America, Inc. | (4,020 | ) | (1,682 | ) | ||||
Madison Square Garden Co. — Class A* | (727 | ) | (1,814 | ) | ||||
Boston Properties, Inc. | (1,085 | ) | (2,055 | ) | ||||
Atmos Energy Corp. | (4,175 | ) | (2,247 | ) | ||||
Home BancShares, Inc. | (6,076 | ) | (2,279 | ) | ||||
AptarGroup, Inc. | (1,451 | ) | (2,343 | ) | ||||
Ladder Capital Corp. — Class A | (16,067 | ) | (3,162 | ) | ||||
Great Western Bancorp, Inc. | (5,256 | ) | (3,224 | ) | ||||
Extra Space Storage, Inc. | (1,395 | ) | (3,482 | ) | ||||
Trimble, Inc.* | (2,579 | ) | (3,662 | ) | ||||
CareTrust REIT, Inc. | (11,383 | ) | (3,805 | ) | ||||
Terreno Realty Corp. | (4,674 | ) | (3,969 | ) | ||||
CyrusOne, Inc. | (2,492 | ) | (4,269 | ) | ||||
Bio-Techne Corp. | (2,097 | ) | (4,327 | ) | ||||
Ball Corp. | (11,453 | ) | (4,421 | ) | ||||
Marriott International, Inc. — Class A | (1,483 | ) | (4,590 | ) | ||||
Rayonier, Inc. | (4,637 | ) | (4,593 | ) | ||||
Tyler Technologies, Inc.* | (1,274 | ) | (4,597 | ) | ||||
EastGroup Properties, Inc. | (2,361 | ) | (4,795 | ) | ||||
Vail Resorts, Inc. | (830 | ) | (5,016 | ) | ||||
Ingevity Corp.* | (1,617 | ) | (5,670 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
LONG SHORT EQUITY FUND |
Shares | Unrealized Loss | |||||||
Compass Minerals International, Inc. | (4,507 | ) | $ | (5,792 | ) | |||
Balchem Corp. | (2,013 | ) | (5,803 | ) | ||||
American Tower Corp. — Class A | (1,364 | ) | (5,898 | ) | ||||
WD-40 Co. | (927 | ) | (6,031 | ) | ||||
Aspen Technology, Inc.* | (3,044 | ) | (6,344 | ) | ||||
Provident Financial Services, Inc. | (9,337 | ) | (6,438 | ) | ||||
Air Products & Chemicals, Inc. | (1,114 | ) | (6,472 | ) | ||||
First Industrial Realty Trust, Inc. | (7,862 | ) | (6,508 | ) | ||||
BB&T Corp. | (4,238 | ) | (6,590 | ) | ||||
Service Corporation International | (5,101 | ) | (6,681 | ) | ||||
BWX Technologies, Inc. | (2,559 | ) | (6,811 | ) | ||||
salesforce.com, Inc.* | (2,314 | ) | (6,873 | ) | ||||
Acadia Realty Trust | (5,156 | ) | (6,904 | ) | ||||
Royal Gold, Inc. | (2,105 | ) | (7,065 | ) | ||||
Blackbaud, Inc. | (1,321 | ) | (7,101 | ) | ||||
Mid-America Apartment Communities, Inc. | (2,182 | ) | (7,265 | ) | ||||
Global Payments, Inc. | (1,160 | ) | (7,284 | ) | ||||
People’s United Financial, Inc. | (21,620 | ) | (7,294 | ) | ||||
Watsco, Inc. | (1,064 | ) | (7,374 | ) | ||||
Laredo Petroleum, Inc.* | (8,182 | ) | (7,396 | ) | ||||
Alexandria Real Estate Equities, Inc. | (2,892 | ) | (7,451 | ) | ||||
PolyOne Corp. | (2,857 | ) | (7,766 | ) | ||||
CoreSite Realty Corp. | (1,181 | ) | (7,995 | ) | ||||
Douglas Emmett, Inc. | (5,417 | ) | (8,080 | ) | ||||
NVIDIA Corp. | (597 | ) | (8,263 | ) | ||||
WABCO Holdings, Inc.* | (899 | ) | (8,280 | ) | ||||
Cabot Oil & Gas Corp. — Class A | (3,940 | ) | (8,501 | ) | ||||
McDonald’s Corp. | (1,458 | ) | (9,369 | ) | ||||
Adobe Systems, Inc.* | (1,636 | ) | (9,395 | ) | ||||
Allegion plc | (1,920 | ) | (9,859 | ) | ||||
ServiceNow, Inc.* | (1,343 | ) | (10,088 | ) | ||||
Medidata Solutions, Inc.* | (1,351 | ) | (10,153 | ) | ||||
Meritage Homes Corp.* | (2,295 | ) | (10,894 | ) | ||||
CommVault Systems, Inc.* | (2,369 | ) | (10,978 | ) | ||||
Eaton Vance Corp. | (3,584 | ) | (11,135 | ) | ||||
Diamondback Energy, Inc.* | (1,104 | ) | (11,203 | ) | ||||
Tractor Supply Co. | (1,719 | ) | (11,377 | ) | ||||
Facebook, Inc. — Class A* | (862 | ) | (11,885 | ) | ||||
Jack in the Box, Inc. | (2,277 | ) | (12,030 | ) | ||||
Silicon Laboratories, Inc.* | (1,815 | ) | (12,161 | ) | ||||
Bright Horizons Family Solutions, Inc.* | (2,114 | ) | (12,247 | ) | ||||
Willis Towers Watson plc | (1,369 | ) | (12,291 | ) | ||||
Iron Mountain, Inc. | (3,170 | ) | (12,325 | ) | ||||
Horace Mann Educators Corp. | (5,856 | ) | (13,524 | ) | ||||
KeyCorp | (10,341 | ) | (13,543 | ) | ||||
Old National Bancorp | (14,362 | ) | (13,641 | ) | ||||
Chemical Financial Corp. | (4,384 | ) | (13,738 | ) | ||||
National Instruments Corp. | (3,340 | ) | (13,741 | ) | ||||
United Parcel Service, Inc. — Class B | (1,229 | ) | (13,896 | ) | ||||
Arthur J Gallagher & Co. | (2,795 | ) | (14,128 | ) | ||||
S&P Global, Inc. | (1,268 | ) | (14,326 | ) | ||||
HB Fuller Co. | (1,935 | ) | (15,032 | ) | ||||
WR Grace & Co. | (4,407 | ) | (15,173 | ) | ||||
Matador Resources Co.* | (4,189 | ) | (15,364 | ) | ||||
Spire, Inc. | (3,861 | ) | (15,694 | ) | ||||
Genuine Parts Co. | (1,188 | ) | (15,852 | ) | ||||
Amphenol Corp. — Class A | (1,653 | ) | (15,904 | ) | ||||
Cadence Design Systems, Inc.* | (3,567 | ) | (16,009 | ) | ||||
AutoZone, Inc.* | (198 | ) | (16,330 | ) | ||||
BankUnited, Inc. | (7,010 | ) | (16,456 | ) | ||||
Investors Bancorp, Inc. | (26,263 | ) | (16,897 | ) | ||||
Neurocrine Biosciences, Inc.* | (1,891 | ) | (17,203 | ) | ||||
Red Hat, Inc.* | (1,282 | ) | (17,330 | ) | ||||
VF Corp. | (2,439 | ) | (17,463 | ) | ||||
Ross Stores, Inc. | (3,078 | ) | (17,597 | ) | ||||
KBR, Inc. | (6,614 | ) | (17,940 | ) | ||||
International Flavors & Fragrances, Inc. | (2,963 | ) | (18,027 | ) | ||||
Guidewire Software, Inc.* | (2,931 | ) | (18,249 | ) | ||||
FirstCash, Inc. | (1,868 | ) | (18,723 | ) | ||||
Ollie’s Bargain Outlet Holdings, Inc.* | (3,116 | ) | (18,745 | ) | ||||
IPG Photonics Corp.* | (594 | ) | (19,873 | ) | ||||
Summit Materials, Inc. — Class A* | (5,314 | ) | (19,967 | ) | ||||
First Midwest Bancorp, Inc. | (13,521 | ) | (20,931 | ) | ||||
Century Aluminum Co.* | (7,945 | ) | (21,163 | ) | ||||
First Republic Bank | (3,146 | ) | (22,373 | ) | ||||
Trex Company, Inc.* | (1,330 | ) | (22,555 | ) | ||||
TopBuild Corp.* | (1,868 | ) | (22,682 | ) | ||||
AO Smith Corp. | (4,718 | ) | (22,713 | ) | ||||
Graco, Inc. | (2,117 | ) | (22,904 | ) | ||||
Goldman Sachs Group, Inc. | (956 | ) | (23,942 | ) | ||||
O’Reilly Automotive, Inc.* | (1,357 | ) | (25,303 | ) | ||||
John Bean Technologies Corp. | (1,555 | ) | (25,395 | ) | ||||
DCT Industrial Trust, Inc. | (4,794 | ) | (26,281 | ) | ||||
Cousins Properties, Inc. | (31,025 | ) | (27,794 | ) | ||||
Intercontinental Exchange, Inc. | (3,305 | ) | (28,049 | ) | ||||
ABIOMED, Inc.* | (977 | ) | (28,722 | ) | ||||
Healthcare Services Group, Inc. | (4,675 | ) | (28,931 | ) | ||||
CME Group, Inc. — Class A | (1,632 | ) | (29,118 | ) | ||||
Monolithic Power Systems, Inc. | (3,430 | ) | (29,827 | ) | ||||
Avery Dennison Corp. | (2,376 | ) | (30,026 | ) | ||||
Cognex Corp. | (1,608 | ) | (30,449 | ) | ||||
Cimarex Energy Co. | (2,301 | ) | (30,516 | ) | ||||
Rollins, Inc. | (8,759 | ) | (30,748 | ) | ||||
CF Industries Holdings, Inc. | (3,769 | ) | (31,373 | ) | ||||
Mercury Systems, Inc.* | (2,728 | ) | (34,089 | ) | ||||
Albemarle Corp. | (1,442 | ) | (35,148 | ) | ||||
Monro, Inc. | (3,316 | ) | (35,663 | ) | ||||
PayPal Holdings, Inc.* | (3,394 | ) | (36,242 | ) | ||||
FMC Corp. | (2,555 | ) | (36,463 | ) | ||||
Scotts Miracle-Gro Co. — Class A | (5,178 | ) | (37,804 | ) | ||||
Xylem, Inc. | (4,149 | ) | (40,050 | ) | ||||
Take-Two Interactive Software, Inc.* | (1,709 | ) | (43,384 | ) | ||||
CarMax, Inc.* | (3,308 | ) | (43,993 | ) | ||||
Moody’s Corp. | (2,084 | ) | (46,415 | ) | ||||
Woodward, Inc. | (4,576 | ) | (46,617 | ) | ||||
Bottomline Technologies de, Inc.* | (6,928 | ) | (49,005 | ) | ||||
Allegheny Technologies, Inc.* | (5,721 | ) | (50,350 | ) | ||||
Total Custom Basket of Short Securities | (1,641,869 | ) |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
LONG SHORT EQUITY FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
2 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
3 | Rate indicated is the 7 day yield as of September 30, 2017. |
4 | Securities lending collateral — See Note 7. |
5 | Total Return based on the return of the custom short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at September 30, 2017. |
6 | Total Return based on the return of the custom long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at September 30, 2017. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Common Stocks | $ | 33,101,207 | $ | — | $ | — | $ | — | $ | 33,101,207 | ||||||||||
Equity Swap Agreements | — | — | 1,055,596 | — | 1,055,596 | |||||||||||||||
Money Market Fund | 1,170,021 | — | — | — | 1,170,021 | |||||||||||||||
Securities Lending Collateral | 352,633 | — | — | — | 352,633 | |||||||||||||||
Total Assets | $ | 34,623,861 | $ | — | $ | 1,055,596 | $ | — | $ | 35,679,457 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Equity Swap Agreements | $ | — | $ | — | $ | 1,690,350 | $ | — | $ | 1,690,350 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 2,110,841 | $ | 5,121 | $ | (2,116,805 | ) | $ | 7,830 | $ | (6,988 | ) | $ | — | — | $ | — | |||||||||||||||
Guggenheim Strategy Fund II | 14,592 | 49 | (14,641 | ) | 49 | (48 | ) | — | — | — | ||||||||||||||||||||||
$ | 2,125,433 | $ | 5,170 | $ | (2,131,446 | ) | $ | 7,879 | $ | (7,036 | ) | $ | — | — | $ | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
LONG SHORT EQUITY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $348,175 of securities loaned (cost $33,191,157) | $ | 34,623,861 | ||
Cash | 885 | |||
Unrealized appreciation on swap agreements | 1,055,596 | |||
Receivables: | ||||
Dividends | 29,906 | |||
Fund shares sold | 1,314 | |||
Securities lending income | 90 | |||
Total assets | 35,711,652 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 1,690,350 | |||
Payable for: | ||||
Return of securities loaned | 352,633 | |||
Swap settlement | 109,452 | |||
Fund shares redeemed | 31,781 | |||
Management fees | 24,452 | |||
Distribution and service fees | 13,932 | |||
Transfer agent and administrative fees | 6,792 | |||
Portfolio accounting fees | 2,717 | |||
Miscellaneous | 12,900 | |||
Total liabilities | 2,245,009 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 33,466,643 | ||
Net assets consist of: | ||||
Paid in capital | $ | 48,650,454 | ||
Accumulated net investment loss | (78,935 | ) | ||
Accumulated net realized loss on investments | (15,902,826 | ) | ||
Net unrealized appreciation on investments | 797,950 | |||
Net assets | $ | 33,466,643 | ||
A-Class: | ||||
Net assets | $ | 4,317,215 | ||
Capital shares outstanding | 251,742 | |||
Net asset value per share | $ | 17.15 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 18.01 | ||
C-Class: | ||||
Net assets | $ | 12,374,248 | ||
Capital shares outstanding | 811,518 | |||
Net asset value per share | $ | 15.25 | ||
P-Class: | ||||
Net assets | $ | 14,433,532 | ||
Capital shares outstanding | 838,950 | |||
Net asset value per share | $ | 17.20 | ||
Institutional Class: | ||||
Net assets | $ | 2,341,648 | ||
Capital shares outstanding | 133,817 | |||
Net asset value per share | $ | 17.50 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends | $ | 287,366 | ||
Interest | 13,379 | |||
Income from securities lending, net | 2,593 | |||
Total investment income | 303,338 | |||
Expenses: | ||||
Management fees | 148,805 | |||
Distribution and service fees: | ||||
A-Class | 5,421 | |||
C-Class | 63,485 | |||
P-Class | 17,370 | |||
Transfer agent and administrative fees | 41,335 | |||
Short sales dividend expense | 26,830 | |||
Portfolio accounting fees | 16,534 | |||
Prime broker interest expense | 3,152 | |||
Custodian fees | 2,195 | |||
Trustees’ fees* | 1,508 | |||
Line of credit fees | 52 | |||
Miscellaneous | 28,636 | |||
Total expenses | 355,323 | |||
Net investment loss | (51,985 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,532,314 | |||
Investments in affiliated issuers | 7,879 | |||
Swap agreements | 1,055,303 | |||
Futures contracts | 3,211 | |||
Securities sold short | (31,728 | ) | ||
Net realized gain | 3,566,979 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (454,086 | ) | ||
Investments in affiliated issuers | (7,036 | ) | ||
Securities sold short | 233,941 | |||
Swap agreements | (634,754 | ) | ||
Futures contracts | (2,656 | ) | ||
Net change in unrealized appreciation (depreciation) | (864,591 | ) | ||
Net realized and unrealized gain | 2,702,388 | |||
Net increase in net assets resulting from operations | $ | 2,650,403 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LONG SHORT EQUITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (51,985 | ) | $ | (347,916 | ) | ||
Net realized gain on investments | 3,566,979 | 2,025,026 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (864,591 | ) | (240,014 | ) | ||||
Net increase in net assets resulting from operations | 2,650,403 | 1,437,096 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 340,156 | 1,205,531 | ||||||
C-Class | 52,684 | 193,581 | ||||||
P-Class | 1,512,530 | 2,123,896 | ||||||
Institutional Class | 444,703 | 3,533,696 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (988,796 | ) | (7,699,271 | ) | ||||
C-Class | (1,898,469 | ) | (4,150,079 | ) | ||||
P-Class | (1,997,865 | ) | (12,473,835 | ) | ||||
Institutional Class | (268,222 | ) | (2,115,992 | ) | ||||
Net decrease from capital share transactions | (2,803,279 | ) | (19,382,473 | ) | ||||
Net decrease in net assets | (152,876 | ) | (17,945,377 | ) | ||||
Net assets: | ||||||||
Beginning of period | 33,619,519 | 51,564,896 | ||||||
End of period | $ | 33,466,643 | $ | 33,619,519 | ||||
Accumulated net investment loss at end of period | $ | (78,935 | ) | $ | (26,950 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 20,389 | 78,033 | ||||||
C-Class | 3,620 | 13,820 | ||||||
P-Class | 90,134 | 136,345 | ||||||
Institutional Class | 26,053 | 222,295 | ||||||
Shares redeemed | ||||||||
A-Class | (60,658 | ) | (494,029 | ) | ||||
C-Class | (130,399 | ) | (297,144 | ) | ||||
P-Class | (120,261 | ) | (800,988 | ) | ||||
Institutional Class | (15,796 | ) | (132,630 | ) | ||||
Net decrease in shares | (186,918 | ) | (1,274,298 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
LONG SHORT EQUITY 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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.80 | $ | 15.26 | $ | 16.16 | $ | 15.07 | $ | 13.48 | $ | 13.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (.09 | ) | (.10 | ) | (.06 | ) | (.13 | ) | (.05 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.35 | .63 | (.80 | ) | 1.15 | 1.72 | .30 | |||||||||||||||||
Total from investment operations | 1.35 | .54 | (.90 | ) | 1.09 | 1.59 | .25 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Net asset value, end of period | $ | 17.15 | $ | 15.80 | $ | 15.26 | $ | 16.16 | $ | 15.07 | $ | 13.48 | ||||||||||||
Total Returnd | 8.54 | % | 3.54 | % | (5.57 | %) | 7.23 | % | 11.80 | % | 1.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,317 | $ | 4,615 | $ | 10,803 | $ | 6,063 | $ | 7,552 | $ | 13,106 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.06 | %) | (0.59 | %) | (0.66 | %) | (0.42 | %) | (0.91 | %) | (0.35 | %) | ||||||||||||
Total expensese,f | 1.88 | % | 2.25 | % | 2.53 | % | 2.17 | % | 2.34 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | 68 | % | 223 | % | 224 | % | 331 | % | 256 | % | 183 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.11 | $ | 13.72 | $ | 14.64 | $ | 13.76 | $ | 12.40 | $ | 12.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.18 | ) | (.21 | ) | (.16 | ) | (.24 | ) | (.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.20 | .57 | (.71 | ) | 1.04 | 1.60 | .28 | |||||||||||||||||
Total from investment operations | 1.14 | .39 | (.92 | ) | .88 | 1.36 | .14 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Net asset value, end of period | $ | 15.25 | $ | 14.11 | $ | 13.72 | $ | 14.64 | $ | 13.76 | $ | 12.40 | ||||||||||||
Total Returnd | 8.16 | % | 2.77 | % | (6.28 | %) | 6.40 | % | 10.97 | % | 1.14 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,374 | $ | 13,235 | $ | 16,760 | $ | 19,952 | $ | 22,354 | $ | 23,554 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.80 | %) | (1.30 | %) | (1.45 | %) | (1.16 | %) | (1.79 | %) | (1.12 | %) | ||||||||||||
Total expensese,f | 2.63 | % | 2.98 | % | 3.24 | % | 2.92 | % | 3.11 | % | 2.69 | % | ||||||||||||
Portfolio turnover rate | 68 | % | 223 | % | 224 | % | 331 | % | 256 | % | 183 | % |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LONG SHORT EQUITY 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.
P-Class* | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016* | Year Ended March 31, 2015* | Year Ended March 31, 2014* | Year Ended March 28, 2013* | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.86 | $ | 15.31 | $ | 16.21 | $ | 15.12 | $ | 13.53 | $ | 13.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | (.09 | ) | (.11 | ) | (.07 | ) | (.16 | ) | (.04 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.34 | .64 | (.79 | ) | 1.16 | 1.75 | .29 | |||||||||||||||||
Total from investment operations | 1.34 | .55 | (.90 | ) | 1.09 | 1.59 | .25 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.05 | ) | |||||||||||||||||
Net asset value, end of period | $ | 17.20 | $ | 15.86 | $ | 15.31 | $ | 16.21 | $ | 15.12 | $ | 13.53 | ||||||||||||
Total Returnd | 8.52 | % | 3.53 | % | (5.55 | %) | 7.21 | % | 11.75 | % | 1.88 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,434 | $ | 13,779 | $ | 23,477 | $ | 20,020 | $ | 29,287 | $ | 26,257 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | %) | (0.58 | %) | (0.67 | %) | (0.43 | %) | (1.07 | %) | (0.29 | %) | ||||||||||||
Total expensese,f | 1.88 | % | 2.24 | % | 2.50 | % | 2.17 | % | 2.36 | % | 1.88 | % | ||||||||||||
Portfolio turnover rate | 68 | % | 223 | % | 224 | % | 331 | % | 256 | % | 183 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
LONG SHORT EQUITY 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.
Institutional Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.11 | $ | 15.50 | $ | 16.38 | $ | 15.24 | $ | 13.60 | $ | 13.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .02 | (.03 | ) | (.05 | ) | — | c | (.12 | ) | (.02 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.37 | .64 | (.83 | ) | 1.14 | 1.76 | .31 | |||||||||||||||||
Total from investment operations | 1.39 | .61 | (.88 | ) | 1.14 | 1.64 | .29 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.02 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (.02 | ) | |||||||||||||||||
Net asset value, end of period | $ | 17.50 | $ | 16.11 | $ | 15.50 | $ | 16.38 | $ | 15.24 | $ | 13.60 | ||||||||||||
Total Returnd | 8.63 | % | 3.94 | % | (5.37 | %) | 7.48 | % | 12.06 | % | 2.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,342 | $ | 1,990 | $ | 525 | $ | 302 | $ | 12 | $ | 11 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.25 | % | (0.20 | %) | (0.29 | %) | (0.01 | %) | (0.82 | %) | (0.17 | %) | ||||||||||||
Total expensese,f | 1.61 | % | 1.96 | % | 2.27 | % | 1.95 | % | 2.11 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 68 | % | 223 | % | 224 | % | 331 | % | 256 | % | 183 | % |
a | Unaudited figures for the period ended September 30, 2017. 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 | Excluding interest and dividend expense related to short sales, the operating expense ratios for the years or periods would be: |
9/30/17 | 3/31/17 | 3/31/16 | 3/31/15 | 3/31/14 | 3/28/13 | |||
A-Class | 1.70% | 1.67% | 1.66% | 1.66% | 1.68% | 1.65% | ||
C-Class | 2.45% | 2.42% | 2.41% | 2.41% | 2.42% | 2.40% | ||
P-Class | 1.70% | 1.67% | 1.66% | 1.66% | 1.67% | 1.65% | ||
Institutional Class | 1.45% | 1.43% | 1.41% | 1.40% | 1.42% | 1.41% |
* | H-Class shares redesignated as P-Class shares effective following the close of business on April 30, 2015. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
OBJECTIVE: Seeks to achieve capital growth.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028140_23.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Dates: | |
Institutional Class | June 30, 2010 |
A-Class | June 30, 2010 |
C-Class | June 30, 2010 |
P-Class | June 30, 2010 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 34.9% |
Guggenheim Strategy Fund I | 33.7% |
iShares iBoxx $ High Yield Corporate Bond ETF | 0.5% |
Charter Communications, Inc. — Class A | 0.4% |
Netflix, Inc. | 0.3% |
Micron Technology, Inc. | 0.1% |
Royal Bank of Scotland Group plc ADR | 0.1% |
NXP Semiconductor N.V. | 0.1% |
Equinix, Inc. | 0.1% |
Nokia Oyj ADR | 0.1% |
Total | 70.3 % |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | September 30, 2017 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | Since Inception (06/30/10) | |
A-Class Shares | 2.99% | 4.41% | 3.86% | 4.94% |
A-Class Shares with sales charge‡ | (1.91%) | (0.53%) | 2.85% | 4.24% |
C-Class Shares | 2.61% | 3.66% | 3.08% | 4.14% |
C-Class Shares with CDSC§ | 1.61% | 2.66% | 3.08% | 4.14% |
P-Class Shares | 2.99% | 4.41% | 3.86% | 4.94% |
Institutional Class Shares | 3.08% | 4.67% | 4.11% | 5.20% |
Credit Suisse Event Driven Liquid Index | 3.44% | 5.84% | 3.83% | 5.41% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 15.54% |
* | 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 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Shares | Value | |||||||
COMMON STOCKS† - 8.1% | ||||||||
Communications - 1.7% | ||||||||
Charter Communications, Inc. — Class A* | 121 | $ | 43,975 | |||||
Netflix, Inc.* | 170 | 30,830 | ||||||
Nokia Oyj ADR | 2,233 | 13,352 | ||||||
Sprint Corp.* | 1,580 | 12,292 | ||||||
DISH Network Corp. — Class A* | 183 | 9,924 | ||||||
Sirius XM Holdings, Inc.1 | 1,786 | 9,859 | ||||||
CBS Corp. — Class B | 157 | 9,106 | ||||||
Expedia, Inc. | 60 | 8,636 | ||||||
Symantec Corp. | 239 | 7,842 | ||||||
Level 3 Communications, Inc.* | 141 | 7,514 | ||||||
Viacom, Inc. — Class B | 163 | 4,538 | ||||||
VeriSign, Inc.* | 39 | 4,149 | ||||||
CDW Corp. | 61 | 4,026 | ||||||
CenturyLink, Inc.1 | 212 | 4,007 | ||||||
Zayo Group Holdings, Inc.* | 96 | 3,304 | ||||||
CommScope Holding Company, Inc.* | 75 | 2,491 | ||||||
EchoStar Corp. — Class A* | 37 | 2,118 | ||||||
Cable One, Inc. | 2 | 1,444 | ||||||
ViaSat, Inc.*,1 | 22 | 1,415 | ||||||
AMC Networks, Inc. — Class A* | 24 | 1,403 | ||||||
Tribune Media Co. — Class A | 34 | 1,389 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 39 | 1,250 | ||||||
Nexstar Media Group, Inc. — Class A | 18 | 1,121 | ||||||
TEGNA, Inc. | 83 | 1,106 | ||||||
Cogent Communications Holdings, Inc. | 17 | 831 | ||||||
West Corp. | 33 | 775 | ||||||
EW Scripps Co. — Class A* | 32 | 612 | ||||||
Plantronics, Inc. | 13 | 575 | ||||||
General Communication, Inc. — Class A* | 14 | 571 | ||||||
Time, Inc. | 40 | 540 | ||||||
Consolidated Communications Holdings, Inc. | 27 | 515 | ||||||
GTT Communications, Inc.* | 16 | 506 | ||||||
Gogo, Inc.* | 41 | 484 | ||||||
Gray Television, Inc.* | 27 | 424 | ||||||
Cincinnati Bell, Inc.* | 16 | 318 | ||||||
ORBCOMM, Inc.* | 29 | 304 | ||||||
Windstream Holdings, Inc. | 74 | 131 | ||||||
HC2 Holdings, Inc.* | 17 | 90 | ||||||
Total Communications | 193,767 | |||||||
Consumer, Cyclical - 1.6% | ||||||||
Yum! Brands, Inc. | 139 | 10,231 | ||||||
American Airlines Group, Inc. | 192 | 9,118 | ||||||
Hilton Worldwide Holdings, Inc. | 127 | 8,819 | ||||||
Dollar Tree, Inc.* | 93 | 8,073 | ||||||
Tata Motors Ltd. ADR* | 248 | 7,755 | ||||||
United Continental Holdings, Inc.* | 122 | 7,427 | ||||||
MGM Resorts International | 227 | 7,398 | ||||||
Wynn Resorts Ltd. | 40 | 5,957 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 91 | 4,918 | ||||||
Lennar Corp. — Class A | 89 | 4,700 | ||||||
L Brands, Inc. | 111 | 4,618 | ||||||
LKQ Corp.* | 122 | 4,391 | ||||||
Aramark | 96 | 3,899 | ||||||
PVH Corp. | 30 | 3,781 | ||||||
Hanesbrands, Inc. | 143 | 3,524 | ||||||
Goodyear Tire & Rubber Co. | 98 | 3,259 | ||||||
PulteGroup, Inc. | 119 | 3,252 | ||||||
Latam Airlines Group S.A. ADR | 234 | 3,101 | ||||||
Adient plc | 35 | 2,940 | ||||||
HD Supply Holdings, Inc.* | 74 | 2,669 | ||||||
Lions Gate Entertainment Corp. — Class A* | 78 | 2,609 | ||||||
Toll Brothers, Inc. | 62 | 2,571 | ||||||
Scotts Miracle-Gro Co. — Class A | 23 | 2,239 | ||||||
Allison Transmission Holdings, Inc. | 58 | 2,177 | ||||||
Six Flags Entertainment Corp. | 33 | 2,011 | ||||||
International Game Technology plc | 77 | 1,890 | ||||||
Carter’s, Inc. | 19 | 1,876 | ||||||
Foot Locker, Inc. | 48 | 1,691 | ||||||
Navistar International Corp.* | 38 | 1,675 | ||||||
Cinemark Holdings, Inc. | 45 | 1,629 | ||||||
CalAtlantic Group, Inc. | 44 | 1,612 | ||||||
Penske Automotive Group, Inc. | 33 | 1,570 | ||||||
Dana, Inc. | 56 | 1,566 | ||||||
Scientific Games Corp. — Class A* | 34 | 1,559 | ||||||
Signet Jewelers Ltd.1 | 23 | 1,531 | ||||||
Michaels Companies, Inc.* | 71 | 1,524 | ||||||
Extended Stay America, Inc. | 76 | 1,520 | ||||||
Hilton Grand Vacations, Inc.* | 38 | 1,468 | ||||||
Wendy’s Co. | 92 | 1,429 | ||||||
Cedar Fair, LP1 | 22 | 1,411 | ||||||
Choice Hotels International, Inc. | 22 | 1,406 | ||||||
Tempur Sealy International, Inc.* | 21 | 1,355 | ||||||
ILG, Inc. | 50 | 1,337 | ||||||
Churchill Downs, Inc. | 6 | 1,237 | ||||||
Beacon Roofing Supply, Inc.* | 24 | 1,230 | ||||||
Tenneco, Inc. | 20 | 1,213 | ||||||
Lithia Motors, Inc. — Class A | 10 | 1,203 | ||||||
Boyd Gaming Corp. | 44 | 1,146 | ||||||
FirstCash, Inc. | 18 | 1,137 | ||||||
WESCO International, Inc.* | 19 | 1,107 | ||||||
Anixter International, Inc.* | 13 | 1,105 | ||||||
Wolverine World Wide, Inc. | 37 | 1,067 | ||||||
Taylor Morrison Home Corp. — Class A* | 48 | 1,058 | ||||||
Sally Beauty Holdings, Inc.* | 51 | 999 | ||||||
Regal Entertainment Group — Class A | 61 | 976 | ||||||
Meritor, Inc.* | 35 | 910 | ||||||
Penn National Gaming, Inc.* | 36 | 842 | ||||||
TRI Pointe Group, Inc.* | 60 | 829 | ||||||
KB Home | 34 | 820 | ||||||
GameStop Corp. — Class A | 39 | 806 | ||||||
Allegiant Travel Co. — Class A | 6 | 790 | ||||||
Cooper Tire & Rubber Co. | 21 | 785 | ||||||
Rite Aid Corp.* | 393 | 770 | ||||||
Eldorado Resorts, Inc.* | 30 | 770 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 43 | 756 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Shares | Value | |||||||
AMC Entertainment Holdings, Inc. — Class A1 | 49 | $ | 720 | |||||
Meritage Homes Corp.* | 16 | 710 | ||||||
MDC Holdings, Inc. | 20 | 664 | ||||||
Suburban Propane Partners, LP | 24 | 626 | ||||||
Party City Holdco, Inc.* | 46 | 623 | ||||||
Brinker International, Inc. | 19 | 605 | ||||||
Mobile Mini, Inc. | 17 | 586 | ||||||
Group 1 Automotive, Inc. | 8 | 580 | ||||||
BMC Stock Holdings, Inc.* | 26 | 555 | ||||||
Caleres, Inc. | 17 | 519 | ||||||
Vista Outdoor, Inc.* | 22 | 505 | ||||||
Asbury Automotive Group, Inc.* | 8 | 489 | ||||||
Pinnacle Entertainment, Inc.* | 22 | 469 | ||||||
J.C. Penney Company, Inc.* | 122 | 465 | ||||||
H&E Equipment Services, Inc. | 14 | 409 | ||||||
Sonic Automotive, Inc. — Class A | 17 | 347 | ||||||
Conn’s, Inc.* | 12 | 338 | ||||||
Sears Holdings Corp.* | 42 | 307 | ||||||
William Lyon Homes — Class A* | 13 | 299 | ||||||
Century Communities, Inc.* | 11 | 272 | ||||||
M/I Homes, Inc.* | 10 | 267 | ||||||
Tailored Brands, Inc. | 18 | 260 | ||||||
Beazer Homes USA, Inc.* | 13 | 244 | ||||||
Titan International, Inc. | 23 | 233 | ||||||
Ferrellgas Partners, LP | 38 | 195 | ||||||
AV Homes, Inc.* | 9 | 154 | ||||||
Carrols Restaurant Group, Inc.* | 14 | 153 | ||||||
Perry Ellis International, Inc.* | 6 | 142 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 61 | 118 | ||||||
Total Consumer, Cyclical | 182,896 | |||||||
Consumer, Non-cyclical - 1.0% | ||||||||
HCA Healthcare, Inc.* | 143 | 11,380 | ||||||
Centene Corp.* | 68 | 6,580 | ||||||
Nielsen Holdings plc | 138 | 5,721 | ||||||
United Rentals, Inc.* | 33 | 4,578 | ||||||
Gartner, Inc.* | 36 | 4,479 | ||||||
DaVita, Inc.* | 75 | 4,454 | ||||||
Teleflex, Inc. | 18 | 4,355 | ||||||
Universal Health Services, Inc. — Class B | 38 | 4,216 | ||||||
Hologic, Inc.* | 110 | 4,036 | ||||||
Live Nation Entertainment, Inc.* | 80 | 3,484 | ||||||
WellCare Health Plans, Inc.* | 17 | 2,920 | ||||||
Lamb Weston Holdings, Inc. | 57 | 2,673 | ||||||
Pinnacle Foods, Inc. | 46 | 2,630 | ||||||
KAR Auction Services, Inc. | 54 | 2,578 | ||||||
Service Corporation International | 74 | 2,553 | ||||||
ServiceMaster Global Holdings, Inc.* | 52 | 2,430 | ||||||
Post Holdings, Inc.* | 26 | 2,295 | ||||||
Envision Healthcare Corp.* | 48 | 2,158 | ||||||
Booz Allen Hamilton Holding Corp. | 57 | 2,131 | ||||||
Valeant Pharmaceuticals International, Inc.* | 137 | 1,963 | ||||||
Hill-Rom Holdings, Inc. | 26 | 1,924 | ||||||
WEX, Inc.* | 17 | 1,908 | ||||||
HealthSouth Corp. | 39 | 1,808 | ||||||
Alere, Inc.* | 35 | 1,785 | ||||||
Acadia Healthcare Company, Inc.* | 36 | 1,719 | ||||||
Edgewell Personal Care Co.* | 22 | 1,600 | ||||||
MEDNAX, Inc.* | 37 | 1,595 | ||||||
Molina Healthcare, Inc.* | 22 | 1,513 | ||||||
TreeHouse Foods, Inc.* | 22 | 1,490 | ||||||
Mallinckrodt plc* | 39 | 1,457 | ||||||
Ritchie Bros Auctioneers, Inc. | 42 | 1,328 | ||||||
Avis Budget Group, Inc.* | 33 | 1,256 | ||||||
Cimpress N.V.* | 12 | 1,172 | ||||||
Graham Holdings Co. — Class B | 2 | 1,170 | ||||||
Performance Food Group Co.* | 41 | 1,158 | ||||||
Darling Ingredients, Inc.* | 64 | 1,121 | ||||||
Vector Group Ltd. | 54 | 1,096 | ||||||
Laureate Education, Inc. — Class A* | 75 | 1,091 | ||||||
Prestige Brands Holdings, Inc.* | 21 | 1,052 | ||||||
Select Medical Holdings Corp.* | 51 | 979 | ||||||
Sotheby’s* | 21 | 968 | ||||||
LifePoint Health, Inc.* | 16 | 926 | ||||||
B&G Foods, Inc.1 | 26 | 828 | ||||||
Horizon Pharma plc* | 65 | 824 | ||||||
Cott Corp. | 54 | 811 | ||||||
Central Garden & Pet Co.* | 20 | 777 | ||||||
Endo International plc* | 88 | 754 | ||||||
Hertz Global Holdings, Inc.*,1 | 33 | 738 | ||||||
Owens & Minor, Inc. | 24 | 701 | ||||||
Tenet Healthcare Corp.* | 41 | 674 | ||||||
Integer Holdings Corp.* | 12 | 614 | ||||||
FTI Consulting, Inc.* | 15 | 532 | ||||||
Revlon, Inc. — Class A* | 21 | 516 | ||||||
ACCO Brands Corp.* | 42 | 500 | ||||||
Quad/Graphics, Inc. | 20 | 452 | ||||||
Cardtronics plc — Class A* | 18 | 414 | ||||||
Avon Products, Inc.* | 169 | 394 | ||||||
Dean Foods Co. | 36 | 392 | ||||||
Community Health Systems, Inc.* | 45 | 346 | ||||||
SUPERVALU, Inc.* | 15 | 326 | ||||||
RR Donnelley & Sons Co. | 27 | 278 | ||||||
AMAG Pharmaceuticals, Inc.* | 14 | 258 | ||||||
Rent-A-Center, Inc.1 | 21 | 241 | ||||||
Kindred Healthcare, Inc. | 34 | 231 | ||||||
Ingles Markets, Inc. — Class A | 8 | 206 | ||||||
Everi Holdings, Inc.* | 25 | 190 | ||||||
BioScrip, Inc.* | 50 | 138 | ||||||
StoneMor Partners, LP | 15 | 98 | ||||||
Total Consumer, Non-cyclical | 119,963 | |||||||
Financial - 0.9% | ||||||||
Royal Bank of Scotland Group plc ADR*,1 | 2,307 | 16,795 | ||||||
Equinix, Inc. REIT | 31 | 13,836 | ||||||
Discover Financial Services | 144 | 9,286 | ||||||
SBA Communications Corp. REIT* | 47 | 6,770 | ||||||
Unum Group | 88 | 4,499 | ||||||
Ally Financial, Inc. | 174 | 4,221 | ||||||
Iron Mountain, Inc. REIT | 103 | 4,007 | ||||||
Icahn Enterprises, LP | 64 | 3,511 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Shares | Value | |||||||
Gaming and Leisure Properties, Inc. REIT | 83 | $ | 3,062 | |||||
Lamar Advertising Co. — Class A REIT | 38 | 2,604 | ||||||
CIT Group, Inc. | 53 | 2,600 | ||||||
Starwood Property Trust, Inc. REIT | 101 | 2,194 | ||||||
CyrusOne, Inc. REIT | 36 | 2,121 | ||||||
Howard Hughes Corp.* | 17 | 2,005 | ||||||
Credit Acceptance Corp.* | 7 | 1,961 | ||||||
LPL Financial Holdings, Inc. | 37 | 1,908 | ||||||
Medical Properties Trust, Inc. REIT | 141 | 1,851 | ||||||
CNO Financial Group, Inc. | 79 | 1,844 | ||||||
MGIC Investment Corp.* | 144 | 1,804 | ||||||
Realogy Holdings Corp. | 54 | 1,779 | ||||||
Hanover Insurance Group, Inc. | 17 | 1,648 | ||||||
Navient Corp. | 106 | 1,592 | ||||||
Radian Group, Inc. | 83 | 1,551 | ||||||
BankUnited, Inc. | 41 | 1,458 | ||||||
Popular, Inc. | 40 | 1,438 | ||||||
Sabra Health Care REIT, Inc. | 62 | 1,360 | ||||||
GEO Group, Inc. REIT | 48 | 1,291 | ||||||
Ryman Hospitality Properties, Inc. REIT | 20 | 1,250 | ||||||
CoreCivic, Inc. REIT | 46 | 1,231 | ||||||
Virtu Financial, Inc. — Class A1 | 74 | 1,199 | ||||||
Uniti Group, Inc. REIT | 71 | 1,041 | ||||||
American Equity Investment Life Holding Co. | 35 | 1,018 | ||||||
QTS Realty Trust, Inc. — Class A REIT | 19 | 995 | ||||||
Kennedy-Wilson Holdings, Inc. | 45 | 835 | ||||||
Potlatch Corp. REIT | 16 | 816 | ||||||
Genworth Financial, Inc. — Class A* | 195 | 751 | ||||||
Aircastle Ltd. | 31 | 691 | ||||||
Och-Ziff Capital Management Group LLC — Class A | 206 | 663 | ||||||
CareTrust REIT, Inc. | 30 | 571 | ||||||
iStar, Inc. REIT* | 29 | 342 | ||||||
Fifth Street Finance Corp. | 56 | 306 | ||||||
PHH Corp.* | 20 | 279 | ||||||
Fly Leasing Ltd. ADR* | 13 | 182 | ||||||
Ocwen Financial Corp.* | 51 | 175 | ||||||
Enova International, Inc.* | 13 | 175 | ||||||
RLJ Lodging Trust REIT | 1 | 12 | ||||||
Total Financial | 111,528 | |||||||
Energy - 0.8% | ||||||||
Williams Companies, Inc. | 325 | 9,754 | ||||||
Concho Resources, Inc.* | 58 | 7,639 | ||||||
Energy Transfer Equity, LP | 423 | 7,352 | ||||||
Continental Resources, Inc.* | 148 | 5,714 | ||||||
Diamondback Energy, Inc.* | 38 | 3,722 | ||||||
Antero Resources Corp.* | 124 | 2,468 | ||||||
Rice Energy, Inc.* | 84 | 2,431 | ||||||
Equities Midstream Partners, LP | 32 | 2,399 | ||||||
Antero Midstream Partners, LP | 74 | 2,333 | ||||||
Newfield Exploration Co.* | 78 | 2,314 | ||||||
Andeavor Logistics, LP | 43 | 2,153 | ||||||
RSP Permian, Inc.* | 62 | 2,145 | ||||||
Energen Corp.* | 38 | 2,078 | ||||||
DCP Midstream, LP | 57 | 1,974 | ||||||
Range Resources Corp. | 99 | 1,937 | ||||||
Murphy Oil Corp. | 68 | 1,806 | ||||||
WPX Energy, Inc.* | 155 | 1,783 | ||||||
Weatherford International plc*,1 | 388 | 1,776 | ||||||
Vermilion Energy, Inc. | 48 | 1,708 | ||||||
Transocean Ltd.*,1 | 153 | 1,646 | ||||||
Chesapeake Energy Corp.*,1 | 365 | 1,570 | ||||||
CONSOL Energy, Inc.* | 90 | 1,524 | ||||||
NuStar Energy, LP | 37 | 1,502 | ||||||
Genesis Energy, LP | 49 | 1,291 | ||||||
PDC Energy, Inc.* | 26 | 1,275 | ||||||
Southwestern Energy Co.* | 204 | 1,246 | ||||||
Laredo Petroleum, Inc.* | 94 | 1,215 | ||||||
Sunoco, LP | 39 | 1,213 | ||||||
PBF Energy, Inc. — Class A1 | 43 | 1,187 | ||||||
Matador Resources Co.* | 39 | 1,059 | ||||||
Gulfport Energy Corp.* | 73 | 1,047 | ||||||
Alliance Resource Partners, LP | 51 | 987 | ||||||
Murphy USA, Inc.* | 14 | 966 | ||||||
Callon Petroleum Co.* | 83 | 933 | ||||||
SemGroup Corp. — Class A | 31 | 891 | ||||||
Holly Energy Partners, LP | 26 | 868 | ||||||
Oasis Petroleum, Inc.* | 93 | 848 | ||||||
TerraForm Power, Inc. — Class A* | 64 | 846 | ||||||
Delek US Holdings, Inc. | 31 | 829 | ||||||
McDermott International, Inc.* | 113 | 822 | ||||||
Pattern Energy Group, Inc. | 34 | 819 | ||||||
QEP Resources, Inc.* | 95 | 814 | ||||||
SM Energy Co. | 44 | 781 | ||||||
Whiting Petroleum Corp.* | 142 | 775 | ||||||
Ensco plc — Class A1 | 117 | 698 | ||||||
Rowan Companies plc — Class A* | 49 | 630 | ||||||
Forum Energy Technologies, Inc.* | 38 | 604 | ||||||
NGL Energy Partners, LP | 49 | 566 | ||||||
Carrizo Oil & Gas, Inc.* | 33 | 565 | ||||||
WildHorse Resource Development Corp.*,1 | 40 | 533 | ||||||
PBF Logistics, LP | 23 | 483 | ||||||
Noble Corporation plc* | 94 | 432 | ||||||
Unit Corp.* | 20 | 412 | ||||||
Archrock Partners, LP | 27 | 385 | ||||||
Precision Drilling Corp.* | 115 | 359 | ||||||
TerraForm Global, Inc. — Class A* | 71 | 337 | ||||||
EP Energy Corp. — Class A* | 102 | 333 | ||||||
SEACOR Holdings, Inc.* | 7 | 323 | ||||||
Enviva Partners, LP | 10 | 296 | ||||||
Atwood Oceanics, Inc.*,1 | 31 | 291 | ||||||
Baytex Energy Corp.* | 95 | 286 | ||||||
American Midstream Partners, LP | 20 | 273 | ||||||
Eclipse Resources Corp.* | 106 | 265 | ||||||
Calumet Specialty Products Partners, LP* | 30 | 251 | ||||||
Resolute Energy Corp.* | 8 | 238 | ||||||
SunCoke Energy, Inc.* | 25 | 229 | ||||||
Denbury Resources, Inc.* | 156 | 209 | ||||||
Sanchez Energy Corp.* | 33 | 159 | ||||||
Bristow Group, Inc. | 14 | 131 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Shares | Value | |||||||
Bill Barrett Corp.* | 30 | $ | 129 | |||||
Cloud Peak Energy, Inc.* | 29 | 106 | ||||||
Approach Resources, Inc.*,1 | 35 | 88 | ||||||
Jones Energy, Inc. — Class A* | 37 | 71 | ||||||
Total Energy | 100,122 | |||||||
Industrial - 0.8% | ||||||||
CNH Industrial N.V. | 531 | 6,377 | ||||||
Ball Corp. | 138 | 5,700 | ||||||
TransDigm Group, Inc. | 20 | 5,112 | ||||||
Arconic, Inc. | 173 | 4,304 | ||||||
Huntington Ingalls Industries, Inc. | 18 | 4,076 | ||||||
Sensata Technologies Holding N.V.* | 66 | 3,172 | ||||||
Crown Holdings, Inc.* | 53 | 3,166 | ||||||
Sealed Air Corp. | 74 | 3,162 | ||||||
XPO Logistics, Inc.* | 46 | 3,117 | ||||||
Orbital ATK, Inc.1 | 22 | 2,930 | ||||||
Berry Global Group, Inc.* | 51 | 2,889 | ||||||
Oshkosh Corp. | 29 | 2,393 | ||||||
Zebra Technologies Corp. — Class A* | 21 | 2,280 | ||||||
AECOM* | 61 | 2,245 | ||||||
Jabil, Inc. | 70 | 1,999 | ||||||
Trinity Industries, Inc. | 59 | 1,883 | ||||||
USG Corp.* | 56 | 1,827 | ||||||
Graphic Packaging Holding Co. | 122 | 1,702 | ||||||
Owens-Illinois, Inc.* | 64 | 1,610 | ||||||
Terex Corp. | 35 | 1,576 | ||||||
Louisiana-Pacific Corp.* | 57 | 1,544 | ||||||
MasTec, Inc.* | 32 | 1,485 | ||||||
Summit Materials, Inc. — Class A* | 44 | 1,409 | ||||||
Belden, Inc. | 17 | 1,369 | ||||||
Silgan Holdings, Inc. | 43 | 1,265 | ||||||
Clean Harbors, Inc.* | 22 | 1,247 | ||||||
Welbilt, Inc.* | 53 | 1,222 | ||||||
EnerSys | 17 | 1,176 | ||||||
Greif, Inc. — Class A | 19 | 1,112 | ||||||
Energizer Holdings, Inc. | 24 | 1,105 | ||||||
Sanmina Corp.* | 29 | 1,077 | ||||||
KLX, Inc.* | 20 | 1,059 | ||||||
Hillenbrand, Inc. | 24 | 932 | ||||||
Advanced Disposal Services, Inc.* | 35 | 882 | ||||||
Masonite International Corp.* | 12 | 830 | ||||||
Builders FirstSource, Inc.* | 44 | 792 | ||||||
Covanta Holding Corp. | 51 | 757 | ||||||
Triumph Group, Inc. | 24 | 714 | ||||||
EnPro Industries, Inc. | 8 | 644 | ||||||
SPX FLOW, Inc.* | 16 | 617 | ||||||
Actuant Corp. — Class A | 23 | 589 | ||||||
Multi-Color Corp. | 7 | 574 | ||||||
Tutor Perini Corp.* | 19 | 540 | ||||||
Boise Cascade Co.* | 15 | 524 | ||||||
Manitowoc Company, Inc.* | 57 | 513 | ||||||
Kratos Defense & Security Solutions, Inc.* | 39 | 510 | ||||||
Tennant Co. | 7 | 463 | ||||||
Ply Gem Holdings, Inc.* | 27 | 460 | ||||||
NCI Building Systems, Inc.* | 28 | 437 | ||||||
Griffon Corp. | 19 | 422 | ||||||
Briggs & Stratton Corp. | 17 | 400 | ||||||
Gibraltar Industries, Inc.* | 12 | 374 | ||||||
General Cable Corp. | 19 | 358 | ||||||
Teekay Corp. | 35 | 313 | ||||||
NN, Inc. | 10 | 290 | ||||||
Martin Midstream Partners, LP | 15 | 233 | ||||||
LSB Industries, Inc.* | 11 | 87 | ||||||
Navios Maritime Holdings, Inc.* | 50 | 84 | ||||||
Hornbeck Offshore Services, Inc.* | 13 | 53 | ||||||
Total Industrial | 89,982 | |||||||
Technology - 0.7% | ||||||||
Micron Technology, Inc.* | 436 | 17,147 | ||||||
NXP Semiconductor N.V.* | 132 | 14,928 | ||||||
Western Digital Corp. | 112 | 9,676 | ||||||
MSCI, Inc. — Class A | 35 | 4,091 | ||||||
Leidos Holdings, Inc. | 59 | 3,494 | ||||||
CDK Global, Inc. | 55 | 3,470 | ||||||
Qorvo, Inc.* | 49 | 3,463 | ||||||
Open Text Corp. | 104 | 3,358 | ||||||
SS&C Technologies Holdings, Inc. | 80 | 3,212 | ||||||
PTC, Inc.* | 46 | 2,589 | ||||||
Microsemi Corp.* | 45 | 2,317 | ||||||
Brocade Communications Systems, Inc. | 161 | 1,924 | ||||||
NCR Corp.* | 48 | 1,801 | ||||||
Nuance Communications, Inc.* | 114 | 1,792 | ||||||
Entegris, Inc.* | 56 | 1,616 | ||||||
j2 Global, Inc. | 19 | 1,404 | ||||||
Conduent, Inc.* | 83 | 1,301 | ||||||
ACI Worldwide, Inc.* | 47 | 1,071 | ||||||
Amkor Technology, Inc.* | 92 | 971 | ||||||
Engility Holdings, Inc.* | 14 | 486 | ||||||
Unisys Corp.* | 20 | 170 | ||||||
MagnaChip Semiconductor Corp.* | 14 | 159 | ||||||
Total Technology | 80,440 | |||||||
Basic Materials - 0.5% | ||||||||
ArcelorMittal* | 405 | 10,433 | ||||||
Freeport-McMoRan, Inc.* | 567 | 7,960 | ||||||
Chemours Co. | 71 | 3,594 | ||||||
Steel Dynamics, Inc. | 94 | 3,240 | ||||||
CF Industries Holdings, Inc. | 90 | 3,164 | ||||||
Axalta Coating Systems Ltd.* | 95 | 2,747 | ||||||
Huntsman Corp. | 93 | 2,550 | ||||||
Olin Corp. | 63 | 2,158 | ||||||
Kinross Gold Corp.* | 487 | 2,065 | ||||||
WR Grace & Co. | 27 | 1,948 | ||||||
United States Steel Corp. | 70 | 1,796 | ||||||
Methanex Corp. | 34 | 1,710 | ||||||
Ashland Global Holdings, Inc. | 24 | 1,569 | ||||||
PolyOne Corp. | 32 | 1,281 | ||||||
Platform Specialty Products Corp.* | 112 | 1,249 | ||||||
IAMGOLD Corp.* | 185 | 1,129 | ||||||
Allegheny Technologies, Inc.* | 41 | 980 | ||||||
Tronox Ltd. — Class A | 46 | 971 | ||||||
Ferroglobe plc | 67 | 882 | ||||||
GCP Applied Technologies, Inc.* | 28 | 860 |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Shares | Value | |||||||
New Gold, Inc.* | 231 | $ | 857 | |||||
Compass Minerals International, Inc.1 | 13 | 844 | ||||||
Commercial Metals Co. | 44 | 837 | ||||||
Cleveland-Cliffs, Inc.* | 116 | 829 | ||||||
Hecla Mining Co. | 157 | 788 | ||||||
Kaiser Aluminum Corp. | 7 | 722 | ||||||
Eldorado Gold Corp. | 319 | 702 | ||||||
Hudbay Minerals, Inc. | 94 | 700 | ||||||
AK Steel Holding Corp.* | 125 | 699 | ||||||
Coeur Mining, Inc.* | 70 | 643 | ||||||
Neenah Paper, Inc. | 7 | 598 | ||||||
Century Aluminum Co.* | 35 | 580 | ||||||
Kraton Corp.* | 12 | 485 | ||||||
Constellium N.V. — Class A* | 42 | 431 | ||||||
A. Schulman, Inc. | 12 | 410 | ||||||
Koppers Holdings, Inc.* | 8 | 369 | ||||||
PH Glatfelter Co. | 17 | 331 | ||||||
Mercer International, Inc. | 26 | 308 | ||||||
Clearwater Paper Corp.* | 6 | 296 | ||||||
Rayonier Advanced Materials, Inc. | 17 | 233 | ||||||
Ryerson Holding Corp.* | 14 | 152 | ||||||
Total Basic Materials | 64,100 | |||||||
Utilities - 0.1% | ||||||||
FirstEnergy Corp. | 174 | 5,364 | ||||||
NRG Energy, Inc. | 125 | 3,199 | ||||||
AES Corp. | 257 | 2,832 | ||||||
Calpine Corp.* | 142 | 2,095 | ||||||
AmeriGas Partners, LP | 37 | 1,663 | ||||||
Atlantica Yield plc | 40 | 788 | ||||||
Dynegy, Inc.* | 51 | 499 | ||||||
Total Utilities | 16,440 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 142 | 3,585 | ||||||
HRG Group, Inc.* | 79 | 1,233 | ||||||
Total Diversified | 4,818 | |||||||
Total Common Stocks | ||||||||
(Cost $852,338) | 964,056 | |||||||
RIGHTS†††- 0.0% | ||||||||
Nexstar Media Group, Inc. | ||||||||
Expires 01/18/192,* | 34 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
EXCHANGE-TRADED FUNDS† - 0.5% | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF1 | 700 | 62,132 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $60,823) | 62,132 | |||||||
MUTUAL FUNDS† - 68.7% | ||||||||
Guggenheim Strategy Fund II3 | 165,586 | 4,149,597 | ||||||
Guggenheim Strategy Fund I3 | 159,535 | 4,005,920 | ||||||
Total Mutual Funds | ||||||||
(Cost $8,104,448) | 8,155,517 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,4 - 19.2% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/175 | $ | 1,143,266 | 1,143,266 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/175 | 571,633 | 571,633 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/175 | 293,129 | 293,129 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 251,671 | 251,671 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 26,395 | 26,395 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,286,094) | 2,286,094 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,6 - 0.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%7 | 81,922 | 81,922 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $81,922) | 81,922 | |||||||
Total Investments - 97.2% | ||||||||
(Cost $11,385,625) | $ | 11,549,721 | ||||||
Other Assets & Liabilities, net - 2.8% | 326,909 | |||||||
Total Net Assets - 100.0% | $ | 11,876,630 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Gain (Loss) | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
Russell 2000 Index Mini Futures Contracts | 13 | Dec 2017 | $ | 969,995 | $ | 50,322 | |||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 61 | Dec 2017 | 7,164,641 | (43,291 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Credit Suisse Capital, LLC | Credit Suisse Illiquidity Premium Liquid Index | 3.11 | % | At Maturity | 12/18/17 | 406 | $ | 663,904 | $ | 1,406 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS††,8 | ||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Principal | Notional Value | Upfront Premiums Paid | Unrealized Gain (Loss) | |||||||||||||||
Barclays Bank plc | ICE | CDX.NA.HY.29 Index | 5.00 | % | At Maturity | 12/20/22 | $ | 7,100,000 | $ | 7,657,350 | $ | 525,255 | $ | 32,095 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at September 30, 2017. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Affiliated issuer. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7 day yield as of September 30, 2017. |
8 | Credit Default Swaps — See Note 2. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
CDX.NA.HY.29 Index — Credit Default Swap High Yield Series 29 Index | |
ICE — Intercontinental Exchange | |
See Sector Classification in Other Information section. |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 964,056 | $ | — | $ | — | $ | — | $ | — | $ | 964,056 | ||||||||||||
Credit Default Swaps | — | — | — | 32,095 | — | 32,095 | ||||||||||||||||||
Equity Futures Contracts | — | 50,322 | — | — | — | 50,322 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 1,406 | — | 1,406 | ||||||||||||||||||
Exchange-Traded Funds | 62,132 | — | — | — | — | 62,132 | ||||||||||||||||||
Mutual Funds | 8,155,517 | — | — | — | — | 8,155,517 | ||||||||||||||||||
Repurchase Agreements | — | — | 2,286,094 | — | — | 2,286,094 | ||||||||||||||||||
Rights | — | — | — | — | — | ** | — | |||||||||||||||||
Securities Lending Collateral | 81,922 | — | — | — | — | 81,922 | ||||||||||||||||||
Total Assets | $ | 9,263,627 | $ | 50,322 | $ | 2,286,094 | $ | 33,501 | $ | — | $ | 11,633,544 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Interest Rate Futures Contracts | $ | — | $ | 43,291 | $ | — | $ | — | $ | — | $ | 43,291 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
** | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
Transactions during the period ended September 30, 2017, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value 03/31/17 | Additions | Reductions | Realized Gain (Loss) | Change in Unrealized | Value 09/30/17 | Shares 09/30/17 | Investment Income | ||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 4,010,513 | $ | 85,817 | $ | (100,000 | ) | $ | 77 | $ | 9,513 | $ | 4,005,920 | 159,535 | $ | 35,992 | ||||||||||||||||
Guggenheim Strategy Fund II | 4,043,826 | 95,880 | — | — | 9,891 | 4,149,597 | 165,586 | 46,104 | ||||||||||||||||||||||||
$ | 8,054,339 | $ | 181,697 | $ | (100,000 | ) | $ | 77 | $ | 19,404 | $ | 8,155,517 | — | $ | 82,096 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $79,901 of securities loaned (cost $995,083) | $ | 1,108,110 | ||
Investments in affiliated issuers, at value (cost $8,104,448) | 8,155,517 | |||
Repurchase agreements, at value (cost $2,286,094) | 2,286,094 | |||
Cash | 13 | |||
Segregated cash with broker | 73,904 | |||
Unamortized upfront premiums paid on credit default swaps | 525,255 | |||
Unrealized appreciation on swap agreements | 33,501 | |||
Receivables: | ||||
Dividends | 14,424 | |||
Interest | 10,974 | |||
Investment adviser | 1,398 | |||
Securities lending income | 56 | |||
Foreign taxes reclaim | 21 | |||
Total assets | 12,209,267 | |||
Liabilities: | ||||
Segregated cash due to broker | 175,067 | |||
Payable for: | ||||
Return of securities loaned | 81,922 | |||
Licensing fees | 31,544 | |||
Securities purchased | 14,255 | |||
Variation margin | 13,062 | |||
Management fees | 8,559 | |||
Transfer agent and administrative fees | 2,378 | |||
Portfolio accounting fees | 951 | |||
Distribution and service fees | 784 | |||
Fund shares redeemed | 265 | |||
Miscellaneous | 3,850 | |||
Total liabilities | 332,637 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 11,876,630 | ||
Net assets consist of: | ||||
Paid in capital | $ | 11,993,524 | ||
Undistributed net investment income | 183,866 | |||
Accumulated net realized loss on investments | (505,388 | ) | ||
Net unrealized appreciation on investments | 204,628 | |||
Net assets | $ | 11,876,630 | ||
A-Class: | ||||
Net assets | $ | 752,743 | ||
Capital shares outstanding | 27,635 | |||
Net asset value per share | $ | 27.24 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 28.60 | ||
C-Class: | ||||
Net assets | $ | 418,714 | ||
Capital shares outstanding | 16,364 | |||
Net asset value per share | $ | 25.59 | ||
P-Class: | ||||
Net assets | $ | 1,387,358 | ||
Capital shares outstanding | 50,934 | |||
Net asset value per share | $ | 27.24 | ||
Institutional Class: | ||||
Net assets | $ | 9,317,815 | ||
Capital shares outstanding | 335,280 | |||
Net asset value per share | $ | 27.79 |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $221) | $ | 10,077 | ||
Dividends from securities of affiliated issuers | 82,096 | |||
Interest | 10,840 | |||
Income from securities lending, net | 436 | |||
Total investment income | 103,449 | |||
Expenses: | ||||
Management fees | 54,550 | |||
Distribution and service fees: | ||||
A-Class | 1,036 | |||
C-Class | 2,270 | |||
P-Class | 1,770 | |||
Transfer agent and administrative fees | 15,153 | |||
Licensing fees | 21,214 | |||
Registration fees | 6,319 | |||
Portfolio accounting fees | 6,061 | |||
Custodian fees | 805 | |||
Trustees’ fees* | 534 | |||
Miscellaneous | 3,913 | |||
Total expenses | 113,625 | |||
Less: | ||||
Expenses waived by Adviser | (8,537 | ) | ||
Net expenses | 105,088 | |||
Net investment loss | (1,639 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (42,065 | ) | ||
Investments in affiliated issuers | 77 | |||
Swap agreements | 245,827 | |||
Futures contracts | 43,646 | |||
Net realized gain | 247,485 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 66,995 | |||
Investments in affiliated issuers | 19,404 | |||
Swap agreements | 19,262 | |||
Futures contracts | (1,086 | ) | ||
Net change in unrealized appreciation (depreciation) | 104,575 | |||
Net realized and unrealized gain | 352,060 | |||
Net increase in net assets resulting from operations | $ | 350,421 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a) (19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (1,639 | ) | $ | (12,118 | ) | ||
Net realized gain on investments | 247,485 | 474,349 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 104,575 | 44,621 | ||||||
Net increase in net assets resulting from operations | 350,421 | 506,852 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (29,624 | ) | |||||
C-Class | — | (20,378 | ) | |||||
P-Class | — | (46,774 | ) | |||||
Institutional Class | — | (168,247 | ) | |||||
Total distributions to shareholders | — | (265,023 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 47,524 | 250,425 | ||||||
C-Class | — | 51,677 | ||||||
P-Class | 7,542 | 273,654 | ||||||
Institutional Class | 1,744,968 | 6,558,028 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 27,331 | ||||||
C-Class | — | 20,350 | ||||||
P-Class | — | 45,762 | ||||||
Institutional Class | — | 167,793 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (189,452 | ) | (357,743 | ) | ||||
C-Class | (89,584 | ) | (471,976 | ) | ||||
P-Class | (100,227 | ) | (588,498 | ) | ||||
Institutional Class | (2,631,088 | ) | (1,244,024 | ) | ||||
Net increase (decrease) from capital share transactions | (1,210,317 | ) | 4,732,779 | |||||
Net increase (decrease) in net assets | (859,896 | ) | 4,974,608 | |||||
Net assets: | ||||||||
Beginning of period | 12,736,526 | 7,761,918 | ||||||
End of period | $ | 11,876,630 | $ | 12,736,526 | ||||
Undistributed net investment income at end of period | $ | 183,866 | $ | 185,505 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,787 | 9,471 | ||||||
C-Class | — | 2,046 | ||||||
P-Class | 284 | 10,369 | ||||||
Institutional Class | 63,824 | 244,474 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 1,044 | ||||||
C-Class | — | 822 | ||||||
P-Class | — | 1,747 | ||||||
Institutional Class | — | 6,294 | ||||||
Shares redeemed | ||||||||
A-Class | (7,107 | ) | (13,552 | ) | ||||
C-Class | (3,562 | ) | (18,794 | ) | ||||
P-Class | (3,753 | ) | (22,397 | ) | ||||
Institutional Class | (96,852 | ) | (46,313 | ) | ||||
Net increase (decrease) in shares | (45,379 | ) | 175,211 |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.45 | $ | 25.76 | $ | 26.82 | $ | 28.42 | $ | 27.56 | $ | 25.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | (.07 | ) | .03 | (.31 | ) | (.49 | ) | (.21 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | .82 | 1.63 | (.72 | ) | (.09 | ) | 3.09 | 2.40 | ||||||||||||||||
Total from investment operations | .79 | 1.56 | (.69 | ) | (.40 | ) | 2.60 | 2.19 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.37 | ) | (.06 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | (1.14 | ) | (1.74 | ) | — | ||||||||||||||||
Total distributions | — | (.87 | ) | (.37 | ) | (1.20 | ) | (1.74 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 27.24 | $ | 26.45 | $ | 25.76 | $ | 26.82 | $ | 28.42 | $ | 27.56 | ||||||||||||
Total Returnc | 2.99 | % | 6.11 | % | (2.52 | %) | (1.18 | %) | 9.58 | % | 8.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 753 | $ | 872 | $ | 927 | $ | 1,371 | $ | 4,303 | $ | 2,080 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.19 | %) | (0.25 | %) | 0.11 | % | (1.10 | %) | (1.73 | %) | (0.80 | %) | ||||||||||||
Total expensesd | 2.04 | % | 2.02 | % | 2.00 | % | 2.01 | % | 2.02 | % | 2.03 | % | ||||||||||||
Net expensese | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.91 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 47 | % | 32 | % | 107 | % | 161 | % | 228 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.94 | $ | 24.52 | $ | 25.74 | $ | 27.53 | $ | 26.95 | $ | 24.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | (.25 | ) | (.16 | ) | (.45 | ) | (.67 | ) | (.43 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | .77 | 1.54 | (.69 | ) | (.14 | ) | 2.99 | 2.39 | ||||||||||||||||
Total from investment operations | .65 | 1.29 | (.85 | ) | (.59 | ) | 2.32 | 1.96 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.37 | ) | (.06 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | (1.14 | ) | (1.74 | ) | — | ||||||||||||||||
Total distributions | — | (.87 | ) | (.37 | ) | (1.20 | ) | (1.74 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 25.59 | $ | 24.94 | $ | 24.52 | $ | 25.74 | $ | 27.53 | $ | 26.95 | ||||||||||||
Total Returnc | 2.61 | % | 5.31 | % | (3.25 | %) | (1.92 | %) | 8.74 | % | 7.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 419 | $ | 497 | $ | 879 | $ | 1,230 | $ | 1,253 | $ | 1,038 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.94 | %) | (0.98 | %) | (0.64 | %) | (1.68 | %) | (2.45 | %) | (1.67 | %) | ||||||||||||
Total expensesd | 2.79 | % | 2.77 | % | 2.75 | % | 2.75 | % | 2.77 | % | 2.79 | % | ||||||||||||
Net expensese | 2.65 | % | 2.64 | % | 2.65 | % | 2.65 | % | 2.65 | % | 2.66 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 47 | % | 32 | % | 107 | % | 161 | % | 228 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
EVENT DRIVEN AND DISTRESSED STRATEGIES 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.
P-Class* | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.45 | $ | 25.76 | $ | 26.82 | $ | 28.42 | $ | 27.57 | $ | 25.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.06 | ) | .02 | (.29 | ) | (.49 | ) | (.23 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | .81 | 1.62 | (.71 | ) | (.11 | ) | 3.08 | 2.43 | ||||||||||||||||
Total from investment operations | .79 | 1.56 | (.69 | ) | (.40 | ) | 2.59 | 2.20 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.37 | ) | (.06 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | (1.14 | ) | (1.74 | ) | — | ||||||||||||||||
Total distributions | — | (.87 | ) | (.37 | ) | (1.20 | ) | (1.74 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 27.24 | $ | 26.45 | $ | 25.76 | $ | 26.82 | $ | 28.42 | $ | 27.57 | ||||||||||||
Total Returnc | 2.99 | % | 6.11 | % | (2.52 | %) | (1.18 | %) | 9.54 | % | 8.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,387 | $ | 1,439 | $ | 1,667 | $ | 3,318 | $ | 6,809 | $ | 6,134 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.18 | %) | (0.24 | %) | 0.09 | % | (1.05 | %) | (1.72 | %) | (0.88 | %) | ||||||||||||
Total expensesd | 2.04 | % | 2.02 | % | 2.00 | % | 2.01 | % | 2.02 | % | 2.03 | % | ||||||||||||
Net expensese | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.91 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 47 | % | 32 | % | 107 | % | 161 | % | 228 | % |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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.
Institutional Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014 | Year Ended March 28, 2013 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.96 | $ | 26.18 | $ | 27.17 | $ | 28.71 | $ | 27.76 | $ | 25.49 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | — | f | .10 | (.16 | ) | (.42 | ) | (.19 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .82 | 1.65 | (.72 | ) | (.18 | ) | 3.11 | 2.46 | ||||||||||||||||
Total from investment operations | .83 | 1.65 | (.62 | ) | (.34 | ) | 2.69 | 2.27 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.37 | ) | (.06 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | (1.14 | ) | (1.74 | ) | — | ||||||||||||||||
Total distributions | — | (.87 | ) | (.37 | ) | (1.20 | ) | (1.74 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 27.79 | $ | 26.96 | $ | 26.18 | $ | 27.17 | $ | 28.71 | $ | 27.76 | ||||||||||||
Total Returnc | 3.08 | % | 6.36 | % | (2.23 | %) | (0.96 | %) | 9.84 | % | 8.91 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,318 | $ | 9,929 | $ | 4,289 | $ | 3,746 | $ | 975 | $ | 891 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.05 | % | 0.01 | % | 0.37 | % | (0.57 | %) | (1.46 | %) | (0.70 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.78 | % | 1.75 | % | 1.75 | % | 1.77 | % | 1.80 | % | ||||||||||||
Net expensese | 1.65 | % | 1.65 | % | 1.65 | % | 1.65 | % | 1.65 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 47 | % | 32 | % | 107 | % | 161 | % | 228 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers. |
f | Net investment income is less than $0.01 per share. |
* | H-Class shares redesignated as P-Class shares effective following the close of business on April 30, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028140_38.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | October 29, 2010 |
C-Class | October 29, 2010 |
H-Class | October 29, 2010 |
Ten Largest Holdings (% of Total Net Assets) | |
Alibaba Group Holding Ltd. ADR | 12.0% |
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 8.5% |
Baidu, Inc. ADR | 4.1% |
China Mobile Ltd. ADR | 3.4% |
Itau Unibanco Holding S.A. ADR | 2.7% |
HDFC Bank Ltd. ADR | 2.4% |
Banco Bradesco S.A. ADR | 2.0% |
Vale S.A. ADR | 1.9% |
JD.com, Inc. ADR | 1.8% |
Infosys Ltd. ADR | 1.8% |
Top Ten Total | 40.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | Since Inception (10/29/10) | |
A-Class Shares | 31.58% | 44.46% | 1.42% | (4.96%) |
A-Class Shares with sales charge‡ | 25.33% | 37.60% | 0.44% | (5.63%) |
C-Class Shares | 31.07% | 43.40% | 0.77% | (5.48%) |
C-Class Shares with CDSC§ | 30.07% | 42.40% | 0.77% | (5.48%) |
H-Class Shares | 31.57% | 44.33% | 1.36% | (4.96%) |
BNY Mellon Emerging Markets 50 ADR Index | 16.26% | 23.33% | 3.85% | 1.24% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 13.94% |
* | 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 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 return. |
† | 6 month returns are not annualized. |
‡ | 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. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
EMERGING MARKETS 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 67.5% | ||||||||
Communications - 29.0% | ||||||||
Alibaba Group Holding Ltd. ADR* | 13,755 | $ | 2,375,625 | |||||
Baidu, Inc. ADR* | 3,268 | 809,451 | ||||||
China Mobile Ltd. ADR | 13,141 | 664,539 | ||||||
JD.com, Inc. ADR* | 9,256 | 353,579 | ||||||
Ctrip.com International Ltd. ADR* | 4,812 | 253,785 | ||||||
America Movil SAB de CV — Class L ADR | 13,845 | 245,749 | ||||||
Telekomunikasi Indonesia Persero Tbk PT ADR | 5,895 | 202,199 | ||||||
Chunghwa Telecom Company Ltd. ADR | 4,537 | 154,757 | ||||||
Grupo Televisa SAB ADR | 5,222 | 128,827 | ||||||
SK Telecom Company Ltd. ADR | 4,250 | 104,508 | ||||||
China Unicom Hong Kong Ltd. ADR* | 7,135 | 100,104 | ||||||
China Telecom Corporation Ltd. ADR | 1,656 | 84,655 | ||||||
Telefonica Brasil S.A. ADR | 4,943 | 78,297 | ||||||
58.com, Inc. ADR* | 1,064 | 67,181 | ||||||
Mobile TeleSystems PJSC ADR | 6,082 | 63,496 | ||||||
Weibo Corp. ADR* | 599 | 59,265 | ||||||
Total Communications | 5,746,017 | |||||||
Technology - 12.7% | ||||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 44,554 | 1,673,002 | ||||||
Infosys Ltd. ADR | 23,832 | 347,709 | ||||||
NetEase, Inc. ADR | 886 | 233,736 | ||||||
Advanced Semiconductor Engineering, Inc. ADR | 16,203 | 100,135 | ||||||
Wipro Ltd. ADR | 13,925 | 79,094 | ||||||
United Microelectronics Corp. ADR1 | 28,392 | 70,980 | ||||||
Total Technology | 2,504,656 | |||||||
Financial - 9.4% | ||||||||
HDFC Bank Ltd. ADR | 5,007 | 482,524 | ||||||
Banco Bradesco S.A. ADR | 36,496 | 404,011 | ||||||
China Life Insurance Company Ltd. ADR | 17,762 | 267,318 | ||||||
Shinhan Financial Group Company Ltd. ADR | 5,659 | 250,694 | ||||||
KB Financial Group, Inc. ADR | 4,741 | 232,451 | ||||||
ICICI Bank Ltd. ADR | 18,664 | 159,764 | ||||||
Bancolombia S.A. ADR | 1,349 | 61,771 | ||||||
Total Financial | 1,858,533 | |||||||
Energy - 5.8% | ||||||||
CNOOC Ltd. ADR | 1,918 | 248,764 | ||||||
China Petroleum & Chemical Corp. ADR | 3,045 | 230,689 | ||||||
Sasol Ltd. ADR | 7,068 | 194,582 | ||||||
Petroleo Brasileiro S.A. ADR* | 17,765 | 178,361 | ||||||
PetroChina Company Ltd. ADR | 2,518 | 161,429 | ||||||
Ultrapar Participacoes S.A. ADR | 5,180 | 123,388 | ||||||
Total Energy | 1,137,213 | |||||||
Consumer, Non-cyclical - 4.1% | ||||||||
Ambev S.A. ADR | 52,503 | 345,995 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 2,579 | 246,372 | ||||||
TAL Education Group ADR | 3,334 | 112,389 | ||||||
BRF S.A. ADR* | 7,466 | 107,585 | ||||||
Total Consumer, Non-cyclical | 812,341 | |||||||
Basic Materials - 3.7% | ||||||||
Vale S.A. ADR | 37,408 | 376,698 | ||||||
POSCO ADR | 3,829 | 265,733 | ||||||
Vedanta Ltd. ADR | 4,991 | 96,626 | ||||||
Total Basic Materials | 739,057 | |||||||
Industrial - 1.2% | ||||||||
Cemex SAB de CV ADR* | 17,383 | 157,838 | ||||||
LG Display Company Ltd. ADR | 5,295 | 71,059 | ||||||
Total Industrial | 228,897 | |||||||
Utilities - 0.9% | ||||||||
Korea Electric Power Corp. ADR1 | 6,129 | 102,722 | ||||||
Enel Americas S.A. ADR | 6,720 | 68,678 | ||||||
Total Utilities | 171,400 | |||||||
Consumer, Cyclical - 0.7% | ||||||||
Tata Motors Ltd. ADR* | 2,412 | 75,423 | ||||||
Latam Airlines Group S.A. ADR | 4,563 | 60,460 | ||||||
Total Consumer, Cyclical | 135,883 | |||||||
Total Common Stocks | ||||||||
(Cost $12,054,836) | 13,333,997 | |||||||
PREFERRED STOCKS†† - 3.9% | ||||||||
Financial - 2.7% | ||||||||
Itau Unibanco Holding S.A. ADR | 38,556 | 528,217 | ||||||
Energy - 1.2% | ||||||||
Petroleo Brasileiro S.A. ADR* | 25,072 | 242,196 | ||||||
Total Preferred Stocks | ||||||||
(Cost $658,370) | 770,413 |
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 26.7% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/173 | $ | 2,645,287 | 2,645,287 | |||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/173 | 1,322,643 | 1,322,643 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/173 | 927,450 | 927,450 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 356,763 | 356,763 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 37,416 | 37,416 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $5,289,559) | 5,289,559 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | September 30, 2017 |
EMERGING MARKETS 2x STRATEGY FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,4 - 0.7% | ||||||||
First American Government Obligations Fund — Class Z, 0.89%5 | 137,270 | $ | 137,270 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $137,270) | 137,270 | |||||||
Total Investments - 98.8% | ||||||||
(Cost $18,140,035) | $ | 19,531,239 | ||||||
Other Assets & Liabilities, net - 1.2% | 244,219 | |||||||
Total Net Assets - 100.0% | $ | 19,775,458 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Gain | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
MSCI EAFE Index Mini Futures Contracts | 4 | Dec 2017 | $ | 217,780 | $ | 2,313 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | 1.74 | % | At Maturity | 10/30/17 | 5,966 | $ | 16,031,498 | $ | 137,125 | |||||||||
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | 1.75 | % | At Maturity | 10/27/17 | 3,345 | 8,989,322 | 80,381 | |||||||||||
$ | 25,020,820 | $ | 217,506 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or portion of this security is on loan at September 30, 2017 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
4 | Securities lending collateral — See Note 7. |
5 | Rate indicated is the 7 day yield as of September 30, 2017. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
EMERGING MARKETS 2x STRATEGY FUND |
Country | % of Securities |
China | 33% |
Brazil | 17% |
Taiwan, Province of China | 14% |
India | 9% |
Cayman Islands | 8% |
Republic of Korea | 7% |
Mexico | 6% |
Other | 6% |
Total Securities | 100% |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Common Stocks | $ | 13,333,997 | $ | — | $ | — | $ | — | $ | — | $ | 13,333,997 | ||||||||||||
Equity Futures Contracts | — | 2,313 | — | — | — | 2,313 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 217,506 | — | 217,506 | ||||||||||||||||||
Preferred Stocks | 770,413 | — | — | — | — | 770,413 | ||||||||||||||||||
Repurchase Agreements | — | — | 5,289,559 | — | — | 5,289,559 | ||||||||||||||||||
Securities Lending Collateral | 137,270 | — | — | — | — | 137,270 | ||||||||||||||||||
Total Assets | $ | 14,241,680 | $ | 2,313 | $ | 5,289,559 | $ | 217,506 | $ | — | $ | 19,751,058 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
EMERGING MARKETS 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Investments, at value - including $129,746 of securities loaned (cost $12,850,476) | $ | 14,241,680 | ||
Repurchase agreements, at value (cost $5,289,559) | 5,289,559 | |||
Cash | 949 | |||
Segregated cash with broker | 12,600 | |||
Unrealized appreciation on swap agreements | 217,506 | |||
Receivables: | ||||
Fund shares sold | 556,345 | |||
Dividends | 48,502 | |||
Variation margin | 3,676 | |||
Interest | 294 | |||
Securities lending income | 104 | |||
Foreign taxes reclaim | 6 | |||
Total assets | 20,371,221 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 409,956 | |||
Return of securities loaned | 137,270 | |||
Management fees | 19,277 | |||
Distribution and service fees | 5,772 | |||
Transfer agent and administrative fees | 5,355 | |||
Swap settlement | 3,627 | |||
Portfolio accounting fees | 3,213 | |||
Miscellaneous | 11,293 | |||
Total liabilities | 595,763 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 19,775,458 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,644,914 | ||
Accumulated net investment loss | (13,383 | ) | ||
Accumulated net realized loss on investments | (8,467,096 | ) | ||
Net unrealized appreciation on investments | 1,611,023 | |||
Net assets | $ | 19,775,458 | ||
A-Class: | ||||
Net assets | $ | 3,666,178 | ||
Capital shares outstanding | 45,685 | |||
Net asset value per share | $ | 80.25 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 84.25 | ||
C-Class: | ||||
Net assets | $ | 620,855 | ||
Capital shares outstanding | 8,043 | |||
Net asset value per share | $ | 77.19 | ||
H-Class: | ||||
Net assets | $ | 15,488,425 | ||
Capital shares outstanding | 192,977 | |||
Net asset value per share | $ | 80.26 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,466) | $ | 134,755 | ||
Interest | 35,429 | |||
Income from securities lending, net | 191 | |||
Total investment income | 170,375 | |||
Expenses: | ||||
Management fees | 78,159 | |||
Distribution and service fees: | ||||
A-Class | 3,231 | |||
C-Class | 2,751 | |||
H-Class | 17,794 | |||
Transfer agent and administrative fees | 21,711 | |||
Portfolio accounting fees | 13,028 | |||
Custodian fees | 1,088 | |||
Trustees’ fees* | 423 | |||
Miscellaneous | 18,561 | |||
Total expenses | 156,746 | |||
Net investment income | 13,629 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 338,001 | |||
Swap agreements | 1,878,349 | |||
Futures contracts | 219,256 | |||
Net realized gain | 2,435,606 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,007,137 | |||
Swap agreements | 226,450 | |||
Futures contracts | 11,696 | |||
Net change in unrealized appreciation (depreciation) | 1,245,283 | |||
Net realized and unrealized gain | 3,680,889 | |||
Net increase in net assets resulting from operations | $ | 3,694,518 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 13,629 | $ | (121,807 | ) | |||
Net realized gain on investments | 2,435,606 | 4,636,273 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,245,283 | (1,024,456 | ) | |||||
Net increase in net assets resulting from operations | 3,694,518 | 3,490,010 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 4,028,681 | 7,359,066 | ||||||
C-Class | 2,321,385 | 9,705,258 | ||||||
H-Class | 166,353,110 | 466,810,421 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (1,682,277 | ) | (10,731,054 | ) | ||||
C-Class | (2,150,253 | ) | (9,726,582 | ) | ||||
H-Class | (160,477,587 | ) | (476,717,148 | ) | ||||
Net increase (decrease) from capital share transactions | 8,393,059 | (13,300,039 | ) | |||||
Net increase (decrease) in net assets | 12,087,577 | (9,810,029 | ) | |||||
Net assets: | ||||||||
Beginning of period | 7,687,881 | 17,497,910 | ||||||
End of period | $ | 19,775,458 | $ | 7,687,881 | ||||
Accumulated net investment loss at end of period | $ | (13,383 | ) | $ | (27,012 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 60,153 | 150,599 | ||||||
C-Class | 36,587 | 187,596 | ||||||
H-Class | 2,371,333 | 9,608,705 | ||||||
Shares redeemed | ||||||||
A-Class | (24,772 | ) | (229,335 | ) | ||||
C-Class | (34,675 | ) | (187,698 | ) | ||||
H-Class | (2,288,149 | ) | (9,794,119 | ) | ||||
Net increase (decrease) in shares | 120,477 | (264,252 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.99 | $ | 44.79 | $ | 60.50 | $ | 66.27 | $ | 73.59 | $ | 87.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .09 | (.48 | ) | (.23 | ) | (.37 | ) | (.54 | ) | (.35 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 19.17 | 16.68 | (14.83 | ) | (5.40 | ) | (6.78 | ) | (13.46 | ) | ||||||||||||||
Total from investment operations | 19.26 | 16.20 | (15.06 | ) | (5.77 | ) | (7.32 | ) | (13.81 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 80.25 | $ | 60.99 | $ | 44.79 | $ | 60.50 | $ | 66.27 | $ | 73.59 | ||||||||||||
Total Returnc | 31.58 | % | 36.17 | % | (24.84 | %) | (8.72 | %) | (9.96 | %) | (15.79 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,666 | $ | 628 | $ | 3,988 | $ | 382 | $ | 744 | $ | 106 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.26 | % | (0.96 | %) | (0.48 | %) | (0.53 | %) | (0.82 | %) | (0.51 | %) | ||||||||||||
Total expenses | 1.77 | % | 1.76 | % | 1.75 | % | 1.75 | % | 1.81 | % | 1.88 | % | ||||||||||||
Net expenses | 1.77 | % | 1.76 | % | 1.75 | % | 1.75 | % | 1.76 | %d | 1.75 | %d | ||||||||||||
Portfolio turnover rate | 605 | % | 2,568 | % | 2,874 | % | 1,085 | % | 1,412 | % | 730 | % |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 58.90 | $ | 43.56 | $ | 59.37 | $ | 65.46 | $ | 72.92 | $ | 87.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | (.79 | ) | (.74 | ) | (.73 | ) | (1.04 | ) | (1.25 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 18.35 | 16.13 | (14.42 | ) | (5.36 | ) | (6.42 | ) | (13.14 | ) | ||||||||||||||
Total from investment operations | 18.29 | 15.34 | (15.16 | ) | (6.09 | ) | (7.46 | ) | (14.39 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 77.19 | $ | 58.90 | $ | 43.56 | $ | 59.37 | $ | 65.46 | $ | 72.92 | ||||||||||||
Total Returnc | 31.07 | % | 35.19 | % | (25.48 | %) | (9.32 | %) | (10.21 | %) | (16.49 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 621 | $ | 361 | $ | 271 | $ | 1,287 | $ | 409 | $ | 108 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.17 | %) | (1.55 | %) | (1.49 | %) | (0.99 | %) | (1.73 | %) | (1.61 | %) | ||||||||||||
Total expenses | 2.64 | % | 2.50 | % | 2.46 | % | 2.48 | % | 2.66 | % | 2.59 | % | ||||||||||||
Net expenses | 2.64 | % | 2.50 | % | 2.46 | % | 2.48 | % | 2.61 | %d | 2.46 | %d | ||||||||||||
Portfolio turnover rate | 605 | % | 2,568 | % | 2,874 | % | 1,085 | % | 1,412 | % | 730 | % |
44 | THE RYDEX FUNDS SEMI-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 | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.01 | $ | 44.84 | $ | 60.61 | $ | 66.37 | $ | 73.87 | $ | 87.74 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | (.42 | ) | (.41 | ) | .20 | (.34 | ) | (.35 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 19.20 | 16.59 | (14.71 | ) | (5.96 | ) | (7.16 | ) | (13.52 | ) | ||||||||||||||
Total from investment operations | 19.25 | 16.17 | (15.12 | ) | (5.76 | ) | (7.50 | ) | (13.87 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Total distributions | — | — | (.65 | ) | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 80.26 | $ | 61.01 | $ | 44.84 | $ | 60.61 | $ | 66.37 | $ | 73.87 | ||||||||||||
Total Returnc | 31.57 | % | 36.04 | % | (24.88 | %) | (8.71 | %) | (10.19 | %) | (15.78 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,488 | $ | 6,698 | $ | 13,238 | $ | 2,136 | $ | 4,719 | $ | 2,087 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.15 | % | (0.82 | %) | (0.76 | %) | 0.25 | % | (0.51 | %) | (0.49 | %) | ||||||||||||
Total expenses | 1.79 | % | 1.76 | % | 1.74 | % | 1.75 | % | 1.80 | % | 1.83 | % | ||||||||||||
Net expenses | 1.79 | % | 1.76 | % | 1.74 | % | 1.75 | % | 1.74 | %d | 1.69 | %d | ||||||||||||
Portfolio turnover rate | 605 | % | 2,568 | % | 2,874 | % | 1,085 | % | 1,412 | % | 730 | % |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Net expense information reflects the expense ratios after expense waivers. |
e | Reverse share split — Per share amounts for the periods presented through February 21, 2014 have been restated to reflect a 1:5 reverse share split effective February 21,2014 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028140_46.jpg)
“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.
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | 5 Year | Since Inception (10/29/10) | |
A-Class Shares | (27.36%) | (38.14%) | (17.40%) | (15.68%) |
A-Class Shares with sales charge‡ | (30.81%) | (41.08%) | (18.21%) | (16.28%) |
C-Class Shares | (27.64%) | (38.58%) | (18.03%) | (15.58%) |
C-Class Shares with CDSC§ | (28.36%) | (39.19%) | (18.03%) | (15.58%) |
HClass Shares | (27.40%) | (38.12%) | (17.52%) | (15.77%) |
BNY Mellon Emerging Markets 50 ADR Index | 16.26% | 23.33% | 3.85% | 1.24% |
S&P 500 Index | 7.71% | 18.61% | 14.22% | 13.94% |
* | 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 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. |
† | 6 month returns are not annualized. |
‡ | 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. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,1 - 104.8% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/172 | $ | 328,513 | $ | 328,513 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/172 | 164,257 | 164,257 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/172 | 104,369 | 104,369 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 54,089 | 54,089 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 5,673 | 5,673 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $656,901) | 656,901 | |||||||
Total Investments - 104.8% | ||||||||
(Cost $656,901) | $ | 656,901 | ||||||
Other Assets & Liabilities, net - (4.8)% | (29,805 | ) | ||||||
Total Net Assets - 100.0% | $ | 627,096 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Loss | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
Goldman Sachs International | BNY Mellon Emerging Markets 50 ADR Index | (0.75 | %) | Monthly | 10/27/17 | 199 | $ | 534,572 | $ | (4,472 | ) | ||||||||
BNP Paribas | BNY Mellon Emerging Markets 50 ADR Index | (0.84 | %) | Monthly | 10/30/17 | 267 | 716,222 | (6,345 | ) | ||||||||||
$ | 1,250,794 | $ | (10,817 | ) |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
2 | All or a portion of this security is pledged as equity index swap collateral at September 30, 2017. |
See Sector Classification in Other Information section. |
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Repurchase Agreements | $ | — | $ | 656,901 | $ | — | $ | — | $ | 656,901 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | 10,817 | $ | — | $ | 10,817 |
* | Other financial instruments include swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the previous fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Repurchase agreements, at value (cost $656,901) | $ | 656,901 | ||
Receivables: | ||||
Fund shares sold | 70,578 | |||
Interest | 37 | |||
Total assets | 727,516 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 10,817 | |||
Payable for: | ||||
Fund shares redeemed | 84,768 | |||
Swap settlement | 2,330 | |||
Management fees | 1,109 | |||
Distribution and service fees | 323 | |||
Transfer agent and administrative fees | 308 | |||
Portfolio accounting fees | 185 | |||
Variation margin | 24 | |||
Miscellaneous | 556 | |||
Total liabilities | 100,420 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 627,096 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,935,666 | ||
Accumulated net investment loss | (13,272 | ) | ||
Accumulated net realized loss on investments | (17,284,481 | ) | ||
Net unrealized depreciation on investments | (10,817 | ) | ||
Net assets | $ | 627,096 | ||
A-Class: | ||||
Net assets | $ | 52,201 | ||
Capital shares outstanding | 1,133 | |||
Net asset value per share | $ | 46.07 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 48.37 | ||
C-Class: | ||||
Net assets | $ | 21,907 | ||
Capital shares outstanding | 471 | |||
Net asset value per share | $ | 46.51 | ||
H-Class: | ||||
Net assets | $ | 552,988 | ||
Capital shares outstanding | 12,089 | |||
Net asset value per share | $ | 45.74 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Interest | $ | 5,856 | ||
Total investment income | 5,856 | |||
Expenses: | ||||
Management fees | 5,794 | |||
Distribution and service fees: | ||||
A-Class | 50 | |||
C-Class | 220 | |||
H-Class | 1,509 | |||
Transfer agent and administrative fees | 1,610 | |||
Portfolio accounting fees | 968 | |||
Registration fees | 739 | |||
Custodian fees | 84 | |||
Trustees’ fees* | 61 | |||
Miscellaneous | 608 | |||
Total expenses | 11,643 | |||
Net investment loss | (5,787 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Swap agreements | 37,726 | |||
Futures contracts | (10,206 | ) | ||
Net realized gain | 27,520 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Swap agreements | (17,559 | ) | ||
Futures contracts | (648 | ) | ||
Net change in unrealized appreciation (depreciation) | (18,207 | ) | ||
Net realized and unrealized gain | 9,313 | |||
Net increase in net assets resulting from operations | $ | 3,526 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE EMERGING MARKETS 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (5,787 | ) | $ | (54,342 | ) | ||
Net realized gain (loss) on investments | 27,520 | (38,162 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (18,207 | ) | 51,297 | |||||
Net increase (decrease) in net assets resulting from operations | 3,526 | (41,207 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 49,430 | 13,480,032 | ||||||
C-Class | 128,655 | 9,025,499 | ||||||
H-Class | 50,129,355 | 132,741,268 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (29,349 | ) | (13,425,091 | ) | ||||
C-Class | (147,741 | ) | (9,161,419 | ) | ||||
H-Class | (50,495,524 | ) | (158,785,532 | ) | ||||
Net decrease from capital share transactions | (365,174 | ) | (26,125,243 | ) | ||||
Net decrease in net assets | (361,648 | ) | (26,166,450 | ) | ||||
Net assets: | ||||||||
Beginning of period | 988,744 | 27,155,194 | ||||||
End of period | $ | 627,096 | $ | 988,744 | ||||
Accumulated net investment loss at end of period | $ | (13,272 | ) | $ | (7,485 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 972 | 130,919 | * | |||||
C-Class | 2,416 | 113,460 | * | |||||
H-Class | 982,283 | 1,618,259 | * | |||||
Shares redeemed | ||||||||
A-Class | (509 | ) | (134,646 | )* | ||||
C-Class | (2,814 | ) | (116,168 | )* | ||||
H-Class | (984,328 | ) | (1,864,161 | )* | ||||
Net decrease in shares | (1,980 | ) | (252,337 | )* |
* | Capital share activity for the periods presented through March, 2017, has been restated to reflect a 1:6 reverse share split effective October 31, 2016 – See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 63.42 | $ | 101.83 | $ | 101.26 | $ | 110.02 | $ | 115.35 | $ | 115.71 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.24 | ) | (1.42 | ) | (1.92 | ) | (1.74 | ) | (2.10 | ) | (1.98 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (17.11 | ) | (36.99 | ) | 2.49 | (7.02 | ) | (3.23 | ) | 1.62 | ||||||||||||||
Total from investment operations | (17.35 | ) | (38.41 | ) | .57 | (8.76 | ) | (5.33 | ) | (.36 | ) | |||||||||||||
Net asset value, end of period | $ | 46.07 | $ | 63.42 | $ | 101.83 | $ | 101.26 | $ | 110.02 | $ | 115.35 | ||||||||||||
Total Returnc | (27.36 | %) | (37.72 | %) | 0.53 | % | (7.96 | %) | (4.63 | %) | (0.26 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 52 | $ | 42 | $ | 448 | $ | 62 | $ | 4,859 | $ | 258 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.92 | %) | (1.50 | %) | (1.59 | %) | (1.74 | %) | (1.74 | %) | (1.60 | %) | ||||||||||||
Total expenses | 1.80 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.78 | % | 1.85 | % | ||||||||||||
Net expenses | 1.80 | % | 1.75 | % | 1.75 | % | 1.75 | % | 1.75 | %d | 1.71 | %d | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.21 | $ | 103.83 | $ | 104.23 | $ | 114.21 | $ | 120.45 | $ | 121.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.48 | ) | (1.88 | ) | (2.82 | ) | (2.34 | ) | (3.12 | ) | (2.94 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (17.22 | ) | (37.74 | ) | 2.42 | (7.64 | ) | (3.12 | ) | 1.89 | ||||||||||||||
Total from investment operations | (17.70 | ) | (39.62 | ) | (.40 | ) | (9.98 | ) | (6.24 | ) | (1.05 | ) | ||||||||||||
Net asset value, end of period | $ | 46.51 | $ | 64.21 | $ | 103.83 | $ | 104.23 | $ | 114.21 | $ | 120.45 | ||||||||||||
Total Returnc | (27.64 | %) | (38.17 | %) | (0.29 | %) | (8.78 | %) | (5.23 | %) | (0.84 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22 | $ | 56 | $ | 371 | $ | 102 | $ | 262 | $ | 115 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.70 | %) | (2.20 | %) | (2.44 | %) | (2.47 | %) | (2.44 | %) | (2.41 | %) | ||||||||||||
Total expenses | 2.55 | % | 2.48 | % | 2.50 | % | 2.48 | % | 2.48 | % | 2.65 | % | ||||||||||||
Net expenses | 2.55 | % | 2.48 | % | 2.50 | % | 2.48 | % | 2.46 | %d | 2.51 | %d | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | Period Ended September 30, 2017a | Year Ended March 31, 2017e | Year Ended March 31, 2016e | Year Ended March 31, 2015e | Year Ended March 31, 2014e | Year Ended March 28, 2013e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 63.00 | $ | 101.28 | $ | 100.80 | $ | 109.97 | $ | 115.31 | $ | 115.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (1.23 | ) | (2.04 | ) | (1.68 | ) | (2.10 | ) | (1.98 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (17.04 | ) | (37.05 | ) | 2.52 | (7.49 | ) | (3.24 | ) | 1.56 | ||||||||||||||
Total from investment operations | (17.26 | ) | (38.28 | ) | .48 | (9.17 | ) | (5.34 | ) | (.42 | ) | |||||||||||||
Net asset value, end of period | $ | 45.74 | $ | 63.00 | $ | 101.28 | $ | 100.80 | $ | 109.97 | $ | 115.31 | ||||||||||||
Total Returnc | (27.40 | %) | (37.80 | %) | 0.48 | % | (8.35 | %) | (4.63 | %) | (0.36 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 553 | $ | 890 | $ | 26,336 | $ | 23,091 | $ | 5,815 | $ | 1,942 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.87 | %) | (1.46 | %) | (1.65 | %) | (1.71 | %) | (1.74 | %) | (1.56 | %) | ||||||||||||
Total expenses | 1.79 | % | 1.76 | % | 1.74 | % | 1.73 | % | 1.78 | % | 1.82 | % | ||||||||||||
Net expenses | 1.79 | % | 1.76 | % | 1.74 | % | 1.73 | % | 1.76 | %d | 1.68 | %d | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
d | Net expense information reflects the expense ratios after expense waivers. |
e | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:6 reverse share split effective October 31, 2016 — See Note 11. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | September 30, 2017 |
EMERGING MARKETS BOND STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the emerging markets bond market as defined by the Adviser.
Holdings Diversification (Market Exposure as % of Net Assets)
![](https://capedge.com/proxy/N-CSRS/0001398344-17-015638/fp0028140_52.jpg)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | October 8, 2013 |
C-Class | October 8, 2013 |
H-Class | October 8, 2013 |
Average Annual Returns*
Periods Ended September 30, 2017
6 month† | 1 Year | Since Inception (10/08/13) | |
A-Class Shares | 4.05% | 2.36% | 2.22% |
A-Class Shares with sales charge‡ | (0.90%) | (2.50%) | 0.98% |
C-Class Shares | 3.66% | 1.59% | 1.33% |
C-Class Shares with CDSC§ | 2.66% | 0.63% | 1.33% |
H-Class Shares | 4.04% | 2.32% | 2.11% |
Bank of America Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index | 5.09% | 4.37% | 6.77% |
* | 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 BofA ML US Dollar Emerging Markets Sovereign Plus Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | 6 month returns are not annualized. |
‡ | 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. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | September 30, 2017 |
EMERGING MARKETS BOND STRATEGY FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,1 - 77.9% | ||||||||
BNP Paribas issued 09/29/17 at 1.00% due 10/02/17 | $ | 431,196 | $ | 431,196 | ||||
Bank of America Merrill Lynch issued 09/29/17 at 1.05% due 10/02/17 | 215,598 | 215,598 | ||||||
RBC Capital Markets LLC issued 09/29/17 at 0.98% due 10/02/17 | 107,206 | 107,206 | ||||||
HSBC Securities, Inc. issued 09/29/17 at 0.91% due 10/02/17 | 97,954 | 97,954 | ||||||
UMB Financial Corp. issued 09/29/17 at 0.91% due 10/02/17 | 10,273 | 10,273 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $862,227) | 862,227 | |||||||
Total Investments - 77.9% | ||||||||
(Cost $862,227) | $ | 862,227 | ||||||
Other Assets & Liabilities, net - 22.1% | 244,853 | |||||||
Total Net Assets - 100.0% | $ | 1,107,080 |
Futures Contracts | |||||||||||||
Description | Contracts | Expiration Date | Notional Amount | Unrealized Loss | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 1 | Dec 2017 | $ | 125,266 | $ | (1,338 | ) | ||||||
U.S. Treasury 5 Year Note Futures Contracts | 3 | Dec 2017 | 352,359 | (2,536 | ) | ||||||||
$ | 477,625 | $ | (3,874 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing Rate Pay (Receive) | Payment Frequency | Maturity Date | Units | Notional Value | Unrealized Gain (Loss) | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | November 2017 iShares JP Morgan USD Emerging Markets Bond ETF | 1.55 | % | At Maturity | 10/04/17 | 2,554 | $ | 297,337 | $ | 333 | |||||||||
Goldman Sachs International | November 2017 Powershares Emerging Markets Sovereign Debt Portfolio Swap ETF | 1.65 | % | At Maturity | 10/04/17 | 12,106 | 360,396 | (707 | ) | ||||||||||
$ | 657,733 | $ | (374 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS††,2 | ||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection Premium Rate | Payment Frequency | Maturity Date | Notional Principal | Notional Value | Upfront Premiums Paid | Unrealized Gain (Loss) | |||||||||||||||
Barclays Bank plc | ICE | CDX.EM-28 Index | 1.00 | % | At Maturity | 12/20/22 | $ | 550,000 | $ | 527,896 | $ | (22,910 | ) | $ | 805 |
† | 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 6. |
2 | Credit Default Swaps — See Note 2. |
ICE — Intercontinental Exchange | |
CDX.EM-28 Index — Credit Default Swap Emerging Markets Series 28 Index | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | September 30, 2017 |
EMERGING MARKETS BOND STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at September 30, 2017 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Credit Default Swaps | $ | — | $ | — | $ | — | $ | 805 | $ | — | $ | 805 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 333 | — | 333 | ||||||||||||||||||
Repurchase Agreements | — | — | 862,227 | — | — | 862,227 | ||||||||||||||||||
Total Assets | $ | — | $ | — | $ | 862,227 | $ | 1,138 | $ | — | $ | 863,365 |
Investments in Securities (Liabilities) | Level 1 Quoted Prices | Level 1 - Other* | Level 2 Significant Observable Inputs | Level 2 - Other* | Level 3 Significant Unobservable Inputs | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 707 | $ | — | $ | 707 | ||||||||||||
Interest Rate Futures Contracts | — | 3,874 | — | — | — | 3,874 | ||||||||||||||||||
Total Liabilities | $ | — | $ | 3,874 | $ | — | $ | 707 | $ | — | $ | 4,581 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended September 30, 2017, there were no transfers between levels.
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
September 30, 2017 |
Assets: | ||||
Repurchase agreements, at value (cost $862,227) | $ | 862,227 | ||
Segregated cash with broker | 276,842 | |||
Unrealized appreciation on swap agreements | 1,138 | |||
Receivables: | ||||
Fund shares sold | 10,757 | |||
Interest | 216 | |||
Total assets | 1,151,180 | |||
Liabilities: | ||||
Unamortized upfront premiums received on credit default swaps | 22,910 | |||
Unrealized depreciation on swap agreements | 707 | |||
Payable for: | ||||
Fund shares redeemed | 10,000 | |||
Swap settlement | 5,929 | |||
Management fees | 1,479 | |||
Variation margin | 914 | |||
Distribution and service fees | 648 | |||
Transfer agent and administrative fees | 493 | |||
Portfolio accounting fees | 296 | |||
Miscellaneous | 724 | |||
Total liabilities | 44,100 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 1,107,080 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,185,428 | ||
Accumulated net investment loss | (6,582 | ) | ||
Accumulated net realized loss on investments | (68,323 | ) | ||
Net unrealized depreciation on investments | (3,443 | ) | ||
Net assets | $ | 1,107,080 | ||
A-Class: | ||||
Net assets | $ | 127,940 | ||
Capital shares outstanding | 1,710 | |||
Net asset value per share | $ | 74.82 | ||
Maximum offering price per share (Net asset value divided by 95.25%) | $ | 78.57 | ||
C-Class: | ||||
Net assets | $ | 249,413 | ||
Capital shares outstanding | 3,476 | |||
Net asset value per share | $ | 71.75 | ||
H-Class: | ||||
Net assets | $ | 729,727 | ||
Capital shares outstanding | 9,808 | |||
Net asset value per share | $ | 74.40 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended September 30, 2017 |
Investment Income: | ||||
Interest | $ | 4,865 | ||
Total investment income | 4,865 | |||
Expenses: | ||||
Management fees | 5,139 | |||
Distribution and service fees: | ||||
A-Class | 187 | |||
C-Class | 716 | |||
H-Class | 1,348 | |||
Transfer agent and administrative fees | 1,714 | |||
Portfolio accounting fees | 1,029 | |||
Custodian fees | 87 | |||
Trustees’ fees* | 30 | |||
Miscellaneous | 1,197 | |||
Total expenses | 11,447 | |||
Net investment loss | (6,582 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Swap agreements | 39,446 | |||
Futures contracts | 462 | |||
Net realized gain | 39,908 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Swap agreements | 33 | |||
Futures contracts | (5,563 | ) | ||
Net change in unrealized appreciation (depreciation) | (5,530 | ) | ||
Net realized and unrealized gain | 34,378 | |||
Net increase in net assets resulting from operations | $ | 27,796 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
EMERGING MARKETS BOND STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended September 30, 2017 (Unaudited) | Year Ended March 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (6,582 | ) | $ | (79,467 | ) | ||
Net realized gain on investments | 39,908 | 53,964 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (5,530 | ) | (9,101 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 27,796 | (34,604 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | ||||||||
A-Class | — | (62,397 | ) | |||||
C-Class | — | (5,813 | ) | |||||
H-Class | — | (31,424 | ) | |||||
Net realized gains | ||||||||
A-Class | — | (8,051 | ) | |||||
C-Class | — | (642 | ) | |||||
H-Class | — | (24,807 | ) | |||||
Total distributions to shareholders | — | (133,134 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 110,242 | 46,123,639 | ||||||
C-Class | 182,673 | 129,666 | ||||||
H-Class | 3,522,512 | 20,306,109 | ||||||
Distributions reinvested | ||||||||
A-Class | — | 66,839 | ||||||
C-Class | — | 5,889 | ||||||
H-Class | — | 54,879 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (100,883 | ) | (46,053,913 | ) | ||||
C-Class | (28,762 | ) | (170,836 | ) | ||||
H-Class | (3,281,266 | ) | (20,219,716 | ) | ||||
Net increase from capital share transactions | 404,516 | 242,556 | ||||||
Net increase in net assets | 432,312 | 74,818 | ||||||
Net assets: | ||||||||
Beginning of period | 674,768 | 599,950 | ||||||
End of period | $ | 1,107,080 | $ | 674,768 | ||||
Accumulated net investment loss at end of period | $ | (6,582 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,511 | 601,198 | * | |||||
C-Class | 2,580 | 1,803 | * | |||||
H-Class | 47,712 | 273,867 | * | |||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | — | 963 | * | |||||
C-Class | — | 88 | * | |||||
H-Class | — | 778 | * | |||||
Shares redeemed | ||||||||
A-Class | (1,367 | ) | (604,151 | )* | ||||
C-Class | (407 | ) | (2,423 | )* | ||||
H-Class | (44,503 | ) | (270,980 | )* | ||||
Net increase in shares | 5,526 | 1,143 | * |
* | Capital share activity for the periods presented through March 31, 2017, has been restated to reflect a 1:4 reverse share split effective November 7, 2016 – See Note 11. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EMERGING MARKETS 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.
A-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Period Ended March 31, 2014b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 71.93 | $ | 72.75 | $ | 81.52 | $ | 100.68 | $ | 100.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.32 | ) | (.91 | ) | 1.12 | (1.44 | ) | (.84 | ) | |||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.21 | 3.87 | 2.23 | (3.76 | ) | 1.52 | ||||||||||||||
Total from investment operations | 2.89 | 2.96 | 3.35 | (5.20 | ) | .68 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (3.70 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net realized gains | — | (.08 | ) | — | — | — | ||||||||||||||
Total distributions | — | (3.78 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net asset value, end of period | $ | 74.82 | $ | 71.93 | $ | 72.75 | $ | 81.52 | $ | 100.68 | ||||||||||
Total Returne | 4.05 | % | 4.62 | % | 5.13 | % | (5.31 | %) | 0.72 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 128 | $ | 113 | $ | 259 | $ | 39 | $ | 499 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.87 | %) | (1.19 | %) | 1.59 | % | (1.50 | %) | (1.78 | %) | ||||||||||
Total expenses | 1.60 | % | 1.58 | % | 1.58 | % | 1.71 | % | 1.83 | % | ||||||||||
Portfolio turnover rate | — | 733 | % | 21,555 | % | 655 | % | — |
C-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017 | Year Ended March 31, 2016 | Year Ended March 31, 2015 | Period Ended March 31, 2014b | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 69.22 | $ | 70.54 | $ | 80.35 | $ | 100.37 | $ | 100.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.58 | ) | (1.10 | ) | (1.00 | ) | (1.80 | ) | (1.12 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.11 | 3.56 | 3.31 | (4.26 | ) | 1.49 | ||||||||||||||
Total from investment operations | 2.53 | 2.46 | 2.31 | (6.06 | ) | .37 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (3.70 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net realized gains | — | (.08 | ) | — | — | — | ||||||||||||||
Total distributions | — | (3.78 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net asset value, end of period | $ | 71.75 | $ | 69.22 | $ | 70.54 | $ | 80.35 | $ | 100.37 | ||||||||||
Total Returne | 3.66 | % | 4.09 | % | 3.73 | % | (6.19 | %) | 0.40 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 249 | $ | 90 | $ | 129 | $ | 34 | $ | 10 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (1.63 | %) | (1.54 | %) | (1.33 | %) | (1.85 | %) | (2.34 | %) | ||||||||||
Total expenses | 2.35 | % | 2.33 | % | 2.32 | % | 2.24 | % | 2.39 | % | ||||||||||
Portfolio turnover rate | — | 733 | % | 21,555 | % | 655 | % | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
EMERGING MARKETS 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.
H-Class | Period Ended September 30, 2017a | Year Ended March 31, 2017d | Year Ended March 31, 2016d | Year Ended March 31, 2015d | Period Ended March 31, 2014b,d | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 71.51 | $ | 72.19 | $ | 81.18 | $ | 100.73 | $ | 100.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | (.33 | ) | (.28 | ) | (.44 | ) | (1.56 | ) | (.76 | ) | ||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.22 | 3.38 | 3.57 | (4.03 | ) | 1.49 | ||||||||||||||
Total from investment operations | 2.89 | 3.10 | 3.13 | (5.59 | ) | .73 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (3.70 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net realized gains | — | (.08 | ) | — | — | — | ||||||||||||||
Total distributions | — | (3.78 | ) | (12.12 | ) | (13.96 | ) | — | ||||||||||||
Net asset value, end of period | $ | 74.40 | $ | 71.51 | $ | 72.19 | $ | 81.18 | $ | 100.73 | ||||||||||
Total Returne | 4.04 | % | 4.85 | % | 4.82 | % | (5.74 | %) | 0.80 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 730 | $ | 472 | $ | 212 | $ | 153 | $ | 5,580 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | (0.89 | %) | (0.38 | %) | (0.55 | %) | (1.64 | %) | (1.62 | %) | ||||||||||
Total expenses | 1.59 | % | 1.54 | % | 1.56 | % | 1.74 | % | 1.64 | % | ||||||||||
Portfolio turnover rate | — | 733 | % | 21,555 | % | 655 | % | — |
a | Unaudited figures for the period ended September 30, 2017. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: October 8, 2013. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 reverse share split effective November 7, 2016 — See Note 11. |
e | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Series Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (”1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each fund separately.
The Trust offers a combination of seven separate classes of shares: Investor Class shares, A-Class shares, C-Class shares, H-Class shares, P-Class shares, Institutional Class shares and Money Market Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares require a minimum initial investment of $2 million and a minimum account balance of $1 million. At September 30, 2017, the Trust consisted of fifty-three funds.
This report covers the Long Short Equity Fund, Event Driven and Distressed Strategies Fund, Emerging Markets 2x Strategy Fund, Inverse Emerging Markets 2x Strategy Fund and Emerging Markets Bond Strategy Fund (the “Funds”), each a non-diversified investment company. Only A-Class, C-Class, H-Class, P-Class, Institutional Class shares had been issued by the Funds.
The International Equity Funds and Fixed Income Fund 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.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, 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.
The NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
The Trust calculates a NAV twice each business day; at 10:45 a.m. and at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. for the Emerging Markets 2x Strategy Fund, Inverse Emerging Markets 2x Strategy Fund and Emerging Markets Bond Strategy Fund. All other Funds in this report will price at the afternoon NAV. The NAV is calculated using the current market value of each Fund’s total assets as of the respective time of calculation. These financial statements are based on the September 30, 2017, afternoon NAV.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale 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, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 (“CEFs”) are valued at the last quoted sale price.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI under the direction of the Board using methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is refl ected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the 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 Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(c) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(d) Swap Agreements
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 an agreement are recognized as realized gains or losses.
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(e) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation, or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and 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.
(f) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their statement of operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of September 30, 2017, if any, are disclosed in the Funds’ statements of assets and liabilities.
(g) Security Transactions
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. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(i) Class Allocations
Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees 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) Cash
The Funds may leave cash overnight in their cash account with the custodian. 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, which was 1.06% at September 30, 2017.
(k) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. 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. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
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, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, 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 a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Event Driven and Distressed Strategies Fund | Duration, Index exposure, Liquidity | $ | 6,070,416 | $ | — | ||||
Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | 108,890 | — | ||||||
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 780,570 | — |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps 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 if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into a centrally-cleared swap transaction, the Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap 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 if the underlying index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Long Short Equity Fund | Index exposure, Liquidity | $ | 26,644,352 | $ | 36,259,725 | ||||
Event Driven and Distressed Strategies Fund | Index exposure, Liquidity | 2,846,564 | — | ||||||
Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | 21,822,113 | — | ||||||
Inverse Emerging Markets 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 1,010,593 | ||||||
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 599,687 | — |
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. In accordance with its principal investment strategy, the Funds enter into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. 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 pay 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 RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
Event Driven and Distressed Strategies Fund | Duration, Index exposure, Liquidity | $ | — | $ | 5,967,875 | ||||
Emerging Markets Bond Strategy Fund | Duration, Index exposure, Leverage, Liquidity | — | 883,903 |
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.
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2017:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Variation margin | Variation margin |
Equity/Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2017:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Interest Rate Contracts* | Swaps Credit Default Contracts | Total Value at September 30, 2017 | |||||||||||||||
Long Short Equity Fund | $ | — | $ | 1,055,596 | $ | — | $ | — | $ | 1,055,596 | ||||||||||
Event Driven and Distressed Strategies Fund | 50,322 | 1,406 | — | 32,095 | 83,823 | |||||||||||||||
Emerging Markets 2x Strategy Fund | 2,313 | 217,506 | — | — | 219,819 | |||||||||||||||
Emerging Markets Bond Strategy Fund | — | 333 | — | 805 | 1,138 |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures Equity Contracts* | Swaps Equity Contracts | Futures Interest Rate Contracts* | Swaps Credit Default Contracts | Total Value at September 30, 2017 | |||||||||||||||
Long Short Equity Fund | $ | — | $ | 1,690,350 | $ | — | $ | — | $ | 1,690,350 | ||||||||||
Event Driven and Distressed Strategies Fund | — | — | 43,291 | — | 43,291 | |||||||||||||||
Inverse Emerging Markets 2x Strategy Fund | — | 10,817 | — | — | 10,817 | |||||||||||||||
Emerging Markets Bond Strategy Fund | — | 707 | 3,874 | — | 4,581 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended September 30, 2017:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate contracts | Net realized gain (loss) on futures contracts |
Net change in unrealized appreciation (depreciation) on futures contracts | |
Equity/Credit contracts | Net realized gain (loss) on swap agreements |
Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended September 30, 2017:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Interest Rate Contracts | Swaps Credit Default Contracts | Total | |||||||||||||||
Long Short Equity Fund | $ | 3,211 | $ | 1,055,303 | $ | — | $ | — | $ | 1,058,514 | ||||||||||
Event Driven and Distressed Strategies Fund | 15,524 | 190,071 | 28,122 | 55,756 | 289,473 | |||||||||||||||
Emerging Markets 2x Strategy Fund | 219,256 | 1,878,349 | — | — | 2,097,605 | |||||||||||||||
Inverse Emerging Markets 2x Strategy Fund | (10,206 | ) | 37,726 | — | — | 27,520 | ||||||||||||||
Emerging Markets Bond Strategy Fund | — | 20,318 | 462 | 19,128 | 39,908 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures Equity Contracts | Swaps Equity Contracts | Futures Interest Rate Contracts | Swaps Credit Default Contracts | Total | |||||||||||||||
Long Short Equity Fund | $ | (2,656 | ) | $ | (634,754 | ) | $ | — | $ | — | $ | (637,410 | ) | |||||||
Event Driven and Distressed Strategies Fund | 44,047 | 1,406 | (45,133 | ) | 17,856 | 18,176 | ||||||||||||||
Emerging Markets 2x Strategy Fund | 11,696 | 226,450 | — | — | 238,146 | |||||||||||||||
Inverse Emerging Markets 2x Strategy Fund | (648 | ) | (17,559 | ) | — | — | (18,207 | ) | ||||||||||||
Emerging Markets Bond Strategy Fund | — | (408 | ) | (5,563 | ) | 441 | (5,530 | ) |
In conjunction with the use of derivative instruments, 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 the Funds.
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 risks 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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
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.
Emerging markets, which consist of countries that have an emerging stock market as defined by Standard & Poor’s®, countries or markets with low- to middle-income economies as classified by the World Bank, and other countries or markets with similar characteristics as determined by GI, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile. As a result, the securities of emerging market issuers may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in securities of developed foreign countries. In addition, the risks associated with investing in a narrowly defined geographic area are generally more pronounced with respect to investments in emerging market countries. The Fund may also be subject to this risk with respect to its investments in derivatives or other securities or financial instruments whose returns are related to the returns of emerging market securities.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Assets Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||
Long Short Equity Fund | Swap equity contracts | $ | 1,055,596 | $ | — | $ | 1,055,596 | $ | 1,055,596 | $ | — | $ | — | ||||||||||||
Event Driven and Distressed Strategies Fund | Swap equity contracts | 1,406 | — | 1,406 | — | — | 1,406 | ||||||||||||||||||
Emerging Markets 2x Strategy Fund | Swap equity contracts | 217,506 | — | 217,506 | — | — | 217,506 | ||||||||||||||||||
Emerging Markets Bond Strategy Fund | Swap equity contracts | 333 | — | 333 | 333 | — | — |
Gross Amounts Not Offset in the Statements of Assets and Liabilities | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Liabilities Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||||||
Long Short Equity Fund | Swap equity contracts | $ | 1,690,350 | $ | — | $ | 1,690,350 | $ | 1,055,596 | $ | — | $ | 634,754 | ||||||||||||
Inverse Emerging Markets 2x Strategy Fund | Swap equity contracts | 10,817 | — | 10,817 | — | — | 10,817 | ||||||||||||||||||
Emerging Markets Bond Strategy Fund | Swap equity contracts | 707 | — | 707 | 333 | 374 | — |
1 | Centrally cleared swaps are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of September 30, 2017. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Counterparty | Cash Pledged | Cash Received | ||||||
Emerging Markets 2x Strategy Fund | ||||||||
Goldman Sachs Group | 12,600 | — | ||||||
Emerging Markets 2x Strategy Fund Total | 12,600 | — | ||||||
Emerging Markets Bond Strategy Fund | ||||||||
Barclays Bank plc | 113,808 | — | ||||||
Goldman Sachs Group | 163,033 | — | ||||||
Emerging Markets Bond Strategy Fund Total | 276,841 | — | ||||||
Event Driven and Distressed Strategies Fund | ||||||||
Barclays Bank plc | — | 175,067 | ||||||
Goldman Sachs Group | 73,904 | — | ||||||
Event Driven and Distressed Strategies Fund Total | 73,904 | 175,067 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds 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. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – 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) |
Long Short Equity Fund | 0.90% |
Event Driven and Distressed Strategies Fund | 0.90% |
Emerging Markets 2x Strategy Fund | 0.90% |
Emerging Markets Bond Strategy Fund | 0.75% |
Inverse Emerging Markets 2x Strategy Fund | 0.90% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD 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 GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD 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 a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
GI has contractually agreed to reduce fees and/or reimburse expenses for the Event Driven and Distressed Strategies Fund to the extent necessary to keep net operating expenses relative to the average daily net assets of 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
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
expenses) from exceeding 1.90%, 2.65%, 1.90%, and 1.65%, respectively. 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 only with the approval of the Fund’s Board.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period September 30, 2017, there were no waivers related to investments in affiliated funds.
For the period ended September 30, 2017, GFD retained sales charges of $90,853 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. For providing the aforementioned services, MUIS is entitled to receive a monthly fee equal to an annual percentage of the Funds’ average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
The Fund may invest in the Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2016, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180416001923/gug65857-ncsr.htm.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2017, the repurchase agreements in the joint account were as follows:
Counterparty and Terms of Agreement | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
BNP Paribas | U.S Treasury Note | |||||||||||||||||
1.00% | 1.13% | |||||||||||||||||
Due 10/02/17 | $ | 126,905,733 | $ | 126,916,309 | 02/28/21 | $ | 131,780,200 | $ | 129,443,901 | |||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
1.05% | 1.63% | |||||||||||||||||
Due 10/02/17 | 63,452,867 | 63,458,419 | 05/31/23 | 65,690,800 | 64,722,010 | |||||||||||||
RBC Capital Markets LLC | U.S. TIP Notes | |||||||||||||||||
0.98% | 1.13% | |||||||||||||||||
Due 10/02/17 | 35,069,861 | 35,072,725 | 01/15/21 | 30,577,200 | 35,771,371 | |||||||||||||
HSBC Securities, Inc. | U.S. Treasury Strips | |||||||||||||||||
0.91% | 0.00% | |||||||||||||||||
Due 10/02/17 | 23,879,390 | 23,881,201 | 08/15/39 | 44,888,000 | 24,357,007 | |||||||||||||
UMB Financial Corp. | Federal Home Loan Bank | |||||||||||||||||
0.91% | 1.25% | |||||||||||||||||
Due 10/02/17 | 2,504,407 | 2,504,597 | 06/08/18 | 2,000,000 | 2,007,147 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.63% | ||||||||||||||||||
05/15/26 | 573,300 | 547,365 | ||||||||||||||||
2,573,300 | 2,554,512 |
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 adviser, acting under the supervision of the Board, 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.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At September 30, 2017, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | Securities Lending Collateral | |||||||||||||||||||||||
Fund | Value of Securities Loaned | Collateral Received(a) | Net Amount | Cash Collateral Invested | Cash Collateral Uninvested | Total Collateral | ||||||||||||||||||
Long Short Equity Fund | $ | 348,175 | $ | (348,175 | ) | $ | — | $ | 352,633 | $ | — | $ | 352,633 | |||||||||||
Event Driven and Distressed Strategies Fund | 79,901 | (79,901 | ) | — | 81,922 | — | 81,922 | |||||||||||||||||
Emerging Markets 2x Strategy Fund | 129,746 | (129,746 | ) | — | 137,270 | — | 137,270 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 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, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At September 30, 2017, 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) | ||||||||||||
Emerging Markets 2x Strategy Fund | $ | 18,380,743 | $ | 1,517,034 | $ | (146,719 | ) | $ | 1,370,315 | |||||||
Emerging Markets Bond Strategy Fund | 862,227 | 1,138 | (4,581 | ) | (3,443 | ) | ||||||||||
Event Driven and Distressed Strategies Fund | 11,414,145 | 244,442 | (68,334 | ) | 176,108 | |||||||||||
Inverse Emerging Markets 2x Strategy Fund | 656,901 | — | (10,817 | ) | (10,817 | ) | ||||||||||
Long Short Equity Fund | 33,202,233 | 3,313,825 | (2,526,951 | ) | 786,874 |
Note 9 – Securities Transactions
For the period ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Long Short Equity Fund | $ | 46,068,467 | $ | 35,571,132 | ||||
Event Driven and Distressed Strategies Fund | 1,163,617 | 1,458,665 | ||||||
Emerging Markets 2x Strategy Fund | 62,550,249 | 52,901,307 | ||||||
Inverse Emerging Markets 2x Strategy Fund | — | — | ||||||
Emerging Markets Bond Strategy Fund | — | — |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended September 30, 2017, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized Loss | |||||||||
Emerging Markets 2x Strategy Fund | $ | 1,115,819 | $ | — | $ | — |
Note 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 11, 2018. 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 1.92% for the period ended September 30, 2017. The Funds did not have any borrowings outstanding under this agreement at September 30, 2017.
The average daily balances borrowed for the period ended September 30, 2017, were as follows:
Fund | Average Daily Balance | |||
Long Short Equity Fund | $ | 4,579 |
Note 11 – Share Splits
Share splits occurred for the following Funds at the close of business:
Fund | Effective Date | Split Type |
Inverse Emerging Markets 2x Strategy Fund | October 31, 2016 | One-for-Six Reverse Split |
Emerging Markets Bond Strategy Fund | November 07, 2016 | One-for-Four Reverse Split |
The effect of the reverse share splits were to divide the number of outstanding shares of the Inverse Emerging Markets 2x Strategy Fund and Emerging Markets Bond Strategy Fund by their split ratios, resulting in a corresponding increase in the NAV. The share transactions presented in the Statements of Changes in net assets and the per share data in the Financial Highlights for each of the periods presented prior to the effective date, have been restated to reflect these respective share splits. There were no changes in net assets, results of operations or total return as a result of these transactions.
Note 12 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Series Funds of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Series Funds, the proceeds they received in connection with the LBO.
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Series Funds has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. The Supreme Court has not yet granted or denied the petition for certiorari.
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. The plaintiff requested that the Court direct entry of a final judgment in order to make the order immediately appealable. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law.
None of these lawsuits alleges 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.) (the “Creditor Trust Action”). Its funds may also be putative members of the proposed defendant classes in Weisfelner, as Trustee of the LB Litigation Trust v. A. Holmes & H. Holmes TTEE (In re Lyondell Co.), Adv. Pro. No. 10-5525 (Bankr. S.D.N.Y.) (the “Litigation Trust Action”) and Weisfelner, as Trustee of the LB Creditor Trust, v. Reichman (In re Lyondell Chemical Co.), Adv. Pro. No. 12-1570 (Bankr. S.D.N.Y.) (“Reichman”).
Similar to the claims made in the Tribune matter, the Weisfelner complaints seek 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. The Creditor Trust
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Action and Reichman allege claims against the former Lyondell shareholders under state law for both constructive fraudulent transfer and intentional fraudulent transfer. The Litigation Trust Action alleges a claim against the former Lyondell shareholders under federal law for intentional fraudulent transfer.
On April 7, 2014, the plaintiff filed a Third Amended Complaint in the Creditor Trust Action, a Second Amended Complaint in the Litigation Trust Action, and an Amended Complaint in Reichman.
On May 8, 2014, the plaintiff in the Litigation Trust Action filed a motion to certify a defendant class generally comprised of all former Lyondell shareholders that received proceeds in exchange for their shares in the 2007 merger transaction.
On July 30, 2014, the defendants filed a motion to dismiss these lawsuits. The Bankruptcy Court held oral argument on the motion to dismiss and on the motion for class certification on January 14 and January 15, 2015. On September 15, 2015, the Bankruptcy Court denied the motion for class certification without prejudice to the plaintiff’s right to file a renewed motion. On November 18, 2015, the Bankruptcy Court granted the defendants’ motion to dismiss the intentional fraudulent transfer claims in the Creditor Trust Action, the Litigation Trust Action, and in Reichman, but denied the motion to dismiss the constructive fraudulent transfer claims in the Creditor Trust Action and in Reichman. The Bankruptcy Court entered final judgment dismissing the Litigation Trust Action, but the plaintiff appealed the dismissal to the U.S. District Court for the Southern District of New York.
On May 4, 2016, the defendants filed a motion to dismiss, or in the alternative, for a stay of, the Creditor Trust Action and Reichman in light of the U.S. Court of Appeals for the Second Circuit’s opinion in the appeal of the Tribune SLCFC actions. On July 20, 2016, the Bankruptcy Court issued a report and recommendation granting the defendants’ motion to dismiss. The U.S. District Court for the Southern District of New York has not yet accepted the Bankruptcy Court’s recommendation or entered a final judgment. On May 30, 2017, the shareholder defendants filed a motion to remand the proceedings in the Creditor Trust and Reichman Actions to the Bankruptcy Court, for consideration of the collateral estoppel ground for dismissal raised by the Bankruptcy Court’s ruling in the Blavatnik Action. On August 18, 2017, the plaintiff in the Creditor Trust action filed a notice of dismissal of claims brought against defendants who had not answered the Third Amended Complaint. The same day, the plaintiff in the Reichman action filed a notice of dismissal of all claims against named defendants who had not filed an answer and withdrew his request for class certification of a defendant class. On September 5, 2017, the Court entered an order dismissing the Creditor Trust and Reichman actions with prejudice. The Court’s order dismissed the actions as to all defendants as well as to unnamed members of the putative defendant class in the Reichman action.
On July 27, 2016, the District Court reversed the Bankruptcy Court and reinstated the federal law intentional fraudulent transfer claim in the Litigation Trust Action and remanded to the Bankruptcy Court for further proceedings. The District Court found that the fraudulent intent that mattered was that of Lyondell’s CEO, not its board, because the CEO’s intent could be imputed to Lyondell under Delaware law agency principles. The District Court did note, however, that plaintiff faces a high standard for proving “actual intent” to harm creditors, and that it remains to be seen whether plaintiff will be able to make this showing. On August 11, 2016, the shareholder defendants filed a motion for reconsideration and/or to certify an interlocutory appeal of the District Court’s opinion. On October 5, 2016, the District Court denied the motion for reconsideration and/or to certify an interlocutory appeal. In light of this ruling, the federal intentional fraudulent conveyance claim will move forward before the Bankruptcy Court, but a schedule for that case has not yet been set. On April 21, 2017, the Bankruptcy Court issued an Opinion and Order After Trial in a related Lyondell litigation (the “Blavatnik Action”) rejecting claims for intentional fraudulent transfer and constructive fraudulent transfer in connection with the 2007 LBO. Based on this related ruling in the Blavatnik Action, the shareholder defendants filed a motion to dismiss the Litigation Trust Action on the grounds of collateral estoppel on May 30, 2017. Although the Bankruptcy Court had not yet ruled on the motion to dismiss, on August 15, 2017, the plaintiff in the Litigation Trust action filed a notice of dismissal of all claims against the defendants who joined the motion to dismiss. On August 18, 2017, the Litigation Trust plaintiff also withdrew his request for class certification of a defendant class in the Litigation Trust action. On September 5, 2017, the Court entered an order dismissing the Litigation Trust action with prejudice. The Court’s order dismissed the action as to all defendants as well as to unnamed members of the putative defendant class.
As a result of the dismissals above, there are no longer claims pending against the Rydex Series Funds related to the Lyondell merger.
These lawsuits do 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; Long Short Equity Fund f/k/a 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.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://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 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Continuation of the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Series Funds (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 25, 2017, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to the Guggenheim Long Short Equity Fund, Guggenheim Event Driven and Distressed Strategies Fund, Rydex Emerging Markets 2x Strategy Fund, Rydex Inverse Emerging Markets 2x Strategy Fund, and Rydex Emerging Markets Bond Strategy Fund, each a series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 26, 2017 (together, with the May 25 meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 26 meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Investment Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements and participated in question and answer sessions with representatives of the Advisor. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale and the absence of breakpoints in these fees and the Advisor’s rationale for not providing for breakpoints at this point in time; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
OTHER INFORMATION (Unaudited)(continued) |
the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors that was controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to such Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies and, if applicable, index rebalance frequency and tradability) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be received by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the distribution agreement, Distribution Plans, and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the continuation of the Investment Advisory Agreement was in the best interests of the Funds and their shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: Vice Chairman, Guggenheim Investments (2010-present). Former: President and CEO, certain other funds in the Fund Complex (2012-November 2017); Chairman and CEO, Channel Capital Group, Inc. (2002-2010). | 226 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Guggenheim Partners Investment Management Holdings, LLC (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Compliance and Risk Oversight Committee, and Member of the Nominating and Governance Committee from 2016 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm). Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 133 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Nominating and Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 133 | Epiphany Funds (3) (2009-present). |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee*** | Other Directorships Held by Trustee**** |
INDEPENDENT TRUSTEES - continued | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present; Member of the Investment and Performance Committee from 2014 to present. | Retired. | 133 | None. |
Werner E. Keller (1940) | Chairman and Trustee of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Member of the Audit Committee from 2005 to present; Member of the Investment and Performance Committee from 2014 to present; Member of the Compliance and Risk Oversight Committee from 2015 to present; Member of the Nominating and Governance Committee from 2015 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 133 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Nominating and Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 133 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Member of the Nominating and Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 133 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairwoman and Member of the Investment and Performance Committee from 2016 to present. | Current: Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 133 | None. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present). Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
Joanna M. Catalucci (1966) | AML Officer (2016-present) | Current: Chief Compliance Officer, certain funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2014-present); AML Officer, certain funds in the Fund Complex (2016-present). Former: Chief Compliance Officer and Secretary, certain other funds in the Fund Complex (2008-2012); Senior Vice President & Chief Compliance Officer, Security Investors, LLC and certain affiliates (2010-2012); Chief Compliance Officer and Senior Vice President, Rydex Advisors, LLC and certain affiliates (2010-2011). |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director, Guggenheim Investments (2015-present); Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-present). Former: Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Amy J. Lee (1961) | President (November 2017-present) | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (November 2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
Mark E. Mathiasen (1978) | Secretary (November 2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present). Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* and Year of Birth | Position(s) Held with the Trust, Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years |
OFFICERS - continued | ||
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present). Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present). Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-present) | Current: Vice President, Guggenheim Investments (July 2017-present); Assistant Treasurer, certain other funds in the Fund Complex (November 2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (February-June 2017); Senior Analyst of US Fund Administration, HGINA (2014-January 2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Guggenheim Investments as used herein refers to Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC as well as the funds in the Guggenheim Funds complex (the “funds”).
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 personal information about you, we hold ourselves to high standards in its safekeeping and use. This means, most importantly, that we do not sell client or account information to anyone—whether you are a current or former Guggenheim Investments client.
The Information We Collect About You and How We Collect It
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 Funds or one of the Guggenheim affiliated companies. “Nonpublic personal information” is personally identifiable information about you. For example it includes 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 Share Your Personal Information
As a matter of policy, we do not disclose your nonpublic personal information to nonaffiliated third parties except as required or permitted by law. 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 your personal 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. In connection with servicing your accounts or 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 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 personal 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 share personal information about you if we are compelled by law to do so, if you direct us to do so with your consent, or in other circumstances as permitted by law.
How We Safeguard Your Personal Information
We maintain physical, electronic and procedural safeguards to protect your personal information. Within Guggenheim Investments, access to such information is limited to those who need it to perform their jobs such as servicing your account, resolving problems or informing you of new products and services.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, 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 within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(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 last 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13. Exhibits.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Rydex Series Funds | |
By (Signature and Title)* | /s/ Amy J. Lee | |
Amy J. Lee, President | ||
Date | December 8, 2017 |
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/ Amy J. Lee | |
Amy J. Lee, President | ||
Date | December 8, 2017 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer | ||
Date | December 8, 2017 |
* | Print the name and title of each signing officer under his or her signature. |