UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811- 07584
Rydex Series Funds
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
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)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: March 31
Date of reporting period: March 29, 2018
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 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:
3.29.2018
Rydex Funds 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-ANN-2-0318X0319 |
| DEAR SHAREHOLDER | 2 |
| ECONOMIC AND MARKET OVERVIEW | 3 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
| BANKING FUND | 10 |
| BASIC MATERIALS FUND | 18 |
| BIOTECHNOLOGY FUND | 26 |
| CONSUMER PRODUCTS FUND | 34 |
| ELECTRONICS FUND | 43 |
| ENERGY FUND | 51 |
| ENERGY SERVICES FUND | 59 |
| FINANCIAL SERVICES FUND | 66 |
| HEALTH CARE FUND | 75 |
| INTERNET FUND | 84 |
| LEISURE FUND | 92 |
| PRECIOUS METALS FUND | 102 |
| REAL ESTATE FUND | 110 |
| RETAILING FUND | 119 |
| TECHNOLOGY FUND | 127 |
| TELECOMMUNICATIONS FUND | 136 |
| TRANSPORTATION FUND | 144 |
| UTILITIES FUND | 153 |
| NOTES TO FINANCIAL STATEMENTS | 162 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 174 |
| OTHER INFORMATION | 175 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 177 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 181 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for 18 of our sector funds (the “Fund” or the “Funds”). This report covers performance for the 12-month period ended March 29, 2018.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2018
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 ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 29, 2018 |
As we enter the ninth year of the current expansion, one of the most important new developments to evaluate is the impact of the corporate tax cuts passed into law at the end of 2017. Guggenheim’s concern is that the substantial late-cycle fiscal easing in the pipeline will prompt more restrictive monetary policy, which increases the risk that the economy will experience a boom-bust cycle that ends in a recession.
With the unemployment rate at 4.1% and core inflation rising, fiscal policy should be leaning against the economy to prevent overheating, not providing further stimulus. Faster wage growth, rising core inflation, and an unsustainably low unemployment rate underpin our longstanding view that the U.S. Federal Reserve (the “Fed”) will raise interest rates four times in 2018. Fed funds futures show the market is now pricing in nearly three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Tighter fiscal and monetary policy, along with rising policy uncertainty ahead of the 2018 mid-terms and 2020 presidential election, could prove to be too much for an overextended economy to bear.
Further complicating the story is the risk of a global trade war sparked by protectionist actions taken by the Trump administration. We now have new steel and aluminum tariffs in place that are likely to have some modest inflationary impact while hurting almost 20% of U.S. corporates, according to our estimates. We expect more protectionist trade and investment policies in place by year end.
Over the 12 months ended March 29, 2018, the bear flattening (the condition in which short-term rates rise faster than long-term rates) of the U.S. Treasury curve continued with Treasury yields higher across the curve. Yields increased the most in the belly and front end of the curve. The 2-year Treasury ended the period at 2.27%, up 102 basis points from a year ago, while the 10-year finished the period at 2.74%, up 35 basis points from a year ago. The 2-year-10 year curve, which started the period at 113 basis points, finished at 47 basis points.
For the 12 months ended March 29, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 13.99%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 15.32%. The return of the MSCI Emerging Markets Index* was 25.37%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 1.20% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.78%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.11% for the 12-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).
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
| ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 29, 2018 |
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.
ICE 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.
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 broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
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 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 September 30, 2017 and ending March 29, 2018 for actual Fund returns. Hypothetical Fund returns are for the period beginning September 30, 2017 and ending March 31, 2018.
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 ANNUAL REPORT | 5 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
| Table 1. Based on actual Fund return3 | | | | | |
| Banking Fund | | | | | |
| Investor Class | 1.36% | 5.37% | $ 1,000.00 | $ 1,053.70 | $ 6.89 |
| A-Class | 1.61% | 5.24% | 1,000.00 | 1,052.40 | 8.15 |
| C-Class | 2.36% | 4.85% | 1,000.00 | 1,048.50 | 11.92 |
| H-Class | 1.61% | 5.26% | 1,000.00 | 1,052.60 | 8.15 |
| Basic Materials Fund | | | | | |
| Investor Class | 1.36% | 1.27% | 1,000.00 | 1,012.70 | 6.75 |
| A-Class | 1.61% | 1.14% | 1,000.00 | 1,011.40 | 7.98 |
| C-Class | 2.36% | 0.77% | 1,000.00 | 1,007.70 | 11.68 |
| H-Class | 1.61% | 1.17% | 1,000.00 | 1,011.70 | 7.99 |
| Biotechnology Fund | | | | | |
| Investor Class | 1.36% | (1.27%) | 1,000.00 | 987.30 | 6.66 |
| A-Class | 1.61% | (1.41%) | 1,000.00 | 985.90 | 7.88 |
| C-Class | 2.36% | (1.78%) | 1,000.00 | 982.20 | 11.53 |
| H-Class | 1.61% | (1.40%) | 1,000.00 | 986.00 | 7.88 |
| Consumer Products Fund | | | | | |
| Investor Class | 1.36% | 0.66% | 1,000.00 | 1,006.60 | 6.73 |
| A-Class | 1.61% | 0.55% | 1,000.00 | 1,005.50 | 7.96 |
| C-Class | 2.36% | 0.17% | 1,000.00 | 1,001.70 | 11.65 |
| H-Class | 1.61% | 0.51% | 1,000.00 | 1,005.10 | 7.96 |
| Electronics Fund | | | | | |
| Investor Class | 1.36% | 10.65% | 1,000.00 | 1,106.50 | 7.06 |
| A-Class | 1.61% | 10.53% | 1,000.00 | 1,105.30 | 8.36 |
| C-Class | 2.36% | 10.12% | 1,000.00 | 1,101.20 | 12.23 |
| H-Class | 1.61% | 10.53% | 1,000.00 | 1,105.30 | 8.36 |
| Energy Fund | | | | | |
| Investor Class | 1.36% | 1.01% | 1,000.00 | 1,010.10 | 6.74 |
| A-Class | 1.61% | 0.90% | 1,000.00 | 1,009.00 | 7.98 |
| C-Class | 2.36% | 0.49% | 1,000.00 | 1,004.90 | 11.67 |
| H-Class | 1.61% | 0.87% | 1,000.00 | 1,008.70 | 7.97 |
| Energy Services Fund | | | | | |
| Investor Class | 1.37% | (7.71%) | 1,000.00 | 922.90 | 6.50 |
| A-Class | 1.62% | (7.84%) | 1,000.00 | 921.60 | 7.68 |
| C-Class | 2.37% | (8.16%) | 1,000.00 | 918.40 | 11.21 |
| H-Class | 1.61% | (7.86%) | 1,000.00 | 921.40 | 7.63 |
| Financial Services Fund | | | | | |
| Investor Class | 1.36% | 3.79% | 1,000.00 | 1,037.90 | 6.83 |
| A-Class | 1.61% | 3.65% | 1,000.00 | 1,036.50 | 8.08 |
| C-Class | 2.36% | 3.28% | 1,000.00 | 1,032.80 | 11.83 |
| H-Class | 1.61% | 3.65% | 1,000.00 | 1,036.50 | 8.08 |
| Health Care Fund | | | | | |
| Investor Class | 1.37% | 2.61% | 1,000.00 | 1,026.10 | 6.84 |
| A-Class | 1.61% | 2.52% | 1,000.00 | 1,025.20 | 8.04 |
| C-Class | 2.36% | 2.11% | 1,000.00 | 1,021.10 | 11.76 |
| H-Class | 1.62% | 2.49% | 1,000.00 | 1,024.90 | 8.09 |
| 6 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
| Internet Fund | | | | | |
| Investor Class | 1.37% | 13.60% | $ 1,000.00 | $ 1,136.00 | $ 7.22 |
| A-Class | 1.61% | 13.44% | 1,000.00 | 1,134.40 | 8.47 |
| C-Class | 2.36% | 13.04% | 1,000.00 | 1,130.40 | 12.40 |
| H-Class | 1.62% | 13.45% | 1,000.00 | 1,134.50 | 8.53 |
| Leisure Fund | | | | | |
| Investor Class | 1.36% | 3.09% | 1,000.00 | 1,030.90 | 6.81 |
| A-Class | 1.61% | 2.98% | 1,000.00 | 1,029.80 | 8.06 |
| C-Class | 2.36% | 2.59% | 1,000.00 | 1,025.90 | 11.79 |
| H-Class | 1.61% | 2.97% | 1,000.00 | 1,029.70 | 8.06 |
| Precious Metals Fund | | | | | |
| Investor Class | 1.26% | (6.16%) | 1,000.00 | 938.40 | 6.02 |
| A-Class | 1.51% | (6.29%) | 1,000.00 | 937.10 | 7.21 |
| C-Class | 2.26% | (6.65%) | 1,000.00 | 933.50 | 10.77 |
| H-Class | 1.52% | (6.38%) | 1,000.00 | 936.20 | 7.26 |
| Real Estate Fund | | | | | |
| A-Class | 1.61% | (5.71%) | 1,000.00 | 942.90 | 7.71 |
| C-Class | 2.36% | (6.06%) | 1,000.00 | 939.40 | 11.29 |
| H-Class | 1.62% | (5.73%) | 1,000.00 | 942.70 | 7.76 |
| Retailing Fund | | | | | |
| Investor Class | 1.36% | 10.80% | 1,000.00 | 1,108.00 | 7.07 |
| A-Class | 1.61% | 10.68% | 1,000.00 | 1,106.80 | 8.36 |
| C-Class | 2.36% | 10.22% | 1,000.00 | 1,102.20 | 12.23 |
| H-Class | 1.61% | 10.67% | 1,000.00 | 1,106.70 | 8.36 |
| Technology Fund | | | | | |
| Investor Class | 1.36% | 12.21% | 1,000.00 | 1,122.10 | 7.12 |
| A-Class | 1.61% | 12.07% | 1,000.00 | 1,120.70 | 8.42 |
| C-Class | 2.36% | 11.65% | 1,000.00 | 1,116.50 | 12.32 |
| H-Class | 1.61% | 12.07% | 1,000.00 | 1,120.70 | 8.42 |
| Telecommunications Fund | | | | | |
| Investor Class | 1.36% | 3.68% | 1,000.00 | 1,036.80 | 6.83 |
| A-Class | 1.62% | 3.55% | 1,000.00 | 1,035.50 | 8.13 |
| C-Class | 2.37% | 3.15% | 1,000.00 | 1,031.50 | 11.87 |
| H-Class | 1.62% | 3.53% | 1,000.00 | 1,035.30 | 8.13 |
| Transportation Fund | | | | | |
| Investor Class | 1.36% | 0.62% | 1,000.00 | 1,006.20 | 6.73 |
| A-Class | 1.61% | 0.49% | 1,000.00 | 1,004.90 | 7.96 |
| C-Class | 2.36% | 0.13% | 1,000.00 | 1,001.30 | 11.65 |
| H-Class | 1.61% | 0.48% | 1,000.00 | 1,004.80 | 7.96 |
| Utilities Fund | | | | | |
| Investor Class | 1.37% | (2.94%) | 1,000.00 | 970.60 | 6.66 |
| A-Class | 1.61% | (3.07%) | 1,000.00 | 969.30 | 7.82 |
| C-Class | 2.36% | (3.43%) | 1,000.00 | 965.70 | 11.44 |
| H-Class | 1.62% | (3.08%) | 1,000.00 | 969.20 | 7.87 |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Table 2. Based on hypothetical 5% return (before expenses)5 | | | | |
| Banking Fund | | | | | |
| Investor Class | 1.36% | 5.00% | $ 1,000.00 | $ 1,018.15 | $ 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Basic Materials Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Biotechnology Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Consumer Products Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Electronics Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Energy Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Energy Services Fund | | | | | |
| Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
| A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| C-Class | 2.37% | 5.00% | 1,000.00 | 1,013.11 | 11.90 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Financial Services Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Health Care Fund | | | | | |
| Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| 8 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Internet Fund | | | | | |
| Investor Class | 1.37% | 5.00% | $ 1,000.00 | $ 1,018.10 | $ 6.89 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| Leisure Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Precious Metals Fund | | | | | |
| Investor Class | 1.26% | 5.00% | 1,000.00 | 1,018.65 | 6.34 |
| A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
| H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
| Real Estate Fund | | | | | |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| Retailing Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Technology Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Telecommunications Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| C-Class | 2.37% | 5.00% | 1,000.00 | 1,013.11 | 11.90 |
| H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| Transportation Fund | | | | | |
| Investor Class | 1.36% | 5.00% | 1,000.00 | 1,018.15 | 6.84 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Utilities Fund | | | | | |
| Investor Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| 1 | | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
| 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 180/365 (to reflect the one-half year period). |
| 3 | | Actual cumulative return at net asset value for the period September 30, 2017 to March 29, 2018. |
| 4 | | Expenses in table 2 are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | | Hypothetical return for the period September 30, 2017 to March 31, 2018. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
For the one-year period ended March 29, 2018, Banking Fund Investor Class returned 12.63%, compared with 18.03% for the S&P 500 Financials Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to the performance of the Fund was banks, followed by diversified banks. No industry detracted. The institutional brokerage industry contributed the least, followed by life insurance.
Bank of America Corp., JPMorgan Chase & Co., and Citigroup, Inc. contributed the most to the performance of the Fund. Deutsche Bank AG, Home BancShares, Inc., and United Bankshares, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| H-Class | April 1, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| JPMorgan Chase & Co. | 4.0% |
| Bank of America Corp. | 3.9% |
| Wells Fargo & Co. | 3.8% |
| Citigroup, Inc. | 3.8% |
| U.S. Bancorp | 2.9% |
| PNC Financial Services Group, Inc. | 2.7% |
| Bank of New York Mellon Corp. | 2.2% |
| Capital One Financial Corp. | 2.2% |
| BB&T Corp. | 2.0% |
| State Street Corp. | 1.9% |
| Top Ten Total | 29.4% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 10 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 12.63% | 11.05% | 2.49% |
| A-Class Shares | 12.37% | 10.78% | 2.22% |
| A-Class Shares with sales charge† | 7.04% | 9.71% | 1.72% |
| C-Class Shares | 11.54% | 9.95% | 1.52% |
| C-Class Shares with CDSC‡ | 10.54% | 9.95% | 1.52% |
| H-Class Shares** | 12.38% | 10.70% | 2.09% |
| S&P 500 Financials Index | 18.03% | 15.46% | 5.25% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| BANKING FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 98.5% |
| | | | | | | |
| Banks - 93.8% |
| JPMorgan Chase & Co. | | | 17,556 | | | $ | 1,930,633 | |
| Bank of America Corp. | | | 63,325 | | | | 1,899,117 | |
| Wells Fargo & Co. | | | 35,586 | | | | 1,865,062 | |
| Citigroup, Inc. | | | 27,222 | | | | 1,837,485 | |
| U.S. Bancorp | | | 27,618 | | | | 1,394,709 | |
| PNC Financial Services Group, Inc. | | | 8,618 | | | | 1,303,386 | |
| Bank of New York Mellon Corp. | | | 21,205 | | | | 1,092,694 | |
| Capital One Financial Corp. | | | 11,104 | | | | 1,063,985 | |
| BB&T Corp. | | | 18,829 | | | | 979,861 | |
| State Street Corp. | | | 9,249 | | | | 922,403 | |
| SunTrust Banks, Inc. | | | 12,817 | | | | 872,069 | |
| M&T Bank Corp. | | | 4,393 | | | | 809,893 | |
| Northern Trust Corp. | | | 7,217 | | | | 744,289 | |
| Fifth Third Bancorp | | | 22,644 | | | | 718,947 | |
| Regions Financial Corp. | | | 37,763 | | | | 701,637 | |
| Citizens Financial Group, Inc. | | | 16,412 | | | | 688,976 | |
| KeyCorp | | | 34,972 | | | | 683,703 | |
| Comerica, Inc. | | | 6,574 | | | | 630,644 | |
| Huntington Bancshares, Inc. | | | 40,765 | | | | 615,552 | |
| First Republic Bank | | | 6,448 | | | | 597,149 | |
| SVB Financial Group* | | | 2,229 | | | | 534,982 | |
| Zions Bancorporation | | | 9,385 | | | | 494,871 | |
| HDFC Bank Ltd. ADR | | | 4,881 | | | | 482,096 | |
| Banco Bradesco S.A. ADR | | | 40,522 | | | | 481,401 | |
| ICICI Bank Ltd. ADR | | | 52,063 | | | | 460,758 | |
| East West Bancorp, Inc. | | | 7,366 | | | | 460,670 | |
| HSBC Holdings plc ADR | | | 9,642 | | | | 459,634 | |
| Toronto-Dominion Bank | | | 8,002 | | | | 454,914 | |
| Royal Bank of Canada | | | 5,877 | | | | 454,233 | |
| Barclays plc ADR | | | 37,940 | | | | 448,451 | |
| Bank of Nova Scotia | | | 7,235 | | | | 446,399 | |
| Bank of Montreal | | | 5,855 | | | | 442,462 | |
| UBS Group AG* | | | 24,780 | | | | 437,615 | |
| Popular, Inc. | | | 10,489 | | | | 436,552 | |
| Canadian Imperial Bank of Commerce | | | 4,933 | | | | 435,485 | |
| ING Groep N.V. ADR1 | | | 25,401 | | | | 430,039 | |
| Signature Bank* | | | 2,972 | | | | 421,875 | |
| Credit Suisse Group AG ADR* | | | 24,909 | | | | 418,222 | |
| Cullen/Frost Bankers, Inc. | | | 3,843 | | | | 407,627 | |
| BOK Financial Corp. | | | 4,099 | | | | 405,760 | |
| Deutsche Bank AG1 | | | 28,662 | | | | 400,695 | |
| Commerce Bancshares, Inc. | | | 6,688 | | | | 400,678 | |
| CIT Group, Inc. | | | 7,777 | | | | 400,515 | |
| Western Alliance Bancorporation* | | | 6,581 | | | | 382,422 | |
| PacWest Bancorp | | | 7,707 | | | | 381,728 | |
| First Horizon National Corp. | | | 20,244 | | | | 381,195 | |
| Bank of the Ozarks | | | 7,870 | | | | 379,885 | |
| Synovus Financial Corp. | | | 7,575 | | | | 378,296 | |
| Webster Financial Corp. | | | 6,420 | | | | 355,668 | |
| Prosperity Bancshares, Inc. | | | 4,771 | | | | 346,518 | |
| Pinnacle Financial Partners, Inc. | | | 5,387 | | | | 345,845 | |
| Wintrust Financial Corp. | | | 3,957 | | | | 340,500 | |
| First Citizens BancShares, Inc. — Class A | | | 815 | | | | 336,791 | |
| Umpqua Holdings Corp. | | | 15,603 | | | | 334,060 | |
| Texas Capital Bancshares, Inc.* | | | 3,669 | | | | 329,843 | |
| Hancock Holding Co. | | | 6,261 | | | | 323,694 | |
| Associated Banc-Corp. | | | 12,890 | | | | 320,316 | |
| FNB Corp. | | | 23,658 | | | | 318,200 | |
| BankUnited, Inc. | | | 7,924 | | | | 316,802 | |
| IBERIABANK Corp. | | | 4,031 | | | | 314,418 | |
| Valley National Bancorp | | | 25,232 | | | | 314,391 | |
| TCF Financial Corp. | | | 13,584 | | | | 309,851 | |
| First Hawaiian, Inc. | | | 11,070 | | | | 308,078 | |
| Chemical Financial Corp. | | | 5,565 | | | | 304,294 | |
| Home BancShares, Inc. | | | 13,320 | | | | 303,829 | |
| United Bankshares, Inc. | | | 8,495 | | | | 299,449 | |
| UMB Financial Corp. | | | 4,071 | | | | 294,700 | |
| Bank of Hawaii Corp. | | | 3,521 | | | | 292,595 | |
| MB Financial, Inc. | | | 6,908 | | | | 279,636 | |
| BancorpSouth Bank | | | 8,792 | | | | 279,586 | |
| Cathay General Bancorp | | | 6,883 | | | | 275,182 | |
| First Financial Bankshares, Inc. | | | 5,934 | | | | 274,744 | |
| South State Corp. | | | 3,200 | | | | 272,960 | |
| Columbia Banking System, Inc. | | | 6,494 | | | | 272,423 | |
| Glacier Bancorp, Inc. | | | 7,079 | | | | 271,692 | |
| Fulton Financial Corp. | | | 15,165 | | | | 269,179 | |
| Simmons First National Corp. — Class A | | | 8,798 | | | | 250,303 | |
| International Bancshares Corp. | | | 6,362 | | | | 247,482 | |
| Old National Bancorp | | | 14,611 | | | | 246,926 | |
| United Community Banks, Inc. | | | 7,793 | | | | 246,648 | |
| First Midwest Bancorp, Inc. | | | 9,987 | | | | 245,580 | |
| Hope Bancorp, Inc. | | | 13,435 | | | | 244,383 | |
| CVB Financial Corp. | | | 10,769 | | | | 243,810 | |
| First Interstate BancSystem, Inc. — Class A | | | 5,890 | | | | 232,950 | |
| Trustmark Corp. | | | 7,188 | | | | 223,978 | |
| LegacyTexas Financial Group, Inc. | | | 5,216 | | | | 223,349 | |
| First Merchants Corp. | | | 5,351 | | | | 223,137 | |
| Eagle Bancorp, Inc.* | | | 3,700 | | | | 221,445 | |
| Ameris Bancorp | | | 4,098 | | | | 216,784 | |
| First Financial Bancorp | | | 7,374 | | | | 216,427 | |
| Banner Corp. | | | 3,805 | | | | 211,139 | |
| Total Banks | | | | | | | 45,571,239 | |
| | | | | | | | | |
| Savings & Loans - 3.7% |
| People’s United Financial, Inc. | | | 20,985 | | | | 391,580 | |
| New York Community Bancorp, Inc. | | | 29,400 | | | | 383,082 | |
| Sterling Bancorp | | | 15,037 | | | | 339,084 | |
| Investors Bancorp, Inc. | | | 23,265 | | | | 317,335 | |
| Pacific Premier Bancorp, Inc.* | | | 5,120 | | | | 205,824 | |
| Banc of California, Inc.1 | | | 7,930 | | | | 153,049 | |
| Total Savings & Loans | | | | | | | 1,789,954 | |
| | | | | | | | | |
| Insurance - 1.0% |
| Voya Financial, Inc. | | | 9,110 | | | | 460,055 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $41,796,531) | | | | | | | 47,821,248 | |
| | | | | | | | | |
| 12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| BANKING FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| PREFERRED STOCKS† - 1.0% |
| Banks - 1.0% |
| Itau Unibanco Holding S.A. ADR | | | 32,074 | | | $ | 500,354 | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $350,146) | | | | | | | 500,354 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 192,180 | | | | 192,180 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 62,887 | | | | 62,887 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $255,067) | | | | | | | 255,067 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.8% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 395,290 | | | | 395,290 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $395,290) | | | | | | | 395,290 | |
| | | | | | | | | |
| Total Investments - 100.8% | | | | | | | | |
| (Cost $42,797,034) | | | | | | $ | 48,971,959 | |
| Other Assets & Liabilities, net - (0.8)% | | | | | | | (388,175 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 48,583,784 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 47,821,248 | | | $ | — | | | $ | — | | | $ | 47,821,248 | |
| Preferred Stocks | | | 500,354 | | | | — | | | | — | | | | 500,354 | |
| Repurchase Agreements | | | — | | | | 255,067 | | | | — | | | | 255,067 | |
| Securities Lending Collateral | | | 395,290 | | | | — | | | | — | | | | 395,290 | |
| Total Assets | | $ | 48,716,892 | | | $ | 255,067 | | | $ | — | | | $ | 48,971,959 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $382,239 of securities loaned (cost $42,541,967) | | $ | 48,716,892 | |
| Repurchase agreements, at value (cost $255,067) | | | 255,067 | |
| Cash | | | 16,112 | |
| Receivables: |
| Dividends | | | 92,400 | |
| Fund shares sold | | | 10,366 | |
| Foreign taxes reclaim | | | 3,984 | |
| Securities lending income | | | 167 | |
| Interest | | | 38 | |
| Total assets | | | 49,095,026 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 395,290 | |
| Management fees | | | 44,581 | |
| Fund shares redeemed | | | 27,953 | |
| Transfer agent and administrative fees | | | 13,112 | |
| Distribution and service fees | | | 8,838 | |
| Portfolio accounting fees | | | 5,245 | |
| Trustees’ fees* | | | 1,662 | |
| Miscellaneous | | | 14,561 | |
| Total liabilities | | | 511,242 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 48,583,784 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 47,112,617 | |
| Undistributed net investment income | | | 287,899 | |
| Accumulated net realized loss on investments | | | (4,991,657 | ) |
| Net unrealized appreciation on investments | | | 6,174,925 | |
| Net assets | | $ | 48,583,784 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 26,209,398 | |
| Capital shares outstanding | | | 303,814 | |
| Net asset value per share | | $ | 86.27 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 4,076,176 | |
| Capital shares outstanding | | | 51,726 | |
| Net asset value per share | | $ | 78.80 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 82.73 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 4,078,586 | |
| Capital shares outstanding | | | 57,405 | |
| Net asset value per share | | $ | 71.05 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 14,219,624 | |
| Capital shares outstanding | | | 185,196 | |
| Net asset value per share | | $ | 76.78 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $16,075) | | $ | 1,058,470 | |
| Interest | | | 2,471 | |
| Income from securities lending, net | | | 2,760 | |
| Total investment income | | | 1,063,701 | |
| | | | | |
| Expenses: |
| Management fees | | | 426,707 | |
| Distribution and service fees: |
| A-Class | | | 10,859 | |
| C-Class | | | 45,189 | |
| H-Class | | | 29,341 | |
| Transfer agent and administrative fees | | | 125,502 | |
| Registration fees | | | 53,034 | |
| Portfolio accounting fees | | | 50,200 | |
| Custodian fees | | | 7,201 | |
| Trustees’ fees* | | | 4,817 | |
| Line of credit fees | | | 655 | |
| Miscellaneous | | | 22,297 | |
| Total expenses | | | 775,802 | |
| Net investment income | | | 287,899 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 12,177,260 | |
| Net realized gain | | | 12,177,260 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (6,360,606 | ) |
| Net change in unrealized appreciation (depreciation) | | | (6,360,606 | ) |
| Net realized and unrealized gain | | | 5,816,654 | |
| Net increase in net assets resulting from operations | | $ | 6,104,553 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 287,899 | | | $ | 238,285 | |
| Net realized gain on investments | | | 12,177,260 | | | | 1,464,242 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (6,360,606 | ) | | | 8,815,507 | |
| Net increase in net assets resulting from operations | | | 6,104,553 | | | | 10,518,034 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (133,434 | ) | | | (184,641 | ) |
| A-Class | | | (16,142 | ) | | | (30,326 | ) |
| C-Class | | | (18,031 | ) | | | (19,058 | ) |
| H-Class | | | (70,678 | ) | | | (35,023 | ) |
| Total distributions to shareholders | | | (238,285 | ) | | | (269,048 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 175,164,177 | | | | 231,950,491 | |
| A-Class | | | 5,786,565 | | | | 12,517,711 | |
| C-Class | | | 3,913,961 | | | | 5,972,804 | |
| H-Class | | | 262,406,269 | | | | 248,740,610 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 131,975 | | | | 183,226 | |
| A-Class | | | 15,040 | | | | 20,961 | |
| C-Class | | | 17,799 | | | | 18,821 | |
| H-Class | | | 70,666 | | | | 35,011 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (193,064,391 | ) | | | (205,535,966 | ) |
| A-Class | | | (8,050,385 | ) | | | (8,453,891 | ) |
| C-Class | | | (5,930,789 | ) | | | (4,560,750 | ) |
| H-Class | | | (259,252,200 | ) | | | (242,259,106 | ) |
| Net increase (decrease) from capital share transactions | | | (18,791,313 | ) | | | 38,629,922 | |
| Net increase (decrease) in net assets | | | (12,925,045 | ) | | | 48,878,908 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 61,508,829 | | | | 12,629,921 | |
| End of year | | $ | 48,583,784 | | | $ | 61,508,829 | |
| Undistributed net investment income at end of year | | $ | 287,899 | | | $ | 238,285 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,144,837 | | | | 3,510,748 | |
| A-Class | | | 79,027 | | | | 195,570 | |
| C-Class | | | 58,114 | | | | 105,363 | |
| H-Class | | | 3,797,432 | | | | 4,361,031 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 1,532 | | | | 2,544 | |
| A-Class | | | 191 | | | | 317 | |
| C-Class | | | 250 | | | | 313 | |
| H-Class | | | 921 | | | | 544 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,382,137 | ) | | | (3,102,087 | ) |
| A-Class | | | (111,766 | ) | | | (128,613 | ) |
| C-Class | | | (89,022 | ) | | | (85,128 | ) |
| H-Class | | | (3,736,577 | ) | | | (4,265,233 | ) |
| Net increase (decrease) in shares | | | (237,198 | ) | | | 595,369 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 76.86 | | | $ | 56.13 | | | $ | 62.71 | | | $ | 63.60 | | | $ | 52.58 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .60 | | | | .53 | | | | .68 | | | | .51 | | | | .54 | |
| Net gain (loss) on investments (realized and unrealized) | | | 9.12 | | | | 20.51 | | | | (6.97 | ) | | | (.98 | ) | | | 11.09 | |
| Total from investment operations | | | 9.72 | | | | 21.04 | | | | (6.29 | ) | | | (.47 | ) | | | 11.63 | |
| Less distributions from: |
| Net investment income | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Total distributions | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Net asset value, end of period | | $ | 86.27 | | | $ | 76.86 | | | $ | 56.13 | | | $ | 62.71 | | | $ | 63.60 | |
| |
| Total Returnb | | | 12.63 | % | | | 37.53 | % | | | (10.10 | %) | | | (0.73 | %) | | | 22.17 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 26,209 | | | $ | 41,473 | | | $ | 7,206 | | | $ | 43,989 | | | $ | 11,241 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.73 | % | | | 0.74 | % | | | 1.07 | % | | | 0.82 | % | | | 0.92 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % | | | 1.34 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 772 | % | | | 907 | % | | | 514 | % | | | 583 | % | | | 481 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.41 | | | $ | 51.55 | | | $ | 57.76 | | | $ | 58.75 | | | $ | 48.74 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .37 | | | | .33 | | | | .40 | | | | .26 | | | | .39 | |
| Net gain (loss) on investments (realized and unrealized) | | | 8.33 | | | | 18.84 | | | | (6.32 | ) | | | (.83 | ) | | | 10.23 | |
| Total from investment operations | | | 8.70 | | | | 19.17 | | | | (5.92 | ) | | | (.57 | ) | | | 10.62 | |
| Less distributions from: |
| Net investment income | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Total distributions | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Net asset value, end of period | | $ | 78.80 | | | $ | 70.41 | | | $ | 51.55 | | | $ | 57.76 | | | $ | 58.75 | |
| |
| Total Returnb | | | 12.37 | % | | | 37.21 | % | | | (10.31 | %) | | | (0.98 | %) | | | 21.84 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,076 | | | $ | 5,934 | | | $ | 876 | | | $ | 1,054 | | | $ | 8,305 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.50 | % | | | 0.51 | % | | | 0.69 | % | | | 0.45 | % | | | 0.71 | % |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.59 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 772 | % | | | 907 | % | | | 514 | % | | | 583 | % | | | 481 | % |
| 16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 63.98 | | | $ | 47.22 | | | $ | 53.34 | | | $ | 54.69 | | | $ | 45.74 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.05 | ) | | | .03 | | | | (.14 | ) | | | (.05 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.55 | | | | 17.12 | | | | (5.86 | ) | | | (.79 | ) | | | 9.61 | |
| Total from investment operations | | | 7.38 | | | | 17.07 | | | | (5.83 | ) | | | (.93 | ) | | | 9.56 | |
| Less distributions from: |
| Net investment income | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Total distributions | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Net asset value, end of period | | $ | 71.05 | | | $ | 63.98 | | | $ | 47.22 | | | $ | 53.34 | | | $ | 54.69 | |
| |
| Total Returnb | | | 11.54 | % | | | 36.18 | % | | | (10.99 | %) | | | (1.71 | %) | | | 20.95 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,079 | | | $ | 5,634 | | | $ | 3,188 | | | $ | 3,131 | | | $ | 4,307 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.25 | %) | | | (0.09 | %) | | | 0.05 | % | | | (0.26 | %) | | | (0.10 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 772 | % | | | 907 | % | | | 514 | % | | | 583 | % | | | 481 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 68.61 | | | $ | 50.22 | | | $ | 56.30 | | | $ | 57.40 | | | $ | 47.71 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .39 | | | | .29 | | | | .33 | | | | (.01 | ) | | | .23 | |
| Net gain (loss) on investments (realized and unrealized) | | | 8.09 | | | | 18.41 | | | | (6.12 | ) | | | (.67 | ) | | | 10.07 | |
| Total from investment operations | | | 8.48 | | | | 18.70 | | | | (5.79 | ) | | | (.68 | ) | | | 10.30 | |
| Less distributions from: |
| Net investment income | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Total distributions | | | (.31 | ) | | | (.31 | ) | | | (.29 | ) | | | (.42 | ) | | | (.61 | ) |
| Net asset value, end of period | | $ | 76.78 | | | $ | 68.61 | | | $ | 50.22 | | | $ | 56.30 | | | $ | 57.40 | |
| |
| Total Returnb | | | 12.38 | % | | | 37.26 | % | | | (10.34 | %) | | | (1.19 | %) | | | 21.64 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 14,220 | | | $ | 8,467 | | | $ | 1,360 | | | $ | 847 | | | $ | 540 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.52 | % | | | 0.45 | % | | | 0.57 | % | | | (0.02 | %) | | | 0.44 | % |
| Total expenses | | | 1.62 | % | | | 1.63 | % | | | 1.68 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 772 | % | | | 907 | % | | | 514 | % | | | 583 | % | | | 481 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 17 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals, and other basic building and manufacturing materials (“Basic Materials Companies”).
For the one-year period ended March 29, 2018, Basic Materials Fund Investor Class returned 8.81%, compared with 10.54% for the S&P 500 Materials Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to the performance of the Fund was basic & diversified chemicals, followed by steel raw material suppliers. The precious metal mining industry detracted the most, followed by real estate investment trusts (REITs).
Vale S.A. ADR, Westlake Chemical Corp., and Sherwin-Williams Co. contributed the most to the performance of the Fund. Barrick Gold Corp., Tahoe Resources, Inc., and AK Steel Holding Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| 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. | 2.7% |
| Ecolab, Inc. | 2.4% |
| LyondellBasell Industries N.V. — Class A | 2.4% |
| Praxair, Inc. | 2.3% |
| Sherwin-Williams Co. | 2.2% |
| Air Products & Chemicals, Inc. | 2.2% |
| PPG Industries, Inc. | 2.0% |
| Freeport-McMoRan, Inc. | 1.9% |
| Newmont Mining Corp. | 1.8% |
| Top Ten Total | 24.3% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 8.81% | 4.90% | 2.60% |
| A-Class Shares | 8.56% | 4.63% | 2.33% |
| A-Class Shares with sales charge† | 3.40% | 3.62% | 1.84% |
| C-Class Shares | 7.75% | 3.85% | 1.57% |
| C-Class Shares with CDSC‡ | 6.75% | 3.85% | 1.57% |
| H-Class Shares** | 8.57% | 4.51% | 2.15% |
| S&P 500 Materials Index | 10.54% | 9.90% | 5.90% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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 shares 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| BASIC MATERIALS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.8% |
| | | | | | | |
| Chemicals - 45.2% |
| DowDuPont, Inc. | | | 51,499 | | | $ | 3,281,001 | |
| Monsanto Co. | | | 17,156 | | | | 2,001,934 | |
| LyondellBasell Industries N.V. — Class A | | | 17,025 | | | | 1,799,202 | |
| Praxair, Inc. | | | 12,162 | | | | 1,754,977 | |
| Sherwin-Williams Co. | | | 4,296 | | | | 1,684,548 | |
| Air Products & Chemicals, Inc. | | | 10,268 | | | | 1,632,920 | |
| PPG Industries, Inc. | | | 13,220 | | | | 1,475,352 | |
| Eastman Chemical Co. | | | 10,388 | | | | 1,096,765 | |
| Westlake Chemical Corp. | | | 9,440 | | | | 1,049,256 | |
| Celanese Corp. — Class A | | | 10,163 | | | | 1,018,434 | |
| International Flavors & Fragrances, Inc. | | | 6,796 | | | | 930,440 | |
| FMC Corp. | | | 11,520 | | | | 882,086 | |
| Albemarle Corp. | | | 9,469 | | | | 878,155 | |
| Chemours Co. | | | 17,344 | | | | 844,826 | |
| Mosaic Co. | | | 33,533 | | | | 814,181 | |
| CF Industries Holdings, Inc. | | | 21,530 | | | | 812,327 | |
| Axalta Coating Systems Ltd.* | | | 24,815 | | | | 749,165 | |
| Huntsman Corp. | | | 24,658 | | | | 721,247 | |
| RPM International, Inc. | | | 14,517 | | | | 692,025 | |
| Olin Corp. | | | 20,437 | | | | 621,080 | |
| Ashland Global Holdings, Inc. | | | 8,402 | | | | 586,376 | |
| Valvoline, Inc. | | | 26,363 | | | | 583,413 | |
| Methanex Corp.1 | | | 9,242 | | | | 560,527 | |
| WR Grace & Co. | | | 9,106 | | | | 557,560 | |
| Sociedad Quimica y Minera de Chile S.A. ADR1 | | | 10,860 | | | | 533,769 | |
| Nutrien Ltd. | | | 11,288 | | | | 533,471 | |
| PolyOne Corp. | | | 12,212 | | | | 519,254 | |
| Cabot Corp. | | | 9,068 | | | | 505,269 | |
| Sensient Technologies Corp. | | | 6,870 | | | | 484,885 | |
| Ingevity Corp.* | | | 6,529 | | | | 481,122 | |
| Balchem Corp. | | | 5,700 | | | | 465,975 | |
| Platform Specialty Products Corp.* | | | 46,215 | | | | 445,051 | |
| HB Fuller Co. | | | 8,730 | | | | 434,143 | |
| Minerals Technologies, Inc. | | | 6,285 | | | | 420,781 | |
| Tronox Ltd. — Class A | | | 22,330 | | | | 411,765 | |
| GCP Applied Technologies, Inc.* | | | 13,790 | | | | 400,600 | |
| Ferro Corp.* | | | 16,770 | | | | 389,399 | |
| Innospec, Inc. | | | 5,370 | | | | 368,382 | |
| A. Schulman, Inc. | | | 7,471 | | | | 321,253 | |
| Rayonier Advanced Materials, Inc. | | | 14,630 | | | | 314,106 | |
| Total Chemicals | | | | | | | 34,057,022 | |
| | | | | | | | | |
| Mining - 17.5% |
| Freeport-McMoRan, Inc. | | | 80,496 | | | | 1,414,315 | |
| Newmont Mining Corp. | | | 34,163 | | | | 1,334,748 | |
| Barrick Gold Corp. | | | 87,164 | | | | 1,085,192 | |
| Goldcorp, Inc. | | | 60,754 | | | | 839,620 | |
| Alcoa Corp.* | | | 17,909 | | | | 805,189 | |
| Rio Tinto plc ADR1 | | | 15,505 | | | | 798,973 | |
| Royal Gold, Inc. | | | 8,111 | | | | 696,492 | |
| Agnico Eagle Mines Ltd. | | | 16,090 | | | | 676,906 | |
| Teck Resources Ltd. — Class B | | | 25,441 | | | | 655,360 | |
| BHP Billiton Ltd. ADR1 | | | 14,585 | | | | 648,012 | |
| Franco-Nevada Corp.1 | | | 8,902 | | | | 608,808 | |
| Wheaton Precious Metals Corp. | | | 29,214 | | | | 595,089 | |
| Randgold Resources Ltd. ADR1 | | | 6,674 | | | | 555,544 | |
| AngloGold Ashanti Ltd. ADR | | | 55,751 | | | | 529,077 | |
| Pan American Silver Corp. | | | 31,959 | | | | 516,138 | |
| Compass Minerals International, Inc.1 | | | 6,648 | | | | 400,874 | |
| Kaiser Aluminum Corp. | | | 3,597 | | | | 362,937 | |
| Coeur Mining, Inc.* | | | 43,237 | | | | 345,896 | |
| Century Aluminum Co.* | | | 18,928 | | | | 313,069 | |
| Total Mining | | | | | | | 13,182,239 | |
| | | | | | | | | |
| Packaging & Containers - 12.1% |
| WestRock Co. | | | 17,719 | | | | 1,137,028 | |
| Ball Corp. | | | 26,298 | | | | 1,044,294 | |
| Packaging Corporation of America | | | 8,054 | | | | 907,686 | |
| Berry Global Group, Inc.* | | | 13,927 | | | | 763,339 | |
| Sealed Air Corp. | | | 17,583 | | | | 752,376 | |
| Crown Holdings, Inc.* | | | 14,696 | | | | 745,822 | |
| Sonoco Products Co. | | | 12,940 | | | | 627,590 | |
| Graphic Packaging Holding Co. | | | 40,418 | | | | 620,416 | |
| Bemis Company, Inc. | | | 12,776 | | | | 556,011 | |
| Owens-Illinois, Inc.* | | | 24,328 | | | | 526,944 | |
| KapStone Paper and Packaging Corp. | | | 15,170 | | | | 520,483 | |
| Silgan Holdings, Inc. | | | 17,842 | | | | 496,900 | |
| Greif, Inc. — Class A | | | 8,780 | | | | 458,755 | |
| Total Packaging & Containers | | | | | | | 9,157,644 | |
| | | | | | | | | |
| Iron & Steel - 9.7% |
| Nucor Corp. | | | 19,759 | | | | 1,207,077 | |
| Vale S.A. ADR | | | 80,878 | | | | 1,028,768 | |
| Steel Dynamics, Inc. | | | 20,505 | | | | 906,731 | |
| Reliance Steel & Aluminum Co. | | | 8,053 | | | | 690,464 | |
| United States Steel Corp. | | | 18,239 | | | | 641,831 | |
| ArcelorMittal | | | 19,671 | | | | 625,735 | |
| Allegheny Technologies, Inc.* | | | 19,159 | | | | 453,685 | |
| Cleveland-Cliffs, Inc.* | | | 57,454 | | | | 399,305 | |
| Commercial Metals Co. | | | 19,481 | | | | 398,581 | |
| Carpenter Technology Corp. | | | 8,648 | | | | 381,550 | |
| AK Steel Holding Corp.*,1 | | | 70,310 | | | | 318,504 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 8,065 | | | | 260,903 | |
| Total Iron & Steel | | | | | | | 7,313,134 | |
| | | | | | | | | |
| Building Materials - 6.0% |
| Vulcan Materials Co. | | | 9,493 | | | | 1,083,816 | |
| Martin Marietta Materials, Inc. | | | 4,979 | | | | 1,032,147 | |
| Eagle Materials, Inc. | | | 6,251 | | | | 644,165 | |
| Louisiana-Pacific Corp. | | | 20,513 | | | | 590,159 | |
| Summit Materials, Inc. — Class A* | | | 17,125 | | | | 518,545 | |
| Boise Cascade Co. | | | 9,000 | | | | 347,400 | |
| US Concrete, Inc.*,1 | | | 4,502 | | | | 271,921 | |
| Total Building Materials | | | | | | | 4,488,153 | |
| | | | | | | | | |
| Commercial Services - 2.4% |
| Ecolab, Inc. | | | 13,284 | | | | 1,820,838 | |
| | | | | | | | | |
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| BASIC MATERIALS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Forest Products & Paper - 2.4% |
| International Paper Co. | | | 24,823 | | | $ | 1,326,293 | |
| Domtar Corp. | | | 10,541 | | | | 448,414 | |
| Total Forest Products & Paper | | | | | | | 1,774,707 | |
| | | | | | | | | |
| Miscellaneous Manufacturing - 1.5% |
| AptarGroup, Inc. | | | 7,504 | | | | 674,084 | |
| Trinseo S.A. | | | 6,630 | | | | 490,952 | |
| Total Miscellaneous Manufacturing | | | | | | | 1,165,036 | |
| | | | | | | | | |
| Household Products & Housewares - 1.1% |
| Avery Dennison Corp. | | | 7,865 | | | | 835,656 | |
| | | | | | | | | |
| Housewares - 0.8% |
| Scotts Miracle-Gro Co. — Class A | | | 7,150 | | | | 613,113 | |
| | | | | | | | | |
| Metal Fabricate & Hardware - 0.6% |
| Worthington Industries, Inc. | | | 10,590 | | | | 454,523 | |
| | | | | | | | | |
| Coal - 0.5% |
| Warrior Met Coal, Inc.1 | | | 12,260 | | | | 343,403 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $64,877,343) | | | | | | | 75,205,468 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,2 - 4.4% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%3 | | | 3,296,775 | | | | 3,296,775 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $3,296,775) | | | | | | | 3,296,775 | |
| | | | | | | | | |
| Total Investments - 104.2% | | | | | | | | |
| (Cost $68,174,118) | | | | | | $ | 78,502,243 | |
| Other Assets & Liabilities, net - (4.2)% | | | | | | | (3,129,653 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 75,372,590 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Securities lending collateral — See Note 5. |
| 3 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 75,205,468 | | | $ | — | | | $ | — | | | $ | 75,205,468 | |
| Securities Lending Collateral | | | 3,296,775 | | | | — | | | | — | | | | 3,296,775 | |
| Total Assets | | $ | 78,502,243 | | | $ | — | | | $ | — | | | $ | 78,502,243 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $3,282,182 of securities loaned (cost $68,174,118) | | $ | 78,502,243 | |
| Cash | | | 16,263 | |
| Receivables: |
| Fund shares sold | | | 487,406 | |
| Dividends | | | 127,605 | |
| Securities lending income | | | 711 | |
| Foreign taxes reclaim | | | 339 | |
| Total assets | | | 79,134,567 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 3,296,775 | |
| Foreign capital gain taxes | | | 130,382 | |
| Fund shares redeemed | | | 129,424 | |
| Line of credit | | | 86,000 | |
| Management fees | | | 58,797 | |
| Transfer agent and administrative fees | | | 17,293 | |
| Distribution and service fees | | | 9,534 | |
| Portfolio accounting fees | | | 6,917 | |
| Trustees’ fees* | | | 2,564 | |
| Miscellaneous | | | 24,291 | |
| Total liabilities | | | 3,761,977 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 75,372,590 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 71,480,187 | |
| Distributions in excess of net investment income | | | (123,589 | ) |
| Accumulated net realized loss on investments | | | (6,312,133 | ) |
| Net unrealized appreciation on investments | | | 10,328,125 | |
| Net assets | | $ | 75,372,590 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 51,588,701 | |
| Capital shares outstanding | | | 854,476 | |
| Net asset value per share | | $ | 60.37 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 9,070,358 | |
| Capital shares outstanding | | | 160,094 | |
| Net asset value per share | | $ | 56.66 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 59.49 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 5,493,935 | |
| Capital shares outstanding | | | 109,182 | |
| Net asset value per share | | $ | 50.32 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 9,219,596 | |
| Capital shares outstanding | | | 167,787 | |
| Net asset value per share | | $ | 54.95 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $19,048) | | $ | 1,475,942 | |
| Interest | | | 6,590 | |
| Income from securities lending, net | | | 9,874 | |
| Total investment income | | | 1,492,406 | |
| | | | | |
| Expenses: |
| Management fees | | | 812,115 | |
| Distribution and service fees: |
| A-Class | | | 27,682 | |
| C-Class | | | 56,354 | |
| H-Class | | | 37,263 | |
| Transfer agent and administrative fees | | | 238,857 | |
| Portfolio accounting fees | | | 95,542 | |
| Registration fees | | | 75,472 | |
| Custodian fees | | | 13,102 | |
| Trustees’ fees* | | | 7,704 | |
| Tax expense | | | 2,039 | |
| Line of credit fees | | | 559 | |
| Miscellaneous | | | 71,133 | |
| Total expenses | | | 1,437,822 | |
| Net investment income | | | 54,584 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 10,154,737 | |
| Foreign currency transactions | | | (69 | ) |
| Net realized gain | | | 10,154,668 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (5,190,126 | ) |
| Net change in unrealized appreciation (depreciation) | | | (5,190,126 | ) |
| Net realized and unrealized gain | | | 4,964,542 | |
| Net increase in net assets resulting from operations | | $ | 5,019,126 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 54,584 | | | $ | 206,434 | |
| Net realized gain on investments | | | 10,154,668 | | | | 9,183,264 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (5,190,126 | ) | | | 5,660,263 | |
| Net increase in net assets resulting from operations | | | 5,019,126 | | | | 15,049,961 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (272,466 | ) | | | (445,649 | ) |
| A-Class | | | (43,383 | ) | | | (129,410 | ) |
| C-Class | | | (28,089 | ) | | | (50,406 | ) |
| H-Class | | | (57,956 | ) | | | (44,931 | ) |
| Total distributions to shareholders | | | (401,894 | ) | | | (670,396 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 166,523,103 | | | | 366,654,182 | |
| A-Class | | | 12,667,551 | | | | 60,038,778 | |
| C-Class | | | 3,701,080 | | | | 7,777,261 | |
| H-Class | | | 142,131,772 | | | | 46,556,397 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 270,750 | | | | 442,343 | |
| A-Class | | | 39,209 | | | | 124,774 | |
| C-Class | | | 26,376 | | | | 47,851 | |
| H-Class | | | 57,923 | | | | 44,870 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (176,088,501 | ) | | | (349,084,142 | ) |
| A-Class | | | (20,761,016 | ) | | | (50,808,000 | ) |
| C-Class | | | (4,409,986 | ) | | | (5,202,949 | ) |
| H-Class | | | (140,512,311 | ) | | | (43,707,838 | ) |
| Net increase (decrease) from capital share transactions | | | (16,354,050 | ) | | | 32,883,527 | |
| Net increase (decrease) in net assets | | | (11,736,818 | ) | | | 47,263,092 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 87,109,408 | | | | 39,846,316 | |
| End of year | | $ | 75,372,590 | | | $ | 87,109,408 | |
| Distributions in excess of net investment income at end of year | | $ | (123,589 | ) | | $ | (95,895 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,779,960 | | | | 7,143,060 | |
| A-Class | | | 228,094 | | | | 1,268,197 | |
| C-Class | | | 72,898 | | | | 179,237 | |
| H-Class | | | 2,576,157 | | | | 1,009,782 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 4,414 | | | | 8,544 | |
| A-Class | | | 681 | | | | 2,559 | |
| C-Class | | | 514 | | | | 1,093 | |
| H-Class | | | 1,037 | | | | 949 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,950,510 | ) | | | (6,809,481 | ) |
| A-Class | | | (380,714 | ) | | | (1,056,076 | ) |
| C-Class | | | (88,314 | ) | | | (119,321 | ) |
| H-Class | | | (2,568,262 | ) | | | (915,003 | ) |
| Net increase (decrease) in shares | | | (324,045 | ) | | | 713,540 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.71 | | | $ | 45.18 | | | $ | 50.18 | | | $ | 52.53 | | | $ | 49.94 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .11 | | | | .18 | | | | .26 | | | | .29 | | | | .32 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.80 | | | | 10.92 | | | | (4.39 | ) | | | (2.26 | ) | | | 2.58 | |
| Total from investment operations | | | 4.91 | | | | 11.10 | | | | (4.13 | ) | | | (1.97 | ) | | | 2.90 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Total distributions | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Net asset value, end of period | | $ | 60.37 | | | $ | 55.71 | | | $ | 45.18 | | | $ | 50.18 | | | $ | 52.53 | |
| |
| Total Returnb | | | 8.81 | % | | | 24.65 | % | | | (8.07 | %) | | | (3.77 | %) | | | 5.84 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 51,589 | | | $ | 56,854 | | | $ | 30,653 | | | $ | 46,509 | | | $ | 33,687 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.18 | % | | | 0.35 | % | | | 0.55 | % | | | 0.56 | % | | | 0.66 | % |
| Total expenses | | | 1.38 | % | | | 1.37 | % | | | 1.35 | % | | | 1.34 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 257 | % | | | 361 | % | | | 471 | % | | | 358 | % | | | 349 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 52.42 | | | $ | 42.65 | | | $ | 47.54 | | | $ | 49.93 | | | $ | 47.60 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.01 | ) | | | .03 | | | | .10 | | | | .13 | | | | .22 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.50 | | | | 10.31 | | | | (4.12 | ) | | | (2.14 | ) | | | 2.42 | |
| Total from investment operations | | | 4.49 | | | | 10.34 | | | | (4.02 | ) | | | (2.01 | ) | | | 2.64 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Total distributions | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Net asset value, end of period | | $ | 56.66 | | | $ | 52.42 | | | $ | 42.65 | | | $ | 47.54 | | | $ | 49.93 | |
| |
| Total Returnb | | | 8.56 | % | | | 24.33 | % | | | (8.29 | %) | | | (4.05 | %) | | | 5.58 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 9,070 | | | $ | 16,355 | | | $ | 4,152 | | | $ | 6,194 | | | $ | 13,347 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.02 | %) | | | 0.06 | % | | | 0.24 | % | | | 0.27 | % | | | 0.47 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.60 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 257 | % | | | 361 | % | | | 471 | % | | | 358 | % | | | 349 | % |
| 24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.93 | | | $ | 38.52 | | | $ | 43.36 | | | $ | 45.91 | | | $ | 44.12 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.38 | ) | | | (.29 | ) | | | (.17 | ) | | | (.23 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.02 | | | | 9.27 | | | | (3.80 | ) | | | (1.94 | ) | | | 2.25 | |
| Total from investment operations | | | 3.64 | | | | 8.98 | | | | (3.97 | ) | | | (2.17 | ) | | | 2.10 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Total distributions | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Net asset value, end of period | | $ | 50.32 | | | $ | 46.93 | | | $ | 38.52 | | | $ | 43.36 | | | $ | 45.91 | |
| |
| Total Returnb | | | 7.75 | % | | | 23.41 | % | | | (8.98 | %) | | | (4.76 | %) | | | 4.80 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,494 | | | $ | 5,824 | | | $ | 2,430 | | | $ | 3,133 | | | $ | 5,150 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.75 | %) | | | (0.66 | %) | | | (0.43 | %) | | | (0.49 | %) | | | (0.34 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 257 | % | | | 361 | % | | | 471 | % | | | 358 | % | | | 349 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.84 | | | $ | 41.37 | | | $ | 46.19 | | | $ | 48.64 | | | $ | 46.50 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.05 | ) | | | .01 | | | | .09 | | | | —d | | | | .08 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.41 | | | | 10.03 | | | | (4.04 | ) | | | (2.07 | ) | | | 2.37 | |
| Total from investment operations | | | 4.36 | | | | 10.04 | | | | (3.95 | ) | | | (2.07 | ) | | | 2.45 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Total distributions | | | (.25 | ) | | | (.57 | ) | | | (.87 | ) | | | (.38 | ) | | | (.31 | ) |
| Net asset value, end of period | | $ | 54.95 | | | $ | 50.84 | | | $ | 41.37 | | | $ | 46.19 | | | $ | 48.64 | |
| |
| Total Returnb | | | 8.57 | % | | | 24.36 | % | | | (8.36 | %) | | | (4.30 | %) | | | 5.31 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 9,220 | | | $ | 8,077 | | | $ | 2,612 | | | $ | 2,073 | | | $ | 2,678 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.09 | %) | | | 0.03 | % | | | 0.24 | % | | | —e | | | | 0.18 | % |
| Total expenses | | | 1.62 | % | | | 1.62 | % | | | 1.64 | % | | | 1.85 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 257 | % | | | 361 | % | | | 471 | % | | | 358 | % | | | 349 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| d | | Net investment income is less than $0.01 per share. |
| e | | Less than 0.01% |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
For the one-year period ended March 29, 2018, Biotechnology Fund Investor Class returned 15.34%, compared with 11.27% for the S&P 500 Health Care Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to the performance of the Fund was biotechnology, followed by specialty pharma. The health care supplies industry was the only detractor from return. The generic pharma industry contributed the least.
Nektar Therapeutics, AbbVie, Inc., and Juno Therapeutics, Inc. contributed the most to the performance of the Fund. Celgene Corp., Tesaro, Inc., and Incyte Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| H-Class | April 1, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| AbbVie, Inc. | 6.1% |
| Amgen, Inc. | 5.8% |
| Gilead Sciences, Inc. | 5.3% |
| Celgene Corp. | 4.5% |
| Biogen, Inc. | 4.1% |
| Vertex Pharmaceuticals, Inc. | 3.4% |
| Regeneron Pharmaceuticals, Inc. | 3.4% |
| Illumina, Inc. | 3.2% |
| Alexion Pharmaceuticals, Inc. | 2.6% |
| Nektar Therapeutics | 2.3% |
| Top Ten Total | 40.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 26 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 15.34% | 14.65% | 16.26% |
| A-Class Shares | 15.04% | 14.36% | 15.96% |
| A-Class Shares with sales charge† | 9.57% | 13.25% | 15.40% |
| C-Class Shares | 14.18% | 13.51% | 15.11% |
| C-Class Shares with CDSC‡ | 13.18% | 13.51% | 15.11% |
| H-Class Shares** | 15.04% | 14.23% | 15.75% |
| S&P 500 Health Care Index | 11.27% | 13.94% | 12.25% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| BIOTECHNOLOGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% |
| | | | | | | |
| Biotechnology - 71.2% |
| Amgen, Inc. | | | 94,995 | | | $ | 16,194,749 | |
| Gilead Sciences, Inc. | | | 196,920 | | | | 14,845,799 | |
| Celgene Corp.* | | | 139,473 | | | | 12,442,386 | |
| Biogen, Inc.* | | | 42,078 | | | | 11,521,798 | |
| Vertex Pharmaceuticals, Inc.* | | | 58,729 | | | | 9,571,652 | |
| Regeneron Pharmaceuticals, Inc.* | | | 27,479 | | | | 9,462,668 | |
| Illumina, Inc.* | | | 37,513 | | | | 8,868,823 | |
| Alexion Pharmaceuticals, Inc.* | | | 64,956 | | | | 7,239,996 | |
| Incyte Corp.* | | | 73,325 | | | | 6,110,172 | |
| BioMarin Pharmaceutical, Inc.* | | | 70,900 | | | | 5,747,863 | |
| Alnylam Pharmaceuticals, Inc.* | | | 42,402 | | | | 5,050,078 | |
| Seattle Genetics, Inc.* | | | 81,287 | | | | 4,254,562 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 16,072 | | | | 4,019,286 | |
| Sage Therapeutics, Inc.* | | | 24,830 | | | | 3,999,368 | |
| Bluebird Bio, Inc.* | | | 22,722 | | | | 3,879,782 | |
| Exelixis, Inc.* | | | 170,017 | | | | 3,765,877 | |
| United Therapeutics Corp.* | | | 29,936 | | | | 3,363,609 | |
| Ionis Pharmaceuticals, Inc.* | | | 75,281 | | | | 3,318,386 | |
| Prothena Corporation plc* | | | 89,117 | | | | 3,271,485 | |
| Avexis, Inc.* | | | 25,340 | | | | 3,131,517 | |
| Exact Sciences Corp.* | | | 74,514 | | | | 3,005,150 | |
| Blueprint Medicines Corp.* | | | 32,180 | | | | 2,950,906 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 16,965 | | | | 2,801,939 | |
| FibroGen, Inc.* | | | 59,720 | | | | 2,759,064 | |
| Loxo Oncology, Inc.* | | | 23,610 | | | | 2,723,886 | |
| Amicus Therapeutics, Inc.*,1 | | | 173,211 | | | | 2,605,093 | |
| Spark Therapeutics, Inc.* | | | 38,020 | | | | 2,531,752 | |
| Halozyme Therapeutics, Inc.* | | | 128,894 | | | | 2,525,033 | |
| ACADIA Pharmaceuticals, Inc.* | | | 108,543 | | | | 2,438,961 | |
| Ultragenyx Pharmaceutical, Inc.* | | | 46,966 | | | | 2,394,796 | |
| Medicines Co.*,1 | | | 71,448 | | | | 2,353,497 | |
| AnaptysBio, Inc.*,1 | | | 22,570 | | | | 2,349,086 | |
| Puma Biotechnology, Inc.*,1 | | | 33,420 | | | | 2,274,231 | |
| Immunomedics, Inc.* | | | 151,420 | | | | 2,212,246 | |
| Myriad Genetics, Inc.* | | | 71,636 | | | | 2,116,844 | |
| Esperion Therapeutics, Inc.* | | | 29,047 | | | | 2,100,970 | |
| Radius Health, Inc.*,1 | | | 55,313 | | | | 1,987,949 | |
| Insmed, Inc.* | | | 83,620 | | | | 1,883,122 | |
| Spectrum Pharmaceuticals, Inc.* | | | 114,740 | | | | 1,846,167 | |
| Dynavax Technologies Corp.* | | | 91,700 | | | | 1,820,245 | |
| ImmunoGen, Inc.* | | | 168,190 | | | | 1,769,359 | |
| Sangamo Therapeutics, Inc.* | | | 88,540 | | | | 1,682,260 | |
| Editas Medicine, Inc.* | | | 50,450 | | | | 1,672,418 | |
| PTC Therapeutics, Inc.* | | | 58,950 | | | | 1,595,187 | |
| Acorda Therapeutics, Inc.* | | | 66,171 | | | | 1,564,944 | |
| AMAG Pharmaceuticals, Inc.*,1 | | | 63,071 | | | | 1,270,881 | |
| Intercept Pharmaceuticals, Inc.*,1 | | | 8,200 | | | | 504,464 | |
| Total Biotechnology | | | | | | | 197,800,306 | |
| | | | | | | | | |
| Pharmaceuticals - 23.7% |
| AbbVie, Inc. | | | 178,478 | | | | 16,892,943 | |
| Nektar Therapeutics* | | | 59,627 | | | | 6,335,965 | |
| Alkermes plc* | | | 69,048 | | | | 4,002,022 | |
| Neurocrine Biosciences, Inc.* | | | 48,091 | | | | 3,988,187 | |
| Jazz Pharmaceuticals plc* | | | 24,830 | | | | 3,749,082 | |
| PRA Health Sciences, Inc.* | | | 41,088 | | | | 3,408,660 | |
| Sarepta Therapeutics, Inc.* | | | 45,720 | | | | 3,387,395 | |
| Agios Pharmaceuticals, Inc.* | | | 40,424 | | | | 3,305,875 | |
| Array BioPharma, Inc.* | | | 165,930 | | | | 2,707,977 | |
| TESARO, Inc.*,1 | | | 43,773 | | | | 2,501,189 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 153,881 | | | | 2,374,384 | |
| Clovis Oncology, Inc.* | | | 44,127 | | | | 2,329,906 | |
| Horizon Pharma plc* | | | 158,224 | | | | 2,246,781 | |
| Global Blood Therapeutics, Inc.* | | | 46,235 | | | | 2,233,150 | |
| Portola Pharmaceuticals, Inc.* | | | 63,805 | | | | 2,083,871 | |
| Pacira Pharmaceuticals, Inc.* | | | 55,279 | | | | 1,721,941 | |
| Eagle Pharmaceuticals, Inc.*,1 | | | 24,830 | | | | 1,308,293 | |
| Flexion Therapeutics, Inc.*,1 | | | 58,020 | | | | 1,300,228 | |
| Total Pharmaceuticals | | | | | | | 65,877,849 | |
| | | | | | | | | |
| Healthcare-Products - 2.5% |
| Bio-Techne Corp. | | | 24,762 | | | | 3,740,052 | |
| QIAGEN N.V.* | | | 99,463 | | | | 3,213,650 | |
| Total Healthcare-Products | | | | | | | 6,953,702 | |
| | | | | | | | | |
| Healthcare-Services - 2.2% |
| Charles River Laboratories International, Inc.* | | | 31,438 | | | | 3,355,692 | |
| Syneos Health, Inc.* | | | 76,010 | | | | 2,698,355 | |
| Total Healthcare-Services | | | | | | | 6,054,047 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $154,146,884) | | | | | | | 276,685,904 | |
| | | | | | | | | |
| RIGHTS††† - 0.0% |
| Chelsea Therapeutics International*,2 | | | 231,107 | | | | — | |
| Dyax Corp.*,2 | | | 167,165 | | | | — | |
| Clinical Data, Inc.*,2 | | | 24,000 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $17,304) | | | | | | | — | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,3 - 0.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 1,317,451 | | | | 1,317,451 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 431,105 | | | | 431,105 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,748,556) | | | | | | | 1,748,556 | |
| 28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| BIOTECHNOLOGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,4 - 3.9% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%5 | | | 10,830,439 | | | $ | 10,830,439 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $10,830,439) | | | | | | | 10,830,439 | |
| | | | | | | | | |
| Total Investments - 104.1% | | | | | | | | |
| (Cost $166,743,183) | | | | | | $ | 289,264,899 | |
| Other Assets & Liabilities, net - (4.1)% | | | | | | | (11,322,648 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 277,942,251 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| ††† | | Value determined based on Level 3 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Security was fair valued by the valuation committee at March 29, 2018. The total value of fair valued securities amounts to $0, (cost $17,304) or less than 0.01% of total net assets. |
| 3 | | Repurchase Agreements — See Note 4. |
| 4 | | Securities lending collateral — See Note 5. |
| 5 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 276,685,904 | | | $ | — | | | $ | — | | | $ | 276,685,904 | |
| Repurchase Agreements | | | — | | | | 1,748,556 | | | | — | | | | 1,748,556 | |
| Rights | | | — | | | | — | | | | — | * | | | — | |
| Securities Lending Collateral | | | 10,830,439 | | | | — | | | | — | | | | 10,830,439 | |
| Total Assets | | $ | 287,516,343 | | | $ | 1,748,556 | | | $ | — | | | $ | 289,264,899 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 29 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: | | | |
| Investments, at value - including $10,533,289 of securities loaned (cost $164,994,627) | | $ | 287,516,343 | |
| Repurchase agreements, at value (cost $1,748,556) | | | 1,748,556 | |
| Receivables: |
| Securities sold | | | 16,019,170 | |
| Fund shares sold | | | 388,554 | |
| Dividends | | | 57,987 | |
| Securities lending income | | | 8,479 | |
| Interest | | | 262 | |
| Total assets | | | 305,739,351 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 16,537,368 | |
| Return of securities loaned | | | 10,830,439 | |
| Management fees | | | 217,766 | |
| Transfer agent and administrative fees | | | 64,049 | |
| Distribution and service fees | | | 29,628 | |
| Portfolio accounting fees | | | 24,523 | |
| Trustees’ fees* | | | 8,105 | |
| Miscellaneous | | | 85,222 | |
| Total liabilities | | | 27,797,100 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 277,942,251 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 147,105,590 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | 8,314,945 | |
| Net unrealized appreciation on investments | | | 122,521,716 | |
| Net assets | | $ | 277,942,251 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 210,563,590 | |
| Capital shares outstanding | | | 2,415,520 | |
| Net asset value per share | | $ | 87.17 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 27,369,734 | |
| Capital shares outstanding | | | 339,794 | |
| Net asset value per share | | $ | 80.55 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 84.57 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 20,103,836 | |
| Capital shares outstanding | | | 278,685 | |
| Net asset value per share | | $ | 72.14 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 19,905,091 | |
| Capital shares outstanding | | | 254,342 | |
| Net asset value per share | | $ | 78.26 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 2,123,671 | |
| Interest | | | 17,634 | |
| Income from securities lending, net | | | 186,325 | |
| Total investment income | | | 2,327,630 | |
| | | | | |
| Expenses: |
| Management fees | | | 2,911,495 | |
| Distribution and service fees: |
| A-Class | | | 85,998 | |
| C-Class | | | 220,448 | |
| H-Class | | | 67,924 | |
| Transfer agent and administrative fees | | | 856,319 | |
| Portfolio accounting fees | | | 319,396 | |
| Registration fees | | | 259,697 | |
| Custodian fees | | | 46,176 | |
| Trustees’ fees* | | | 27,711 | |
| Line of credit fees | | | 4,259 | |
| Miscellaneous | | | 275,797 | |
| Total expenses | | | 5,075,220 | |
| Net investment loss | | | (2,747,590 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 71,878,829 | |
| Net realized gain | | | 71,878,829 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (21,879,731 | ) |
| Net change in unrealized appreciation (depreciation) | | | (21,879,731 | ) |
| Net realized and unrealized gain | | | 49,999,098 | |
| Net increase in net assets resulting from operations | | $ | 47,251,508 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (2,747,590 | ) | | $ | (3,016,948 | ) |
| Net realized gain on investments | | | 71,878,829 | | | | 33,962,436 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (21,879,731 | ) | | | 16,030,019 | |
| Net increase in net assets resulting from operations | | | 47,251,508 | | | | 46,975,507 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| Investor Class | | | (13,289,118 | ) | | | — | |
| A-Class | | | (1,688,964 | ) | | | — | |
| C-Class | | | (1,379,997 | ) | | | — | |
| H-Class | | | (1,173,934 | ) | | | — | |
| Total distributions to shareholders | | | (17,532,013 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 252,497,229 | | | | 566,789,465 | |
| A-Class | | | 11,391,416 | | | | 12,173,169 | |
| C-Class | | | 4,208,213 | | | | 6,487,269 | |
| H-Class | | | 196,556,693 | | | | 248,519,397 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 12,859,362 | | | | — | |
| A-Class | | | 1,635,127 | | | | — | |
| C-Class | | | 1,345,612 | | | | — | |
| H-Class | | | 1,173,118 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (316,818,280 | ) | | | (624,179,693 | ) |
| A-Class | | | (26,026,263 | ) | | | (30,279,707 | ) |
| C-Class | | | (8,068,228 | ) | | | (15,081,301 | ) |
| H-Class | | | (198,299,311 | ) | | | (258,314,588 | ) |
| Net decrease from capital share transactions | | | (67,545,312 | ) | | | (93,885,989 | ) |
| Net decrease in net assets | | | (37,825,817 | ) | | | (46,910,482 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 315,768,068 | | | | 362,678,550 | |
| End of year | | $ | 277,942,251 | | | $ | 315,768,068 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (502,785 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,867,728 | | | | 7,604,195 | |
| A-Class | | | 141,639 | | | | 171,354 | |
| C-Class | | | 57,210 | | | | 102,310 | |
| H-Class | | | 2,581,532 | | | | 3,763,839 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 149,667 | | | | — | |
| A-Class | | | 20,581 | | | | — | |
| C-Class | | | 18,870 | | | | — | |
| H-Class | | | 15,198 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,595,001 | ) | | | (8,424,736 | ) |
| A-Class | | | (319,315 | ) | | | (438,604 | ) |
| C-Class | | | (109,190 | ) | | | (239,863 | ) |
| H-Class | | | (2,609,943 | ) | | | (3,937,371 | ) |
| Net decrease in shares | | | (781,024 | ) | | | (1,398,876 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 79.72 | | | $ | 68.30 | | | $ | 93.63 | | | $ | 68.47 | | | $ | 48.97 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.62 | ) | | | (.57 | ) | | | (.75 | ) | | | (.27 | ) | | | (.51 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 12.77 | | | | 11.99 | | | | (23.30 | ) | | | 28.59 | | | | 20.01 | |
| Total from investment operations | | | 12.15 | | | | 11.42 | | | | (24.05 | ) | | | 28.32 | | | | 19.50 | |
| Less distributions from: |
| Net realized gains | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Total distributions | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Net asset value, end of period | | $ | 87.17 | | | $ | 79.72 | | | $ | 68.30 | | | $ | 93.63 | | | $ | 68.47 | |
| |
| Total Returnb | | | 15.34 | % | | | 16.71 | % | | | (25.98 | %) | | | 42.19 | % | | | 39.82 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 210,564 | | | $ | 238,614 | | | $ | 260,476 | | | $ | 498,068 | | | $ | 313,324 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.70 | %) | | | (0.76 | %) | | | (0.84 | %) | | | (0.34 | %) | | | (0.82 | %) |
| Total expenses | | | 1.37 | % | | | 1.37 | % | | | 1.32 | % | | | 1.33 | % | | | 1.36 | % |
| Portfolio turnover rate | | | 105 | % | | | 207 | % | | | 83 | % | | | 107 | % | | | 119 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 74.16 | | | $ | 63.69 | | | $ | 87.63 | | | $ | 64.41 | | | $ | 46.18 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.76 | ) | | | (.70 | ) | | | (.91 | ) | | | (.44 | ) | | | (.62 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.85 | | | | 11.17 | | | | (21.75 | ) | | | 26.82 | | | | 18.85 | |
| Total from investment operations | | | 11.09 | | | | 10.47 | | | | (22.66 | ) | | | 26.38 | | | | 18.23 | |
| Less distributions from: |
| Net realized gains | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Total distributions | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Net asset value, end of period | | $ | 80.55 | | | $ | 74.16 | | | $ | 63.69 | | | $ | 87.63 | | | $ | 64.41 | |
| |
| Total Returnb | | | 15.04 | % | | | 16.42 | % | | | (26.17 | %) | | | 41.83 | % | | | 39.48 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 27,370 | | | $ | 36,849 | | | $ | 48,672 | | | $ | 89,260 | | | $ | 51,270 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.93 | %) | | | (1.01 | %) | | | (1.09 | %) | | | (0.59 | %) | | | (1.07 | %) |
| Total expenses | | | 1.62 | % | | | 1.61 | % | | | 1.57 | % | | | 1.58 | % | | | 1.61 | % |
| Portfolio turnover rate | | | 105 | % | | | 207 | % | | | 83 | % | | | 107 | % | | | 119 | % |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 67.34 | | | $ | 58.27 | | | $ | 80.88 | | | $ | 60.10 | | | $ | 43.41 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.25 | ) | | | (1.11 | ) | | | (1.40 | ) | | | (.92 | ) | | | (.99 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 10.75 | | | | 10.18 | | | | (19.93 | ) | | | 24.86 | | | | 17.68 | |
| Total from investment operations | | | 9.50 | | | | 9.07 | | | | (21.33 | ) | | | 23.94 | | | | 16.69 | |
| Less distributions from: |
| Net realized gains | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Total distributions | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Net asset value, end of period | | $ | 72.14 | | | $ | 67.34 | | | $ | 58.27 | | | $ | 80.88 | | | $ | 60.10 | |
| |
| Total Returnb | | | 14.18 | % | | | 15.55 | % | | | (26.72 | %) | | | 40.75 | % | | | 38.45 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 20,104 | | | $ | 20,997 | | | $ | 26,185 | | | $ | 41,424 | | | $ | 27,170 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.70 | %) | | | (1.76 | %) | | | (1.84 | %) | | | (1.34 | %) | | | (1.82 | %) |
| Total expenses | | | 2.37 | % | | | 2.36 | % | | | 2.33 | % | | | 2.33 | % | | | 2.36 | % |
| Portfolio turnover rate | | | 105 | % | | | 207 | % | | | 83 | % | | | 107 | % | | | 119 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 72.16 | | | $ | 62.00 | | | $ | 85.38 | | | $ | 62.98 | | | $ | 45.27 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.69 | ) | | | (.70 | ) | | | (.96 | ) | | | (.61 | ) | | | (.74 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.49 | | | | 10.86 | | | | (21.14 | ) | | | 26.17 | | | | 18.45 | |
| Total from investment operations | | | 10.80 | | | | 10.16 | | | | (22.10 | ) | | | 25.56 | | | | 17.71 | |
| Less distributions from: |
| Net realized gains | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Total distributions | | | (4.70 | ) | | | — | | | | (1.28 | ) | | | (3.16 | ) | | | — | |
| Net asset value, end of period | | $ | 78.26 | | | $ | 72.16 | | | $ | 62.00 | | | $ | 85.38 | | | $ | 62.98 | |
| |
| Total Returnb | | | 15.04 | % | | | 16.39 | % | | | (26.22 | %) | | | 41.49 | % | | | 39.12 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 19,905 | | | $ | 19,308 | | | $ | 27,346 | | | $ | 63,196 | | | $ | 37,978 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.87 | %) | | | (1.04 | %) | | | (1.17 | %) | | | (0.84 | %) | | | (1.32 | %) |
| Total expenses | | | 1.62 | % | | | 1.61 | % | | | 1.65 | % | | | 1.83 | % | | | 1.86 | % |
| Portfolio turnover rate | | | 105 | % | | | 207 | % | | | 83 | % | | | 107 | % | | | 119 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 33 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
For the one-year period ended March 29, 2018, Consumer Products Fund Investor Class returned -0.04%, compared with -0.89% for the S&P 500 Consumer Staples Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to the performance of the Fund was beverages, followed by food products wholesalers. The packaged food industry detracted the most, followed by tobacco.
Estee Lauder Companies, Inc. Class A, Constellation Brands, Inc. Class A, and Brown-Forman Corp. Class B contributed the most to the performance of the Fund. Kraft-Heinz Co., BRF S.A. ADR, and TreeHouse Foods, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results..
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | July 6, 1998 |
| 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. | 4.8% |
| PepsiCo, Inc. | 4.4% |
| Philip Morris International, Inc. | 4.3% |
| Altria Group, Inc. | 3.8% |
| Kraft Heinz Co. | 3.0% |
| Colgate-Palmolive Co. | 2.9% |
| Mondelez International, Inc. — Class A | 2.8% |
| Estee Lauder Companies, Inc. — Class A | 2.7% |
| Constellation Brands, Inc. — Class A | 2.4% |
| Top Ten Total | 36.2% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 34 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (0.04%) | 8.53% | 9.56% |
| A-Class Shares | (0.28%) | 8.26% | 9.29% |
| A-Class Shares with sales charge† | (5.01%) | 7.21% | 8.76% |
| C-Class Shares | (1.02%) | 7.45% | 8.47% |
| C-Class Shares with CDSC‡ | (1.92%) | 7.45% | 8.47% |
| H-Class Shares** | (0.32%) | 8.12% | 9.08% |
| S&P 500 Consumer Staples Index | (0.89%) | 8.62% | 9.51% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| CONSUMER PRODUCTS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% |
| | | | | | | |
| Food - 39.6% |
| Kraft Heinz Co. | | | 103,439 | | | $ | 6,443,215 | |
| Mondelez International, Inc. — Class A | | | 140,823 | | | | 5,876,544 | |
| Sysco Corp. | | | 70,890 | | | | 4,250,564 | |
| Tyson Foods, Inc. — Class A | | | 55,815 | | | | 4,085,100 | |
| General Mills, Inc. | | | 80,803 | | | | 3,640,983 | |
| Kroger Co. | | | 146,993 | | | | 3,519,012 | |
| Kellogg Co. | | | 53,969 | | | | 3,508,525 | |
| Hershey Co. | | | 35,186 | | | | 3,482,007 | |
| Hormel Foods Corp.1 | | | 96,228 | | | | 3,302,545 | |
| Conagra Brands, Inc. | | | 78,827 | | | | 2,907,140 | |
| JM Smucker Co. | | | 22,718 | | | | 2,817,259 | |
| McCormick & Company, Inc. | | | 26,433 | | | | 2,812,207 | |
| Campbell Soup Co.1 | | | 63,790 | | | | 2,762,745 | |
| Ingredion, Inc. | | | 17,885 | | | | 2,305,734 | |
| Lamb Weston Holdings, Inc. | | | 38,810 | | | | 2,259,518 | |
| Blue Buffalo Pet Products, Inc.* | | | 53,839 | | | | 2,143,331 | |
| US Foods Holding Corp.* | | | 60,560 | | | | 1,984,551 | |
| Pilgrim’s Pride Corp.* | | | 77,029 | | | | 1,895,684 | |
| Pinnacle Foods, Inc. | | | 34,940 | | | | 1,890,254 | |
| Flowers Foods, Inc. | | | 76,142 | | | | 1,664,464 | |
| Post Holdings, Inc.* | | | 21,890 | | | | 1,658,386 | |
| Lancaster Colony Corp. | | | 11,511 | | | | 1,417,465 | |
| Hain Celestial Group, Inc.* | | | 41,555 | | | | 1,332,669 | |
| Sprouts Farmers Market, Inc.* | | | 55,841 | | | | 1,310,588 | |
| Performance Food Group Co.* | | | 43,619 | | | | 1,302,027 | |
| BRF S.A. ADR*,1 | | | 182,044 | | | | 1,259,745 | |
| Darling Ingredients, Inc.* | | | 72,668 | | | | 1,257,156 | |
| Sanderson Farms, Inc. | | | 10,464 | | | | 1,245,425 | |
| J&J Snack Foods Corp. | | | 8,909 | | | | 1,216,613 | |
| Cal-Maine Foods, Inc.*,1 | | | 25,490 | | | | 1,113,913 | |
| Fresh Del Monte Produce, Inc. | | | 24,550 | | | | 1,110,642 | |
| United Natural Foods, Inc.* | | | 25,450 | | | | 1,092,823 | |
| TreeHouse Foods, Inc.*,1 | | | 28,152 | | | | 1,077,377 | |
| Hostess Brands, Inc.* | | | 72,100 | | | | 1,066,359 | |
| Calavo Growers, Inc.1 | | | 10,860 | | | | 1,001,292 | |
| B&G Foods, Inc.1 | | | 38,856 | | | | 920,887 | |
| Dean Foods Co. | | | 76,893 | | | | 662,818 | |
| SUPERVALU, Inc.* | | | 38,632 | | | | 588,365 | |
| Total Food | | | | | | | 84,185,932 | |
| | | | | | | | | |
| Beverages - 23.8% |
| Coca-Cola Co. | | | 236,980 | | | | 10,292,041 | |
| PepsiCo, Inc. | | | 86,295 | | | | 9,419,099 | |
| Constellation Brands, Inc. — Class A | | | 22,281 | | | | 5,078,286 | |
| Monster Beverage Corp.* | | | 75,884 | | | | 4,341,324 | |
| Brown-Forman Corp. — Class B | | | 71,635 | | | | 3,896,944 | |
| Dr Pepper Snapple Group, Inc. | | | 29,993 | | | | 3,550,571 | |
| Molson Coors Brewing Co. — Class B | | | 39,595 | | | | 2,982,691 | |
| Anheuser-Busch InBev S.A. ADR | | | 20,808 | | | | 2,287,632 | |
| Coca-Cola European Partners plc | | | 47,774 | | | | 1,990,265 | |
| Diageo plc ADR | | | 12,020 | | | | 1,627,748 | |
| Fomento Economico Mexicano SAB de CV ADR | | | 17,383 | | | | 1,589,328 | |
| National Beverage Corp. | | | 17,424 | | | | 1,551,084 | |
| Boston Beer Company, Inc. — Class A* | | | 6,199 | | | | 1,171,921 | |
| Coca-Cola Bottling Company Consolidated | | | 5,455 | | | | 941,915 | |
| Total Beverages | | | | | | | 50,720,849 | |
| | | | | | | | | |
| Cosmetics & Personal Care - 13.4% |
| Procter & Gamble Co. | | | 136,134 | | | | 10,792,703 | |
| Colgate-Palmolive Co. | | | 85,150 | | | | 6,103,552 | |
| Estee Lauder Companies, Inc. — Class A | | | 38,680 | | | | 5,791,170 | |
| Coty, Inc. — Class A | | | 151,039 | | | | 2,764,014 | |
| Unilever N.V. — Class Y1 | | | 31,446 | | | | 1,773,240 | |
| Edgewell Personal Care Co.* | | | 24,548 | | | | 1,198,433 | |
| Total Cosmetics & Personal Care | | | | | | | 28,423,112 | |
| | | | | | | | | |
| Agriculture - 12.5% |
| Philip Morris International, Inc. | | | 92,015 | | | | 9,146,291 | |
| Altria Group, Inc. | | | 130,708 | | | | 8,145,723 | |
| Archer-Daniels-Midland Co. | | | 87,285 | | | | 3,785,551 | |
| Bunge Ltd. | | | 33,293 | | | | 2,461,684 | |
| British American Tobacco plc ADR | | | 32,697 | | | | 1,886,290 | |
| Vector Group Ltd.1 | | | 61,198 | | | | 1,247,827 | |
| Total Agriculture | | | | | | | 26,673,366 | |
| | | | | | | | | |
| Household Products & Housewares - 6.5% |
| Kimberly-Clark Corp. | | | 43,007 | | | | 4,736,361 | |
| Clorox Co. | | | 24,084 | | | | 3,205,821 | |
| Church & Dwight Company, Inc. | | | 53,379 | | | | 2,688,166 | |
| Spectrum Brands Holdings, Inc.1 | | | 18,873 | | | | 1,957,130 | |
| Central Garden & Pet Co. — Class A* | | | 28,660 | | | | 1,135,223 | |
| Total Household Products & Housewares | | | | | | | 13,722,701 | |
| | | | | | | | | |
| Retail - 1.4% |
| Casey’s General Stores, Inc. | | | 14,133 | | | | 1,551,380 | |
| Nu Skin Enterprises, Inc. — Class A | | | 20,748 | | | | 1,529,335 | |
| Total Retail | | | | | | | 3,080,715 | |
| | | | | | | | | |
| Pharmaceuticals - 1.0% |
| Herbalife Ltd.*,1 | | | 22,765 | | | | 2,218,905 | |
| | | | | | | | | |
| Electrical Components & Equipment - 0.7% |
| Energizer Holdings, Inc. | | | 25,425 | | | | 1,514,822 | |
| | | | | | | | | |
| Holding Companies-Diversified - 0.7% |
| HRG Group, Inc.* | | | 88,280 | | | | 1,455,737 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $145,269,282) | | | | | | | 211,996,139 | |
| | | | | | | | | |
| RIGHTS††† - 0.0% |
| PDC*,5 | | | 93,765 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $11,528) | | | | | | | — | |
| 36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| CONSUMER PRODUCTS FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 98,000 | | | $ | 98,000 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 32,068 | | | | 32,068 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $130,068) | | | | | | | 130,068 | |
| | | Shares | | | | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 4.9% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 10,416,568 | | | | 10,416,568 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $10,416,568) | | | | | | | 10,416,568 | |
| | | | | | | | | |
| Total Investments - 104.6% | | | | | | | | |
| (Cost $155,827,446) | | | | | | $ | 222,542,775 | |
| Other Assets & Liabilities, net - (4.6)% | | | | | | | (9,807,463 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 212,735,312 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| ††† | | Value determined based on Level 3 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 5 | | Security was fair valued by the valuation committee at March 29, 2018. The total market value of fair valued securities amounts to $0, (cost $11,528) or less than 0.01% 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 March 29, 2018 (See Note 3 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 | | $ | 211,996,139 | | | $ | — | | | $ | — | | | $ | 211,996,139 | |
| Repurchase Agreements | | | — | | | | 130,068 | | | | — | | | | 130,068 | |
| Rights | | | — | | | | — | | | | — | * | | | — | |
| Securities Lending Collateral | | | 10,416,568 | | | | — | | | | — | | | | 10,416,568 | |
| Total Assets | | $ | 222,412,707 | | | $ | 130,068 | | | $ | — | | | $ | 222,542,775 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: | | | |
| Investments, at value - including $10,259,396 of securities loaned (cost $155,697,378) | | $ | 222,412,707 | |
| Repurchase agreements, at value (cost $130,068) | | | 130,068 | |
| Cash | | | 76,269 | |
| Receivables: |
| Securities sold | | | 3,921,203 | |
| Dividends | | | 549,568 | |
| Fund shares sold | | | 148,332 | |
| Foreign taxes reclaim | | | 25,954 | |
| Securities lending income | | | 3,186 | |
| Interest | | | 20 | |
| Total assets | | | 227,267,307 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 10,416,568 | |
| Fund shares redeemed | | | 3,795,820 | |
| Management fees | | | 159,198 | |
| Transfer agent and administrative fees | | | 46,823 | |
| Distribution and service fees | | | 28,845 | |
| Portfolio accounting fees | | | 18,729 | |
| Trustees’ fees* | | | 5,744 | |
| Miscellaneous | | | 60,268 | |
| Total liabilities | | | 14,531,995 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 212,735,312 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 151,232,483 | |
| Undistributed net investment income | | | 1,280,299 | |
| Accumulated net realized loss on investments | | | (6,492,799 | ) |
| Net unrealized appreciation on investments | | | 66,715,329 | |
| Net assets | | $ | 212,735,312 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 152,717,417 | |
| Capital shares outstanding | | | 2,500,245 | |
| Net asset value per share | | $ | 61.08 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 25,698,462 | |
| Capital shares outstanding | | | 458,248 | |
| Net asset value per share | | $ | 56.08 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 58.88 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 23,531,298 | |
| Capital shares outstanding | | | 485,166 | |
| Net asset value per share | | $ | 48.50 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 10,788,135 | |
| Capital shares outstanding | | | 199,717 | |
| Net asset value per share | | $ | 54.02 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $2,991) | | $ | 5,940,845 | |
| Interest | | | 15,348 | |
| Income from securities lending, net | | | 94,179 | |
| Total investment income | | | 6,050,372 | |
| | | | | |
| Expenses: |
| Management fees | | | 2,298,450 | |
| Distribution and service fees: |
| A-Class | | | 85,801 | |
| C-Class | | | 261,195 | |
| H-Class | | | 54,172 | |
| Transfer agent and administrative fees | | | 676,012 | |
| Portfolio accounting fees | | | 263,943 | |
| Registration fees | | | 206,723 | |
| Custodian fees | | | 36,754 | |
| Trustees’ fees* | | | 24,004 | |
| Line of credit fees | | | 315 | |
| Miscellaneous | | | 215,536 | |
| Total expenses | | | 4,122,905 | |
| Net investment income | | | 1,927,467 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 23,239,112 | |
| Net realized gain | | | 23,239,112 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (24,998,417 | ) |
| Net change in unrealized appreciation (depreciation) | | | (24,998,417 | ) |
| Net realized and unrealized loss | | | (1,759,305 | ) |
| Net increase in net assets resulting from operations | | $ | 168,162 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 1,927,467 | | | $ | 2,717,518 | |
| Net realized gain on investments | | | 23,239,112 | | | | 30,636,934 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (24,998,417 | ) | | | (15,544,633 | ) |
| Net increase in net assets resulting from operations | | | 168,162 | | | | 17,809,819 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (1,117,982 | ) | | | (2,259,234 | ) |
| A-Class | | | (221,707 | ) | | | (473,017 | ) |
| C-Class | | | (200,708 | ) | | | (350,535 | ) |
| H-Class | | | (121,349 | ) | | | (619,330 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (12,045,277 | ) | | | (1,131,947 | ) |
| A-Class | | | (2,388,695 | ) | | | (236,997 | ) |
| C-Class | | | (2,162,449 | ) | | | (175,629 | ) |
| H-Class | | | (1,307,434 | ) | | | (310,304 | ) |
| Total distributions to shareholders | | | (19,565,601 | ) | | | (5,556,993 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 130,537,623 | | | | 276,892,039 | |
| A-Class | | | 7,333,176 | | | | 33,790,536 | |
| C-Class | | | 5,298,993 | | | | 16,171,468 | |
| H-Class | | | 107,726,917 | | | | 114,109,709 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 12,909,400 | | | | 3,294,770 | |
| A-Class | | | 2,223,126 | | | | 587,359 | |
| C-Class | | | 2,167,127 | | | | 490,705 | |
| H-Class | | | 1,013,286 | | | | 886,577 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (185,748,371 | ) | | | (357,313,404 | ) |
| A-Class | | | (21,646,825 | ) | | | (49,406,491 | ) |
| C-Class | | | (9,756,998 | ) | | | (12,830,920 | ) |
| H-Class | | | (131,645,730 | ) | | | (146,843,066 | ) |
| Net decrease from capital share transactions | | | (79,588,276 | ) | | | (120,170,718 | ) |
| Net decrease in net assets | | | (98,985,715 | ) | | | (107,917,892 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 311,721,027 | | | | 419,638,919 | |
| End of year | | $ | 212,735,312 | | | $ | 311,721,027 | |
| Undistributed net investment income at end of year | | $ | 1,280,299 | | | $ | 1,014,577 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 1,992,523 | | | | 4,295,268 | |
| A-Class | | | 121,085 | | | | 566,319 | |
| C-Class | | | 101,400 | | | | 304,356 | |
| H-Class | | | 1,885,456 | | | | 2,015,223 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 202,469 | | | | 54,119 | |
| A-Class | | | 37,950 | | | | 10,403 | |
| C-Class | | | 42,677 | | | | 9,824 | |
| H-Class | | | 17,957 | | | | 16,250 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,838,395 | ) | | | (5,607,116 | ) |
| A-Class | | | (358,706 | ) | | | (835,458 | ) |
| C-Class | | | (184,447 | ) | | | (245,971 | ) |
| H-Class | | | (2,301,905 | ) | | | (2,596,061 | ) |
| Net decrease in shares | | | (1,281,936 | ) | | | (2,012,844 | ) |
| 40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 66.06 | | | $ | 62.84 | | | $ | 58.55 | | | $ | 52.08 | | | $ | 47.79 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .56 | | | | .51 | | | | .61 | | | | .71 | | | | .46 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.37 | ) | | | 3.58 | | | | 4.92 | | | | 6.44 | | | | 5.81 | |
| Total from investment operations | | | .19 | | | | 4.09 | | | | 5.53 | | | | 7.15 | | | | 6.27 | |
| Less distributions from: |
| Net investment income | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) | | | (.24 | ) | | | (.46 | ) |
| Net realized gains | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) | | | (.44 | ) | | | (1.52 | ) |
| Total distributions | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) | | | (.68 | ) | | | (1.98 | ) |
| Net asset value, end of period | | $ | 61.08 | | | $ | 66.06 | | | $ | 62.84 | | | $ | 58.55 | | | $ | 52.08 | |
| |
| Total Returnb | | | (0.04 | %) | | | 6.62 | % | | | 9.65 | % | | | 13.77 | % | | | 13.24 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 152,717 | | | $ | 207,683 | | | $ | 276,578 | | | $ | 222,954 | | | $ | 102,231 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.86 | % | | | 0.79 | % | | | 1.03 | % | | | 1.27 | % | | | 0.91 | % |
| Total expenses | | | 1.38 | % | | | 1.36 | % | | | 1.34 | % | | | 1.34 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 80 | % | | | 75 | % | | | 104 | % | | | 87 | % | | | 112 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 61.21 | | | $ | 58.43 | | | $ | 54.66 | | | $ | 48.79 | | | $ | 45.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .36 | | | | .33 | | | | .45 | | | | .48 | | | | .33 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.32 | ) | | | 3.32 | | | | 4.56 | | | | 6.07 | | | | 5.44 | |
| Total from investment operations | | | .04 | | | | 3.65 | | | | 5.01 | | | | 6.55 | | | | 5.77 | |
| Less distributions from: |
| Net investment income | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) | | | (.24 | ) | | | (.46 | ) |
| Net realized gains | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) | | | (.44 | ) | | | (1.52 | ) |
| Total distributions | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) | | | (.68 | ) | | | (1.98 | ) |
| Net asset value, end of period | | $ | 56.08 | | | $ | 61.21 | | | $ | 58.43 | | | $ | 54.66 | | | $ | 48.79 | |
| |
| Total Returnb | | | (0.28 | %) | | | 6.35 | % | | | 9.38 | % | | | 13.47 | % | | | 12.95 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 25,698 | | | $ | 40,272 | | | $ | 53,560 | | | $ | 32,762 | | | $ | 25,538 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.60 | % | | | 0.56 | % | | | 0.82 | % | | | 0.92 | % | | | 0.70 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 80 | % | | | 75 | % | | | 104 | % | | | 87 | % | | | 112 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 54.00 | | | $ | 52.04 | | | $ | 49.18 | | | $ | 44.29 | | | $ | 41.32 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.07 | ) | | | (.10 | ) | | | .03 | | | | .09 | | | | (.01 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.26 | ) | | | 2.93 | | | | 4.07 | | | | 5.48 | | | | 4.96 | |
| Total from investment operations | | | (.33 | ) | | | 2.83 | | | | 4.10 | | | | 5.57 | | | | 4.95 | |
| Less distributions from: |
| Net investment income | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) | | | (.24 | ) | | | (.46 | ) |
| Net realized gains | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) | | | (.44 | ) | | | (1.52 | ) |
| Total distributions | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) | | | (.68 | ) | | | (1.98 | ) |
| Net asset value, end of period | | $ | 48.50 | | | $ | 54.00 | | | $ | 52.04 | | | $ | 49.18 | | | $ | 44.29 | |
| |
| Total Returnb | | | (1.02 | %) | | | 5.55 | % | | | 8.57 | % | | | 12.62 | % | | | 12.11 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 23,531 | | | $ | 28,380 | | | $ | 23,799 | | | $ | 17,717 | | | $ | 14,125 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.13 | %) | | | (0.20 | %) | | | 0.05 | % | | | 0.20 | % | | | (0.02 | %) |
| Total expenses | | | 2.38 | % | | | 2.36 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 80 | % | | | 75 | % | | | 104 | % | | | 87 | % | | | 112 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.15 | | | $ | 56.50 | | | $ | 52.94 | | | $ | 47.39 | | | $ | 43.87 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .38 | | | | .31 | | | | .39 | | | | .37 | | | | .24 | |
| Net gain (loss) on investments (realized and unrealized) | | | (.34 | ) | | | 3.21 | | | | 4.41 | | | | 5.86 | | | | 5.26 | |
| Total from investment operations | | | .04 | | | | 3.52 | | | | 4.80 | | | | 6.23 | | | | 5.50 | |
| Less distributions from: |
| Net investment income | | | (.44 | ) | | | (.58 | ) | | | (.49 | ) | | | (.24 | ) | | | (.46 | ) |
| Net realized gains | | | (4.73 | ) | | | (.29 | ) | | | (.75 | ) | | | (.44 | ) | | | (1.52 | ) |
| Total distributions | | | (5.17 | ) | | | (.87 | ) | | | (1.24 | ) | | | (.68 | ) | | | (1.98 | ) |
| Net asset value, end of period | | $ | 54.02 | | | $ | 59.15 | | | $ | 56.50 | | | $ | 52.94 | | | $ | 47.39 | |
| |
| Total Returnb | | | (0.32 | %) | | | 6.35 | % | | | 9.29 | % | | | 13.19 | % | | | 12.66 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 10,788 | | | $ | 35,387 | | | $ | 65,702 | | | $ | 49,751 | | | $ | 27,162 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.65 | % | | | 0.54 | % | | | 0.72 | % | | | 0.74 | % | | | 0.51 | % |
| Total expenses | | | 1.63 | % | | | 1.61 | % | | | 1.66 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 80 | % | | | 75 | % | | | 104 | % | | | 87 | % | | | 112 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights prior to that date reflect the performance of the former Advisor Class. |
| 42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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”).
For the one-year period ended March 29, 2018, Electronics Fund Investor Class returned 24.59%, compared with 27.68% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was semiconductor devices, followed by semiconductor manufacturing. The communications equipment industry detracted the most, followed by factory automation equipment.
NVIDIA Corp., Intel Corp., and Micron Technology, Inc. Holdings contributed the most to the performance of the Fund. Advanced Micro Devices, Inc., Macom Technology Solutions Holdings, Inc., and Himax Technologies, Inc. ADR detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 26, 2001 |
| H-Class | April 2, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| Intel Corp. | 8.5% |
| NVIDIA Corp. | 6.2% |
| Texas Instruments, Inc. | 5.3% |
| Broadcom Ltd. | 5.3% |
| QUALCOMM, Inc. | 4.6% |
| Micron Technology, Inc. | 4.1% |
| Applied Materials, Inc. | 3.9% |
| Analog Devices, Inc. | 3.1% |
| Lam Research Corp. | 3.0% |
| Microchip Technology, Inc. | 2.4% |
| Top Ten Total | 46.4% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 24.59% | 21.39% | 10.57% |
| A-Class Shares | 24.29% | 21.10% | 10.28% |
| A-Class Shares with sales charge† | 18.39% | 19.92% | 9.74% |
| C-Class Shares | 23.36% | 20.18% | 9.49% |
| C-Class Shares with CDSC‡ | 22.36% | 20.18% | 9.49% |
| H-Class Shares** | 24.29% | 20.93% | 10.09% |
| S&P 500 Information Technology Index | 27.68% | 20.65% | 14.15% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | 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. |
| 44 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| ELECTRONICS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% |
| | | | | | | |
| Semiconductors - 92.1% |
| Intel Corp. | | | 148,792 | | | $ | 7,749,087 | |
| NVIDIA Corp. | | | 24,707 | | | | 5,721,894 | |
| Texas Instruments, Inc. | | | 46,733 | | | | 4,855,091 | |
| Broadcom Ltd. | | | 20,547 | | | | 4,841,901 | |
| QUALCOMM, Inc. | | | 76,243 | | | | 4,224,625 | |
| Micron Technology, Inc.* | | | 72,412 | | | | 3,775,562 | |
| Applied Materials, Inc. | | | 64,972 | | | | 3,613,093 | |
| Analog Devices, Inc. | | | 31,082 | | | | 2,832,503 | |
| Lam Research Corp. | | | 13,394 | | | | 2,721,125 | |
| Microchip Technology, Inc. | | | 24,216 | | | | 2,212,374 | |
| Xilinx, Inc. | | | 28,776 | | | | 2,078,778 | |
| Skyworks Solutions, Inc. | | | 19,947 | | | | 1,999,886 | |
| Maxim Integrated Products, Inc. | | | 33,125 | | | | 1,994,788 | |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 45,554 | | | | 1,993,443 | |
| KLA-Tencor Corp. | | | 17,884 | | | | 1,949,535 | |
| NXP Semiconductor N.V.* | | | 15,617 | | | | 1,827,189 | |
| ON Semiconductor Corp.* | | | 62,930 | | | | 1,539,268 | |
| Marvell Technology Group Ltd. | | | 70,257 | | | | 1,475,397 | |
| Advanced Micro Devices, Inc.*,1 | | | 143,190 | | | | 1,439,060 | |
| Teradyne, Inc. | | | 31,294 | | | | 1,430,449 | |
| ASML Holding N.V. — Class G | | | 6,882 | | | | 1,366,490 | |
| Qorvo, Inc.* | | | 19,139 | | | | 1,348,343 | |
| Microsemi Corp.* | | | 20,810 | | | | 1,346,823 | |
| MKS Instruments, Inc. | | | 10,396 | | | | 1,202,297 | |
| Mellanox Technologies Ltd.* | | | 16,490 | | | | 1,201,297 | |
| Cypress Semiconductor Corp. | | | 69,092 | | | | 1,171,800 | |
| STMicroelectronics N.V. — Class Y1 | | | 49,620 | | | | 1,106,030 | |
| Cavium, Inc.* | | | 13,782 | | | | 1,094,015 | |
| Entegris, Inc. | | | 30,920 | | | | 1,076,016 | |
| Monolithic Power Systems, Inc. | | | 9,131 | | | | 1,057,096 | |
| Integrated Device Technology, Inc.* | | | 31,599 | | | | 965,665 | |
| Himax Technologies, Inc. ADR1 | | | 154,300 | | | | 950,488 | |
| Silicon Laboratories, Inc.* | | | 10,283 | | | | 924,442 | |
| Semtech Corp.* | | | 21,789 | | | | 850,860 | |
| Cabot Microelectronics Corp. | | | 7,448 | | | | 797,755 | |
| Cirrus Logic, Inc.* | | | 18,545 | | | | 753,483 | |
| Amkor Technology, Inc.* | | | 72,070 | | | | 730,069 | |
| Power Integrations, Inc. | | | 10,119 | | | | 691,634 | |
| Brooks Automation, Inc. | | | 24,540 | | | | 664,543 | |
| Synaptics, Inc.* | | | 13,267 | | | | 606,700 | |
| Ambarella, Inc.*,1 | | | 12,312 | | | | 603,165 | |
| Rambus, Inc.* | | | 44,331 | | | | 595,365 | |
| Inphi Corp.*,1 | | | 18,380 | | | | 553,238 | |
| Xperi Corp. | | | 22,593 | | | | 477,842 | |
| MACOM Technology Solutions Holdings, Inc.*,1 | | | 26,152 | | | | 434,123 | |
| Axcelis Technologies, Inc.* | | | 17,190 | | | | 422,874 | |
| Veeco Instruments, Inc.* | | | 24,820 | | | | 421,940 | |
| Ultra Clean Holdings, Inc.* | | | 21,160 | | | | 407,330 | |
| Impinj, Inc.*,1 | | | 19,520 | | | | 254,150 | |
| Total Semiconductors | | | | | | | 84,350,921 | |
| | | | | | | | | |
| Energy-Alternate Sources - 2.8% |
| First Solar, Inc.* | | | 19,510 | | | | 1,384,820 | |
| SolarEdge Technologies, Inc.* | | | 22,390 | | | | 1,177,714 | |
| Total Energy-Alternate Sources | | | | | | | 2,562,534 | |
| | | | | | | | | |
| Electrical Components & Equipment - 1.4% |
| Advanced Energy Industries, Inc.* | | | 11,701 | | | | 747,694 | |
| SunPower Corp. — Class A*,1 | | | 69,555 | | | | 555,049 | |
| Total Electrical Components & Equipment | | | | | | | 1,302,743 | |
| | | | | | | | | |
| Chemicals - 1.1% |
| Versum Materials, Inc. | | | 26,050 | | | | 980,261 | |
| | | | | | | | | |
| Building Materials - 1.1% |
| Cree, Inc.* | | | 24,291 | | | | 979,170 | |
| | | | | | | | | |
| Telecommunications - 0.6% |
| Acacia Communications, Inc.*,1 | | | 15,279 | | | | 587,630 | |
| | | | | | | | | |
| Machinery-Diversified - 0.4% |
| Ichor Holdings Ltd.* | | | 14,870 | | | | 360,003 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $82,045,473) | | | | | | | 91,123,262 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 316,936 | | | | 316,936 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 103,710 | | | | 103,710 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $420,646) | | | | | | | 420,646 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 4.3% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 3,947,233 | | | | 3,947,233 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $3,947,233) | | | | | | | 3,947,233 | |
| | | | | | | | | |
| Total Investments - 104.3% | | | | | | | | |
| (Cost $86,413,352) | | | | | | $ | 95,491,141 | |
| Other Assets & Liabilities, net - (4.3)% | | | | | | | (3,900,428 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 91,590,713 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| ELECTRONICS FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 91,123,262 | | | $ | — | | | $ | — | | | $ | 91,123,262 | |
| Repurchase Agreements | | | — | | | | 420,646 | | | | — | | | | 420,646 | |
| Securities Lending Collateral | | | 3,947,233 | | | | — | | | | — | | | | 3,947,233 | |
| Total Assets | | $ | 95,070,495 | | | $ | 420,646 | | | $ | — | | | $ | 95,491,141 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $3,868,842 of securities loaned (cost $85,992,706) | | $ | 95,070,495 | |
| Repurchase agreements, at value (cost $420,646) | | | 420,646 | |
| Cash | | | 32,952 | |
| Receivables: |
| Fund shares sold | | | 16,794,179 | |
| Dividends | | | 15,020 | |
| Securities lending income | | | 10,635 | |
| Interest | | | 63 | |
| Total assets | | | 112,343,990 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 14,652,488 | |
| Return of securities loaned | | | 3,947,233 | |
| Fund shares redeemed | | | 2,041,017 | |
| Management fees | | | 60,455 | |
| Transfer agent and administrative fees | | | 17,781 | |
| Portfolio accounting fees | | | 7,112 | |
| Distribution and service fees | | | 6,705 | |
| Trustees’ fees* | | | 2,107 | |
| Miscellaneous | | | 18,379 | |
| Total liabilities | | | 20,753,277 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 91,590,713 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 85,452,555 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (2,939,631 | ) |
| Net unrealized appreciation on investments | | | 9,077,789 | |
| Net assets | | $ | 91,590,713 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 54,504,544 | |
| Capital shares outstanding | | | 397,907 | |
| Net asset value per share | | $ | 136.98 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,122,405 | |
| Capital shares outstanding | | | 24,397 | |
| Net asset value per share | | $ | 127.98 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 134.36 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 2,854,890 | |
| Capital shares outstanding | | | 24,660 | |
| Net asset value per share | | $ | 115.77 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 31,108,874 | |
| Capital shares outstanding | | | 249,624 | |
| Net asset value per share | | $ | 124.62 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $94) | | $ | 687,523 | |
| Interest | | | 3,492 | |
| Income from securities lending, net | | | 91,726 | |
| Total investment income | | | 782,741 | |
| | | | | |
| Expenses: |
| Management fees | | | 516,519 | |
| Distribution and service fees: |
| A-Class | | | 9,119 | |
| C-Class | | | 25,468 | |
| H-Class | | | 41,917 | |
| Transfer agent and administrative fees | | | 151,917 | |
| Portfolio accounting fees | | | 60,766 | |
| Registration fees | | | 52,773 | |
| Custodian fees | | | 8,339 | |
| Trustees’ fees* | | | 4,737 | |
| Line of credit fees | | | 531 | |
| Miscellaneous | | | 41,133 | |
| Total expenses | | | 913,219 | |
| Net investment loss | | | (130,478 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 11,984,175 | |
| Net realized gain | | | 11,984,175 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (4,918,334 | ) |
| Net change in unrealized appreciation (depreciation) | | | (4,918,334 | ) |
| Net realized and unrealized gain | | | 7,065,841 | |
| Net increase in net assets resulting from operations | | $ | 6,935,363 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | (130,478 | ) | | $ | 27,832 | |
| Net realized gain on investments | | | 11,984,175 | | | | 1,912,633 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (4,918,334 | ) | | | 8,829,509 | |
| Net increase in net assets resulting from operations | | | 6,935,363 | | | | 10,769,974 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (14,748 | ) | | | — | |
| A-Class | | | (1,491 | ) | | | — | |
| C-Class | | | (1,386 | ) | | | — | |
| H-Class | | | (10,207 | ) | | | — | |
| Total distributions to shareholders | | | (27,832 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 184,416,460 | | | | 256,339,415 | |
| A-Class | | | 6,316,212 | | | | 11,788,211 | |
| C-Class | | | 3,267,135 | | | | 4,290,342 | |
| H-Class | | | 171,726,691 | | | | 135,688,569 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 14,589 | | | | — | |
| A-Class | | | 1,463 | | | | — | |
| C-Class | | | 1,378 | | | | — | |
| H-Class | | | 10,039 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (185,511,161 | ) | | | (221,085,468 | ) |
| A-Class | | | (8,222,219 | ) | | | (9,887,302 | ) |
| C-Class | | | (3,438,543 | ) | | | (2,834,033 | ) |
| H-Class | | | (165,718,844 | ) | | | (125,204,966 | ) |
| Net increase from capital share transactions | | | 2,863,200 | | | | 49,094,768 | |
| Net increase in net assets | | | 9,770,731 | | | | 59,864,742 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 81,819,982 | | | | 21,955,240 | |
| End of year | | $ | 91,590,713 | | | $ | 81,819,982 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 27,832 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,459,517 | | | | 2,814,942 | |
| A-Class | | | 55,677 | | | | 134,060 | |
| C-Class | | | 30,672 | | | | 53,496 | |
| H-Class | | | 1,625,380 | | | | 1,726,169 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 113 | | | | — | |
| A-Class | | | 12 | | | | — | |
| C-Class | | | 13 | | | | — | |
| H-Class | | | 85 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,531,925 | ) | | | (2,445,893 | ) |
| A-Class | | | (74,078 | ) | | | (114,387 | ) |
| C-Class | | | (33,242 | ) | | | (36,554 | ) |
| H-Class | | | (1,606,411 | ) | | | (1,647,057 | ) |
| Net increase (decrease) in shares | | | (74,187 | ) | | | 484,776 | |
| 48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 110.00 | | | $ | 81.23 | | | $ | 83.54 | | | $ | 69.82 | | | $ | 52.11 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.11 | ) | | | .15 | | | | .02 | | | | .29 | | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 27.15 | | | | 28.62 | | | | (2.20 | ) | | | 13.43 | | | | 17.79 | |
| Total from investment operations | | | 27.04 | | | | 28.77 | | | | (2.18 | ) | | | 13.72 | | | | 17.75 | |
| Less distributions from: |
| Net investment income | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Total distributions | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 136.98 | | | $ | 110.00 | | | $ | 81.23 | | | $ | 83.54 | | | $ | 69.82 | |
| |
| Total Returnb | | | 24.59 | % | | | 35.41 | % | | | (2.61 | %) | | | 19.65 | % | | | 34.07 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 54,505 | | | $ | 51,722 | | | $ | 8,217 | | | $ | 18,144 | | | $ | 9,655 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.08 | %) | | | 0.16 | % | | | 0.02 | % | | | 0.38 | % | | | (0.07 | %) |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % | | | 1.35 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 457 | % | | | 643 | % | | | 769 | % | | | 562 | % | | | 1,436 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 103.03 | | | $ | 76.25 | | | $ | 78.62 | | | $ | 65.87 | | | $ | 49.29 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.33 | ) | | | (.18 | ) | | | (.20 | ) | | | (.17 | ) | | | (.33 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 25.34 | | | | 26.96 | | | | (2.04 | ) | | | 12.92 | | | | 16.95 | |
| Total from investment operations | | | 25.01 | | | | 26.78 | | | | (2.24 | ) | | | 12.75 | | | | 16.62 | |
| Less distributions from: |
| Net investment income | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Total distributions | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 127.98 | | | $ | 103.03 | | | $ | 76.25 | | | $ | 78.62 | | | $ | 65.87 | |
| |
| Total Returnb | | | 24.29 | % | | | 35.11 | % | | | (2.84 | %) | | | 19.36 | % | | | 33.72 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,122 | | | $ | 4,408 | | | $ | 1,762 | | | $ | 1,680 | | | $ | 5,329 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.29 | %) | | | (0.19 | %) | | | (0.26 | %) | | | (0.24 | %) | | | (0.59 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % | | | 1.61 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 457 | % | | | 643 | % | | | 769 | % | | | 562 | % | | | 1,436 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 93.90 | | | $ | 70.02 | | | $ | 72.76 | | | $ | 61.40 | | | $ | 46.32 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.14 | ) | | | (.69 | ) | | | (.63 | ) | | | (.35 | ) | | | (.54 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 23.07 | | | | 24.57 | | | | (1.98 | ) | | | 11.71 | | | | 15.66 | |
| Total from investment operations | | | 21.93 | | | | 23.88 | | | | (2.61 | ) | | | 11.36 | | | | 15.12 | |
| Less distributions from: |
| Net investment income | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Total distributions | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 115.77 | | | $ | 93.90 | | | $ | 70.02 | | | $ | 72.76 | | | $ | 61.40 | |
| |
| Total Returnb | | | 23.36 | % | | | 34.09 | % | | | (3.58 | %) | | | 18.50 | % | | | 32.65 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,855 | | | $ | 2,556 | | | $ | 719 | | | $ | 1,280 | | | $ | 1,043 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.07 | %) | | | (0.85 | %) | | | (0.91 | %) | | | (0.55 | %) | | | (1.03 | %) |
| Total expenses | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 457 | % | | | 643 | % | | | 769 | % | | | 562 | % | | | 1,436 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 100.33 | | | $ | 74.32 | | | $ | 76.66 | | | $ | 64.40 | | | $ | 48.33 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.41 | ) | | | (.08 | ) | | | (.30 | ) | | | .06 | | | | (.17 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 24.76 | | | | 26.09 | | | | (1.91 | ) | | | 12.20 | | | | 16.28 | |
| Total from investment operations | | | 24.35 | | | | 26.01 | | | | (2.21 | ) | | | 12.26 | | | | 16.11 | |
| Less distributions from: |
| Net investment income | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Total distributions | | | (.06 | ) | | | — | | | | (.13 | ) | | | — | | | | (.04 | ) |
| Net asset value, end of period | | $ | 124.62 | | | $ | 100.33 | | | $ | 74.32 | | | $ | 76.66 | | | $ | 64.40 | |
| |
| Total Returnb | | | 24.29 | % | | | 34.98 | % | | | (2.88 | %) | | | 19.04 | % | | | 33.34 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 31,109 | | | $ | 23,134 | | | $ | 11,257 | | | $ | 6,285 | | | $ | 3,577 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.36 | %) | | | (0.09 | %) | | | (0.40 | %) | | | 0.09 | % | | | (0.29 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.74 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 457 | % | | | 643 | % | | | 769 | % | | | 562 | % | | | 1,436 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| 50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal, and alternative sources of energy (“Energy Companies”).
For the one-year period ended March 29, 2018, Energy Fund Investor Class returned -4.78%, compared with -0.16% for the S&P 500 Energy Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was refining & marketing, followed by integrated oils. The oil & gas services & equipment industry detracted the most, followed by exploration & production.
Valero Energy Corp., Marathon Petroleum Corp., and Petroleo Brasilerio S.A. ADR contributed the most to the performance of the Fund. Kinder Morgan, Inc. Class P, Baker Hughes Class A, and Schlumberger NV detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 21, 1998 |
| 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. | 4.9% |
| Schlumberger Ltd. | 3.1% |
| ConocoPhillips | 2.9% |
| EOG Resources, Inc. | 2.7% |
| Occidental Petroleum Corp. | 2.4% |
| Phillips 66 | 2.4% |
| Halliburton Co. | 2.2% |
| Valero Energy Corp. | 2.1% |
| Marathon Petroleum Corp. | 2.0% |
| Top Ten Total | 30.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 51 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (4.78%) | (5.95%) | (2.74%) |
| A-Class Shares | (4.99%) | (6.16%) | (2.97%) |
| A-Class Shares with sales charge† | (9.50%) | (7.06%) | (3.45%) |
| C-Class Shares | (5.73%) | (6.89%) | (3.71%) |
| C-Class Shares with CDSC‡ | (6.66%) | (6.89%) | (3.71%) |
| H-Class Shares** | (5.03%) | (6.31%) | (3.17%) |
| S&P 500 Energy Index | (0.16%) | (0.41%) | 1.30% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares 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. |
| † | | 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 ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| ENERGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.3% |
| | | | | | | |
| Oil & Gas - 73.4% |
| Exxon Mobil Corp. | | | 36,922 | | | $ | 2,754,750 | |
| Chevron Corp. | | | 19,775 | | | | 2,255,141 | |
| ConocoPhillips | | | 22,621 | | | | 1,341,199 | |
| EOG Resources, Inc. | | | 11,619 | | | | 1,223,132 | |
| Occidental Petroleum Corp. | | | 16,982 | | | | 1,103,151 | |
| Phillips 66 | | | 11,195 | | | | 1,073,824 | |
| Valero Energy Corp. | | | 10,501 | | | | 974,178 | |
| Marathon Petroleum Corp. | | | 12,733 | | | | 930,910 | |
| Anadarko Petroleum Corp. | | | 14,835 | | | | 896,182 | |
| Pioneer Natural Resources Co. | | | 4,879 | | | | 838,115 | |
| Continental Resources, Inc.* | | | 13,179 | | | | 776,902 | |
| Concho Resources, Inc.* | | | 4,827 | | | | 725,643 | |
| Hess Corp. | | | 12,486 | | | | 632,041 | |
| Devon Energy Corp. | | | 19,641 | | | | 624,387 | |
| Apache Corp. | | | 16,089 | | | | 619,105 | |
| Andeavor | | | 6,007 | | | | 604,064 | |
| Noble Energy, Inc. | | | 19,491 | | | | 590,577 | |
| Marathon Oil Corp. | | | 36,595 | | | | 590,277 | |
| Diamondback Energy, Inc.* | | | 4,272 | | | | 540,494 | |
| Equities Corp. | | | 11,001 | | | | 522,658 | |
| Cabot Oil & Gas Corp. — Class A | | | 20,806 | | | | 498,928 | |
| BP plc ADR | | | 12,233 | | | | 495,926 | |
| Parsley Energy, Inc. — Class A* | | | 16,838 | | | | 488,134 | |
| Transocean Ltd.* | | | 48,661 | | | | 481,744 | |
| Petroleo Brasileiro S.A. ADR* | | | 33,802 | | | | 477,960 | |
| HollyFrontier Corp. | | | 9,564 | | | | 467,297 | |
| Cimarex Energy Co. | | | 4,968 | | | | 464,508 | |
| Royal Dutch Shell plc — Class A ADR | | | 7,180 | | | | 458,156 | |
| RSP Permian, Inc.* | | | 9,619 | | | | 450,939 | |
| Suncor Energy, Inc. | | | 13,041 | | | | 450,436 | |
| Helmerich & Payne, Inc. | | | 6,250 | | | | 416,000 | |
| Encana Corp. | | | 37,087 | | | | 407,957 | |
| Canadian Natural Resources Ltd. | | | 12,756 | | | | 401,431 | |
| Energen Corp.* | | | 6,362 | | | | 399,915 | |
| WPX Energy, Inc.* | | | 25,693 | | | | 379,743 | |
| Antero Resources Corp.* | | | 19,102 | | | | 379,175 | |
| Centennial Resource Development, Inc. — Class A*,1 | | | 19,150 | | | | 351,403 | |
| Newfield Exploration Co.* | | | 14,317 | | | | 349,621 | |
| Murphy Oil Corp. | | | 12,795 | | | | 330,623 | |
| PBF Energy, Inc. — Class A | | | 9,118 | | | | 309,100 | |
| Delek US Holdings, Inc. | | | 7,346 | | | | 298,982 | |
| Whiting Petroleum Corp.* | | | 8,550 | | | | 289,332 | |
| Patterson-UTI Energy, Inc. | | | 16,358 | | | | 286,429 | |
| Range Resources Corp. | | | 19,461 | | | | 282,963 | |
| Matador Resources Co.* | | | 9,453 | | | | 282,739 | |
| CNX Resources Corp.* | | | 17,494 | | | | 269,932 | |
| Callon Petroleum Co.* | | | 20,320 | | | | 269,037 | |
| PDC Energy, Inc.* | | | 5,407 | | | | 265,105 | |
| Kosmos Energy Ltd.* | | | 40,110 | | | | 252,693 | |
| Southwestern Energy Co.* | | | 56,895 | | | | 246,355 | |
| Oasis Petroleum, Inc.* | | | 30,243 | | | | 244,968 | |
| QEP Resources, Inc.* | | | 24,924 | | | | 244,006 | |
| SRC Energy, Inc.* | | | 25,133 | | | | 237,004 | |
| Nabors Industries Ltd. | | | 32,466 | | | | 226,937 | |
| Laredo Petroleum, Inc.* | | | 25,480 | | | | 221,931 | |
| SM Energy Co. | | | 12,160 | | | | 219,245 | |
| Diamond Offshore Drilling, Inc.*,1 | | | 14,708 | | | | 215,619 | |
| Extraction Oil & Gas, Inc.*,1 | | | 17,752 | | | | 203,438 | |
| Gulfport Energy Corp.* | | | 20,248 | | | | 195,393 | |
| Carrizo Oil & Gas, Inc.* | | | 11,537 | | | | 184,592 | |
| Rowan Companies plc — Class A | | | 15,867 | | | | 183,105 | |
| Ultra Petroleum Corp.* | | | 33,415 | | | | 139,341 | |
| Halcon Resources Corp.* | | | 26,740 | | | | 130,224 | |
| Total Oil & Gas | | | | | | | 33,465,096 | |
| | | | | | | | | |
| Oil & Gas Services - 12.5% |
| Schlumberger Ltd. | | | 21,991 | | | | 1,424,577 | |
| Halliburton Co. | | | 21,132 | | | | 991,936 | |
| Baker Hughes a GE Co. | | | 29,938 | | | | 831,378 | |
| National Oilwell Varco, Inc. | | | 15,548 | | | | 572,322 | |
| TechnipFMC plc | | | 15,576 | | | | 458,713 | |
| Core Laboratories N.V. | | | 3,539 | | | | 382,991 | |
| RPC, Inc.1 | | | 15,942 | | | | 287,434 | |
| Oceaneering International, Inc. | | | 11,116 | | | | 206,091 | |
| Dril-Quip, Inc.* | | | 4,420 | | | | 198,016 | |
| McDermott International, Inc.* | | | 29,671 | | | | 180,696 | |
| Superior Energy Services, Inc.* | | | 19,357 | | | | 163,180 | |
| Total Oil & Gas Services | | | | | | | 5,697,334 | |
| | | | | | | | | |
| Pipelines - 10.1% |
| Kinder Morgan, Inc. | | | 56,920 | | | | 857,215 | |
| ONEOK, Inc. | | | 13,113 | | | | 746,392 | |
| Williams Companies, Inc. | | | 26,620 | | | | 661,773 | |
| Cheniere Energy, Inc.* | | | 10,272 | | | | 549,038 | |
| Targa Resources Corp. | | | 10,725 | | | | 471,900 | |
| Enbridge, Inc. | | | 12,403 | | | | 390,323 | |
| Plains GP Holdings, LP — Class A | | | 17,820 | | | | 387,585 | |
| TransCanada Corp. | | | 8,378 | | | | 346,095 | |
| SemGroup Corp. — Class A | | | 9,205 | | | | 196,987 | |
| Total Pipelines | | | | | | | 4,607,308 | |
| | | | | | | | | |
| Coal - 1.2% |
| Peabody Energy Corp. | | | 8,982 | | | | 327,843 | |
| Arch Coal, Inc. — Class A | | | 2,314 | | | | 212,610 | |
| Total Coal | | | | | | | 540,453 | |
| | | | | | | | | |
| Metal Fabricate & Hardware - 0.8% |
| Tenaris S.A. ADR | | | 9,815 | | | | 340,286 | |
| | | | | | | | | |
| Transportation - 0.7% |
| Golar LNG Ltd. | | | 12,009 | | | | 328,566 | |
| | | | | | | | | |
| Mining - 0.5% |
| US Silica Holdings, Inc.1 | | | 8,426 | | | | 215,032 | |
| | | | | | | | | |
| Energy-Alternate Sources - 0.1% |
| Green Plains, Inc. | | | 3,466 | | | | 58,229 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $43,388,336) | | | | | | | 45,252,304 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| ENERGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 166,446 | | | $ | 166,446 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 54,466 | | | | 54,466 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $220,912) | | | | | | | 220,912 | |
| | | Shares | | | | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 2.0% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 893,759 | | | | 893,759 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $893,759) | | | | | | | 893,759 | |
| | | | | | | | | |
| Total Investments - 101.8% | | | | | | | | |
| (Cost $44,503,007) | | | | | | $ | 46,366,975 | |
| Other Assets & Liabilities, net - (1.8)% | | | | | | | (800,898 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 45,566,077 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 45,252,304 | | | $ | — | | | $ | — | | | $ | 45,252,304 | |
| Repurchase Agreements | | | — | | | | 220,912 | | | | — | | | | 220,912 | |
| Securities Lending Collateral | | | 893,759 | | | | — | | | | — | | | | 893,759 | |
| Total Assets | | $ | 46,146,063 | | | $ | 220,912 | | | $ | — | | | $ | 46,366,975 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $891,172 of securities loaned (cost $44,282,095) | | $ | 46,146,063 | |
| Repurchase agreements, at value (cost $220,912) | | | 220,912 | |
| Cash | | | 11,905 | |
| Receivables: |
| Fund shares sold | | | 128,653 | |
| Dividends | | | 37,631 | |
| Securities lending income | | | 1,163 | |
| Interest | | | 33 | |
| Total assets | | | 46,546,360 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 893,759 | |
| Management fees | | | 32,917 | |
| Fund shares redeemed | | | 23,246 | |
| Transfer agent and administrative fees | | | 9,681 | |
| Distribution and service fees | | | 4,098 | |
| Portfolio accounting fees | | | 3,873 | |
| Trustees’ fees* | | | 1,287 | |
| Miscellaneous | | | 11,422 | |
| Total liabilities | | | 980,283 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 45,566,077 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 56,861,277 | |
| Undistributed net investment income | | | 297,239 | |
| Accumulated net realized loss on investments | | | (13,456,407 | ) |
| Net unrealized appreciation on investments | | | 1,863,968 | |
| Net assets | | $ | 45,566,077 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 37,252,978 | |
| Capital shares outstanding | | | 500,618 | |
| Net asset value per share | | $ | 74.41 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,111,347 | |
| Capital shares outstanding | | | 44,694 | |
| Net asset value per share | | $ | 69.61 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 73.08 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 3,721,458 | |
| Capital shares outstanding | | | 60,258 | |
| Net asset value per share | | $ | 61.76 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 1,480,294 | |
| Capital shares outstanding | | | 21,926 | |
| Net asset value per share | | $ | 67.51 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $8,291) | | $ | 839,651 | |
| Interest | | | 1,936 | |
| Income from securities lending, net | | | 16,255 | |
| Total investment income | | | 857,842 | |
| | | | | |
| Expenses: |
| Management fees | | | 311,465 | |
| Distribution and service fees: |
| A-Class | | | 9,094 | |
| C-Class | | | 37,372 | |
| H-Class | | | 10,550 | |
| Transfer agent and administrative fees | | | 91,607 | |
| Portfolio accounting fees | | | 36,642 | |
| Custodian fees | | | 4,994 | |
| Trustees’ fees* | | | 3,174 | |
| Line of credit fees | | | 82 | |
| Miscellaneous | | | 55,623 | |
| Total expenses | | | 560,603 | |
| Net investment income | | | 297,239 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | (4,684,879 | ) |
| Net realized loss | | | (4,684,879 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (2,857,203 | ) |
| Net change in unrealized appreciation (depreciation) | | | (2,857,203 | ) |
| Net realized and unrealized loss | | | (7,542,082 | ) |
| Net decrease in net assets resulting from operations | | $ | (7,244,843 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 297,239 | | | $ | 216,907 | |
| Net realized gain (loss) on investments | | | (4,684,879 | ) | | | 16,836,670 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,857,203 | ) | | | (7,539,822 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (7,244,843 | ) | | | 9,513,755 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (138,848 | ) | | | (351,546 | ) |
| A-Class | | | (22,559 | ) | | | (49,747 | ) |
| C-Class | | | (31,688 | ) | | | (41,247 | ) |
| H-Class | | | (23,003 | ) | | | (34,258 | ) |
| Total distributions to shareholders | | | (216,098 | ) | | | (476,798 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 187,902,025 | | | | 493,753,144 | |
| A-Class | | | 3,839,484 | | | | 16,971,738 | |
| C-Class | | | 2,664,232 | | | | 3,666,194 | |
| H-Class | | | 204,852,584 | | | | 171,920,788 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 135,313 | | | | 348,105 | |
| A-Class | | | 21,869 | | | | 48,237 | |
| C-Class | | | 30,537 | | | | 40,264 | |
| H-Class | | | 23,003 | | | | 34,251 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (170,656,375 | ) | | | (498,261,928 | ) |
| A-Class | | | (5,288,341 | ) | | | (19,236,171 | ) |
| C-Class | | | (2,983,150 | ) | | | (4,323,277 | ) |
| H-Class | | | (203,666,361 | ) | | | (173,329,752 | ) |
| Net increase (decrease) from capital share transactions | | | 16,874,820 | | | | (8,368,407 | ) |
| Net increase in net assets | | | 9,413,879 | | | | 668,550 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 36,152,198 | | | | 35,483,648 | |
| End of year | | $ | 45,566,077 | | | $ | 36,152,198 | |
| Undistributed net investment income at end of year | | $ | 297,239 | | | $ | 216,907 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,496,999 | | | | 6,399,342 | * |
| A-Class | | | 54,358 | | | | 236,733 | * |
| C-Class | | | 42,714 | | | | 56,272 | * |
| H-Class | | | 3,111,361 | | | | 2,421,978 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 1,809 | | | | 4,391 | * |
| A-Class | | | 312 | | | | 648 | * |
| C-Class | | | 490 | | | | 603 | * |
| H-Class | | | 339 | | | | 474 | * |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,306,622 | ) | | | (6,428,844 | )* |
| A-Class | | | (77,407 | ) | | | (270,062 | )* |
| C-Class | | | (48,479 | ) | | | (65,587 | )* |
| H-Class | | | (3,125,440 | ) | | | (2,432,686 | )* |
| Net increase (decrease) in shares | | | 150,434 | | | | (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. |
| 56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 78.73 | | | $ | 66.61 | | | $ | 92.98 | | | $ | 118.79 | | | $ | 104.48 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .61 | | | | .40 | | | | 1.12 | | | | .84 | | | | .60 | |
| Net gain (loss) on investments (realized and unrealized) | | | (4.37 | ) | | | 12.24 | | | | (26.37 | ) | | | (26.21 | ) | | | 13.71 | |
| Total from investment operations | | | (3.76 | ) | | | 12.64 | | | | (25.25 | ) | | | (25.37 | ) | | | 14.31 | |
| Less distributions from: |
| Net investment income | | | (.56 | ) | | | (.52 | ) | | | (.52 | ) | | | (.44 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (.60 | ) | | | — | | | | — | |
| Total distributions | | | (.56 | ) | | | (.52 | ) | | | (1.12 | ) | | | (.44 | ) | | | — | |
| Net asset value, end of period | | $ | 74.41 | | | $ | 78.73 | | | $ | 66.61 | | | $ | 92.98 | | | $ | 118.79 | |
| |
| Total Returnb | | | (4.78 | %) | | | 18.99 | % | | | (27.30 | %) | | | (21.42 | %) | | | 13.71 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 37,253 | | | $ | 24,284 | | | $ | 22,216 | | | $ | 28,123 | | | $ | 35,546 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.82 | % | | | 0.52 | % | | | 1.38 | % | | | 0.72 | % | | | 0.55 | % |
| Total expenses | | | 1.37 | % | | | 1.37 | % | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 954 | % | | | 996 | % | | | 595 | % | | | 463 | % | | | 231 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 73.86 | | | $ | 62.67 | | | $ | 87.76 | | | $ | 112.30 | | | $ | 99.06 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .54 | | | | .23 | | | | .76 | | | | .48 | | | | .32 | |
| Net gain (loss) on investments (realized and unrealized) | | | (4.23 | ) | | | 11.48 | | | | (24.73 | ) | | | (24.58 | ) | | | 12.92 | |
| Total from investment operations | | | (3.69 | ) | | | 11.71 | | | | (23.97 | ) | | | (24.10 | ) | | | 13.24 | |
| Less distributions from: |
| Net investment income | | | (.56 | ) | | | (.52 | ) | | | (.52 | ) | | | (.44 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (.60 | ) | | | — | | | | — | |
| Total distributions | | | (.56 | ) | | | (.52 | ) | | | (1.12 | ) | | | (.44 | ) | | | — | |
| Net asset value, end of period | | $ | 69.61 | | | $ | 73.86 | | | $ | 62.67 | | | $ | 87.76 | | | $ | 112.30 | |
| |
| Total Returnb | | | (4.99 | %) | | | 18.65 | % | | | (27.46 | %) | | | (21.49 | %) | | | 13.37 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,111 | | | $ | 4,980 | | | $ | 6,274 | | | $ | 4,671 | | | $ | 6,624 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.78 | % | | | 0.31 | % | | | 1.02 | % | | | 0.43 | % | | | 0.30 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 954 | % | | | 996 | % | | | 595 | % | | | 463 | % | | | 231 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 66.10 | | | $ | 56.55 | | | $ | 79.93 | | | $ | 103.21 | | | $ | 91.72 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.01 | ) | | | (.29 | ) | | | .08 | | | | (.20 | ) | | | (.48 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (3.77 | ) | | | 10.36 | | | | (22.34 | ) | | | (22.64 | ) | | | 11.97 | |
| Total from investment operations | | | (3.78 | ) | | | 10.07 | | | | (22.26 | ) | | | (22.84 | ) | | | 11.49 | |
| Less distributions from: |
| Net investment income | | | (.56 | ) | | | (.52 | ) | | | (.52 | ) | | | (.44 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (.60 | ) | | | — | | | | — | |
| Total distributions | | | (.56 | ) | | | (.52 | ) | | | (1.12 | ) | | | (.44 | ) | | | — | |
| Net asset value, end of period | | $ | 61.76 | | | $ | 66.10 | | | $ | 56.55 | | | $ | 79.93 | | | $ | 103.21 | |
| |
| Total Returnb | | | (5.73 | %) | | | 17.76 | % | | | (28.01 | %) | | | (22.18 | %) | | | 12.52 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,721 | | | $ | 4,331 | | | $ | 4,198 | | | $ | 6,754 | | | $ | 8,357 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.02 | %) | | | (0.45 | %) | | | 0.15 | % | | | (0.20 | %) | | | (0.52 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 954 | % | | | 996 | % | | | 595 | % | | | 463 | % | | | 231 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c,d | | | Year Ended
March 31,
2015c,d | | | Year Ended
March 31,
2014c,d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 71.68 | | | $ | 60.90 | | | $ | 85.36 | | | $ | 109.61 | | | $ | 96.92 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .99 | | | | .02 | | | | .40 | | | | .28 | | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (4.60 | ) | | | 11.28 | | | | (23.74 | ) | | | (24.09 | ) | | | 12.77 | |
| Total from investment operations | | | (3.61 | ) | | | 11.30 | | | | (23.34 | ) | | | (23.81 | ) | | | 12.69 | |
| Less distributions from: |
| Net investment income | | | (.56 | ) | | | (.52 | ) | | | (.52 | ) | | | (.44 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | (.60 | ) | | | — | | | | — | |
| Total distributions | | | (.56 | ) | | | (.52 | ) | | | (1.12 | ) | | | (.44 | ) | | | — | |
| Net asset value, end of period | | $ | 67.51 | | | $ | 71.68 | | | $ | 60.90 | | | $ | 85.36 | | | $ | 109.61 | |
| |
| Total Returnb | | | (5.03 | %) | | | 18.57 | % | | | (27.53 | %) | | | (21.76 | %) | | | 13.08 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,480 | | | $ | 2,556 | | | $ | 2,795 | | | $ | 6,452 | | | $ | 4,764 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.50 | % | | | 0.03 | % | | | 0.55 | % | | | 0.27 | % | | | (0.09 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.70 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 954 | % | | | 996 | % | | | 595 | % | | | 463 | % | | | 231 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect a 1:4 reverse share split effective November 7, 2016. |
| 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. |
| 58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
For the one-year period ended March 29, 2018, Energy Services Fund Investor Class returned -21.11%, compared with -0.16% for the S&P 500 Energy Index. The broader S&P 500 Index returned 13.99%.
The only industry to contribute to the performance of the Fund was steel producers. The marine shipping industry detracted the least. The oil & gas services & equipment industry detracted the most.
ProPetro Holding Corp., Helmerich & Payne, Inc., and RPC, Inc. contributed the most to the performance of the Fund. Baker Hughes Class A, Schlumberger NV, and U.S. Silica Holdings, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| H-Class | April 2, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| Halliburton Co. | 11.7% |
| Schlumberger Ltd. | 11.1% |
| Baker Hughes a GE Co. | 9.8% |
| National Oilwell Varco, Inc. | 6.7% |
| Helmerich & Payne, Inc. | 4.9% |
| Transocean Ltd. | 4.0% |
| TechnipFMC plc | 3.8% |
| RPC, Inc. | 3.4% |
| Patterson-UTI Energy, Inc. | 3.4% |
| Core Laboratories N.V. | 3.0% |
| Top Ten Total | 61.8% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 59 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (21.11%) | (13.80%) | (7.75%) |
| A-Class Shares | (21.31%) | (14.01%) | (7.98%) |
| A-Class Shares with sales charge† | (25.06%) | (14.84%) | (8.42%) |
| C-Class Shares | (21.89%) | (14.66%) | (8.67%) |
| C-Class Shares with CDSC‡ | (22.66%) | (14.66%) | (8.67%) |
| H-Class Shares** | (21.40%) | (14.16%) | (8.17%) |
| S&P 500 Energy Index | (0.16%) | (0.41%) | 1.30% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for 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. |
| † | | 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. |
| 60 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| ENERGY SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 100.0% |
| | | | | | | |
| Oil & Gas Services - 71.7% |
| Halliburton Co. | | | 66,146 | | | $ | 3,104,893 | |
| Schlumberger Ltd. | | | 45,695 | | | | 2,960,122 | |
| Baker Hughes a GE Co. | | | 93,692 | | | | 2,601,827 | |
| National Oilwell Varco, Inc. | | | 48,664 | | | | 1,791,322 | |
| TechnipFMC plc | | | 34,280 | | | | 1,009,546 | |
| RPC, Inc.1 | | | 49,901 | | | | 899,715 | |
| Core Laboratories N.V. | | | 7,254 | | | | 785,028 | |
| C&J Energy Services, Inc.* | | | 25,117 | | | | 648,521 | |
| Oceaneering International, Inc. | | | 34,807 | | | | 645,322 | |
| Dril-Quip, Inc.* | | | 13,832 | | | | 619,674 | |
| Oil States International, Inc.* | | | 23,229 | | | | 608,600 | |
| Keane Group, Inc.* | | | 39,378 | | | | 582,794 | |
| McDermott International, Inc.* | | | 92,870 | | | | 565,578 | |
| ProPetro Holding Corp.* | | | 32,795 | | | | 521,113 | |
| Superior Energy Services, Inc.* | | | 60,603 | | | | 510,883 | |
| Forum Energy Technologies, Inc.* | | | 46,102 | | | | 507,122 | |
| Helix Energy Solutions Group, Inc.* | | | 73,449 | | | | 425,270 | |
| Basic Energy Services, Inc.* | | | 18,751 | | | | 270,764 | |
| Total Oil & Gas Services | | | | | | | 19,058,094 | |
| | | | | | | | | |
| Oil & Gas - 21.4% |
| Helmerich & Payne, Inc. | | | 19,563 | | | | 1,302,113 | |
| Transocean Ltd.* | | | 106,318 | | | | 1,052,548 | |
| Patterson-UTI Energy, Inc. | | | 51,202 | | | | 896,547 | |
| Nabors Industries Ltd. | | | 101,623 | | | | 710,345 | |
| Diamond Offshore Drilling, Inc.*,1 | | | 46,050 | | | | 675,093 | |
| Rowan Companies plc — Class A* | | | 49,661 | | | | 573,088 | |
| Unit Corp.* | | | 24,798 | | | | 490,008 | |
| Total Oil & Gas | | | | | | | 5,699,742 | |
| | | | | | | | | |
| Mining - 4.3% |
| US Silica Holdings, Inc.1 | | | 26,380 | | | | 673,218 | |
| Fairmount Santrol Holdings, Inc.*,1 | | | 110,281 | | | | 468,694 | |
| Total Mining | | | | | | | 1,141,912 | |
| | | | | | | | | |
| Metal Fabricate & Hardware - 2.6% |
| Tenaris S.A. ADR | | | 19,776 | | | | 685,634 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $25,261,014) | | | | | | | 26,585,382 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,2 - 2.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%3 | | | 719,875 | | | | 719,875 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $719,875) | | | | | | | 719,875 | |
| | | | | | | | | |
| Total Investments - 102.7% | | | | | | | | |
| (Cost $25,980,889) | | | | | | $ | 27,305,257 | |
| Other Assets & Liabilities, net - (2.7)% | | | | | | | (724,072 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 26,581,185 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Securities lending collateral — See Note 5. |
| 3 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 26,585,382 | | | $ | — | | | $ | — | | | $ | 26,585,382 | |
| Securities Lending Collateral | | | 719,875 | | | | — | | | | — | | | | 719,875 | |
| Total Assets | | $ | 27,305,257 | | | $ | — | | | $ | — | | | $ | 27,305,257 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $718,911 of securities loaned (cost $25,980,889) | | $ | 27,305,257 | |
| Cash | | | 1,800 | |
| Receivables: |
| Fund shares sold | | | 15,298,071 | |
| Dividends | | | 18,720 | |
| Securities lending income | | | 1,424 | |
| Total assets | | | 42,625,272 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 15,290,377 | |
| Return of securities loaned | | | 719,875 | |
| Fund shares redeemed | | | 12,235 | |
| Management fees | | | 10,207 | |
| Transfer agent and administrative fees | | | 3,002 | |
| Distribution and service fees | | | 2,533 | |
| Portfolio accounting fees | | | 1,201 | |
| Line of credit | | | 1,000 | |
| Trustees’ fees* | | | 327 | |
| Miscellaneous | | | 3,330 | |
| Total liabilities | | | 16,044,087 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 26,581,185 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 46,289,933 | |
| Undistributed net investment income | | | 144,264 | |
| Accumulated net realized loss on investments | | | (21,177,380 | ) |
| Net unrealized appreciation on investments | | | 1,324,368 | |
| Net assets | | $ | 26,581,185 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 8,180,745 | |
| Capital shares outstanding | | | 324,620 | |
| Net asset value per share | | $ | 25.20 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 810,805 | |
| Capital shares outstanding | | | 34,241 | |
| Net asset value per share | | $ | 23.68 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 24.86 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,835,595 | |
| Capital shares outstanding | | | 86,587 | |
| Net asset value per share | | $ | 21.20 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 15,754,040 | |
| Capital shares outstanding | | | 687,053 | |
| Net asset value per share | | $ | 22.93 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $1,128) | | $ | 521,356 | |
| Interest | | | 978 | |
| Income from securities lending, net | | | 22,939 | |
| Total investment income | | | 545,273 | |
| | | | | |
| Expenses: |
| Management fees | | | 135,607 | |
| Distribution and service fees: |
| A-Class | | | 2,430 | |
| C-Class | | | 23,228 | |
| H-Class | | | 8,310 | |
| Transfer agent and administrative fees | | | 39,884 | |
| Registration fees | | | 24,351 | |
| Portfolio accounting fees | | | 15,954 | |
| Custodian fees | | | 2,361 | |
| Trustees’ fees* | | | 1,659 | |
| Line of credit fees | | | 169 | |
| Miscellaneous | | | 46 | |
| Total expenses | | | 253,999 | |
| Net investment income | | | 291,274 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | (7,444,559 | ) |
| Net realized loss | | | (7,444,559 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (339,591 | ) |
| Net change in unrealized appreciation (depreciation) | | | (339,591 | ) |
| Net realized and unrealized loss | | | (7,784,150 | ) |
| Net decrease in net assets resulting from operations | | $ | (7,492,876 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 291,274 | | | $ | (57,835 | ) |
| Net realized gain (loss) on investments | | | (7,444,559 | ) | | | 2,496,264 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (339,591 | ) | | | (5,748,250 | ) |
| Net decrease in net assets resulting from operations | | | (7,492,876 | ) | | | (3,309,821 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (77,500 | ) | | | (72,838 | ) |
| A-Class | | | (8,803 | ) | | | (10,527 | ) |
| C-Class | | | (25,585 | ) | | | (24,559 | ) |
| H-Class | | | (15,779 | ) | | | (17,351 | ) |
| Total distributions to shareholders | | | (127,667 | ) | | | (125,275 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 101,522,125 | | | | 263,468,153 | |
| A-Class | | | 1,987,451 | | | | 8,139,379 | |
| C-Class | | | 1,564,834 | | | | 2,698,788 | |
| H-Class | | | 270,016,912 | | | | 250,508,623 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 75,443 | | | | 70,070 | |
| A-Class | | | 8,684 | | | | 10,195 | |
| C-Class | | | 25,188 | | | | 24,152 | |
| H-Class | | | 15,754 | | | | 17,345 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (101,745,311 | ) | | | (260,388,533 | ) |
| A-Class | | | (2,210,733 | ) | | | (9,647,003 | ) |
| C-Class | | | (2,348,014 | ) | | | (2,189,013 | ) |
| H-Class | | | (255,214,248 | ) | | | (245,387,042 | ) |
| Net increase from capital share transactions | | | 13,698,085 | | | | 7,325,114 | |
| Net increase in net assets | | | 6,077,542 | | | | 3,890,018 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 20,503,643 | | | | 16,613,625 | |
| End of year | | $ | 26,581,185 | | | $ | 20,503,643 | |
| Undistributed (distributions in excess of) net investment income at end of year | | $ | 144,264 | | | $ | (19,392 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,791,772 | | | | 8,714,449 | |
| A-Class | | | 75,541 | | | | 268,911 | |
| C-Class | | | 68,343 | | | | 95,397 | |
| H-Class | | | 11,304,517 | | | | 8,533,238 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 2,824 | | | | 2,229 | |
| A-Class | | | 346 | | | | 344 | |
| C-Class | | | 1,118 | | | | 899 | |
| H-Class | | | 647 | | | | 603 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,834,651 | ) | | | (8,687,119 | ) |
| A-Class | | | (84,270 | ) | | | (332,719 | ) |
| C-Class | | | (101,591 | ) | | | (81,589 | ) |
| H-Class | | | (10,760,388 | ) | | | (8,456,785 | ) |
| Net increase in shares | | | 464,208 | | | | 57,858 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 32.24 | | | $ | 28.41 | | | $ | 39.36 | | | $ | 62.43 | | | $ | 54.43 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .59 | d | | | .01 | | | | .29 | | | | .48 | | | | .02 | |
| Net gain (loss) on investments (realized and unrealized) | | | (7.38 | ) | | | 4.07 | | | | (10.90 | ) | | | (23.55 | ) | | | 7.98 | |
| Total from investment operations | | | (6.79 | ) | | | 4.08 | | | | (10.61 | ) | | | (23.07 | ) | | | 8.00 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Total distributions | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 25.20 | | | $ | 32.24 | | | $ | 28.41 | | | $ | 39.36 | | | $ | 62.43 | |
| |
| Total Returnb | | | (21.11 | %) | | | 14.38 | % | | | (27.05 | %) | | | (36.95 | %) | | | 14.70 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,181 | | | $ | 11,757 | | | $ | 9,521 | | | $ | 16,144 | | | $ | 33,244 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 2.19 | %e | | | 0.03 | % | | | 0.83 | % | | | 0.86 | % | | | 0.03 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.35 | % | | | 1.36 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % | | | 494 | % | | | 350 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.39 | | | $ | 26.86 | | | $ | 37.32 | | | $ | 59.34 | | | $ | 51.86 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .60 | d | | | (.14 | ) | | | .24 | | | | .25 | | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (7.06 | ) | | | 3.92 | | | | (10.36 | ) | | | (22.27 | ) | | | 7.61 | |
| Total from investment operations | | | (6.46 | ) | | | 3.78 | | | | (10.12 | ) | | | (22.02 | ) | | | 7.48 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Total distributions | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 23.68 | | | $ | 30.39 | | | $ | 26.86 | | | $ | 37.32 | | | $ | 59.34 | |
| |
| Total Returnb | | | (21.31 | %) | | | 14.09 | % | | | (27.22 | %) | | | (37.11 | %) | | | 14.42 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 811 | | | $ | 1,295 | | | $ | 2,849 | | | $ | 3,545 | | | $ | 7,557 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 2.37 | %e | | | (0.47 | %) | | | 0.73 | % | | | 0.47 | % | | | (0.23 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % | | | 494 | % | | | 350 | % |
| 64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.44 | | | $ | 24.46 | | | $ | 34.28 | | | $ | 54.92 | | | $ | 48.37 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .38 | d | | | (.33 | ) | | | (.05 | ) | | | (.12 | ) | | | (.50 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (6.37 | ) | | | 3.56 | | | | (9.43 | ) | | | (20.52 | ) | | | 7.05 | |
| Total from investment operations | | | (5.99 | ) | | | 3.23 | | | | (9.48 | ) | | | (20.64 | ) | | | 6.55 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Total distributions | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 21.20 | | | $ | 27.44 | | | $ | 24.46 | | | $ | 34.28 | | | $ | 54.92 | |
| |
| Total Returnb | | | (21.89 | %) | | | 13.22 | % | | | (27.76 | %) | | | (37.58 | %) | | | 13.54 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,836 | | | $ | 3,258 | | | $ | 2,544 | | | $ | 3,889 | | | $ | 8,616 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.66 | %e | | | (1.23 | %) | | | (0.16 | %) | | | (0.24 | %) | | | (0.97 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.36 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % | | | 494 | % | | | 350 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.47 | | | $ | 26.07 | | | $ | 36.29 | | | $ | 57.89 | | | $ | 50.72 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .19 | d | | | (.08 | ) | | | .05 | | | | .07 | | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (6.48 | ) | | | 3.73 | | | | (9.93 | ) | | | (21.67 | ) | | | 7.44 | |
| Total from investment operations | | | (6.29 | ) | | | 3.65 | | | | (9.88 | ) | | | (21.60 | ) | | | 7.17 | |
| Less distributions from: |
| Net investment income | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Total distributions | | | (.25 | ) | | | (.25 | ) | | | (.34 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 22.93 | | | $ | 29.47 | | | $ | 26.07 | | | $ | 36.29 | | | $ | 57.89 | |
| |
| Total Returnb | | | (21.40 | %) | | | 14.02 | % | | | (27.31 | %) | | | (37.33 | %) | | | 14.14 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 15,754 | | | $ | 4,193 | | | $ | 1,700 | | | $ | 1,814 | | | $ | 4,933 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.76 | %e | | | (0.29 | %) | | | 0.15 | % | | | 0.13 | % | | | (0.50 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.67 | % | | | 1.86 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 1,824 | % | | | 1,830 | % | | | 1,241 | % | | | 494 | % | | | 350 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| d | | Net investment income per share includes $0.54, $0.50, $0.45, and $0.50 for Investor Class, A-Class, C-Class, and H-Class, respectively, resulting from a special dividend from Baker Hughes, a GE Co., LLC on July 05, 2017. |
| e | | Net investment income to average net assets includes 1.99% for Investor Class, A-Class, C-Class, and H-Class, resulting from a special dividend from Baker Hughes, a GE Co., LLC on July 05, 2017. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the financial services sector (“Financial Services Companies”).
For the one-year period ended March 29, 2018, Financial Services Fund Investor Class returned 11.37%, compared with 18.03% for the S&P 500 Financials Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was banks, followed by diversified banks. The real estate investment trust industry detracted the most, followed by investment companies.
JPMorgan Chase & Co., Bank of America Corp., and Berkshire Hathaway, Inc. Class B contributed the most to the performance of the Fund. Colony NorthStar, Inc. Class A, Kimco Realty Corp., and AmTrust Financial Services, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 2, 1998 |
| 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 | 2.6% |
| JPMorgan Chase & Co. | 2.3% |
| Bank of America Corp. | 2.1% |
| Wells Fargo & Co. | 1.9% |
| Citigroup, Inc. | 1.5% |
| Goldman Sachs Group, Inc. | 1.2% |
| Morgan Stanley | 1.2% |
| BlackRock, Inc. — Class A | 1.1% |
| U.S. Bancorp | 1.1% |
| American Express Co. | 1.1% |
| Top Ten Total | 16.1% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 66 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 11.37% | 10.37% | 4.54% |
| A-Class Shares | 11.08% | 10.10% | 4.27% |
| A-Class Shares with sales charge† | 5.81% | 9.03% | 3.77% |
| C-Class Shares | 10.27% | 9.29% | 3.53% |
| C-Class Shares with CDSC‡ | 9.27% | 9.29% | 3.53% |
| H-Class Shares** | 11.11% | 9.98% | 4.07% |
| S&P 500 Financials Index | 18.03% | 15.46% | 5.25% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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 S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 67 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| FINANCIAL SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 98.8% |
| | | | | | | |
| REITs - 29.1% |
| American Tower Corp. — Class A | | | 2,642 | | | $ | 383,988 | |
| Simon Property Group, Inc. | | | 2,148 | | | | 331,544 | |
| Crown Castle International Corp. | | | 2,907 | | | | 318,636 | |
| Equinix, Inc. | | | 675 | | | | 282,245 | |
| Public Storage | | | 1,406 | | | | 281,748 | |
| Prologis, Inc. | | | 4,340 | | | | 273,377 | |
| Weyerhaeuser Co. | | | 7,013 | | | | 245,455 | |
| Equity Residential | | | 3,739 | | | | 230,397 | |
| Digital Realty Trust, Inc. | | | 2,171 | | | | 228,780 | |
| AvalonBay Communities, Inc. | | | 1,389 | | | | 228,435 | |
| Welltower, Inc. | | | 3,968 | | | | 215,978 | |
| SBA Communications Corp.* | | | 1,256 | | | | 214,676 | |
| GGP, Inc. | | | 10,135 | | | | 207,362 | |
| Boston Properties, Inc. | | | 1,680 | | | | 207,010 | |
| Ventas, Inc. | | | 4,030 | | | | 199,606 | |
| Essex Property Trust, Inc. | | | 804 | | | | 193,507 | |
| Realty Income Corp. | | | 3,558 | | | | 184,055 | |
| Host Hotels & Resorts, Inc. | | | 9,383 | | | | 174,899 | |
| Vornado Realty Trust | | | 2,515 | | | | 169,260 | |
| Alexandria Real Estate Equities, Inc. | | | 1,350 | | | | 168,601 | |
| Annaly Capital Management, Inc. | | | 15,946 | | | | 166,317 | |
| Invitation Homes, Inc. | | | 7,209 | | | | 164,581 | |
| HCP, Inc. | | | 6,863 | | | | 159,427 | |
| Extra Space Storage, Inc. | | | 1,805 | | | | 157,685 | |
| Mid-America Apartment Communities, Inc. | | | 1,695 | | | | 154,652 | |
| Regency Centers Corp. | | | 2,561 | | | | 151,048 | |
| Duke Realty Corp. | | | 5,600 | | | | 148,288 | |
| UDR, Inc. | | | 4,152 | | | | 147,894 | |
| Iron Mountain, Inc. | | | 4,413 | | | | 145,011 | |
| SL Green Realty Corp. | | | 1,451 | | | | 140,500 | |
| Federal Realty Investment Trust | | | 1,192 | | | | 138,403 | |
| Camden Property Trust | | | 1,596 | | | | 134,351 | |
| Equity LifeStyle Properties, Inc. | | | 1,529 | | | | 134,200 | |
| Macerich Co. | | | 2,345 | | | | 131,367 | |
| AGNC Investment Corp. | | | 6,923 | | | | 130,983 | |
| Sun Communities, Inc. | | | 1,430 | | | | 130,659 | |
| Gaming and Leisure Properties, Inc. | | | 3,821 | | | | 127,889 | |
| Kilroy Realty Corp. | | | 1,789 | | | | 126,947 | |
| VEREIT, Inc. | | | 17,746 | | | | 123,512 | |
| Apartment Investment & Management Co. — Class A | | | 2,990 | | | | 121,842 | |
| National Retail Properties, Inc. | | | 3,003 | | | | 117,898 | |
| Douglas Emmett, Inc. | | | 3,199 | | | | 117,595 | |
| Kimco Realty Corp. | | | 8,159 | | | | 117,490 | |
| Lamar Advertising Co. — Class A | | | 1,824 | | | | 116,116 | |
| American Homes 4 Rent — Class A | | | 5,730 | | | | 115,058 | |
| Liberty Property Trust | | | 2,867 | | | | 113,906 | |
| Healthcare Trust of America, Inc. — Class A | | | 4,255 | | | | 112,545 | |
| Starwood Property Trust, Inc. | | | 5,317 | | | | 111,391 | |
| Park Hotels & Resorts, Inc. | | | 4,106 | | | | 110,944 | |
| New Residential Investment Corp. | | | 6,727 | | | | 110,659 | |
| American Campus Communities, Inc. | | | 2,853 | | | | 110,183 | |
| Omega Healthcare Investors, Inc.1 | | | 4,073 | | | | 110,134 | |
| DCT Industrial Trust, Inc. | | | 1,931 | | | | 108,793 | |
| CubeSmart | | | 3,844 | | | | 108,401 | |
| Forest City Realty Trust, Inc. — Class A | | | 5,317 | | | | 107,722 | |
| CyrusOne, Inc. | | | 2,101 | | | | 107,592 | |
| Hudson Pacific Properties, Inc. | | | 3,295 | | | | 107,186 | |
| CoreSite Realty Corp. | | | 1,057 | | | | 105,975 | |
| STORE Capital Corp. | | | 4,227 | | | | 104,914 | |
| Brixmor Property Group, Inc. | | | 6,667 | | | | 101,672 | |
| Hospitality Properties Trust | | | 3,842 | | | | 97,356 | |
| Life Storage, Inc. | | | 1,152 | | | | 96,215 | |
| Weingarten Realty Investors | | | 3,259 | | | | 91,513 | |
| LaSalle Hotel Properties | | | 3,148 | | | | 91,323 | |
| Senior Housing Properties Trust | | | 5,800 | | | | 90,828 | |
| Sunstone Hotel Investors, Inc. | | | 5,854 | | | | 89,098 | |
| Taubman Centers, Inc. | | | 1,560 | | | | 88,780 | |
| Gramercy Property Trust | | | 4,031 | | | | 87,594 | |
| Spirit Realty Capital, Inc. | | | 11,272 | | | | 87,471 | |
| PotlatchDeltic Corp. | | | 1,680 | | | | 87,444 | |
| RLJ Lodging Trust | | | 4,465 | | | | 86,800 | |
| Sabra Health Care REIT, Inc. | | | 4,735 | | | | 83,573 | |
| Colony NorthStar, Inc. — Class A | | | 14,314 | | | | 80,445 | |
| Uniti Group, Inc.1 | | | 4,944 | | | | 80,340 | |
| DDR Corp. | | | 10,557 | | | | 77,383 | |
| Tanger Factory Outlet Centers, Inc.1 | | | 3,163 | | | | 69,586 | |
| Retail Opportunity Investments Corp. | | | 3,804 | | | | 67,217 | |
| Total REITs | | | | | | | 11,244,255 | |
| | | | | | | | | |
| Banks - 28.1% |
| JPMorgan Chase & Co. | | | 8,117 | | | | 892,626 | |
| Bank of America Corp. | | | 26,646 | | | | 799,114 | |
| Wells Fargo & Co. | | | 13,776 | | | | 722,000 | |
| Citigroup, Inc. | | | 8,747 | | | | 590,422 | |
| Goldman Sachs Group, Inc. | | | 1,815 | | | | 457,126 | |
| Morgan Stanley | | | 8,320 | | | | 448,947 | |
| U.S. Bancorp | | | 8,228 | | | | 415,514 | |
| PNC Financial Services Group, Inc. | | | 2,563 | | | | 387,628 | |
| Bank of New York Mellon Corp. | | | 6,315 | | | | 325,412 | |
| Capital One Financial Corp. | | | 3,304 | | | | 316,589 | |
| BB&T Corp. | | | 5,612 | | | | 292,048 | |
| State Street Corp. | | | 2,753 | | | | 274,557 | |
| SunTrust Banks, Inc. | | | 3,819 | | | | 259,845 | |
| M&T Bank Corp. | | | 1,310 | | | | 241,512 | |
| Northern Trust Corp. | | | 2,153 | | | | 222,039 | |
| Fifth Third Bancorp | | | 6,742 | | | | 214,058 | |
| Regions Financial Corp. | | | 11,252 | | | | 209,062 | |
| Citizens Financial Group, Inc. | | | 4,887 | | | | 205,156 | |
| KeyCorp | | | 10,416 | | | | 203,633 | |
| Comerica, Inc. | | | 1,951 | | | | 187,159 | |
| Huntington Bancshares, Inc. | | | 12,150 | | | | 183,465 | |
| First Republic Bank | | | 1,917 | | | | 177,533 | |
| Banco Bradesco S.A. ADR | | | 14,036 | | | | 166,748 | |
| SVB Financial Group* | | | 672 | | | | 161,287 | |
| Popular, Inc. | | | 3,590 | | | | 149,416 | |
| Zions Bancorporation | | | 2,791 | | | | 147,169 | |
| East West Bancorp, Inc. | | | 2,189 | | | | 136,900 | |
| Signature Bank* | | | 887 | | | | 125,910 | |
| Cullen/Frost Bankers, Inc. | | | 1,149 | | | | 121,874 | |
| 68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| FINANCIAL SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Commerce Bancshares, Inc. | | | 1,993 | | | $ | 119,401 | |
| CIT Group, Inc. | | | 2,315 | | | | 119,222 | |
| PacWest Bancorp | | | 2,302 | | | | 114,018 | |
| Western Alliance Bancorporation* | | | 1,960 | | | | 113,896 | |
| First Horizon National Corp. | | | 6,031 | | | | 113,564 | |
| Bank of the Ozarks | | | 2,349 | | | | 113,386 | |
| Synovus Financial Corp. | | | 2,256 | | | | 112,665 | |
| Pinnacle Financial Partners, Inc. | | | 1,600 | | | | 102,720 | |
| Wintrust Financial Corp. | | | 1,180 | | | | 101,539 | |
| Umpqua Holdings Corp. | | | 4,647 | | | | 99,492 | |
| Texas Capital Bancshares, Inc.* | | | 1,099 | | | | 98,800 | |
| Hancock Holding Co. | | | 1,867 | | | | 96,524 | |
| BankUnited, Inc. | | | 2,360 | | | | 94,353 | |
| IBERIABANK Corp. | | | 1,197 | | | | 93,366 | |
| Home BancShares, Inc. | | | 3,965 | | | | 90,442 | |
| United Bankshares, Inc. | | | 2,530 | | | | 89,183 | |
| MB Financial, Inc. | | | 2,058 | | | | 83,308 | |
| Fulton Financial Corp. | | | 4,523 | | | | 80,283 | |
| Total Banks | | | | | | | 10,870,911 | |
| | | | | | | | | |
| Insurance - 21.3% |
| Berkshire Hathaway, Inc. — Class B* | | | 5,127 | | | | 1,022,734 | |
| American International Group, Inc. | | | 6,014 | | | | 327,282 | |
| MetLife, Inc. | | | 7,006 | | | | 321,505 | |
| Prudential Financial, Inc. | | | 2,947 | | | | 305,162 | |
| Marsh & McLennan Companies, Inc. | | | 3,664 | | | | 302,610 | |
| Travelers Companies, Inc. | | | 2,082 | | | | 289,107 | |
| Progressive Corp. | | | 4,678 | | | | 285,031 | |
| Chubb Ltd. | | | 2,015 | | | | 275,592 | |
| Allstate Corp. | | | 2,891 | | | | 274,067 | |
| Aflac, Inc. | | | 6,202 | | | | 271,399 | |
| Aon plc | | | 1,581 | | | | 221,862 | |
| XL Group Ltd. | | | 3,857 | | | | 213,138 | |
| Principal Financial Group, Inc. | | | 3,232 | | | | 196,861 | |
| Hartford Financial Services Group, Inc. | | | 3,798 | | | | 195,673 | |
| Markel Corp.* | | | 165 | | | | 193,091 | |
| Everest Re Group Ltd. | | | 750 | | | | 192,615 | |
| Willis Towers Watson plc | | | 1,243 | | | | 189,172 | |
| Loews Corp. | | | 3,795 | | | | 188,725 | |
| Lincoln National Corp. | | | 2,503 | | | | 182,869 | |
| RenaissanceRe Holdings Ltd. | | | 1,290 | | | | 178,678 | |
| Axis Capital Holdings Ltd. | | | 3,040 | | | | 175,013 | |
| Arch Capital Group Ltd.* | | | 1,961 | | | | 167,842 | |
| Arthur J Gallagher & Co. | | | 2,380 | | | | 163,577 | |
| Cincinnati Financial Corp. | | | 2,197 | | | | 163,149 | |
| Unum Group | | | 3,132 | | | | 149,115 | |
| American Financial Group, Inc. | | | 1,326 | | | | 148,804 | |
| Reinsurance Group of America, Inc. — Class A | | | 960 | | | | 147,840 | |
| Alleghany Corp. | | | 240 | | | | 147,466 | |
| Torchmark Corp. | | | 1,720 | | | | 144,772 | |
| WR Berkley Corp. | | | 1,952 | | | | 141,910 | |
| Athene Holding Ltd. — Class A* | | | 2,870 | | | | 137,215 | |
| Voya Financial, Inc. | | | 2,713 | | | | 137,006 | |
| Brown & Brown, Inc. | | | 4,824 | | | | 122,723 | |
| First American Financial Corp. | | | 2,060 | | | | 120,881 | |
| Brighthouse Financial, Inc.* | | | 2,240 | | | | 115,136 | |
| Old Republic International Corp. | | | 5,350 | | | | 114,757 | |
| Assurant, Inc. | | | 1,157 | | | | 105,761 | |
| MGIC Investment Corp.* | | | 7,550 | | | | 98,150 | |
| Radian Group, Inc. | | | 4,694 | | | | 89,374 | |
| MBIA, Inc.*,1 | | | 4,855 | | | | 44,957 | |
| Total Insurance | | | | | | | 8,262,621 | |
| | | | | | | | | |
| Diversified Financial Services - 14.6% |
| BlackRock, Inc. — Class A | | | 806 | | | | 436,626 | |
| American Express Co. | | | 4,437 | | | | 413,883 | |
| Charles Schwab Corp. | | | 7,271 | | | | 379,692 | |
| CME Group, Inc. — Class A | | | 2,117 | | | | 342,404 | |
| Intercontinental Exchange, Inc. | | | 4,172 | | | | 302,553 | |
| TD Ameritrade Holding Corp. | | | 4,539 | | | | 268,845 | |
| Interactive Brokers Group, Inc. — Class A | | | 3,560 | | | | 239,374 | |
| T. Rowe Price Group, Inc. | | | 2,172 | | | | 234,511 | |
| Discover Financial Services | | | 3,206 | | | | 230,608 | |
| Synchrony Financial | | | 6,798 | | | | 227,937 | |
| Ameriprise Financial, Inc. | | | 1,435 | | | | 212,294 | |
| Invesco Ltd. | | | 6,413 | | | | 205,280 | |
| Franklin Resources, Inc. | | | 5,559 | | | | 192,786 | |
| Nasdaq, Inc. | | | 2,089 | | | | 180,114 | |
| E*TRADE Financial Corp.* | | | 3,244 | | | | 179,750 | |
| Raymond James Financial, Inc. | | | 1,833 | | | | 163,888 | |
| Cboe Global Markets, Inc. | | | 1,427 | | | | 162,821 | |
| SEI Investments Co. | | | 2,152 | | | | 161,206 | |
| Ally Financial, Inc. | | | 5,873 | | | | 159,452 | |
| Affiliated Managers Group, Inc. | | | 799 | | | | 151,474 | |
| Credit Acceptance Corp.* | | | 360 | | | | 118,948 | |
| BGC Partners, Inc. — Class A | | | 8,633 | | | | 116,114 | |
| Santander Consumer USA Holdings, Inc. | | | 6,870 | | | | 111,981 | |
| LPL Financial Holdings, Inc. | | | 1,770 | | | | 108,094 | |
| SLM Corp.* | | | 9,337 | | | | 104,668 | |
| Legg Mason, Inc. | | | 2,157 | | | | 87,682 | |
| Navient Corp. | | | 6,557 | | | | 86,028 | |
| Evercore, Inc. — Class A | | | 980 | | | | 85,456 | |
| Total Diversified Financial Services | | | | | | | 5,664,469 | |
| | | | | | | | | |
| Commercial Services - 2.1% |
| S&P Global, Inc. | | | 1,717 | | | | 328,050 | |
| Moody’s Corp. | | | 1,596 | | | | 257,435 | |
| MarketAxess Holdings, Inc. | | | 630 | | | | 136,987 | |
| LendingTree, Inc.* | | | 284 | | | | 93,195 | |
| Total Commercial Services | | | | | | | 815,667 | |
| | | | | | | | | |
| Savings & Loans - 1.1% |
| People’s United Financial, Inc. | | | 6,256 | | | | 116,737 | |
| New York Community Bancorp, Inc. | | | 8,759 | | | | 114,130 | |
| Sterling Bancorp | | | 4,480 | | | | 101,024 | |
| Investors Bancorp, Inc. | | | 6,927 | | | | 94,484 | |
| Total Savings & Loans | | | | | | | 426,375 | |
| | | | | | | | | |
| Real Estate - 1.1% |
| CBRE Group, Inc. — Class A* | | | 4,024 | | | | 190,013 | |
| Jones Lang LaSalle, Inc. | | | 780 | | | | 136,219 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| FINANCIAL SERVICES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Realogy Holdings Corp.1 | | | 3,360 | | | $ | 91,661 | |
| Total Real Estate | | | | | | | 417,893 | |
| | | | | | | | | |
| Investment Companies - 0.7% |
| Leucadia National Corp. | | | 5,740 | | | | 130,470 | |
| Ares Capital Corp. | | | 7,793 | | | | 123,675 | |
| Total Investment Companies | | | | | | | 254,145 | |
| | | | | | | | | |
| Software - 0.4% |
| MSCI, Inc. — Class A | | | 1,150 | | | | 171,890 | |
| | | | | | | | | |
| Media - 0.3% |
| FactSet Research Systems, Inc. | | | 650 | | | | 129,623 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $30,362,637) | | | | | | | 38,257,849 | |
| | | | | | | | | |
| PREFERRED STOCKS† - 0.5% |
| Banks - 0.5% |
| Itau Unibanco Holding S.A. ADR | | | 11,307 | | | | 176,389 | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $141,155) | | | | | | | 176,389 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.8% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 225,117 | | | | 225,117 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 73,664 | | | | 73,664 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $298,781) | | | | | | | 298,781 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 283,231 | | | | 283,231 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $283,231) | | | | | | | 283,231 | |
| | | | | | | | | |
| Total Investments - 100.8% | | | | | | | | |
| (Cost $31,085,804) | | | | | | $ | 39,016,250 | |
| Other Assets & Liabilities, net - (0.8)% | | | | | | | (307,920 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 38,708,330 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 38,257,849 | | | $ | — | | | $ | — | | | $ | 38,257,849 | |
| Preferred Stocks | | | 176,389 | | | | — | | | | — | | | | 176,389 | |
| Repurchase Agreements | | | — | | | | 298,781 | | | | — | | | | 298,781 | |
| Securities Lending Collateral | | | 283,231 | | | | — | | | | — | | | | 283,231 | |
| Total Assets | | $ | 38,717,469 | | | $ | 298,781 | | | $ | — | | | $ | 39,016,250 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $270,408 of securities loaned (cost $30,787,023) | | $ | 38,717,469 | |
| Repurchase agreements, at value (cost $298,781) | | | 298,781 | |
| Cash | | | 16,992 | |
| Receivables: |
| Dividends | | | 102,528 | |
| Fund shares sold | | | 101,246 | |
| Foreign taxes reclaim | | | 437 | |
| Securities lending income | | | 333 | |
| Interest | | | 45 | |
| Total assets | | | 39,237,831 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 283,231 | |
| Fund shares redeemed | | | 186,654 | |
| Management fees | | | 30,079 | |
| Transfer agent and administrative fees | | | 8,847 | |
| Distribution and service fees | | | 4,596 | |
| Portfolio accounting fees | | | 3,539 | |
| Trustees’ fees* | | | 1,067 | |
| Miscellaneous | | | 11,488 | |
| Total liabilities | | | 529,501 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 38,708,330 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 32,843,067 | |
| Undistributed net investment income | | | 433,311 | |
| Accumulated net realized loss on investments | | | (2,498,494 | ) |
| Net unrealized appreciation on investments | | | 7,930,446 | |
| Net assets | | $ | 38,708,330 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 25,182,770 | |
| Capital shares outstanding | | | 348,922 | |
| Net asset value per share | | $ | 72.17 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 8,293,239 | |
| Capital shares outstanding | | | 122,176 | |
| Net asset value per share | | $ | 67.88 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 71.27 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 2,218,428 | |
| Capital shares outstanding | | | 36,631 | |
| Net asset value per share | | $ | 60.56 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 3,013,893 | |
| Capital shares outstanding | | | 45,716 | |
| Net asset value per share | | $ | 65.93 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $3,133) | | $ | 1,213,609 | |
| Interest | | | 2,738 | |
| Income from securities lending, net | | | 4,506 | |
| Total investment income | | | 1,220,853 | |
| | | | | |
| Expenses: |
| Management fees | | | 450,558 | |
| Distribution and service fees: |
| A-Class | | | 18,921 | |
| C-Class | | | 19,854 | |
| H-Class | | | 18,615 | |
| Transfer agent and administrative fees | | | 132,516 | |
| Registration fees | | | 52,961 | |
| Portfolio accounting fees | | | 53,006 | |
| Custodian fees | | | 7,425 | |
| Trustees’ fees* | | | 4,810 | |
| Line of credit fees | | | 231 | |
| Miscellaneous | | | 28,634 | |
| Total expenses | | | 787,531 | |
| Net investment income | | | 433,322 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 9,384,510 | |
| Net realized gain | | | 9,384,510 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (4,731,056 | ) |
| Net change in unrealized appreciation (depreciation) | | | (4,731,056 | ) |
| Net realized and unrealized gain | | | 4,653,454 | |
| Net increase in net assets resulting from operations | | $ | 5,086,776 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 433,322 | | | $ | 372,885 | |
| Net realized gain on investments | | | 9,384,510 | | | | 1,172,406 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (4,731,056 | ) | | | 6,199,242 | |
| Net increase in net assets resulting from operations | | | 5,086,776 | | | | 7,744,533 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (199,322 | ) | | | (503,291 | ) |
| A-Class | | | (44,993 | ) | | | (14,974 | ) |
| C-Class | | | (12,209 | ) | | | (13,362 | ) |
| H-Class | | | (116,540 | ) | | | (38,626 | ) |
| Total distributions to shareholders | | | (373,064 | ) | | | (570,253 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 136,011,349 | | | | 181,145,547 | |
| A-Class | | | 10,122,297 | | | | 11,484,050 | |
| C-Class | | | 3,383,564 | | | | 3,885,372 | |
| H-Class | | | 60,683,590 | | | | 67,386,302 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 199,015 | | | | 470,098 | |
| A-Class | | | 44,678 | | | | 14,646 | |
| C-Class | | | 12,013 | | | | 13,227 | |
| H-Class | | | 116,540 | | | | 38,622 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (153,227,978 | ) | | | (163,986,478 | ) |
| A-Class | | | (4,519,909 | ) | | | (10,860,355 | ) |
| C-Class | | | (3,620,381 | ) | | | (2,920,279 | ) |
| H-Class | | | (76,785,737 | ) | | | (52,510,413 | ) |
| Net increase (decrease) from capital share transactions | | | (27,580,959 | ) | | | 34,160,339 | |
| Net increase (decrease) in net assets | | | (22,867,247 | ) | | | 41,334,619 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 61,575,577 | | | | 20,240,958 | |
| End of year | | $ | 38,708,330 | | | $ | 61,575,577 | |
| Undistributed net investment income at end of year | | $ | 433,311 | | | $ | 373,053 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,958,909 | | | | 3,001,546 | * |
| A-Class | | | 161,259 | | | | 206,206 | * |
| C-Class | | | 57,873 | | | | 76,106 | * |
| H-Class | | | 956,165 | | | | 1,149,247 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 2,705 | | | | 7,770 | * |
| A-Class | | | 645 | | | | 256 | * |
| C-Class | | | 194 | | | | 257 | * |
| H-Class | | | 1,733 | | | | 696 | * |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,214,715 | ) | | | (2,687,599 | )* |
| A-Class | | | (69,569 | ) | | | (196,995 | )* |
| C-Class | | | (62,511 | ) | | | (58,308 | )* |
| H-Class | | | (1,218,197 | ) | | | (905,056 | )* |
| Net increase (decrease) in shares | | | (425,509 | ) | | | 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. |
| 72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.14 | | | $ | 53.90 | | | $ | 57.78 | | | $ | 53.05 | | | $ | 45.33 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .61 | | | | .55 | | | | .77 | | | | .46 | | | | .39 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.79 | | | | 11.14 | | | | (4.19 | ) | | | 4.40 | | | | 7.61 | |
| Total from investment operations | | | 7.40 | | | | 11.69 | | | | (3.42 | ) | | | 4.86 | | | | 8.00 | |
| Less distributions from: |
| Net investment income | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) | | | (.13 | ) | | | (.28 | ) |
| Net realized gains | | | — | | | | — | | | | (.16 | ) | | | — | | | | — | |
| Total distributions | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) | | | (.13 | ) | | | (.28 | ) |
| Net asset value, end of period | | $ | 72.17 | | | $ | 65.14 | | | $ | 53.90 | | | $ | 57.78 | | | $ | 53.05 | |
| |
| Total Returnb | | | 11.37 | % | | | 21.72 | % | | | (5.95 | %) | | | 9.17 | % | | | 17.67 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 25,183 | | | $ | 39,214 | | | $ | 15,110 | | | $ | 49,897 | | | $ | 17,688 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.89 | % | | | 0.90 | % | | | 1.36 | % | | | 0.82 | % | | | 0.81 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % | | | 1.34 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 347 | % | | | 389 | % | | | 268 | % | | | 326 | % | | | 414 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 61.44 | | | $ | 51.00 | | | $ | 54.83 | | | $ | 50.47 | | | $ | 43.24 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .53 | | | | .41 | | | | .46 | | | | .21 | | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.28 | | | | 10.48 | | | | (3.83 | ) | | | 4.28 | | | | 7.22 | |
| Total from investment operations | | | 6.81 | | | | 10.89 | | | | (3.37 | ) | | | 4.49 | | | | 7.51 | |
| Less distributions from: |
| Net investment income | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) | | | (.13 | ) | | | (.28 | ) |
| Net realized gains | | | — | | | | — | | | | (.16 | ) | | | — | | | | — | |
| Total distributions | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) | | | (.13 | ) | | | (.28 | ) |
| Net asset value, end of period | | $ | 67.88 | | | $ | 61.44 | | | $ | 51.00 | | | $ | 54.83 | | | $ | 50.47 | |
| |
| Total Returnb | | | 11.08 | % | | | 21.42 | % | | | (6.17 | %) | | | 8.89 | % | | | 17.41 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,293 | | | $ | 1,834 | | | $ | 1,039 | | | $ | 2,734 | | | $ | 7,698 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.81 | % | | | 0.73 | % | | | 0.87 | % | | | 0.41 | % | | | 0.62 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.59 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 347 | % | | | 389 | % | | | 268 | % | | | 326 | % | | | 414 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.26 | | | $ | 46.24 | | | $ | 50.14 | | | $ | 46.51 | | | $ | 40.15 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | —e | | | | (.07 | ) | | | .11 | | | | (.11 | ) | | | (.08 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.67 | | | | 9.54 | | | | (3.55 | ) | | | 3.87 | | | | 6.72 | |
| Total from investment operations | | | 5.67 | | | | 9.47 | | | | (3.44 | ) | | | 3.76 | | | | 6.64 | |
| Less distributions from: |
| Net investment income | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) | | | (.13 | ) | | | (.28 | ) |
| Net realized gains | | | — | | | | — | | | | (.16 | ) | | | — | | | | — | |
| Total distributions | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) | | | (.13 | ) | | | (.28 | ) |
| Net asset value, end of period | | $ | 60.56 | | | $ | 55.26 | | | $ | 46.24 | | | $ | 50.14 | | | $ | 46.51 | |
| |
| Total Returnb | | | 10.27 | % | | | 20.51 | % | | | (6.89 | %) | | | 8.08 | % | | | 16.58 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,218 | | | $ | 2,270 | | | $ | 1,065 | | | $ | 1,255 | | | $ | 1,051 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | — | | | | (0.13 | %) | | | 0.22 | % | | | (0.23 | %) | | | (0.18 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 347 | % | | | 389 | % | | | 268 | % | | | 326 | % | | | 414 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016c,d | | | Year Ended
March 31,
2015c,d | | | Year Ended
March 31,
2014c,d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.67 | | | $ | 49.53 | | | $ | 53.30 | | | $ | 49.18 | | | $ | 42.25 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .46 | | | | .33 | | | | .43 | | | | .15 | | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.17 | | | | 10.26 | | | | (3.74 | ) | | | 4.10 | | | | 7.09 | |
| Total from investment operations | | | 6.63 | | | | 10.59 | | | | (3.31 | ) | | | 4.25 | | | | 7.21 | |
| Less distributions from: |
| Net investment income | | | (.37 | ) | | | (.45 | ) | | | (.30 | ) | | | (.13 | ) | | | (.28 | ) |
| Net realized gains | | | — | | | | — | | | | (.16 | ) | | | — | | | | — | |
| Total distributions | | | (.37 | ) | | | (.45 | ) | | | (.46 | ) | | | (.13 | ) | | | (.28 | ) |
| Net asset value, end of period | | $ | 65.93 | | | $ | 59.67 | | | $ | 49.53 | | | $ | 53.30 | | | $ | 49.18 | |
| |
| Total Returnb | | | 11.11 | % | | | 21.43 | % | | | (6.25 | %) | | | 8.63 | % | | | 17.10 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,014 | | | $ | 18,259 | | | $ | 3,028 | | | $ | 4,479 | | | $ | 4,583 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.72 | % | | | 0.58 | % | | | 0.83 | % | | | 0.28 | % | | | 0.26 | % |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.65 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 347 | % | | | 389 | % | | | 268 | % | | | 326 | % | | | 414 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| 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 31, 2016. |
| e | | Net investment income is less than $0.01 per share. |
| 74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
For the one-year period ended March 29, 2018, Health Care Fund Investor Class returned 13.38%, compared with 11.27% for the S&P 500 Health Care Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was managed care, followed by biotech. The health care supply chain industry detracted the most, followed by generic pharma.
Nektar Therapeutics, AbbVie, Inc., and UnitedHealth Group, Inc. contributed the most to the performance of the Fund. Allergan Plc, Celgene Corp., and Teva Pharmaceuticals Industries Ltd. ADR detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 17, 1998 |
| A-Class | September 1, 2004 |
| C-Class | March 30, 2001 |
| H-Class | May 11, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| Johnson & Johnson | 3.2% |
| Pfizer, Inc. | 2.5% |
| UnitedHealth Group, Inc. | 2.5% |
| Merck & Company, Inc. | 2.1% |
| AbbVie, Inc. | 1.9% |
| Amgen, Inc. | 1.8% |
| Abbott Laboratories | 1.8% |
| Bristol-Myers Squibb Co. | 1.7% |
| Gilead Sciences, Inc. | 1.7% |
| Eli Lilly & Co. | 1.6% |
| Top Ten Total | 20.8% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 13.38% | 12.84% | 11.12% |
| A-Class Shares | 13.14% | 12.55% | 10.85% |
| A-Class Shares with sales charge† | 7.79% | 11.47% | 10.31% |
| C-Class Shares | 12.24% | 11.71% | 10.04% |
| C-Class Shares with CDSC‡ | 11.24% | 11.71% | 10.04% |
| H-Class Shares** | 13.06% | 12.42% | 10.65% |
| S&P 500 Health Care Index | 11.27% | 13.94% | 12.25% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for 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. |
| † | | 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. |
| 76 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| HEALTH CARE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.3% |
| | | | | | | |
| Pharmaceuticals - 32.2% |
| Johnson & Johnson | | | 20,206 | | | $ | 2,589,399 | |
| Pfizer, Inc. | | | 57,415 | | | | 2,037,658 | |
| Merck & Company, Inc. | | | 31,555 | | | | 1,718,801 | |
| AbbVie, Inc. | | | 16,456 | | | | 1,557,560 | |
| Bristol-Myers Squibb Co. | | | 22,125 | | | | 1,399,406 | |
| Eli Lilly & Co. | | | 16,734 | | | | 1,294,710 | |
| Allergan plc | | | 6,546 | | | | 1,101,626 | |
| Zoetis, Inc. | | | 10,814 | | | | 903,077 | |
| Express Scripts Holding Co.* | | | 11,937 | | | | 824,608 | |
| McKesson Corp. | | | 5,187 | | | | 730,693 | |
| Mylan N.V.* | | | 15,701 | | | | 646,410 | |
| Cardinal Health, Inc. | | | 9,483 | | | | 594,394 | |
| Nektar Therapeutics* | | | 5,498 | | | | 584,217 | |
| AmerisourceBergen Corp. — Class A | | | 6,720 | | | | 579,331 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 32,973 | | | | 563,509 | |
| Perrigo Company plc | | | 6,505 | | | | 542,127 | |
| GlaxoSmithKline plc ADR | | | 12,853 | | | | 502,167 | |
| AstraZeneca plc ADR | | | 13,354 | | | | 466,989 | |
| Alkermes plc* | | | 7,890 | | | | 457,304 | |
| Novartis AG ADR | | | 5,489 | | | | 443,786 | |
| Jazz Pharmaceuticals plc* | | | 2,885 | | | | 435,606 | |
| DexCom, Inc.*,1 | | | 5,425 | | | | 402,318 | |
| Novo Nordisk A/S ADR | | | 8,150 | | | | 401,388 | |
| Neurocrine Biosciences, Inc.* | | | 4,430 | | | | 367,380 | |
| Valeant Pharmaceuticals International, Inc.* | | | 21,474 | | | | 341,866 | |
| Catalent, Inc.* | | | 7,950 | | | | 326,427 | |
| PRA Health Sciences, Inc.* | | | 3,790 | | | | 314,418 | |
| Sarepta Therapeutics, Inc.* | | | 4,220 | | | | 312,660 | |
| Agios Pharmaceuticals, Inc.* | | | 3,733 | | | | 305,285 | |
| Premier, Inc. — Class A* | | | 8,933 | | | | 279,692 | |
| Array BioPharma, Inc.* | | | 15,302 | | | | 249,729 | |
| TESARO, Inc.*,1 | | | 4,036 | | | | 230,617 | |
| Supernus Pharmaceuticals, Inc.* | | | 4,840 | | | | 221,672 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 14,200 | | | | 219,106 | |
| Akorn, Inc.* | | | 11,586 | | | | 216,774 | |
| Clovis Oncology, Inc.* | | | 4,070 | | | | 214,896 | |
| Horizon Pharma plc* | | | 14,588 | | | | 207,150 | |
| Global Blood Therapeutics, Inc.* | | | 4,260 | | | | 205,758 | |
| Aerie Pharmaceuticals, Inc.* | | | 3,744 | | | | 203,112 | |
| Corcept Therapeutics, Inc.*,1 | | | 11,890 | | | | 195,591 | |
| Portola Pharmaceuticals, Inc.* | | | 5,890 | | | | 192,367 | |
| Impax Laboratories, Inc.* | | | 8,696 | | | | 169,137 | |
| Zogenix, Inc.* | | | 3,965 | | | | 158,798 | |
| Pacira Pharmaceuticals, Inc.* | | | 5,092 | | | | 158,616 | |
| Mallinckrodt plc*,1 | | | 10,337 | | | | 149,680 | |
| Total Pharmaceuticals | | | | | | | 26,017,815 | |
| | | | | | | | | |
| Healthcare-Products - 24.3% |
| Abbott Laboratories | | | 23,638 | | | | 1,416,389 | |
| Thermo Fisher Scientific, Inc. | | | 6,134 | | | | 1,266,426 | |
| Medtronic plc | | | 14,705 | | | | 1,179,635 | |
| Danaher Corp. | | | 11,698 | | | | 1,145,351 | |
| Stryker Corp. | | | 6,769 | | | | 1,089,267 | |
| Becton Dickinson and Co. | | | 4,896 | | | | 1,060,963 | |
| Intuitive Surgical, Inc.* | | | 2,294 | | | | 947,032 | |
| Boston Scientific Corp.* | | | 31,322 | | | | 855,717 | |
| Baxter International, Inc. | | | 12,639 | | | | 822,041 | |
| Edwards Lifesciences Corp.* | | | 5,548 | | | | 774,057 | |
| Zimmer Biomet Holdings, Inc. | | | 5,856 | | | | 638,538 | |
| Align Technology, Inc.* | | | 2,452 | | | | 615,771 | |
| IDEXX Laboratories, Inc.* | | | 2,953 | | | | 565,175 | |
| ResMed, Inc. | | | 5,402 | | | | 531,935 | |
| ABIOMED, Inc.* | | | 1,750 | | | | 509,232 | |
| Teleflex, Inc. | | | 1,870 | | | | 476,813 | |
| Varian Medical Systems, Inc.* | | | 3,833 | | | | 470,117 | |
| Cooper Companies, Inc. | | | 1,986 | | | | 454,417 | |
| Henry Schein, Inc.* | | | 6,756 | | | | 454,071 | |
| Dentsply Sirona, Inc. | | | 9,002 | | | | 452,891 | |
| Hologic, Inc.* | | | 11,928 | | | | 445,630 | |
| STERIS plc | | | 4,410 | | | | 411,718 | |
| West Pharmaceutical Services, Inc. | | | 4,042 | | | | 356,868 | |
| Bio-Techne Corp. | | | 2,280 | | | | 344,371 | |
| Hill-Rom Holdings, Inc. | | | 3,930 | | | | 341,910 | |
| Insulet Corp.* | | | 3,850 | | | | 333,718 | |
| ICU Medical, Inc.* | | | 1,250 | | | | 315,500 | |
| Masimo Corp.* | | | 3,450 | | | | 303,427 | |
| Integra LifeSciences Holdings Corp.* | | | 5,400 | | | | 298,836 | |
| NuVasive, Inc.* | | | 4,482 | | | | 234,005 | |
| Patterson Companies, Inc. | | | 8,734 | | | | 194,157 | |
| OPKO Health, Inc.*,1 | | | 56,331 | | | | 178,569 | |
| MiMedx Group, Inc.*,1 | | | 17,446 | | | | 121,599 | |
| Total Healthcare-Products | | | | | | | 19,606,146 | |
| | | | | | | | | |
| Biotechnology - 21.0% |
| Amgen, Inc. | | | 8,760 | | | | 1,493,405 | |
| Gilead Sciences, Inc. | | | 18,165 | | | | 1,369,459 | |
| Biogen, Inc.* | | | 3,879 | | | | 1,062,148 | |
| Shire plc ADR | | | 6,802 | | | | 1,016,151 | |
| Vertex Pharmaceuticals, Inc.* | | | 5,413 | | | | 882,211 | |
| Regeneron Pharmaceuticals, Inc.* | | | 2,527 | | | | 870,198 | |
| Illumina, Inc.* | | | 3,464 | | | | 818,959 | |
| Alexion Pharmaceuticals, Inc.* | | | 5,989 | | | | 667,534 | |
| Incyte Corp.* | | | 6,770 | | | | 564,144 | |
| BioMarin Pharmaceutical, Inc.* | | | 6,542 | | | | 530,360 | |
| Alnylam Pharmaceuticals, Inc.* | | | 3,905 | | | | 465,085 | |
| Seattle Genetics, Inc.* | | | 7,497 | | | | 392,393 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 1,480 | | | | 370,118 | |
| Sage Therapeutics, Inc.* | | | 2,290 | | | | 368,850 | |
| Bluebird Bio, Inc.* | | | 2,090 | | | | 356,867 | |
| Exelixis, Inc.* | | | 15,685 | | | | 347,423 | |
| United Therapeutics Corp.* | | | 2,766 | | | | 310,788 | |
| Ionis Pharmaceuticals, Inc.* | | | 6,938 | | | | 305,827 | |
| Avexis, Inc.* | | | 2,330 | | | | 287,941 | |
| Exact Sciences Corp.* | | | 6,874 | | | | 277,228 | |
| Blueprint Medicines Corp.* | | | 2,970 | | | | 272,349 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 1,570 | | | | 259,301 | |
| FibroGen, Inc.* | | | 5,510 | | | | 254,562 | |
| Loxo Oncology, Inc.* | | | 2,180 | | | | 251,507 | |
| Amicus Therapeutics, Inc.* | | | 15,974 | | | | 240,249 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| HEALTH CARE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Spark Therapeutics, Inc.* | | | 3,500 | | | $ | 233,065 | |
| Halozyme Therapeutics, Inc.* | | | 11,889 | | | | 232,906 | |
| ACADIA Pharmaceuticals, Inc.* | | | 10,011 | | | | 224,947 | |
| Ultragenyx Pharmaceutical, Inc.* | | | 4,330 | | | | 220,787 | |
| Medicines Co.*,1 | | | 6,585 | | | | 216,910 | |
| Puma Biotechnology, Inc.* | | | 3,080 | | | | 209,594 | |
| Immunomedics, Inc.* | | | 13,960 | | | | 203,956 | |
| Myriad Genetics, Inc.* | | | 6,608 | | | | 195,266 | |
| Esperion Therapeutics, Inc.* | | | 2,680 | | | | 193,844 | |
| Radius Health, Inc.*,1 | | | 5,101 | | | | 183,330 | |
| Intercept Pharmaceuticals, Inc.*,1 | | | 2,830 | | | | 174,102 | |
| Insmed, Inc.* | | | 7,710 | | | | 173,629 | |
| Dynavax Technologies Corp.* | | | 8,465 | | | | 168,030 | |
| ImmunoGen, Inc.* | | | 15,518 | | | | 163,249 | |
| Acorda Therapeutics, Inc.* | | | 6,107 | | | | 144,431 | |
| Total Biotechnology | | | | | | | 16,973,103 | |
| | | | | | | | | |
| Healthcare-Services - 16.6% |
| UnitedHealth Group, Inc. | | | 9,352 | | | | 2,001,328 | |
| Anthem, Inc. | | | 4,724 | | | | 1,037,863 | |
| Aetna, Inc. | | | 6,129 | | | | 1,035,801 | |
| Cigna Corp. | | | 5,336 | | | | 895,061 | |
| Humana, Inc. | | | 3,213 | | | | 863,751 | |
| HCA Healthcare, Inc. | | | 8,282 | | | | 803,354 | |
| Centene Corp.* | | | 5,863 | | | | 626,579 | |
| IQVIA Holdings, Inc.* | | | 6,338 | | | | 621,821 | |
| Laboratory Corporation of America Holdings* | | | 3,439 | | | | 556,258 | |
| Quest Diagnostics, Inc. | | | 5,081 | | | | 509,624 | |
| DaVita, Inc.* | | | 7,167 | | | | 472,592 | |
| Universal Health Services, Inc. — Class B | | | 3,885 | | | | 460,023 | |
| WellCare Health Plans, Inc.* | | | 2,148 | | | | 415,917 | |
| Encompass Health Corp. | | | 5,850 | | | | 334,444 | |
| Molina Healthcare, Inc.* | | | 4,076 | | | | 330,890 | |
| MEDNAX, Inc.* | | | 5,756 | | | | 320,206 | |
| Charles River Laboratories International, Inc.* | | | 2,905 | | | | 310,080 | |
| Envision Healthcare Corp.* | | | 7,573 | | | | 291,030 | |
| Acadia Healthcare Company, Inc.* | | | 6,600 | | | | 258,588 | |
| Syneos Health, Inc.* | | | 7,019 | | | | 249,174 | |
| Tenet Healthcare Corp.* | | | 9,230 | | | | 223,828 | |
| Teladoc, Inc.*,1 | | | 5,400 | | | | 217,620 | |
| Amedisys, Inc.* | | | 3,370 | | | | 203,346 | |
| LifePoint Health, Inc.* | | | 4,056 | | | | 190,632 | |
| Tivity Health, Inc.* | | | 4,430 | | | | 175,650 | |
| Total Healthcare-Services | | | | | | | 13,405,460 | |
| | | | | | | | | |
| Electronics - 2.6% |
| Agilent Technologies, Inc. | | | 9,609 | | | | 642,842 | |
| Waters Corp.* | | | 2,749 | | | | 546,089 | |
| Mettler-Toledo International, Inc.* | | | 922 | | | | 530,178 | |
| PerkinElmer, Inc. | | | 5,331 | | | | 403,663 | |
| Total Electronics | | | | | | | 2,122,772 | |
| | | | | | | | | |
| Software - 2.3% |
| Cerner Corp.* | | | 10,211 | | | | 592,238 | |
| Veeva Systems, Inc. — Class A* | | | 6,102 | | | | 445,568 | |
| athenahealth, Inc.* | | | 2,350 | | | | 336,121 | |
| Medidata Solutions, Inc.* | | | 4,145 | | | | 260,347 | |
| Allscripts Healthcare Solutions, Inc.* | | | 16,356 | | | | 201,997 | |
| Total Software | | | | | | | 1,836,271 | |
| | | | | | | | | |
| Commercial Services - 0.3% |
| HealthEquity, Inc.* | | | 4,550 | | | | 275,457 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $74,590,777) | | | | | | | 80,237,024 | |
| | | | | | | | | |
| RIGHTS††† - 0.0% |
| Dyax Corp.*,5 | | | 5,700 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 245,260 | | | | 245,260 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 80,255 | | | | 80,255 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $325,515) | | | | | | | 325,515 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 1.4% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 1,139,522 | | | | 1,139,522 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,139,522) | | | | | | | 1,139,522 | |
| | | | | | | | | |
| Total Investments - 101.1% | | | | | | | | |
| (Cost $76,055,814) | | | | | | $ | 81,702,061 | |
| Other Assets & Liabilities, net - (1.1)% | | | | | | | (892,412 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 80,809,649 | |
| 78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| HEALTH CARE FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| ††† | | Value determined based on Level 3 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 5 | | Security was fair valued by the Valuation Committee at March 29, 2018. The total market value of fair valued security amount to $0, (cost $0) or less than 0.01% 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 March 29, 2018 (See Note 3 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 | | $ | 80,237,024 | | | $ | — | | | $ | — | | | $ | 80,237,024 | |
| Repurchase Agreements | | | — | | | | 325,515 | | | | — | | | | 325,515 | |
| Rights | | | — | | | | — | | | | — | * | | | — | |
| Securities Lending Collateral | | | 1,139,522 | | | | — | | | | — | | | | 1,139,522 | |
| Total Assets | | $ | 81,376,546 | | | $ | 325,515 | | | $ | — | | | $ | 81,702,061 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $1,114,478 of securities loaned (cost $75,730,299) | | $ | 81,376,546 | |
| Repurchase agreements, at value (cost $325,515) | | | 325,515 | |
| Cash | | | 7,039 | |
| Receivables: |
| Fund shares sold | | | 2,204,721 | |
| Dividends | | | 68,032 | |
| Foreign taxes reclaim | | | 3,603 | |
| Securities lending income | | | 1,016 | |
| Interest | | | 49 | |
| Total assets | | | 83,986,521 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 1,853,752 | |
| Return of securities loaned | | | 1,139,522 | |
| Fund shares redeemed | | | 78,428 | |
| Management fees | | | 55,567 | |
| Transfer agent and administrative fees | | | 16,343 | |
| Portfolio accounting fees | | | 6,537 | |
| Distribution and service fees | | | 5,853 | |
| Trustees’ fees* | | | 1,876 | |
| Miscellaneous | | | 18,994 | |
| Total liabilities | | | 3,176,872 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 80,809,649 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 80,102,828 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (4,939,426 | ) |
| Net unrealized appreciation on investments | | | 5,646,247 | |
| Net assets | | $ | 80,809,649 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 67,542,320 | |
| Capital shares outstanding | | | 2,338,911 | |
| Net asset value per share | | $ | 28.88 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,102,472 | |
| Capital shares outstanding | | | 118,155 | |
| Net asset value per share | | $ | 26.26 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 27.57 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 4,940,048 | |
| Capital shares outstanding | | | 217,677 | |
| Net asset value per share | | $ | 22.69 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 5,224,809 | |
| Capital shares outstanding | | | 206,574 | |
| Net asset value per share | | $ | 25.29 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $1,321) | | $ | 661,126 | |
| Interest | | | 4,009 | |
| Income from securities lending, net | | | 11,760 | |
| Total investment income | | | 676,895 | |
| | | | | |
| Expenses: |
| Management fees | | | 614,643 | |
| Distribution and service fees: |
| A-Class | | | 11,009 | |
| C-Class | | | 55,321 | |
| H-Class | | | 22,788 | |
| Transfer agent and administrative fees | | | 180,777 | |
| Portfolio accounting fees | | | 72,310 | |
| Custodian fees | | | 9,736 | |
| Trustees’ fees* | | | 5,148 | |
| Line of credit fees | | | 237 | |
| Miscellaneous | | | 115,168 | |
| Total expenses | | | 1,087,137 | |
| Net investment loss | | | (410,242 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 9,676,891 | |
| Net realized gain | | | 9,676,891 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (588,716 | ) |
| Net change in unrealized appreciation (depreciation) | | | (588,716 | ) |
| Net realized and unrealized gain | | | 9,088,175 | |
| Net increase in net assets resulting from operations | | $ | 8,677,933 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (410,242 | ) | | $ | (282,561 | ) |
| Net realized gain on investments | | | 9,676,891 | | | | 19,553,389 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (588,716 | ) | | | (16,329,099 | ) |
| Net increase in net assets resulting from operations | | | 8,677,933 | | | | 2,941,729 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| Investor Class | | | (4,486,139 | ) | | | (2,956,545 | ) |
| A-Class | | | (397,824 | ) | | | (740,095 | ) |
| C-Class | | | (587,680 | ) | | | (877,583 | ) |
| H-Class | | | (295,017 | ) | | | (1,278,405 | ) |
| Total distributions to shareholders | | | (5,766,660 | ) | | | (5,852,628 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 258,636,649 | | | | 365,602,869 | |
| A-Class | | | 4,594,401 | | | | 11,961,380 | |
| C-Class | | | 4,208,575 | | | | 3,938,169 | |
| H-Class | | | 97,244,631 | | | | 26,745,003 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 3,796,104 | | | | 2,909,276 | |
| A-Class | | | 361,153 | | | | 638,573 | |
| C-Class | | | 568,591 | | | | 867,742 | |
| H-Class | | | 295,017 | | | | 1,278,332 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (234,119,968 | ) | | | (375,451,784 | ) |
| A-Class | | | (6,691,647 | ) | | | (14,203,527 | ) |
| C-Class | | | (4,831,092 | ) | | | (7,750,196 | ) |
| H-Class | | | (97,026,090 | ) | | | (27,362,966 | ) |
| Net increase (decrease) from capital share transactions | | | 27,036,324 | | | | (10,827,129 | ) |
| Net increase (decrease) in net assets | | | 29,947,597 | | | | (13,738,028 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 50,862,052 | | | | 64,600,080 | |
| End of year | | $ | 80,809,649 | | | $ | 50,862,052 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 8,664,275 | | | | 12,706,162 | |
| A-Class | | | 166,440 | | | | 436,251 | |
| C-Class | | | 176,050 | | | | 163,495 | |
| H-Class | | | 3,673,008 | | | | 1,045,237 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 133,103 | | | | 111,467 | |
| A-Class | | | 13,917 | | | | 26,596 | |
| C-Class | | | 25,293 | | | | 40,816 | |
| H-Class | | | 11,801 | | | | 55,053 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (7,769,383 | ) | | | (13,065,375 | ) |
| A-Class | | | (243,151 | ) | | | (522,147 | ) |
| C-Class | | | (203,310 | ) | | | (327,952 | ) |
| H-Class | | | (3,672,732 | ) | | | (1,108,171 | ) |
| Net increase (decrease) in shares | | | 975,311 | | | | (438,568 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.82 | | | $ | 28.65 | | | $ | 35.83 | | | $ | 27.76 | | | $ | 22.35 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.13 | ) | | | (.10 | ) | | | (.04 | ) | | | (.07 | ) | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.82 | | | | 2.79 | | | | (5.11 | ) | | | 8.50 | | | | 7.00 | |
| Total from investment operations | | | 3.69 | | | | 2.69 | | | | (5.15 | ) | | | 8.43 | | | | 6.97 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.03 | ) |
| Net realized gains | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.53 | ) |
| Total distributions | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.56 | ) |
| Net asset value, end of period | | $ | 28.88 | | | $ | 27.82 | | | $ | 28.65 | | | $ | 35.83 | | | $ | 27.76 | |
| |
| Total Returnb | | | 13.38 | % | | | 10.20 | % | | | (14.82 | %) | | | 30.51 | % | | | 31.70 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 67,542 | | | $ | 36,468 | | | $ | 44,663 | | | $ | 175,397 | | | $ | 98,209 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.43 | %) | | | (0.36 | %) | | | (0.11 | %) | | | (0.23 | %) | | | (0.12 | %) |
| Total expenses | | | 1.38 | % | | | 1.37 | % | | | 1.34 | % | | | 1.34 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 394 | % | | | 699 | % | | | 249 | % | | | 176 | % | | | 277 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.56 | | | $ | 26.68 | | | $ | 33.60 | | | $ | 26.11 | | | $ | 21.15 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.19 | ) | | | (.17 | ) | | | (.13 | ) | | | (.14 | ) | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.52 | | | | 2.57 | | | | (4.76 | ) | | | 7.99 | | | | 6.61 | |
| Total from investment operations | | | 3.33 | | | | 2.40 | | | | (4.89 | ) | | | 7.85 | | | | 6.52 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.03 | ) |
| Net realized gains | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.53 | ) |
| Total distributions | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.56 | ) |
| Net asset value, end of period | | $ | 26.26 | | | $ | 25.56 | | | $ | 26.68 | | | $ | 33.60 | | | $ | 26.11 | |
| |
| Total Returnb | | | 13.14 | % | | | 9.85 | % | | | (15.04 | %) | | | 30.21 | % | | | 31.36 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,102 | | | $ | 4,626 | | | $ | 6,410 | | | $ | 28,704 | | | $ | 7,909 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.69 | %) | | | (0.62 | %) | | | (0.42 | %) | | | (0.47 | %) | | | (0.37 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % | | | 1.59 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 394 | % | | | 699 | % | | | 249 | % | | | 176 | % | | | 277 | % |
| 82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.58 | | | $ | 24.13 | | | $ | 30.82 | | | $ | 24.16 | | | $ | 19.81 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.34 | ) | | | (.33 | ) | | | (.33 | ) | | | (.33 | ) | | | (.26 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.08 | | | | 2.30 | | | | (4.33 | ) | | | 7.35 | | | | 6.17 | |
| Total from investment operations | | | 2.74 | | | | 1.97 | | | | (4.66 | ) | | | 7.02 | | | | 5.91 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.03 | ) |
| Net realized gains | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.53 | ) |
| Total distributions | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.56 | ) |
| Net asset value, end of period | | $ | 22.69 | | | $ | 22.58 | | | $ | 24.13 | | | $ | 30.82 | | | $ | 24.16 | |
| |
| Total Returnb | | | 12.24 | % | | | 9.07 | % | | | (15.67 | %) | | | 29.21 | % | | | 30.38 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,940 | | | $ | 4,959 | | | $ | 8,284 | | | $ | 11,551 | | | $ | 7,318 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.42 | %) | | | (1.37 | %) | | | (1.17 | %) | | | (1.24 | %) | | | (1.14 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.34 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 394 | % | | | 699 | % | | | 249 | % | | | 176 | % | | | 277 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.72 | | | $ | 25.91 | | | $ | 32.71 | | | $ | 25.49 | | | $ | 20.73 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.21 | ) | | | (.16 | ) | | | (.14 | ) | | | (.21 | ) | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.41 | | | | 2.49 | | | | (4.63 | ) | | | 7.79 | | | | 6.47 | |
| Total from investment operations | | | 3.20 | | | | 2.33 | | | | (4.77 | ) | | | 7.58 | | | | 6.32 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | (.03 | ) |
| Net realized gains | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.53 | ) |
| Total distributions | | | (2.63 | ) | | | (3.52 | ) | | | (2.03 | ) | | | (.36 | ) | | | (1.56 | ) |
| Net asset value, end of period | | $ | 25.29 | | | $ | 24.72 | | | $ | 25.91 | | | $ | 32.71 | | | $ | 25.49 | |
| |
| Total Returnb | | | 13.06 | % | | | 9.87 | % | | | (15.08 | %) | | | 29.89 | % | | | 31.03 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,225 | | | $ | 4,809 | | | $ | 5,244 | | | $ | 50,135 | | | $ | 38,480 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.77 | %) | | | (0.62 | %) | | | (0.44 | %) | | | (0.73 | %) | | | (0.62 | %) |
| Total expenses | | | 1.64 | % | | | 1.62 | % | | | 1.71 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 394 | % | | | 699 | % | | | 249 | % | | | 176 | % | | | 277 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 83 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
For the one-year period ended March 29, 2018, Internet Fund Investor Class returned 30.91%, compared with 27.68% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was Internet media, followed by E-commerce discretionary. The personal care services industry detracted the most, followed by entertainment content.
Amazon.com, Inc., Netflix, Inc., and Alphabet, Inc. Class A contributed the most to the performance of the Fund. Vipshop Holdings Ltd., ADR, Pandora Media, Inc., and Symantec Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 6, 2000 |
| A-Class | September 1, 2004 |
| C-Class | April 19, 2001 |
| H-Class | April 6, 2000 |
| Ten Largest Holdings (% of Total Net Assets) |
| Amazon.com, Inc. | 6.2% |
| Alphabet, Inc. — Class A | 6.2% |
| Facebook, Inc. — Class A | 4.9% |
| Alibaba Group Holding Ltd. ADR | 4.4% |
| Cisco Systems, Inc. | 3.4% |
| Netflix, Inc. | 2.6% |
| Booking Holdings, Inc. | 2.4% |
| Broadcom Ltd. | 2.4% |
| PayPal Holdings, Inc. | 2.3% |
| salesforce.com, Inc. | 2.2% |
| Top Ten Total | 37.0% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 84 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 30.91% | 18.40% | 13.37% |
| A-Class Shares | 30.57% | 18.10% | 13.07% |
| A-Class Shares with sales charge† | 24.37% | 16.95% | 12.53% |
| C-Class Shares | 29.61% | 17.22% | 12.24% |
| C-Class Shares with CDSC‡ | 28.61% | 17.22% | 12.24% |
| H-Class Shares** | 30.59% | 17.96% | 12.87% |
| S&P 500 Information Technology Index | 27.68% | 20.65% | 14.15% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 85 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INTERNET FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% |
| | | | | | | |
| Internet - 56.1% |
| Amazon.com, Inc.* | | | 3,260 | | | $ | 4,718,328 | |
| Alphabet, Inc. — Class A* | | | 4,549 | | | | 4,717,950 | |
| Facebook, Inc. — Class A* | | | 23,384 | | | | 3,736,529 | |
| Alibaba Group Holding Ltd. ADR* | | | 18,048 | | | | 3,312,530 | |
| Netflix, Inc.* | | | 6,735 | | | | 1,989,182 | |
| Booking Holdings, Inc.* | | | 882 | | | | 1,834,904 | |
| eBay, Inc.* | | | 28,271 | | | | 1,137,625 | |
| Baidu, Inc. ADR* | | | 4,627 | | | | 1,032,700 | |
| JD.com, Inc. ADR* | | | 25,131 | | | | 1,017,554 | |
| Ctrip.com International Ltd. ADR* | | | 18,410 | | | | 858,274 | |
| Twitter, Inc.* | | | 27,106 | | | | 786,345 | |
| Expedia Group, Inc. | | | 6,835 | | | | 754,652 | |
| Palo Alto Networks, Inc.* | | | 4,113 | | | | 746,592 | |
| Symantec Corp. | | | 27,791 | | | | 718,397 | |
| IAC/InterActiveCorp* | | | 4,213 | | | | 658,829 | |
| Vipshop Holdings Ltd. ADR* | | | 39,020 | | | | 648,512 | |
| Match Group, Inc.*,1 | | | 14,562 | | | | 647,135 | |
| VeriSign, Inc.* | | | 5,278 | | | | 625,760 | |
| MercadoLibre, Inc. | | | 1,684 | | | | 600,161 | |
| Zillow Group, Inc. — Class A* | | | 10,943 | | | | 590,922 | |
| Zillow Group, Inc. — Class C* | | | 10,934 | | | | 588,249 | |
| GoDaddy, Inc. — Class A* | | | 9,531 | | | | 585,394 | |
| Weibo Corp. ADR* | | | 4,835 | | | | 577,976 | |
| 58.com, Inc. ADR* | | | 7,113 | | | | 568,044 | |
| Autohome, Inc. ADR | | | 6,480 | | | | 556,891 | |
| YY, Inc. ADR* | | | 5,290 | | | | 556,508 | |
| F5 Networks, Inc.* | | | 3,804 | | | | 550,096 | |
| Shopify, Inc. — Class A* | | | 4,320 | | | | 538,229 | |
| GrubHub, Inc.* | | | 5,278 | | | | 535,559 | |
| Wix.com Ltd.* | | | 6,730 | | | | 535,372 | |
| Baozun, Inc. ADR* | | | 11,460 | | | | 525,785 | |
| SINA Corp.* | | | 5,041 | | | | 525,625 | |
| TripAdvisor, Inc.* | | | 10,575 | | | | 432,412 | |
| Wayfair, Inc. — Class A* | | | 5,959 | | | | 402,411 | |
| Okta, Inc.* | | | 9,420 | | | | 375,387 | |
| Bitauto Holdings Ltd. ADR*,1 | | | 17,646 | | | | 373,213 | |
| Stamps.com, Inc.* | | | 1,732 | | | | 348,219 | |
| Etsy, Inc.* | | | 12,270 | | | | 344,296 | |
| Yelp, Inc. — Class A* | | | 7,865 | | | | 328,364 | |
| Shutterfly, Inc.* | | | 3,622 | | | | 294,288 | |
| Groupon, Inc. — Class A*,1 | | | 65,700 | | | | 285,138 | |
| Liberty Expedia Holdings, Inc. — Class A* | | | 6,956 | | | | 273,232 | |
| Cars.com, Inc.* | | | 9,142 | | | | 258,993 | |
| Cogent Communications Holdings, Inc. | | | 5,939 | | | | 257,753 | |
| Trade Desk, Inc. — Class A* | | | 4,957 | | | | 245,966 | |
| Pandora Media, Inc.*,1 | | | 42,076 | | | | 211,642 | |
| Blucora, Inc.* | | | 8,060 | | | | 198,276 | |
| TrueCar, Inc.* | | | 17,707 | | | | 167,508 | |
| Overstock.com, Inc.*,1 | | | 3,770 | | | | 136,663 | |
| Total Internet | | | | | | | 42,710,370 | |
| | | | | | | | | |
| Software - 13.3% |
| salesforce.com, Inc.* | | | 14,096 | | | | 1,639,365 | |
| Intuit, Inc. | | | 7,073 | | | | 1,226,104 | |
| Red Hat, Inc.* | | | 6,274 | | | | 938,026 | |
| NetEase, Inc. ADR | | | 2,851 | | | | 799,392 | |
| Citrix Systems, Inc.* | | | 7,021 | | | | 651,549 | |
| Momo, Inc. ADR* | | | 17,056 | | | | 637,553 | |
| Akamai Technologies, Inc.* | | | 8,796 | | | | 624,340 | |
| Veeva Systems, Inc. — Class A* | | | 7,952 | | | | 580,655 | |
| MuleSoft, Inc. — Class A* | | | 11,620 | | | | 511,048 | |
| 2U, Inc.* | | | 4,560 | | | | 383,177 | |
| New Relic, Inc.* | | | 5,080 | | | | 376,530 | |
| j2 Global, Inc. | | | 4,513 | | | | 356,166 | |
| Twilio, Inc. — Class A* | | | 9,081 | | | | 346,712 | |
| Box, Inc. — Class A* | | | 15,062 | | | | 309,524 | |
| Allscripts Healthcare Solutions, Inc.* | | | 21,319 | | | | 263,290 | |
| Cornerstone OnDemand, Inc.* | | | 6,599 | | | | 258,087 | |
| Hortonworks, Inc.* | | | 11,020 | | | | 224,477 | |
| Total Software | | | | | | | 10,125,995 | |
| | | | | | | | | |
| Telecommunications - 11.8% |
| Cisco Systems, Inc. | | | 60,608 | | | | 2,599,477 | |
| Motorola Solutions, Inc. | | | 7,148 | | | | 752,684 | |
| Arista Networks, Inc.* | | | 2,946 | | | | 752,114 | |
| Juniper Networks, Inc. | | | 21,212 | | | | 516,088 | |
| CommScope Holding Company, Inc.* | | | 12,689 | | | | 507,179 | |
| LogMeIn, Inc. | | | 3,788 | | | | 437,704 | |
| Ubiquiti Networks, Inc.*,1 | | | 6,198 | | | | 426,422 | |
| ARRIS International plc* | | | 15,207 | | | | 404,050 | |
| Ciena Corp.* | | | 13,548 | | | | 350,893 | |
| ViaSat, Inc.*,1 | | | 5,247 | | | | 344,833 | |
| InterDigital, Inc. | | | 3,982 | | | | 293,075 | |
| Viavi Solutions, Inc.* | | | 27,102 | | | | 263,432 | |
| Oclaro, Inc.* | | | 27,322 | | | | 261,198 | |
| NETGEAR, Inc.* | | | 4,262 | | | | 243,786 | |
| Finisar Corp.* | | | 14,338 | | | | 226,684 | |
| Acacia Communications, Inc.*,1 | | | 5,717 | | | | 219,876 | |
| Extreme Networks, Inc.* | | | 17,783 | | | | 196,858 | |
| Gogo, Inc.*,1 | | | 18,023 | | | | 155,539 | |
| Total Telecommunications | | | | | | | 8,951,892 | |
| | | | | | | | | |
| Semiconductors - 4.5% |
| Broadcom Ltd. | | | 7,683 | | | | 1,810,499 | |
| QUALCOMM, Inc. | | | 28,509 | | | | 1,579,683 | |
| Total Semiconductors | | | | | | | 3,390,182 | |
| | | | | | | | | |
| Commercial Services - 3.7% |
| PayPal Holdings, Inc.* | | | 22,681 | | | | 1,720,808 | |
| CoStar Group, Inc.* | | | 1,862 | | | | 675,310 | |
| Alarm.com Holdings, Inc.* | | | 6,510 | | | | 245,687 | |
| NutriSystem, Inc. | | | 5,668 | | | | 152,753 | |
| Total Commercial Services | | | | | | | 2,794,558 | |
| | | | | | | | | |
| Computers - 3.0% |
| Check Point Software Technologies Ltd.* | | | 6,416 | | | | 637,365 | |
| Nutanix, Inc. — Class A* | | | 10,633 | | | | 522,187 | |
| BlackBerry Ltd.* | | | 44,220 | | | | 508,530 | |
| Lumentum Holdings, Inc.* | | | 5,590 | | | | 356,642 | |
| NetScout Systems, Inc.* | | | 10,520 | | | | 277,202 | |
| Total Computers | | | | | | | 2,301,926 | |
| | | | | | | | | |
| 86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INTERNET FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Media - 2.1% |
| Time Warner, Inc. | | | 16,824 | | | $ | 1,591,214 | |
| | | | | | | | | |
| Diversified Financial Services - 1.5% |
| E*TRADE Financial Corp.* | | | 12,685 | | | | 702,876 | |
| BGC Partners, Inc. — Class A | | | 33,713 | | | | 453,440 | |
| Total Diversified Financial Services | | | | | | | 1,156,316 | |
| | | | | | | | | |
| REITs - 1.5% |
| Equinix, Inc. | | | 2,633 | | | | 1,100,962 | |
| | | | | | | | | |
| Aerospace & Defense - 1.1% |
| Harris Corp. | | | 5,106 | | | | 823,496 | |
| | | | | | | | | |
| Entertainment - 0.7% |
| Live Nation Entertainment, Inc.* | | | 12,644 | | | | 532,818 | |
| | | | | | | | | |
| Retail - 0.2% |
| PetMed Express, Inc.1 | | | 3,900 | | | | 162,825 | |
| | | | | | | | | |
| Electronics - 0.1% |
| Applied Optoelectronics, Inc.*,1 | | | 4,853 | | | | 121,616 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $66,271,100) | | | | | | | 75,764,170 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 42,102 | | | | 42,102 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 13,777 | | | | 13,777 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $55,879) | | | | | | | 55,879 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 2.1% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 1,620,073 | | | | 1,620,073 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,620,073) | | | | | | | 1,620,073 | |
| | | | | | | | | |
| Total Investments - 101.8% | | | | | | | | |
| (Cost $67,947,052) | | | | | | $ | 77,440,122 | |
| Other Assets & Liabilities, net - (1.8)% | | | | | | | (1,349,322 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 76,090,800 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 75,764,170 | | | $ | — | | | $ | — | | | $ | 75,764,170 | |
| Repurchase Agreements | | | — | | | | 55,879 | | | | — | | | | 55,879 | |
| Securities Lending Collateral | | | 1,620,073 | | | | — | | | | — | | | | 1,620,073 | |
| Total Assets | | $ | 77,384,243 | | | $ | 55,879 | | | $ | — | | | $ | 77,440,122 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $1,581,119 of securities loaned (cost $67,891,173) | | $ | 77,384,243 | |
| Repurchase agreements, at value (cost $55,879) | | | 55,879 | |
| Cash | | | 13,306 | |
| Receivables: |
| Fund shares sold | | | 15,236,506 | |
| Securities lending income | | | 7,732 | |
| Dividends | | | 3,358 | |
| Interest | | | 8 | |
| Total assets | | | 92,701,032 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 10,515,065 | |
| Securities purchased | | | 4,377,804 | |
| Return of securities loaned | | | 1,620,073 | |
| Management fees | | | 50,777 | |
| Transfer agent and administrative fees | | | 14,934 | |
| Distribution and service fees | | | 7,281 | |
| Portfolio accounting fees | | | 5,974 | |
| Trustees’ fees* | | | 1,647 | |
| Miscellaneous | | | 16,677 | |
| Total liabilities | | | 16,610,232 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 76,090,800 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 66,958,705 | |
| Accumulated net investment loss | | | (20,857 | ) |
| Accumulated net realized loss on investments | | | (340,118 | ) |
| Net unrealized appreciation on investments | | | 9,493,070 | |
| Net assets | | $ | 76,090,800 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 40,842,916 | |
| Capital shares outstanding | | | 327,265 | |
| Net asset value per share | | $ | 124.80 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,392,536 | |
| Capital shares outstanding | | | 28,947 | |
| Net asset value per share | | $ | 117.20 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 123.04 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 2,966,606 | |
| Capital shares outstanding | | | 28,415 | |
| Net asset value per share | | $ | 104.40 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 28,888,742 | |
| Capital shares outstanding | | | 253,756 | |
| Net asset value per share | | $ | 113.84 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $2,264) | | $ | 303,980 | |
| Interest | | | 3,907 | |
| Income from securities lending, net | | | 84,474 | |
| Total investment income | | | 392,361 | |
| | | | | |
| Expenses: |
| Management fees | | | 511,122 | |
| Distribution and service fees: |
| A-Class | | | 7,582 | |
| C-Class | | | 27,852 | |
| H-Class | | | 26,793 | |
| Transfer agent and administrative fees | | | 150,329 | |
| Portfolio accounting fees | | | 60,131 | |
| Custodian fees | | | 7,994 | |
| Trustees’ fees* | | | 4,375 | |
| Line of credit fees | | | 396 | |
| Miscellaneous | | | 94,448 | |
| Total expenses | | | 891,022 | |
| Net investment loss | | | (498,661 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 11,409,297 | |
| Net realized gain | | | 11,409,297 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | 2,591,198 | |
| Net change in unrealized appreciation (depreciation) | | | 2,591,198 | |
| Net realized and unrealized gain | | | 14,000,495 | |
| Net increase in net assets resulting from operations | | $ | 13,501,834 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 88 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (498,661 | ) | | $ | (255,868 | ) |
| Net realized gain on investments | | | 11,409,297 | | | | 6,746,908 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,591,198 | | | | (1,908,519 | ) |
| Net increase in net assets resulting from operations | | | 13,501,834 | | | | 4,582,521 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 150,397,475 | | | | 156,156,448 | |
| A-Class | | | 4,517,348 | | | | 14,112,884 | |
| C-Class | | | 2,897,866 | | | | 2,667,685 | |
| H-Class | | | 116,797,374 | | | | 24,642,372 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (137,352,813 | ) | | | (166,115,723 | ) |
| A-Class | | | (4,021,406 | ) | | | (14,079,122 | ) |
| C-Class | | | (2,959,764 | ) | | | (3,621,718 | ) |
| H-Class | | | (92,200,975 | ) | | | (29,999,192 | ) |
| Net increase (decrease) from capital share transactions | | | 38,075,105 | | | | (16,236,366 | ) |
| Net increase (decrease) in net assets | | | 51,576,939 | | | | (11,653,845 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 24,513,861 | | | | 36,167,706 | |
| End of year | | $ | 76,090,800 | | | $ | 24,513,861 | |
| Accumulated net investment loss at end of year | | $ | (20,857 | ) | | $ | (121,973 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,362,699 | | | | 1,807,372 | |
| A-Class | | | 43,541 | | | | 181,366 | |
| C-Class | | | 31,316 | | | | 36,275 | |
| H-Class | | | 1,109,706 | | | | 326,408 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,220,781 | ) | | | (1,935,644 | ) |
| A-Class | | | (38,430 | ) | | | (182,044 | ) |
| C-Class | | | (31,717 | ) | | | (49,537 | ) |
| H-Class | | | (883,291 | ) | | | (398,950 | ) |
| Net increase (decrease) in shares | | | 373,043 | | | | (214,754 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 89 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 95.33 | | | $ | 77.91 | | | $ | 77.87 | | | $ | 75.05 | | | $ | 55.46 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.80 | ) | | | (.60 | ) | | | (.41 | ) | | | (.49 | ) | | | (.62 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 30.27 | | | | 18.02 | | | | .78 | | | | 5.27 | | | | 20.53 | |
| Total from investment operations | | | 29.47 | | | | 17.42 | | | | .37 | | | | 4.78 | | | | 19.91 | |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Total distributions | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Net asset value, end of period | | $ | 124.80 | | | $ | 95.33 | | | $ | 77.91 | | | $ | 77.87 | | | $ | 75.05 | |
| |
| Total Returnb | | | 30.91 | % | | | 22.36 | % | | | 0.46 | % | | | 6.40 | % | | | 35.93 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 40,843 | | | $ | 17,670 | | | $ | 24,435 | | | $ | 8,328 | | | $ | 26,828 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.71 | %) | | | (0.70 | %) | | | (0.52 | %) | | | (0.64 | %) | | | (0.87 | %) |
| Total expenses | | | 1.38 | % | | | 1.37 | % | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 305 | % | | | 518 | % | | | 520 | % | | | 495 | % | | | 472 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 89.75 | | | $ | 73.54 | | | $ | 73.71 | | | $ | 71.32 | | | $ | 52.85 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.01 | ) | | | (.76 | ) | | | (.69 | ) | | | (.61 | ) | | | (.79 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 28.46 | | | | 16.97 | | | | .85 | | | | 4.96 | | | | 19.58 | |
| Total from investment operations | | | 27.45 | | | | 16.21 | | | | .16 | | | | 4.35 | | | | 18.79 | |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Total distributions | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Net asset value, end of period | | $ | 117.20 | | | $ | 89.75 | | | $ | 73.54 | | | $ | 73.71 | | | $ | 71.32 | |
| |
| Total Returnb | | | 30.57 | % | | | 22.04 | % | | | 0.20 | % | | | 6.12 | % | | | 35.58 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,393 | | | $ | 2,139 | | | $ | 1,803 | | | $ | 2,022 | | | $ | 12,566 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.96 | %) | | | (0.95 | %) | | | (0.92 | %) | | | (0.86 | %) | | | (1.12 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.61 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 305 | % | | | 518 | % | | | 520 | % | | | 495 | % | | | 472 | % |
| 90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 80.55 | | | $ | 66.49 | | | $ | 67.17 | | | $ | 65.64 | | | $ | 49.03 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.60 | ) | | | (1.24 | ) | | | (1.03 | ) | | | (1.11 | ) | | | (1.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 25.45 | | | | 15.30 | | | | .68 | | | | 4.60 | | | | 18.09 | |
| Total from investment operations | | | 23.85 | | | | 14.06 | | | | (.35 | ) | | | 3.49 | | | | 16.93 | |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Total distributions | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Net asset value, end of period | | $ | 104.40 | | | $ | 80.55 | | | $ | 66.49 | | | $ | 67.17 | | | $ | 65.64 | |
| |
| Total Returnb | | | 29.61 | % | | | 21.13 | % | | | (0.54 | %) | | | 5.34 | % | | | 34.56 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,967 | | | $ | 2,321 | | | $ | 2,798 | | | $ | 2,436 | | | $ | 4,655 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.70 | %) | | | (1.71 | %) | | | (1.53 | %) | | | (1.68 | %) | | | (1.85 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 305 | % | | | 518 | % | | | 520 | % | | | 495 | % | | | 472 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 87.18 | | | $ | 71.40 | | | $ | 71.64 | | | $ | 69.58 | | | $ | 51.70 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.07 | ) | | | (.78 | ) | | | (.72 | ) | | | (.78 | ) | | | (1.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 27.73 | | | | 16.56 | | | | .81 | | | | 4.80 | | | | 19.27 | |
| Total from investment operations | | | 26.66 | | | | 15.78 | | | | .09 | | | | 4.02 | | | | 18.20 | |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Total distributions | | | — | | | | — | | | | (.33 | ) | | | (1.96 | ) | | | (.32 | ) |
| Net asset value, end of period | | $ | 113.84 | | | $ | 87.18 | | | $ | 71.40 | | | $ | 71.64 | | | $ | 69.58 | |
| |
| Total Returnb | | | 30.59 | % | | | 22.09 | % | | | 0.11 | % | | | 5.80 | % | | | 35.23 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 28,889 | | | $ | 2,384 | | | $ | 7,132 | | | $ | 1,830 | | | $ | 11,814 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.04 | %) | | | (1.03 | %) | | | (0.97 | %) | | | (1.12 | %) | | | (1.53 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.67 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 305 | % | | | 518 | % | | | 520 | % | | | 495 | % | | | 472 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 91 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies in leisure and entertainment businesses (“Leisure Companies”).
For the one-year period ended March 29, 2018, Leisure Fund Investor Class returned 6.71%, compared with 16.91% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was casinos & gaming, followed by lodging. The entertainment content industry detracted the most, followed by cable & satellite.
McDonald’s Corp., Marriott International, Inc. Class A, and Constellation Brands, Inc. Class A contributed the most to the performance of the Fund. DISH Network Corp. Class A, Mattel, Inc., and Viacom, Inc. Class B detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| 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 | 3.4% |
| Walt Disney Co. | 3.3% |
| Philip Morris International, Inc. | 3.3% |
| McDonald’s Corp. | 3.1% |
| Altria Group, Inc. | 3.0% |
| Starbucks Corp. | 2.5% |
| Charter Communications, Inc. — Class A | 2.4% |
| Time Warner, Inc. | 2.4% |
| Twenty-First Century Fox, Inc. — Class A | 2.3% |
| Las Vegas Sands Corp. | 2.0% |
| Top Ten Total | 27.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 92 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 6.71% | 11.84% | 9.51% |
| A-Class Shares | 6.46% | 11.56% | 9.23% |
| A-Class Shares with sales charge† | 1.41% | 10.48% | 8.70% |
| C-Class Shares | 5.66% | 10.73% | 8.41% |
| C-Class Shares with CDSC‡ | 4.67% | 10.73% | 8.41% |
| H-Class Shares** | 6.45% | 11.45% | 9.05% |
| S&P 500 Consumer Discretionary Index | 16.91% | 15.68% | 14.56% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 93 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| LEISURE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.6% |
| | | | | | | |
| Media - 28.7% |
| Comcast Corp. — Class A | | | 20,880 | | | $ | 713,470 | |
| Walt Disney Co. | | | 7,076 | | | | 710,713 | |
| Charter Communications, Inc. — Class A* | | | 1,626 | | | | 506,044 | |
| Time Warner, Inc. | | | 5,346 | | | | 505,625 | |
| Twenty-First Century Fox, Inc. — Class A | | | 13,042 | | | | 478,511 | |
| Sirius XM Holdings, Inc.1 | | | 48,940 | | | | 305,386 | |
| CBS Corp. — Class B | | | 5,059 | | | | 259,982 | |
| DISH Network Corp. — Class A* | | | 6,318 | | | | 239,389 | |
| Liberty Broadband Corp. — Class C* | | | 2,659 | | | | 227,850 | |
| Discovery, Inc. — Class A*,1 | | | 9,838 | | | | 210,828 | |
| Altice USA, Inc. — Class A*,1 | | | 11,280 | | | | 208,454 | |
| Viacom, Inc. — Class B | | | 6,619 | | | | 205,586 | |
| News Corp. — Class A | | | 11,144 | | | | 176,075 | |
| Grupo Televisa SAB ADR | | | 9,800 | | | | 156,408 | |
| Cable One, Inc. | | | 170 | | | | 116,809 | |
| New York Times Co. — Class A | | | 4,822 | | | | 116,210 | |
| Tribune Media Co. — Class A | | | 2,710 | | | | 109,782 | |
| AMC Networks, Inc. — Class A* | | | 2,000 | | | | 103,400 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 3,250 | | | | 101,725 | |
| Nexstar Media Group, Inc. — Class A | | | 1,499 | | | | 99,683 | |
| World Wrestling Entertainment, Inc. — Class A | | | 2,656 | | | | 95,642 | |
| Meredith Corp. | | | 1,650 | | | | 88,770 | |
| TEGNA, Inc. | | | 7,639 | | | | 87,008 | |
| MSG Networks, Inc. — Class A* | | | 3,226 | | | | 72,908 | |
| Scholastic Corp. | | | 1,800 | | | | 69,912 | |
| Entercom Communications Corp. — Class A | | | 7,186 | | | | 69,345 | |
| Gray Television, Inc.* | | | 4,774 | | | | 60,630 | |
| Total Media | | | | | | | 6,096,145 | |
| | | | | | | | | |
| Retail - 17.5% |
| McDonald’s Corp. | | | 4,201 | | | | 656,952 | |
| Starbucks Corp. | | | 9,154 | | | | 529,925 | |
| Yum! Brands, Inc. | | | 3,741 | | | | 318,471 | |
| Yum China Holdings, Inc. | | | 4,741 | | | | 196,752 | |
| Domino’s Pizza, Inc. | | | 814 | | | | 190,118 | |
| Darden Restaurants, Inc. | | | 2,133 | | | | 181,838 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 558 | | | | 180,295 | |
| Restaurant Brands International, Inc. | | | 3,141 | | | | 178,786 | |
| Dunkin’ Brands Group, Inc.1 | | | 2,179 | | | | 130,065 | |
| Wendy’s Co. | | | 6,905 | | | | 121,183 | |
| Texas Roadhouse, Inc. — Class A | | | 2,063 | | | | 119,200 | |
| Cracker Barrel Old Country Store, Inc.1 | | | 720 | | | | 114,624 | |
| Jack in the Box, Inc. | | | 1,070 | | | | 91,303 | |
| Bloomin’ Brands, Inc. | | | 3,642 | | | | 88,428 | |
| Cheesecake Factory, Inc.1 | | | 1,800 | | | | 86,796 | |
| Papa John’s International, Inc. | | | 1,374 | | | | 78,730 | |
| Brinker International, Inc.1 | | | 2,094 | | | | 75,593 | |
| Dave & Buster’s Entertainment, Inc.* | | | 1,736 | | | | 72,461 | |
| Shake Shack, Inc. — Class A* | | | 1,740 | | | | 72,436 | |
| Wingstop, Inc. | | | 1,452 | | | | 68,578 | |
| Sonic Corp. | | | 2,319 | | | | 58,508 | |
| BJ’s Restaurants, Inc. | | | 1,272 | | | | 57,113 | |
| Red Robin Gourmet Burgers, Inc.* | | | 870 | | | | 50,460 | |
| Total Retail | | | | | | | 3,718,615 | |
| | | | | | | | | |
| Lodging - 14.3% |
| Las Vegas Sands Corp. | | | 5,997 | | | | 431,184 | |
| Marriott International, Inc. — Class A | | | 2,947 | | | | 400,733 | |
| Hilton Worldwide Holdings, Inc. | | | 3,672 | | | | 289,207 | |
| MGM Resorts International | | | 7,330 | | | | 256,697 | |
| Wynn Resorts Ltd. | | | 1,376 | | | | 250,927 | |
| Wyndham Worldwide Corp. | | | 1,717 | | | | 196,476 | |
| Melco Resorts & Entertainment Ltd. ADR | | | 6,483 | | | | 187,877 | |
| Hyatt Hotels Corp. — Class A | | | 2,270 | | | | 173,110 | |
| Caesars Entertainment Corp.* | | | 13,830 | | | | 155,588 | |
| China Lodging Group Ltd. ADR | | | 1,040 | | | | 136,978 | |
| Choice Hotels International, Inc. | | | 1,540 | | | | 123,431 | |
| Hilton Grand Vacations, Inc.* | | | 2,707 | | | | 116,455 | |
| ILG, Inc. | | | 3,544 | | | | 110,254 | |
| Boyd Gaming Corp.1 | | | 3,330 | | | | 106,094 | |
| La Quinta Holdings, Inc.* | | | 4,668 | | | | 88,272 | |
| Total Lodging | | | | | | | 3,023,283 | |
| | | | | | | | | |
| Leisure Time - 9.3% |
| Carnival plc ADR | | | 6,110 | | | | 400,205 | |
| Carnival Corp. | | | 6,060 | | | | 397,415 | |
| Royal Caribbean Cruises Ltd. | | | 2,428 | | | | 285,873 | |
| Norwegian Cruise Line Holdings Ltd.* | | | 3,693 | | | | 195,618 | |
| Harley-Davidson, Inc. | | | 3,636 | | | | 155,912 | |
| Polaris Industries, Inc.1 | | | 1,340 | | | | 153,457 | |
| Brunswick Corp. | | | 2,215 | | | | 131,549 | |
| Planet Fitness, Inc. — Class A* | | | 2,950 | | | | 111,421 | |
| Callaway Golf Co. | | | 4,560 | | | | 74,601 | |
| Vista Outdoor, Inc.* | | | 3,541 | | | | 57,789 | |
| Total Leisure Time | | | | | | | 1,963,840 | |
| | | | | | | | | |
| Entertainment - 9.2% |
| Vail Resorts, Inc. | | | 790 | | | | 175,143 | |
| Live Nation Entertainment, Inc.* | | | 4,011 | | | | 169,024 | |
| Madison Square Garden Co. — Class A* | | | 583 | | | | 143,301 | |
| IMAX Corp.* | | | 7,447 | | | | 142,983 | |
| Six Flags Entertainment Corp. | | | 2,140 | | | | 133,236 | |
| International Game Technology plc | | | 4,910 | | | | 131,244 | |
| Lions Gate Entertainment Corp. — Class A1 | | | 4,895 | | | | 126,438 | |
| Cinemark Holdings, Inc. | | | 3,136 | | | | 118,133 | |
| Scientific Games Corp. — Class A* | | | 2,690 | | | | 111,904 | |
| Marriott Vacations Worldwide Corp. | | | 791 | | | | 105,361 | |
| Red Rock Resorts, Inc. — Class A | | | 3,507 | | | | 102,685 | |
| Churchill Downs, Inc. | | | 415 | | | | 101,281 | |
| Penn National Gaming, Inc.* | | | 3,427 | | | | 89,993 | |
| Eldorado Resorts, Inc.* | | | 2,675 | | | | 88,275 | |
| Pinnacle Entertainment, Inc.* | | | 2,566 | | | | 77,365 | |
| AMC Entertainment Holdings, Inc. — Class A | | | 5,324 | | | | 74,802 | |
| SeaWorld Entertainment, Inc.*,1 | | | 4,650 | | | | 68,960 | |
| Total Entertainment | | | | | | | 1,960,128 | |
| 94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LEISURE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Agriculture - 7.1% |
| Philip Morris International, Inc. | | | 7,071 | | | $ | 702,857 | |
| Altria Group, Inc. | | | 10,047 | | | | 626,129 | |
| British American Tobacco plc ADR | | | 2,963 | | | | 170,936 | |
| Total Agriculture | | | | | | | 1,499,922 | |
| | | | | | | | | |
| Beverages - 6.4% |
| Constellation Brands, Inc. — Class A | | | 1,709 | | | | 389,515 | |
| Brown-Forman Corp. — Class B | | | 5,505 | | | | 299,472 | |
| Molson Coors Brewing Co. — Class B | | | 3,043 | | | | 229,229 | |
| Anheuser-Busch InBev S.A. ADR | | | 1,753 | | | | 192,725 | |
| Diageo plc ADR | | | 1,160 | | | | 157,087 | |
| Boston Beer Company, Inc. — Class A* | | | 480 | | | | 90,744 | |
| Total Beverages | | | | | | | 1,358,772 | |
| | | | | | | | | |
| Software - 4.4% |
| Activision Blizzard, Inc. | | | 5,813 | | | | 392,145 | |
| Electronic Arts, Inc.* | | | 2,889 | | | | 350,263 | |
| Take-Two Interactive Software, Inc.* | | | 1,849 | | | | 180,795 | |
| Total Software | | | | | | | 923,203 | |
| | | | | | | | | |
| Toys, Games & Hobbies - 1.4% |
| Hasbro, Inc. | | | 2,173 | | | | 183,184 | |
| Mattel, Inc.1 | | | 8,991 | | | | 118,232 | |
| Total Toys, Games & Hobbies | | | | | | | 301,416 | |
| | | | | | | | | |
| Food Service - 0.8% |
| Aramark | | | 4,526 | | | | 179,049 | |
| | | | | | | | | |
| Miscellaneous Manufacturing - 0.5% |
| Sturm Ruger & Company, Inc. | | | 1,100 | | | | 57,750 | |
| American Outdoor Brands Corp.* | | | 4,210 | | | | 43,447 | |
| Total Miscellaneous Manufacturing | | | | | | | 101,197 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $16,876,643) | | | | | | | 21,125,570 | |
| | | | | | | | | |
| RIGHTS††† - 0.0% |
| Nexstar Media Group CVR*,2 | | | 8,160 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 5.5% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 1,166,692 | | | | 1,166,692 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,166,692) | | | | | | | 1,166,692 | |
| | | | | | | | | |
| Total Investments - 105.1% | | | | | | | | |
| (Cost $18,043,335) | | | | | | $ | 22,292,262 | |
| Other Assets & Liabilities, net - (5.1)% | | | | | | | (1,076,244 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 21,216,018 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| ††† | | Value determined based on Level 3 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Security was fair valued by the Valuation Committee at March 29, 2018. The total value of fair valued securities amounts to $0, (cost $0) or less than 0.01% of total net assets. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | ADR — American Depositary Receipt |
| | | CVR — Contingent Value Rights |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| LEISURE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (See Note 3 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 | | $ | 21,125,570 | | | $ | — | | | $ | — | | | $ | 21,125,570 | |
| Rights | | | — | | | | — | | | | — | * | | | — | |
| Securities Lending Collateral | | | 1,166,692 | | | | — | | | | — | | | | 1,166,692 | |
| Total Assets | | $ | 22,292,262 | | | $ | — | | | $ | — | | | $ | 22,292,262 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $1,131,452 of securities loaned (cost $18,043,335) | | $ | 22,292,262 | |
| Cash | | | 10,158 | |
| Receivables: |
| Fund shares sold | | | 367,292 | |
| Securities sold | | | 204,430 | |
| Dividends | | | 42,737 | |
| Foreign taxes reclaim | | | 3,881 | |
| Securities lending income | | | 2,176 | |
| Total assets | | | 22,922,936 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 1,166,692 | |
| Fund shares redeemed | | | 269,635 | |
| Line of credit | | | 232,000 | |
| Management fees | | | 18,730 | |
| Transfer agent and administrative fees | | | 5,509 | |
| Distribution and service fees | | | 2,851 | |
| Portfolio accounting fees | | | 2,203 | |
| Trustees’ fees* | | | 924 | |
| Miscellaneous | | | 8,374 | |
| Total liabilities | | | 1,706,918 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 21,216,018 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 19,023,845 | |
| Undistributed net investment income | | | 109,700 | |
| Accumulated net realized loss on investments | | | (2,166,454 | ) |
| Net unrealized appreciation on investments | | | 4,248,927 | |
| Net assets | | $ | 21,216,018 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 14,624,605 | |
| Capital shares outstanding | | | 205,303 | |
| Net asset value per share | | $ | 71.23 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,370,511 | |
| Capital shares outstanding | | | 51,209 | |
| Net asset value per share | | $ | 65.82 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 69.10 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,311,333 | |
| Capital shares outstanding | | | 22,164 | |
| Net asset value per share | | $ | 59.16 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 1,909,569 | |
| Capital shares outstanding | | | 29,808 | |
| Net asset value per share | | $ | 64.06 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $1,149) | | $ | 573,705 | |
| Interest | | | 1,617 | |
| Income from securities lending, net | | | 21,977 | |
| Total investment income | | | 597,299 | |
| | | | | |
| Expenses: |
| Management fees | | | 276,274 | |
| Distribution and service fees: |
| A-Class | | | 8,223 | |
| C-Class | | | 16,046 | |
| H-Class | | | 14,997 | |
| Transfer agent and administrative fees | | | 81,257 | |
| Portfolio accounting fees | | | 32,503 | |
| Custodian fees | | | 4,356 | |
| Trustees’ fees* | | | 3,198 | |
| Line of credit fees | | | 252 | |
| Miscellaneous | | | 50,493 | |
| Total expenses | | | 487,599 | |
| Net investment income | | | 109,700 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 3,290,916 | |
| Net realized gain | | | 3,290,916 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (1,627,234 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,627,234 | ) |
| Net realized and unrealized gain | | | 1,663,682 | |
| Net increase in net assets resulting from operations | | $ | 1,773,382 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 109,700 | | | $ | 162,023 | |
| Net realized gain on investments | | | 3,290,916 | | | | 6,743,496 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,627,234 | ) | | | (1,727,882 | ) |
| Net increase in net assets resulting from operations | | | 1,773,382 | | | | 5,177,637 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (341,515 | ) | | | (79,568 | ) |
| A-Class | | | (50,015 | ) | | | (31,053 | ) |
| C-Class | | | (37,288 | ) | | | (6,507 | ) |
| H-Class | | | (42,005 | ) | | | (14,627 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (606,174 | ) | | | — | |
| A-Class | | | (88,774 | ) | | | — | |
| C-Class | | | (66,185 | ) | | | — | |
| H-Class | | | (74,556 | ) | | | — | |
| Total distributions to shareholders | | | (1,306,512 | ) | | | (131,755 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 102,205,449 | | | | 73,417,889 | |
| A-Class | | | 10,302,546 | | | | 17,978,158 | |
| C-Class | | | 769,473 | | | | 303,924 | |
| H-Class | | | 56,055,436 | | | | 38,389,308 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 930,451 | | | | 77,283 | |
| A-Class | | | 135,938 | | | | 29,016 | |
| C-Class | | | 101,407 | | | | 6,322 | |
| H-Class | | | 115,687 | | | | 14,567 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (103,166,413 | ) | | | (77,077,573 | ) |
| A-Class | | | (9,197,544 | ) | | | (24,564,037 | ) |
| C-Class | | | (880,744 | ) | | | (505,982 | ) |
| H-Class | | | (58,312,130 | ) | | | (49,153,554 | ) |
| Net decrease from capital share transactions | | | (940,444 | ) | | | (21,084,679 | ) |
| Net decrease in net assets | | | (473,574 | ) | | | (16,038,797 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 21,689,592 | | | | 37,728,389 | |
| End of year | | $ | 21,216,018 | | | $ | 21,689,592 | |
| Undistributed net investment income at end of year | | $ | 109,700 | | | $ | 470,823 | |
| 98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 1,395,004 | | | | 1,144,896 | |
| A-Class | | | 151,772 | | | | 304,282 | |
| C-Class | | | 12,653 | | | | 5,480 | |
| H-Class | | | 853,814 | | | | 661,870 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 12,821 | | | | 1,225 | |
| A-Class | | | 2,026 | | | | 494 | |
| C-Class | | | 1,678 | | | | 118 | |
| H-Class | | | 1,771 | | | | 254 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,405,653 | ) | | | (1,190,262 | ) |
| A-Class | | | (135,608 | ) | | | (411,259 | ) |
| C-Class | | | (14,202 | ) | | | (9,257 | ) |
| H-Class | | | (884,326 | ) | | | (840,148 | ) |
| Net decrease in shares | | | (8,250 | ) | | | (332,307 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 99 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.95 | | | $ | 61.36 | | | $ | 60.75 | | | $ | 55.81 | | | $ | 44.93 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)a | | | .36 | | | | .52 | | | | .22 | | | | .52 | | | | .20 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.48 | | | | 9.38 | | | | .82 | | | | 5.64 | | | | 10.95 | |
| Total from investment operations | | | 4.84 | | | | 9.90 | | | | 1.04 | | | | 6.16 | | | | 11.15 | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) | | | (.12 | ) | | | (.27 | ) |
| Net realized gains | | | (2.92 | ) | | | — | | | | (.11 | ) | | | (1.10 | ) | | | — | |
| Total distributions | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) | | | (1.22 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 71.23 | | | $ | 70.95 | | | $ | 61.36 | | | $ | 60.75 | | | $ | 55.81 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Returnb | | | 6.71 | % | | | 16.20 | % | | | 1.72 | % | | | 11.15 | % | | | 24.83 | % |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 14,625 | | | $ | 14,413 | | | $ | 15,173 | | | $ | 48,494 | | | $ | 24,139 | |
| Ratios to average net assets: | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.49 | % | | | 0.81 | % | | | 0.35 | % | | | 0.89 | % | | | 0.39 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % | | | 1.34 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 442 | % | | | 352 | % | | | 339 | % | | | 343 | % | | | 265 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 66.03 | | | $ | 57.27 | | | $ | 56.88 | | | $ | 52.46 | | | $ | 42.35 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .17 | | | | .23 | | | | .08 | | | | .38 | | | | .04 | |
| Net gain (loss) on investments (realized and unrealized) | | | 4.18 | | | | 8.84 | | | | .74 | | | | 5.26 | | | | 10.34 | |
| Total from investment operations | | | 4.35 | | | | 9.07 | | | | .82 | | | | 5.64 | | | | 10.38 | |
| Less distributions from: |
| Net investment income | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) | | | (.12 | ) | | | (.27 | ) |
| Net realized gains | | | (2.92 | ) | | | — | | | | (.11 | ) | | | (1.10 | ) | | | — | |
| Total distributions | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) | | | (1.22 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 65.82 | | | $ | 66.03 | | | $ | 57.27 | | | $ | 56.88 | | | $ | 52.46 | |
| |
| Total Returnb | | | 6.46 | % | | | 15.91 | % | | | 1.45 | % | | | 10.86 | % | | | 24.53 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,371 | | | $ | 2,180 | | | $ | 7,990 | | | $ | 10,703 | | | $ | 1,778 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.24 | % | | | 0.40 | % | | | 0.15 | % | | | 0.69 | % | | | 0.09 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.58 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 442 | % | | | 352 | % | | | 339 | % | | | 343 | % | | | 265 | % |
| 100 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 60.23 | | | $ | 52.65 | | | $ | 52.72 | | | $ | 49.07 | | | $ | 39.92 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.36 | ) | | | (.18 | ) | | | (.28 | ) | | | (.19 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.85 | | | | 8.07 | | | | .64 | | | | 5.06 | | | | 9.69 | |
| Total from investment operations | | | 3.49 | | | | 7.89 | | | | .36 | | | | 4.87 | | | | 9.42 | |
| Less distributions from: |
| Net investment income | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) | | | (.12 | ) | | | (.27 | ) |
| Net realized gains | | | (2.92 | ) | | | — | | | | (.11 | ) | | | (1.10 | ) | | | — | |
| Total distributions | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) | | | (1.22 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 59.16 | | | $ | 60.23 | | | $ | 52.65 | | | $ | 52.72 | | | $ | 49.07 | |
| |
| Total Returnb | | | 5.66 | % | | | 15.05 | % | | | 0.69 | % | | | 10.04 | % | | | 23.61 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,311 | | | $ | 1,327 | | | $ | 1,353 | | | $ | 1,590 | | | $ | 1,460 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.58 | %) | | | (0.33 | %) | | | (0.54 | %) | | | (0.37 | %) | | | (0.59 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 442 | % | | | 352 | % | | | 339 | % | | | 343 | % | | | 265 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.38 | | | $ | 55.85 | | | $ | 55.50 | | | $ | 51.31 | | | $ | 41.54 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .07 | | | | .20 | | | | .27 | | | | .30 | | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.17 | | | | 8.64 | | | | .51 | | | | 5.11 | | | | 10.15 | |
| Total from investment operations | | | 4.24 | | | | 8.84 | | | | .78 | | | | 5.41 | | | | 10.04 | |
| Less distributions from: |
| Net investment income | | | (1.64 | ) | | | (.31 | ) | | | (.32 | ) | | | (.12 | ) | | | (.27 | ) |
| Net realized gains | | | (2.92 | ) | | | — | | | | (.11 | ) | | | (1.10 | ) | | | — | |
| Total distributions | | | (4.56 | ) | | | (.31 | ) | | | (.43 | ) | | | (1.22 | ) | | | (.27 | ) |
| Net asset value, end of period | | $ | 64.06 | | | $ | 64.38 | | | $ | 55.85 | | | $ | 55.50 | | | $ | 51.31 | |
| |
| Total Returnb | | | 6.45 | % | | | 15.90 | % | | | 1.41 | % | | | 10.66 | % | | | 24.18 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,910 | | | $ | 3,769 | | | $ | 13,212 | | | $ | 7,074 | | | $ | 3,115 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.10 | % | | | 0.34 | % | | | 0.49 | % | | | 0.55 | % | | | (0.23 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.64 | % | | | 1.83 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 442 | % | | | 352 | % | | | 339 | % | | | 343 | % | | | 265 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 101 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services (“Precious Metals Companies”).
For the one-year period ended March 29, 2018, Precious Metals Fund Investor Class returned -6.98%, compared with 10.54% for the S&P 500 Materials Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was base metals. The only other industry represented in the Fund, the precious metal mining industry, detracted from return.
Freeport-McMoRan, Inc., Newmont Mining Corp., and Royal Gold, Inc. contributed the most to the performance of the Fund. Barrick Gold Corp., Eldorado Gold Corp., and Tahoe Resources, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | December 1, 1993 |
| 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. | 7.3% |
| Newmont Mining Corp. | 6.9% |
| Barrick Gold Corp. | 5.8% |
| Goldcorp, Inc. | 5.4% |
| Franco-Nevada Corp. | 5.3% |
| Agnico Eagle Mines Ltd. | 4.9% |
| Wheaton Precious Metals Corp. | 4.5% |
| Randgold Resources Ltd. ADR | 4.1% |
| VanEck Vectors Junior Gold Miners ETF | 4.0% |
| Royal Gold, Inc. | 3.5% |
| Top Ten Total | 51.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 102 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (6.98%) | (9.74%) | (7.44%) |
| A-Class Shares | (7.24%) | (10.00%) | (7.68%) |
| A-Class Shares with sales charge† | (11.65%) | (10.87%) | (8.13%) |
| C-Class Shares | (7.95%) | (10.64%) | (8.36%) |
| C-Class Shares with CDSC‡ | (8.81%) | (10.64%) | (8.36%) |
| H-Class Shares** | (7.36%) | (10.13%) | (7.86%) |
| S&P 500 Materials Index | 10.54% | 9.90% | 5.90% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 103 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| PRECIOUS METALS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 95.4% |
| | | | | | | |
| Mining - 95.4% |
| Freeport-McMoRan, Inc. | | | 230,560 | | | $ | 4,050,939 | |
| Newmont Mining Corp. | | | 98,486 | | | | 3,847,848 | |
| Barrick Gold Corp. | | | 260,746 | | | | 3,246,288 | |
| Goldcorp, Inc. | | | 219,581 | | | | 3,034,610 | |
| Franco-Nevada Corp. | | | 43,457 | | | | 2,972,024 | |
| Agnico Eagle Mines Ltd. | | | 64,720 | | | | 2,722,770 | |
| Wheaton Precious Metals Corp. | | | 122,864 | | | | 2,502,740 | |
| Randgold Resources Ltd. ADR1 | | | 27,413 | | | | 2,281,858 | |
| Royal Gold, Inc. | | | 22,921 | | | | 1,968,226 | |
| Kinross Gold Corp.* | | | 440,905 | | | | 1,741,575 | |
| AngloGold Ashanti Ltd. ADR | | | 168,169 | | | | 1,595,924 | |
| Kirkland Lake Gold Ltd.1 | | | 95,446 | | | | 1,475,595 | |
| Pan American Silver Corp. | | | 87,420 | | | | 1,411,833 | |
| Gold Fields Ltd. ADR | | | 344,383 | | | | 1,384,420 | |
| IAMGOLD Corp.* | | | 245,350 | | | | 1,273,367 | |
| Yamana Gold, Inc. | | | 452,374 | | | | 1,248,552 | |
| B2Gold Corp.* | | | 437,117 | | | | 1,193,329 | |
| Alamos Gold, Inc. — Class A | | | 224,878 | | | | 1,171,614 | |
| Sibanye Gold Ltd. ADR1 | | | 289,900 | | | | 1,156,701 | |
| Osisko Gold Royalties Ltd. | | | 111,679 | | | | 1,079,936 | |
| Tahoe Resources, Inc. | | | 210,213 | | | | 985,899 | |
| Coeur Mining, Inc.* | | | 122,979 | | | | 983,832 | |
| New Gold, Inc.* | | | 367,899 | | | | 949,179 | |
| Novagold Resources, Inc.* | | | 216,739 | | | | 938,480 | |
| SSR Mining, Inc.* | | | 96,584 | | | | 927,206 | |
| Hecla Mining Co. | | | 244,055 | | | | 895,682 | |
| Pretium Resources, Inc.* | | | 129,347 | | | | 861,451 | |
| First Majestic Silver Corp.*,1 | | | 136,073 | | | | 831,406 | |
| Fortuna Silver Mines, Inc.* | | | 149,419 | | | | 778,473 | |
| Sandstorm Gold Ltd.* | | | 161,935 | | | | 770,811 | |
| MAG Silver Corp.* | | | 74,521 | | | | 726,580 | |
| Klondex Mines Ltd.* | | | 273,104 | | | | 641,794 | |
| Seabridge Gold, Inc.*,1 | | | 59,382 | | | | 641,326 | |
| Endeavour Silver Corp.*,1 | | | 179,875 | | | | 437,096 | |
| Gold Resource Corp. | | | 90,890 | | | | 409,914 | |
| Total Mining | | | | | | | 53,139,278 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $49,985,131) | | | | | | | 53,139,278 | |
| | | | | | | | | |
| EXCHANGE-TRADED FUNDS† - 4.0% |
| VanEck Vectors Junior Gold Miners ETF | | | 69,448 | | | | 2,232,753 | |
| Total Exchange-Traded Funds | | | | | | | | |
| (Cost $2,184,113) | | | | | | | 2,232,753 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 252,816 | | | | 252,816 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 82,728 | | | | 82,728 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $335,544) | | | | | | | 335,544 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 5.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 3,155,252 | | | | 3,155,252 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $3,155,252) | | | | | | | 3,155,252 | |
| | | | | | | | | |
| Total Investments - 105.7% | | | | | | | | |
| (Cost $55,660,040) | | | | | | $ | 58,862,827 | |
| Other Assets & Liabilities, net - (5.7)% | | | | | | | (3,179,124 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 55,683,703 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | ADR — American Depositary Receipt |
| | | |
| | | See Sector Classification in Other Information section. |
| 104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| PRECIOUS METALS FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (See Note 3 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 | | $ | 53,139,278 | | | $ | — | | | $ | — | | | $ | 53,139,278 | |
| Exchange-Traded Funds | | | 2,232,753 | | | | — | | | | — | | | | 2,232,753 | |
| Repurchase Agreements | | | — | | | | 335,544 | | | | — | | | | 335,544 | |
| Securities Lending Collateral | | | 3,155,252 | | | | — | | | | — | | | | 3,155,252 | |
| Total Assets | | $ | 58,527,283 | | | $ | 335,544 | | | $ | — | | | $ | 58,862,827 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $3,073,314 of securities loaned (cost $55,324,496) | | $ | 58,527,283 | |
| Repurchase agreements, at value (cost $335,544) | | | 335,544 | |
| Cash | | | 7,470 | |
| Receivables: |
| Fund shares sold | | | 5,052,444 | |
| Securities sold | | | 1,095,331 | |
| Dividends | | | 67,090 | |
| Securities lending income | | | 3,111 | |
| Foreign taxes reclaim | | | 827 | |
| Interest | | | 50 | |
| Total assets | | | 65,089,150 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 4,014,776 | |
| Return of securities loaned | | | 3,155,252 | |
| Fund shares redeemed | | | 1,884,467 | |
| Foreign capital gain taxes | | | 276,532 | |
| Management fees | | | 33,355 | |
| Transfer agent and administrative fees | | | 11,118 | |
| Distribution and service fees | | | 8,752 | |
| Portfolio accounting fees | | | 4,448 | |
| Trustees’ fees* | | | 1,511 | |
| Miscellaneous | | | 15,236 | |
| Total liabilities | | | 9,405,447 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 55,683,703 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 101,266,070 | |
| Undistributed net investment income | | | 142,713 | |
| Accumulated net realized loss on investments | | | (48,927,867 | ) |
| Net unrealized appreciation on investments | | | 3,202,787 | |
| Net assets | | $ | 55,683,703 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 33,967,679 | |
| Capital shares outstanding | | | 1,254,846 | |
| Net asset value per share | | $ | 27.07 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 12,780,696 | |
| Capital shares outstanding | | | 494,378 | |
| Net asset value per share | | $ | 25.85 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 27.14 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 6,696,535 | |
| Capital shares outstanding | | | 301,087 | |
| Net asset value per share | | $ | 22.24 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 2,238,793 | |
| Capital shares outstanding | | | 89,496 | |
| Net asset value per share | | $ | 25.02 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $32,698) | | $ | 385,847 | |
| Interest | | | 7,272 | |
| Income from securities lending, net | | | 61,569 | |
| Total investment income | | | 454,688 | |
| | | | | |
| Expenses: |
| Management fees | | | 482,077 | |
| Distribution and service fees: |
| A-Class | | | 29,183 | |
| C-Class | | | 69,402 | |
| H-Class | | | 10,541 | |
| Transfer agent and administrative fees | | | 160,693 | |
| Portfolio accounting fees | | | 64,277 | |
| Registration fees | | | 48,305 | |
| Custodian fees | | | 8,750 | |
| Trustees’ fees* | | | 5,664 | |
| Line of credit fees | | | 434 | |
| Miscellaneous | | | 51,827 | |
| Total expenses | | | 931,153 | |
| Net investment loss | | | (476,465 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 9,968,958 | a |
| Foreign currency transactions | | | (176 | ) |
| Net realized gain | | | 9,968,782 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (17,626,147 | )b |
| Net change in unrealized appreciation (depreciation) | | | (17,626,147 | ) |
| Net realized and unrealized loss | | | (7,657,365 | ) |
| Net decrease in net assets resulting from operations | | $ | (8,133,830 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| a | | Net of foreign capital gain taxes of $178,615. |
| b | | Net of decreased foreign capital gain taxes of $177,505. |
| 106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (476,465 | ) | | $ | (761,327 | ) |
| Net realized gain on investments | | | 9,968,782 | | | | 10,615,182 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (17,626,147 | ) | | | (1,934,542 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (8,133,830 | ) | | | 7,919,313 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (1,823,837 | ) | | | (2,205,828 | ) |
| A-Class | | | (711,524 | ) | | | (423,349 | ) |
| C-Class | | | (410,204 | ) | | | (340,156 | ) |
| H-Class | | | (191,873 | ) | | | (148,234 | ) |
| Total distributions to shareholders | | | (3,137,438 | ) | | | (3,117,567 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 388,332,258 | | | | 617,795,119 | |
| A-Class | | | 6,762,139 | | | | 28,200,735 | |
| C-Class | | | 3,233,948 | | | | 9,381,549 | |
| H-Class | | | 207,730,259 | | | | 78,064,423 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 1,761,829 | | | | 2,149,219 | |
| A-Class | | | 696,023 | | | | 409,011 | |
| C-Class | | | 402,938 | | | | 335,809 | |
| H-Class | | | 185,441 | | | | 147,702 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (393,867,952 | ) | | | (629,758,275 | ) |
| A-Class | | | (5,054,979 | ) | | | (20,496,890 | ) |
| C-Class | | | (3,483,183 | ) | | | (9,377,725 | ) |
| H-Class | | | (205,920,301 | ) | | | (77,888,581 | ) |
| Net increase (decrease) from capital share transactions | | | 778,420 | | | | (1,037,904 | ) |
| Net increase (decrease) in net assets | | | (10,492,848 | ) | | | 3,763,842 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 66,176,551 | | | | 62,412,709 | |
| End of year | | $ | 55,683,703 | | | $ | 66,176,551 | |
| Undistributed (distributions in excess of) net investment income at end of year | | $ | 142,713 | | | $ | (234,463 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 12,996,799 | | | | 17,910,788 | |
| A-Class | | | 236,455 | | | | 836,189 | |
| C-Class | | | 129,810 | | | | 313,607 | |
| H-Class | | | 7,482,847 | | | | 2,469,224 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 64,253 | | | | 70,420 | |
| A-Class | | | 26,556 | | | | 13,945 | |
| C-Class | | | 17,829 | | | | 13,051 | |
| H-Class | | | 7,309 | | | | 5,186 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (13,218,448 | ) | | | (18,370,925 | ) |
| A-Class | | | (177,067 | ) | | | (582,330 | ) |
| C-Class | | | (140,411 | ) | | | (324,703 | ) |
| H-Class | | | (7,503,501 | ) | | | (2,471,225 | ) |
| Net decrease in shares | | | (77,569 | ) | | | (116,773 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 107 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.82 | | | $ | 27.37 | | | $ | 25.11 | | | $ | 35.78 | | | $ | 51.65 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.23 | ) | | | (.07 | ) | | | .01 | | | | .36 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.96 | ) | | | 4.85 | | | | 2.44 | | | | (9.88 | ) | | | (16.06 | ) |
| Total from investment operations | | | (2.13 | ) | | | 4.62 | | | | 2.37 | | | | (9.87 | ) | | | (15.70 | ) |
| Less distributions from: |
| Net investment income | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Total distributions | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Net asset value, end of period | | $ | 27.07 | | | $ | 30.82 | | | $ | 27.37 | | | $ | 25.11 | | | $ | 35.78 | |
| |
| Total Returnb | | | (6.98 | %) | | | 16.91 | % | | | 9.67 | % | | | (27.88 | %) | | | (30.37 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 33,968 | | | $ | 43,530 | | | $ | 49,321 | | | $ | 30,528 | | | $ | 42,846 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.57 | %) | | | (0.67 | %) | | | (0.31 | %) | | | 0.04 | % | | | 0.96 | % |
| Total expensesc | | | 1.28 | % | | | 1.27 | % | | | 1.25 | % | | | 1.25 | % | | | 1.27 | % |
| Portfolio turnover rate | | | 630 | % | | | 508 | % | | | 797 | % | | | 371 | % | | | 348 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 29.59 | | | $ | 26.39 | | | $ | 24.28 | | | $ | 34.75 | | | $ | 50.28 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.22 | ) | | | (.27 | ) | | | (.12 | ) | | | (.10 | ) | | | .16 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.90 | ) | | | 4.64 | | | | 2.34 | | | | (9.57 | ) | | | (15.52 | ) |
| Total from investment operations | | | (2.12 | ) | | | 4.37 | | | | 2.22 | | | | (9.67 | ) | | | (15.36 | ) |
| Less distributions from: |
| Net investment income | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Total distributions | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Net asset value, end of period | | $ | 25.85 | | | $ | 29.59 | | | $ | 26.39 | | | $ | 24.28 | | | $ | 34.75 | |
| |
| Total Returnb | | | (7.24 | %) | | | 16.59 | % | | | 9.38 | % | | | (28.13 | %) | | | (30.52 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 12,781 | | | $ | 12,085 | | | $ | 3,711 | | | $ | 4,928 | | | $ | 5,235 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.79 | %) | | | (0.82 | %) | | | (0.54 | %) | | | (0.29 | %) | | | 0.45 | % |
| Total expensesc | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % | | | 1.50 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 630 | % | | | 508 | % | | | 797 | % | | | 371 | % | | | 348 | % |
| 108 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.89 | | | $ | 23.38 | | | $ | 21.67 | | | $ | 31.34 | | | $ | 45.72 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.39 | ) | | | (.46 | ) | | | (.26 | ) | | | (.29 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.64 | ) | | | 4.14 | | | | 2.08 | | | | (8.58 | ) | | | (14.14 | ) |
| Total from investment operations | | | (2.03 | ) | | | 3.68 | | | | 1.82 | | | | (8.87 | ) | | | (14.21 | ) |
| Less distributions from: |
| Net investment income | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Total distributions | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Net asset value, end of period | | $ | 22.24 | | | $ | 25.89 | | | $ | 23.38 | | | $ | 21.67 | | | $ | 31.34 | |
| |
| Total Returnb | | | (7.95 | %) | | | 15.76 | % | | | 8.66 | % | | | (28.64 | %) | | | (31.05 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,697 | | | $ | 7,607 | | | $ | 6,825 | | | $ | 5,590 | | | $ | 9,250 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.56 | %) | | | (1.59 | %) | | | (1.34 | %) | | | (0.99 | %) | | | (0.22 | %) |
| Total expensesc | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % | | | 2.25 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 630 | % | | | 508 | % | | | 797 | % | | | 371 | % | | | 348 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.73 | | | $ | 25.64 | | | $ | 23.64 | | | $ | 33.92 | | | $ | 49.20 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.25 | ) | | | (.31 | ) | | | (.11 | ) | | | (.14 | ) | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.84 | ) | | | 4.57 | | | | 2.22 | | | | (9.34 | ) | | | (15.23 | ) |
| Total from investment operations | | | (2.09 | ) | | | 4.26 | | | | 2.11 | | | | (9.48 | ) | | | (15.11 | ) |
| Less distributions from: |
| Net investment income | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Total distributions | | | (1.62 | ) | | | (1.17 | ) | | | (.11 | ) | | | (.80 | ) | | | (.17 | ) |
| Net asset value, end of period | | $ | 25.02 | | | $ | 28.73 | | | $ | 25.64 | | | $ | 23.64 | | | $ | 33.92 | |
| |
| Total Returnb | | | (7.36 | %) | | | 16.65 | % | | | 9.17 | % | | | (28.24 | %) | | | (30.71 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,239 | | | $ | 2,954 | | | $ | 2,556 | | | $ | 8,400 | | | $ | 4,009 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.92 | %) | | | (0.94 | %) | | | (0.53 | %) | | | (0.45 | %) | | | 0.34 | % |
| Total expensesc | | | 1.53 | % | | | 1.52 | % | | | 1.59 | % | | | 1.75 | % | | | 1.77 | % |
| Portfolio turnover rate | | | 630 | % | | | 508 | % | | | 797 | % | | | 371 | % | | | 348 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| 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 ANNUAL REPORT | 109 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
For the one-year period ended March 29, 2018, Real Estate Fund H-Class returned -3.86%, compared with -4.38% for the MSCI U.S. REIT Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was real estate management & services, followed by diversified REITs. The shopping center REITs industry detracted the most from performance, followed by health care REITs.
American Tower Corp., SBA Communications Corp. Class A, and Prologis, Inc. contributed the most to the performance of the Fund. Colony NorthStar, Inc. Class A, Kimco Realty Corp., and Welltower, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| American Tower Corp. — Class A | 2.4% |
| Simon Property Group, Inc. | 2.1% |
| Crown Castle International Corp. | 2.0% |
| Equinix, Inc. | 1.7% |
| Public Storage | 1.7% |
| Prologis, Inc. | 1.7% |
| Weyerhaeuser Co. | 1.5% |
| Equity Residential | 1.4% |
| Digital Realty Trust, Inc. | 1.4% |
| AvalonBay Communities, Inc. | 1.4% |
| Top Ten Total | 17.3% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 110 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | (3.85%) | 3.63% | 3.66% |
| A-Class Shares with sales charge† | (8.41%) | 2.63% | 3.16% |
| C Class Shares | (4.56%) | 2.85% | 2.86% |
| C-Class Shares with CDSC‡ | (5.51%) | 2.85% | 2.86% |
| H-Class Shares | (3.86%) | 3.62% | 3.64% |
| MSCI U.S. REIT Index | (4.38%) | 5.86% | 6.32% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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 and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 111 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| REAL ESTATE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.3% |
| | | | | | | |
| REITs - 95.1% |
| REITs-Diversified - 23.8% |
| American Tower Corp. — Class A | | | 1,673 | | | $ | 243,154 | |
| Crown Castle International Corp. | | | 1,852 | | | | 202,998 | |
| Equinix, Inc. | | | 430 | | | | 179,800 | |
| Weyerhaeuser Co. | | | 4,462 | | | | 156,170 | |
| Digital Realty Trust, Inc. | | | 1,377 | | | | 145,108 | |
| SBA Communications Corp.* | | | 805 | | | | 137,591 | |
| Vornado Realty Trust | | | 1,596 | | | | 107,411 | |
| Duke Realty Corp. | | | 3,563 | | | | 94,348 | |
| Gaming and Leisure Properties, Inc. | | | 2,429 | | | | 81,299 | |
| WP Carey, Inc. | | | 1,264 | | | | 78,355 | |
| Lamar Advertising Co. — Class A | | | 1,158 | | | | 73,718 | |
| New Residential Investment Corp. | | | 4,282 | | | | 70,439 | |
| Forest City Realty Trust, Inc. — Class A | | | 3,383 | | | | 68,540 | |
| CoreSite Realty Corp. | | | 666 | | | | 66,773 | |
| STORE Capital Corp. | | | 2,689 | | | | 66,741 | |
| Rayonier, Inc. | | | 1,838 | | | | 64,661 | |
| EPR Properties | | | 1,101 | | | | 60,995 | |
| Cousins Properties, Inc. | | | 6,685 | | | | 58,026 | |
| PotlatchDeltic Corp. | | | 1,060 | | | | 55,173 | |
| PS Business Parks, Inc. | | | 463 | | | | 52,338 | |
| Colony NorthStar, Inc. — Class A | | | 9,104 | | | | 51,164 | |
| Uniti Group, Inc.1 | | | 3,148 | | | | 51,155 | |
| Outfront Media, Inc. | | | 2,573 | | | | 48,218 | |
| Retail Properties of America, Inc. — Class A | | | 4,119 | | | | 48,028 | |
| STAG Industrial, Inc. | | | 1,958 | | | | 46,835 | |
| GEO Group, Inc. | | | 2,270 | | | | 46,467 | |
| Washington Real Estate Investment Trust | | | 1,648 | | | | 44,990 | |
| CoreCivic, Inc. | | | 2,244 | | | | 43,803 | |
| Total REITs-Diversified | | | | | | | 2,444,298 | |
| | | | | | | | | |
| REITs-Office Property - 11.5% |
| Boston Properties, Inc. | | | 1,074 | | | | 132,338 | |
| Alexandria Real Estate Equities, Inc. | | | 861 | | | | 107,530 | |
| SL Green Realty Corp. | | | 915 | | | | 88,599 | |
| Kilroy Realty Corp. | | | 1,137 | | | | 80,682 | |
| VEREIT, Inc. | | | 11,287 | | | | 78,558 | |
| Douglas Emmett, Inc. | | | 2,041 | | | | 75,027 | |
| Hudson Pacific Properties, Inc. | | | 2,099 | | | | 68,280 | |
| Highwoods Properties, Inc. | | | 1,456 | | | | 63,802 | |
| JBG SMITH Properties | | | 1,774 | | | | 59,802 | |
| Equity Commonwealth* | | | 1,943 | | | | 59,592 | |
| Paramount Group, Inc. | | | 3,910 | | | | 55,678 | |
| Brandywine Realty Trust | | | 3,168 | | | | 50,308 | |
| Empire State Realty Trust, Inc. — Class A | | | 2,987 | | | | 50,152 | |
| Corporate Office Properties Trust | | | 1,878 | | | | 48,509 | |
| Columbia Property Trust, Inc. | | | 2,266 | | | | 46,362 | |
| Piedmont Office Realty Trust, Inc. — Class A | | | 2,629 | | | | 46,244 | |
| Mack-Cali Realty Corp. | | | 2,185 | | | | 36,511 | |
| Government Properties Income Trust | | | 2,578 | | | | 35,215 | |
| Total REITs-Office Property | | | | | | | 1,183,189 | |
| | | | | | | | | |
| REITs-Apartments - 10.4% |
| Equity Residential | | | 2,387 | | | | 147,087 | |
| AvalonBay Communities, Inc. | | | 881 | | | | 144,889 | |
| Essex Property Trust, Inc. | | | 506 | | | | 121,784 | |
| Invitation Homes, Inc. | | | 4,579 | | | | 104,539 | |
| Mid-America Apartment Communities, Inc. | | | 1,076 | | | | 98,174 | |
| UDR, Inc. | | | 2,645 | | | | 94,215 | |
| Camden Property Trust | | | 1,013 | | | | 85,274 | |
| Apartment Investment & Management Co. — Class A | | | 1,895 | | | | 77,221 | |
| American Homes 4 Rent — Class A | | | 3,649 | | | | 73,272 | |
| American Campus Communities, Inc. | | | 1,813 | | | | 70,018 | |
| Education Realty Trust, Inc. | | | 1,465 | | | | 47,979 | |
| Total REITs-Apartments | | | | | | | 1,064,452 | |
| | | | | | | | | |
| REITs-Health Care - 8.9% |
| Welltower, Inc. | | | 2,526 | | | | 137,490 | |
| Ventas, Inc. | | | 2,568 | | | | 127,193 | |
| HCP, Inc. | | | 4,364 | | | | 101,376 | |
| Healthcare Trust of America, Inc. — Class A | | | 2,711 | | | | 71,706 | |
| Omega Healthcare Investors, Inc.1 | | | 2,590 | | | | 70,034 | |
| Medical Properties Trust, Inc. | | | 5,063 | | | | 65,819 | |
| Senior Housing Properties Trust | | | 3,693 | | | | 57,832 | |
| Healthcare Realty Trust, Inc. | | | 2,044 | | | | 56,639 | |
| Sabra Health Care REIT, Inc. | | | 3,007 | | | | 53,074 | |
| Physicians Realty Trust | | | 3,323 | | | | 51,739 | |
| National Health Investors, Inc. | | | 749 | | | | 50,400 | |
| Quality Care Properties, Inc.* | | | 2,193 | | | | 42,610 | |
| CareTrust REIT, Inc. | | | 2,260 | | | | 30,284 | |
| Total REITs-Health Care | | | | | | | 916,196 | |
| | | | | | | | | |
| REITs-Hotels - 7.6% |
| Host Hotels & Resorts, Inc. | | | 5,970 | | | | 111,281 | |
| MGM Growth Properties LLC — Class A | | | 2,975 | | | | 78,956 | |
| Park Hotels & Resorts, Inc. | | | 2,612 | | | | 70,576 | |
| Hospitality Properties Trust | | | 2,444 | | | | 61,931 | |
| Apple Hospitality REIT, Inc. | | | 3,488 | | | | 61,284 | |
| Ryman Hospitality Properties, Inc. | | | 779 | | | | 60,334 | |
| LaSalle Hotel Properties | | | 2,000 | | | | 58,020 | |
| Sunstone Hotel Investors, Inc. | | | 3,718 | | | | 56,588 | |
| RLJ Lodging Trust | | | 2,840 | | | | 55,210 | |
| Pebblebrook Hotel Trust | | | 1,337 | | | | 45,926 | |
| Xenia Hotels & Resorts, Inc. | | | 2,203 | | | | 43,443 | |
| DiamondRock Hospitality Co. | | | 4,149 | | | | 43,316 | |
| Summit Hotel Properties, Inc. | | | 2,682 | | | | 36,502 | |
| Total REITs-Hotels | | | | | | | 783,367 | |
| | | | | | | | | |
| REITs-Warehouse/Industries - 6.6% |
| Prologis, Inc. | | | 2,764 | | | | 174,104 | |
| Liberty Property Trust | | | 1,818 | | | | 72,229 | |
| DCT Industrial Trust, Inc. | | | 1,227 | | | | 69,129 | |
| CyrusOne, Inc. | | | 1,334 | | | | 68,314 | |
| First Industrial Realty Trust, Inc. | | | 1,934 | | | | 56,531 | |
| Gramercy Property Trust | | | 2,567 | | | | 55,781 | |
| EastGroup Properties, Inc. | | | 611 | | | | 50,505 | |
| Rexford Industrial Realty, Inc. | | | 1,590 | | | | 45,776 | |
| 112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| REAL ESTATE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| QTS Realty Trust, Inc. — Class A | | | 1,161 | | | $ | 42,051 | |
| Terreno Realty Corp. | | | 1,210 | | | | 41,757 | |
| Total REITs-Warehouse/Industries | | | | | | | 676,177 | |
| | | | | | | | | |
| REITs-Regional Malls - 5.9% |
| Simon Property Group, Inc. | | | 1,367 | | | | 210,996 | |
| GGP, Inc. | | | 6,445 | | | | 131,865 | |
| Macerich Co. | | | 1,488 | | | | 83,358 | |
| Taubman Centers, Inc. | | | 993 | | | | 56,512 | |
| Tanger Factory Outlet Centers, Inc.1 | | | 2,005 | | | | 44,110 | |
| Washington Prime Group, Inc. | | | 5,149 | | | | 34,344 | |
| Pennsylvania Real Estate Investment Trust | | | 2,550 | | | | 24,607 | |
| CBL & Associates Properties, Inc.1 | | | 5,851 | | | | 24,399 | |
| Total REITs-Regional Malls | | | | | | | 610,191 | |
| | | | | | | | | |
| REITs-Shopping Centers - 5.8% |
| Regency Centers Corp. | | | 1,623 | | | | 95,725 | |
| Federal Realty Investment Trust | | | 764 | | | | 88,708 | |
| Kimco Realty Corp. | | | 5,188 | | | | 74,707 | |
| Brixmor Property Group, Inc. | | | 4,240 | | | | 64,660 | |
| Weingarten Realty Investors | | | 2,073 | | | | 58,210 | |
| DDR Corp. | | | 6,711 | | | | 49,192 | |
| Urban Edge Properties | | | 2,192 | | | | 46,799 | |
| Acadia Realty Trust | | | 1,751 | | | | 43,075 | |
| Retail Opportunity Investments Corp. | | | 2,421 | | | | 42,779 | |
| Kite Realty Group Trust | | | 2,234 | | | | 34,024 | |
| Total REITs-Shopping Centers | | | | | | | 597,879 | |
| | | | | | | | | |
| REITs-Mortgage - 5.7% |
| Annaly Capital Management, Inc. | | | 10,142 | | | | 105,781 | |
| AGNC Investment Corp. | | | 4,407 | | | | 83,380 | |
| Starwood Property Trust, Inc. | | | 3,380 | | | | 70,811 | |
| Blackstone Mortgage Trust, Inc. — Class A1 | | | 1,774 | | | | 55,739 | |
| Chimera Investment Corp. | | | 3,137 | | | | 54,615 | |
| MFA Financial, Inc. | | | 6,982 | | | | 52,574 | |
| Two Harbors Investment Corp. | | | 3,235 | | | | 49,722 | |
| Apollo Commercial Real Estate Finance, Inc. | | | 2,300 | | | | 41,354 | |
| Invesco Mortgage Capital, Inc. | | | 2,518 | | | | 41,245 | |
| ARMOUR Residential REIT, Inc. | | | 1,300 | | | | 30,264 | |
| Total REITs-Mortgage | | | | | | | 585,485 | |
| | | | | | | | | |
| REITs-Storage - 4.9% |
| Public Storage | | | 889 | | | | 178,147 | |
| Extra Space Storage, Inc. | | | 1,146 | | | | 100,115 | |
| Iron Mountain, Inc. | | | 2,807 | | | | 92,238 | |
| CubeSmart | | | 2,448 | | | | 69,034 | |
| Life Storage, Inc. | | | 730 | | | | 60,970 | |
| Total REITs-Storage | | | | | | | 500,504 | |
| | | | | | | | | |
| REITs-Single Tenant - 2.4% |
| Realty Income Corp. | | | 2,261 | | | | 116,962 | |
| National Retail Properties, Inc. | | | 1,909 | | | | 74,947 | |
| Spirit Realty Capital, Inc. | | | 7,174 | | | | 55,670 | |
| Total REITs-Single Tenant | | | | | | | 247,579 | |
| | | | | | | | | |
| REITs-Manufactured HomeS- 1.6% |
| Equity LifeStyle Properties, Inc. | | | 969 | | | | 85,049 | |
| Sun Communities, Inc. | | | 905 | | | | 82,690 | |
| Total REITs-Manufactured Homes | | | | | | | 167,739 | |
| Total REITs | | | | | | | 9,777,056 | |
| | | | | | | | | |
| Real Estate - 4.2% |
| Real Estate Management/Services - 3.5% |
| CBRE Group, Inc. — Class A* | | | 2,557 | | | | 120,741 | |
| Jones Lang LaSalle, Inc. | | | 489 | | | | 85,399 | |
| Realogy Holdings Corp.1 | | | 2,131 | | | | 58,134 | |
| Kennedy-Wilson Holdings, Inc. | | | 2,827 | | | | 49,190 | |
| Redfin Corp.*,1 | | | 1,805 | | | | 41,208 | |
| Total Real Estate Management/Services | | | | | | | 354,672 | |
| | | | | | | | | |
| Real Estate Operations/Development - 0.7% |
| Howard Hughes Corp.* | | | 541 | | | | 75,269 | |
| Total Real Estate | | | | | | | 429,941 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $9,811,432) | | | | | | | 10,206,997 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 45,316 | | | | 45,316 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 14,829 | | | | 14,829 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $60,145) | | | | | | | 60,145 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 1.8% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 187,965 | | | | 187,965 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $187,965) | | | | | | | 187,965 | |
| | | | | | | | | |
| Total Investments - 101.7% | | | | | | | | |
| (Cost $10,059,542) | | | | | | $ | 10,455,107 | |
| Other Assets & Liabilities, net - (1.7)% | | | | | | | (176,651 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 10,278,456 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| REAL ESTATE FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 10,206,997 | | | $ | — | | | $ | — | | | $ | 10,206,997 | |
| Repurchase Agreements | | | — | | | | 60,145 | | | | — | | | | 60,145 | |
| Securities Lending Collateral | | | 187,965 | | | | — | | | | — | | | | 187,965 | |
| Total Assets | | $ | 10,394,962 | | | $ | 60,145 | | | $ | — | | | $ | 10,455,107 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $179,810 of securities loaned (cost $9,999,397) | | $ | 10,394,962 | |
| Repurchase agreements, at value (cost $60,145) | | | 60,145 | |
| Cash | | | 6,040 | |
| Receivables: |
| Fund shares sold | | | 703,048 | |
| Dividends | | | 56,831 | |
| Securities lending income | | | 87 | |
| Interest | | | 9 | |
| Total assets | | | 11,221,122 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 705,987 | |
| Return of securities loaned | | | 187,965 | |
| Fund shares redeemed | | | 31,311 | |
| Management fees | | | 7,291 | |
| Distribution and service fees | | | 2,769 | |
| Transfer agent and administrative fees | | | 2,144 | |
| Portfolio accounting fees | | | 858 | |
| Trustees’ fees* | | | 281 | |
| Miscellaneous | | | 4,060 | |
| Total liabilities | | | 942,666 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 10,278,456 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 12,381,935 | |
| Undistributed net investment income | | | 336,149 | |
| Accumulated net realized loss on investments | | | (2,835,193 | ) |
| Net unrealized appreciation on investments | | | 395,565 | |
| Net assets | | $ | 10,278,456 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 486,018 | |
| Capital shares outstanding | | | 13,531 | |
| Net asset value per share | | $ | 35.92 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 37.71 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 992,738 | |
| Capital shares outstanding | | | 31,445 | |
| Net asset value per share | | $ | 31.57 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 8,799,700 | |
| Capital shares outstanding | | | 245,632 | |
| Net asset value per share | | $ | 35.82 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $236) | | $ | 852,683 | |
| Interest | | | 1,029 | |
| Income from securities lending, net | | | 8,234 | |
| Total investment income | | | 861,946 | |
| | | | | |
| Expenses: |
| Management fees | | | 192,848 | |
| Distribution and service fees: |
| A-Class | | | 17,143 | |
| C-Class | | | 10,178 | |
| H-Class | | | 37,032 | |
| Transfer agent and administrative fees | | | 56,720 | |
| Portfolio accounting fees | | | 22,688 | |
| Registration fees | | | 16,182 | |
| Custodian fees | | | 3,070 | |
| Trustees’ fees* | | | 1,675 | |
| Line of credit fees | | | 162 | |
| Miscellaneous | | | 19,619 | |
| Total expenses | | | 377,317 | |
| Net investment income | | | 484,629 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | (726,449 | ) |
| Net realized loss | | | (726,449 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (850,068 | ) |
| Net change in unrealized appreciation (depreciation) | | | (850,068 | ) |
| Net realized and unrealized loss | | | (1,576,517 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,091,888 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 115 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 484,629 | | | $ | 289,865 | |
| Net realized gain (loss) on investments | | | (726,449 | ) | | | 9,807,974 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (850,068 | ) | | | (5,277,557 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (1,091,888 | ) | | | 4,820,282 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (36,813 | ) | | | (210,089 | ) |
| C-Class | | | (5,875 | ) | | | (95,358 | ) |
| H-Class | | | (81,666 | ) | | | (528,698 | ) |
| Total distributions to shareholders | | | (124,354 | ) | | | (834,145 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 27,925,045 | | | | 13,401,514 | |
| C-Class | | | 2,801,676 | | | | 6,904,190 | |
| H-Class | | | 243,325,987 | | | | 489,324,519 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 36,686 | | | | 203,192 | |
| C-Class | | | 5,841 | | | | 93,788 | |
| H-Class | | | 79,934 | | | | 527,824 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (28,893,180 | ) | | | (21,614,444 | ) |
| C-Class | | | (2,744,067 | ) | | | (7,926,493 | ) |
| H-Class | | | (240,126,671 | ) | | | (521,490,995 | ) |
| Net increase (decrease) from capital share transactions | | | 2,411,251 | | | | (40,576,905 | ) |
| Net increase (decrease) in net assets | | | 1,195,009 | | | | (36,590,768 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 9,083,447 | | | | 45,674,215 | |
| End of year | | $ | 10,278,456 | | | $ | 9,083,447 | |
| Undistributed (distributions in excess of) net investment income at end of year | | $ | 336,149 | | | $ | (25,641 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 735,037 | | | | 349,580 | |
| C-Class | | | 83,624 | | | | 198,544 | |
| H-Class | | | 6,430,451 | | | | 12,883,150 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 945 | | | | 5,852 | |
| C-Class | | | 171 | | | | 3,040 | |
| H-Class | | | 2,064 | | | | 15,242 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (769,379 | ) | | | (555,720 | ) |
| C-Class | | | (82,363 | ) | | | (229,590 | ) |
| H-Class | | | (6,355,704 | ) | | | (13,656,756 | ) |
| Net increase (decrease) in shares | | | 44,846 | | | | (986,658 | ) |
| 116 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.55 | | | $ | 37.31 | | | $ | 38.34 | | | $ | 33.47 | | | $ | 34.43 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .65 | | | | .34 | | | | .65 | | | | .42 | | | | .65 | |
| Net gain (loss) on investments (realized and unrealized) | | | (2.08 | ) | | | 2.15 | | | | (1.24 | ) | | | 4.77 | | | | (.14 | ) |
| Total from investment operations | | | (1.43 | ) | | | 2.49 | | | | (.59 | ) | | | 5.19 | | | | .51 | |
| Less distributions from: |
| Net investment income | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Total distributions | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Net asset value, end of period | | $ | 35.92 | | | $ | 37.55 | | | $ | 37.31 | | | $ | 38.34 | | | $ | 33.47 | |
| |
| Total Returnb | | | (3.85 | %) | | | 7.17 | % | | | (1.46 | %) | | | 15.58 | % | | | 1.86 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 486 | | | $ | 1,762 | | | $ | 9,223 | | | $ | 6,329 | | | $ | 4,124 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.69 | % | | | 0.89 | % | | | 1.82 | % | | | 1.13 | % | | | 1.92 | % |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 1,010 | % | | | 1,060 | % | | | 880 | % | | | 599 | % | | | 788 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 33.28 | | | $ | 33.56 | | | $ | 34.81 | | | $ | 30.64 | | | $ | 31.89 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .29 | | | | .19 | | | | .22 | | | | .23 | | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | (1.80 | ) | | | 1.78 | | | | (1.03 | ) | | | 4.26 | | | | (.07 | ) |
| Total from investment operations | | | (1.51 | ) | | | 1.97 | | | | (.81 | ) | | | 4.49 | | | | .22 | |
| Less distributions from: |
| Net investment income | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Total distributions | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Net asset value, end of period | | $ | 31.57 | | | $ | 33.28 | | | $ | 33.56 | | | $ | 34.81 | | | $ | 30.64 | |
| |
| Total Returnb | | | (4.56 | %) | | | 6.37 | % | | | (2.25 | %) | | | 14.73 | % | | | 1.09 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 993 | | | $ | 999 | | | $ | 1,947 | | | $ | 2,937 | | | $ | 2,497 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.86 | % | | | 0.56 | % | | | 0.69 | % | | | 0.70 | % | | | 0.93 | % |
| Total expenses | | | 2.38 | % | | | 2.38 | % | | | 2.36 | % | | | 2.35 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 1,010 | % | | | 1,060 | % | | | 880 | % | | | 599 | % | | | 788 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.45 | | | $ | 37.21 | | | $ | 38.25 | | | $ | 33.40 | | | $ | 34.38 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .92 | | | | .27 | | | | .71 | | | | .48 | | | | .52 | |
| Net gain (loss) on investments (realized and unrealized) | | | (2.35 | ) | | | 2.22 | | | | (1.31 | ) | | | 4.69 | | | | (.03 | ) |
| Total from investment operations | | | (1.43 | ) | | | 2.49 | | | | (.60 | ) | | | 5.17 | | | | .49 | |
| Less distributions from: |
| Net investment income | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Total distributions | | | (.20 | ) | | | (2.25 | ) | | | (.44 | ) | | | (.32 | ) | | | (1.47 | ) |
| Net asset value, end of period | | $ | 35.82 | | | $ | 37.45 | | | $ | 37.21 | | | $ | 38.25 | | | $ | 33.40 | |
| |
| Total Returnb | | | (3.86 | %) | | | 7.18 | % | | | (1.49 | %) | | | 15.55 | % | | | 1.84 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,800 | | | $ | 6,322 | | | $ | 34,504 | | | $ | 37,625 | | | $ | 19,753 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 2.43 | % | | | 0.70 | % | | | 1.97 | % | | | 1.32 | % | | | 1.52 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.62 | % | | | 1.60 | % | | | 1.64 | % |
| Portfolio turnover rate | | | 1,010 | % | | | 1,060 | % | | | 880 | % | | | 599 | % | | | 788 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| 118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail-order operations, and other companies involved in selling products to consumers (“Retailing Companies”).
For the one-year period ended March 29, 2018, Retailing Fund Investor Class returned 12.66%, compared with 16.91% for the S&P 500 Consumer Discretionary Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was E-commerce discretionary, followed by mass merchants. The food & drug stores industry detracted the most, followed by other specialty retail.
Amazon.com, Inc., Netflix, Inc., and Walmart, Inc. contributed the most to the performance of the Fund. Walgreens Boots Alliance, Inc., Vipshop Holdings Ltd. ADR, and CVS Health Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| 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. | 8.9% |
| Walmart, Inc. | 5.7% |
| Home Depot, Inc. | 5.0% |
| Netflix, Inc. | 3.7% |
| Booking Holdings, Inc. | 3.4% |
| Costco Wholesale Corp. | 3.2% |
| Lowe’s Companies, Inc. | 3.0% |
| Walgreens Boots Alliance, Inc. | 2.7% |
| CVS Health Corp. | 2.6% |
| TJX Companies, Inc. | 2.5% |
| Top Ten Total | 40.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 119 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 12.66% | 9.00% | 10.13% |
| A-Class Shares | 12.42% | 8.78% | 9.89% |
| A-Class Shares with sales charge† | 7.08% | 7.73% | 9.35% |
| C-Class Shares | 11.52% | 7.93% | 9.04% |
| C-Class Shares with CDSC‡ | 10.52% | 7.93% | 9.04% |
| H-Class Shares** | 12.40% | 8.65% | 9.71% |
| S&P 500 Consumer Discretionary Index | 16.91% | 15.68% | 14.56% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | 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. |
| 120 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| RETAILING FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.4% |
| | | | | | | |
| Retail - 66.3% |
| Walmart, Inc. | | | 17,099 | | | $ | 1,521,298 | |
| Home Depot, Inc. | | | 7,495 | | | | 1,335,909 | |
| Costco Wholesale Corp. | | | 4,519 | | | | 851,515 | |
| Lowe’s Companies, Inc. | | | 9,121 | | | | 800,368 | |
| Walgreens Boots Alliance, Inc. | | | 11,083 | | | | 725,604 | |
| TJX Companies, Inc. | | | 8,187 | | | | 667,732 | |
| Target Corp. | | | 8,202 | | | | 569,465 | |
| Ross Stores, Inc. | | | 6,596 | | | | 514,356 | |
| Dollar General Corp. | | | 5,230 | | | | 489,266 | |
| Dollar Tree, Inc.* | | | 4,727 | | | | 448,592 | |
| O’Reilly Automotive, Inc.* | | | 1,714 | | | | 424,009 | |
| Best Buy Company, Inc. | | | 5,894 | | | | 412,521 | |
| AutoZone, Inc.* | | | 601 | | | | 389,863 | |
| Genuine Parts Co. | | | 3,723 | | | | 334,474 | |
| Ulta Beauty, Inc.* | | | 1,615 | | | | 329,896 | |
| Tiffany & Co. | | | 3,272 | | | | 319,544 | |
| Kohl’s Corp. | | | 4,835 | | | | 316,741 | |
| Gap, Inc. | | | 10,145 | | | | 316,524 | |
| CarMax, Inc.* | | | 5,033 | | | | 311,744 | |
| L Brands, Inc. | | | 7,652 | | | | 292,383 | |
| Burlington Stores, Inc.* | | | 2,154 | | | | 286,805 | |
| Macy’s, Inc. | | | 9,613 | | | | 285,891 | |
| Advance Auto Parts, Inc. | | | 2,335 | | | | 276,814 | |
| Nordstrom, Inc. | | | 5,410 | | | | 261,898 | |
| Tractor Supply Co. | | | 4,095 | | | | 258,067 | |
| Foot Locker, Inc. | | | 4,991 | | | | 227,290 | |
| Floor & Decor Holdings, Inc. — Class A* | | | 4,240 | | | | 220,989 | |
| Williams-Sonoma, Inc.1 | | | 3,734 | | | | 197,006 | |
| Five Below, Inc.* | | | 2,660 | | | | 195,084 | |
| Dick’s Sporting Goods, Inc. | | | 5,432 | | | | 190,392 | |
| Urban Outfitters, Inc.* | | | 5,139 | | | | 189,937 | |
| AutoNation, Inc.* | | | 3,948 | | | | 184,687 | |
| Ollie’s Bargain Outlet Holdings, Inc.* | | | 3,011 | | | | 181,563 | |
| American Eagle Outfitters, Inc. | | | 8,919 | | | | 177,756 | |
| Penske Automotive Group, Inc. | | | 3,976 | | | | 176,256 | |
| Michaels Companies, Inc.* | | | 8,398 | | | | 165,525 | |
| Bed Bath & Beyond, Inc. | | | 7,450 | | | | 156,375 | |
| PriceSmart, Inc. | | | 1,812 | | | | 151,393 | |
| RH*,1 | | | 1,552 | | | | 147,875 | |
| Guess?, Inc. | | | 6,933 | | | | 143,790 | |
| Lithia Motors, Inc. — Class A | | | 1,430 | | | | 143,744 | |
| Children’s Place, Inc. | | | 1,049 | | | | 141,877 | |
| Dillard’s, Inc. — Class A1 | | | 1,703 | | | | 136,819 | |
| DSW, Inc. — Class A | | | 6,062 | | | | 136,152 | |
| Sally Beauty Holdings, Inc.* | | | 7,918 | | | | 130,251 | |
| Signet Jewelers Ltd.1 | | | 3,291 | | | | 126,769 | |
| Abercrombie & Fitch Co. — Class A | | | 5,170 | | | | 125,166 | |
| Big Lots, Inc. | | | 2,758 | | | | 120,056 | |
| Party City Holdco, Inc.* | | | 7,340 | | | | 114,504 | |
| Asbury Automotive Group, Inc.*,1 | | | 1,620 | | | | 109,350 | |
| Tailored Brands, Inc. | | | 4,280 | | | | 107,257 | |
| Chico’s FAS, Inc. | | | 11,372 | | | | 102,803 | |
| Group 1 Automotive, Inc. | | | 1,566 | | | | 102,322 | |
| Conn’s, Inc.* | | | 2,828 | | | | 96,152 | |
| GameStop Corp. — Class A | | | 7,485 | | | | 94,461 | |
| PetMed Express, Inc. | | | 1,960 | | | | 81,830 | |
| Zumiez, Inc.* | | | 3,363 | | | | 80,376 | |
| Finish Line, Inc. — Class A | | | 5,807 | | | | 78,627 | |
| Lumber Liquidators Holdings, Inc.*,1 | | | 3,156 | | | | 75,492 | |
| Express, Inc.* | | | 9,697 | | | | 69,430 | |
| Hibbett Sports, Inc.* | | | 2,704 | | | | 64,761 | |
| Tile Shop Holdings, Inc. | | | 8,758 | | | | 52,548 | |
| GNC Holdings, Inc. — Class A*,1 | | | 13,284 | | | | 51,276 | |
| Total Retail | | | | | | | 17,789,220 | |
| | | | | | | | | |
| Internet - 24.8% |
| Amazon.com, Inc.* | | | 1,641 | | | | 2,375,085 | |
| Netflix, Inc.* | | | 3,389 | | | | 1,000,941 | |
| Booking Holdings, Inc.* | | | 441 | | | | 917,452 | |
| JD.com, Inc. ADR* | | | 10,874 | | | | 440,288 | |
| Expedia Group, Inc. | | | 3,442 | | | | 380,031 | |
| Ctrip.com International Ltd. ADR* | | | 7,617 | | | | 355,105 | |
| Vipshop Holdings Ltd. ADR* | | | 15,280 | | | | 253,954 | |
| TripAdvisor, Inc.* | | | 5,315 | | | | 217,330 | |
| Wayfair, Inc. — Class A* | | | 2,998 | | | | 202,455 | |
| Shutterfly, Inc.* | | | 1,824 | | | | 148,200 | |
| Groupon, Inc. — Class A*,1 | | | 33,062 | | | | 143,489 | |
| Liberty Expedia Holdings, Inc. — Class A* | | | 3,498 | | | | 137,401 | |
| Overstock.com, Inc.*,1 | | | 1,899 | | | | 68,839 | |
| Total Internet | | | | | | | 6,640,570 | |
| | | | | | | | | |
| Pharmaceuticals - 2.6% |
| CVS Health Corp. | | | 11,323 | | | | 704,404 | |
| | | | | | | | | |
| Distribution & Wholesale - 2.3% |
| LKQ Corp.* | | | 8,271 | | | | 313,885 | |
| Pool Corp. | | | 1,556 | | | | 227,518 | |
| Core-Mark Holding Company, Inc. | | | 4,220 | | | | 89,717 | |
| Total Distribution & Wholesale | | | | | | | 631,120 | |
| | | | | | | | | |
| Commercial Services - 1.6% |
| Aaron’s, Inc. | | | 3,571 | | | | 166,409 | |
| Monro, Inc. | | | 2,299 | | | | 123,226 | |
| NutriSystem, Inc. | | | 2,852 | | | | 76,861 | |
| Rent-A-Center, Inc.1 | | | 6,750 | | | | 58,253 | |
| Total Commercial Services | | | | | | | 424,749 | |
| | | | | | | | | |
| Leisure Time - 0.9% |
| Camping World Holdings, Inc. — Class A | | | 4,720 | | | | 152,220 | |
| Liberty TripAdvisor Holdings, Inc. — Class A* | | | 7,567 | | | | 81,345 | |
| Total Leisure Time | | | | | | | 233,565 | |
| | | | | | | | | |
| Oil & Gas - 0.5% |
| Murphy USA, Inc.* | | | 1,971 | | | | 143,489 | |
| | | | | | | | | |
| Home Furnishings - 0.4% |
| Sleep Number Corp.* | | | 3,022 | | | | 106,223 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $22,492,509) | | | | | | | 26,673,340 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| RETAILING FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 32,511 | | | $ | 32,511 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 10,639 | | | | 10,639 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $43,150) | | | | | | | 43,150 | |
| | | | | | | | | |
| | | Shares | | | | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 2.8% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 738,056 | | | | 738,056 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $738,056) | | | | | | | 738,056 | |
| | | | | | | | | |
| Total Investments - 102.4% | | | | | | | | |
| (Cost $23,273,715) | | | | | | $ | 27,454,546 | |
| Other Assets & Liabilities, net - (2.4)% | | | | | | | (636,928 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 26,817,618 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 26,673,340 | | | $ | — | | | $ | — | | | $ | 26,673,340 | |
| Repurchase Agreements | | | — | | | | 43,150 | | | | — | | | | 43,150 | |
| Securities Lending Collateral | | | 738,056 | | | | — | | | | — | | | | 738,056 | |
| Total Assets | | $ | 27,411,396 | | | $ | 43,150 | | | $ | — | | | $ | 27,454,546 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 122 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $718,639 of securities loaned (cost $23,230,565) | | $ | 27,411,396 | |
| Repurchase agreements, at value (cost $43,150) | | | 43,150 | |
| Cash | | | 3,889 | |
| Receivables: |
| Fund shares sold | | | 688,016 | |
| Dividends | | | 26,948 | |
| Securities lending income | | | 1,116 | |
| Interest | | | 7 | |
| Total assets | | | 28,174,522 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 738,056 | |
| Securities purchased | | | 517,016 | |
| Fund shares redeemed | | | 61,929 | |
| Management fees | | | 21,936 | |
| Transfer agent and administrative fees | | | 6,452 | |
| Portfolio accounting fees | | | 2,581 | |
| Distribution and service fees | | | 2,405 | |
| Trustees’ fees* | | | 633 | |
| Miscellaneous | | | 5,896 | |
| Total liabilities | | | 1,356,904 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 26,817,618 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 26,454,939 | |
| Undistributed net investment income | | | 54,074 | |
| Accumulated net realized loss on investments | | | (3,872,226 | ) |
| Net unrealized appreciation on investments | | | 4,180,831 | |
| Net assets | | $ | 26,817,618 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 19,875,711 | |
| Capital shares outstanding | | | 658,736 | |
| Net asset value per share | | $ | 30.17 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,259,913 | |
| Capital shares outstanding | | | 44,046 | |
| Net asset value per share | | $ | 28.60 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 30.03 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 603,104 | |
| Capital shares outstanding | | | 23,686 | |
| Net asset value per share | | $ | 25.46 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 5,078,890 | |
| Capital shares outstanding | | | 181,985 | |
| Net asset value per share | | $ | 27.91 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $842) | | $ | 334,524 | |
| Interest | | | 1,245 | |
| Income from securities lending, net | | | 22,121 | |
| Total investment income | | | 357,890 | |
| | | | | |
| Expenses: |
| Management fees | | | 172,519 | |
| Distribution and service fees: |
| A-Class | | | 3,090 | |
| C-Class | | | 14,172 | |
| H-Class | | | 7,774 | |
| Transfer agent and administrative fees | | | 50,741 | |
| Registration fees | | | 18,817 | |
| Portfolio accounting fees | | | 20,296 | |
| Custodian fees | | | 2,793 | |
| Trustees’ fees* | | | 1,700 | |
| Line of credit fees | | | 146 | |
| Miscellaneous | | | 11,938 | |
| Total expenses | | | 303,986 | |
| Net investment income | | | 53,904 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | (234,098 | ) |
| Net realized loss | | | (234,098 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | 761,856 | |
| Net change in unrealized appreciation (depreciation) | | | 761,856 | |
| Net realized and unrealized gain | | | 527,758 | |
| Net increase in net assets resulting from operations | | $ | 581,662 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 123 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 53,904 | | | $ | (15,106 | ) |
| Net realized gain (loss) on investments | | | (234,098 | ) | | | 4,196,154 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 761,856 | | | | (4,955,206 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 581,662 | | | | (774,158 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 107,508,613 | | | | 118,388,461 | |
| A-Class | | | 2,267,258 | | | | 2,184,386 | |
| C-Class | | | 2,196,897 | | | | 1,975,138 | |
| H-Class | | | 171,202,184 | | | | 44,643,931 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (97,300,877 | ) | | | (119,709,090 | ) |
| A-Class | | | (2,367,312 | ) | | | (7,079,757 | ) |
| C-Class | | | (3,396,691 | ) | | | (2,867,907 | ) |
| H-Class | | | (165,600,202 | ) | | | (47,551,893 | ) |
| Net increase (decrease) from capital share transactions | | | 14,509,870 | | | | (10,016,731 | ) |
| Net increase (decrease) in net assets | | | 15,091,532 | | | | (10,790,889 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 11,726,086 | | | | 22,516,975 | |
| End of year | | $ | 26,817,618 | | | $ | 11,726,086 | |
| Undistributed net investment income at end of year | | $ | 54,074 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 3,804,703 | | | | 4,468,767 | |
| A-Class | | | 85,542 | | | | 86,254 | |
| C-Class | | | 89,484 | | | | 87,780 | |
| H-Class | | | 6,831,279 | | | | 1,886,660 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (3,463,319 | ) | | | (4,531,899 | ) |
| A-Class | | | (89,318 | ) | | | (284,154 | ) |
| C-Class | | | (135,935 | ) | | | (126,634 | ) |
| H-Class | | | (6,665,830 | ) | | | (2,006,027 | ) |
| Net increase (decrease) in shares | | | 456,606 | | | | (419,253 | ) |
| 124 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.78 | | | $ | 26.98 | | | $ | 28.13 | | | $ | 23.54 | | | $ | 19.62 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .11 | | | | .03 | | | | (.03 | ) | | | .11 | | | | —b | |
| Net gain (loss) on investments (realized and unrealized) | | | 3.28 | | | | (.23 | ) | | | (1.10 | ) | | | 4.48 | | | | 3.92 | |
| Total from investment operations | | | 3.39 | | | | (.20 | ) | | | (1.13 | ) | | | 4.59 | | | | 3.92 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 30.17 | | | $ | 26.78 | | | $ | 26.98 | | | $ | 28.13 | | | $ | 23.54 | |
| |
| Total Returnc | | | 12.66 | % | | | (0.74 | %) | | | (4.01 | %) | | | 19.50 | % | | | 19.98 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 19,876 | | | $ | 8,498 | | | $ | 10,265 | | | $ | 46,283 | | | $ | 65,195 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.40 | % | | | 0.10 | % | | | (0.10 | %) | | | 0.42 | % | | | 0.01 | % |
| Total expenses | | | 1.37 | % | | | 1.37 | % | | | 1.34 | % | | | 1.33 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 1,306 | % | | | 887 | % | | | 238 | % | | | 395 | % | | | 671 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.44 | | | $ | 25.69 | | | $ | 26.85 | | | $ | 22.48 | | | $ | 18.79 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | —b | | | | (.08 | ) | | | (.09 | ) | | | .06 | | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.16 | | | | (.17 | ) | | | (1.05 | ) | | | 4.31 | | | | 3.78 | |
| Total from investment operations | | | 3.16 | | | | (.25 | ) | | | (1.14 | ) | | | 4.37 | | | | 3.69 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 28.60 | | | $ | 25.44 | | | $ | 25.69 | | | $ | 26.85 | | | $ | 22.48 | |
| |
| Total Returnc | | | 12.42 | % | | | (0.97 | %) | | | (4.24 | %) | | | 19.44 | % | | | 19.64 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,260 | | | $ | 1,217 | | | $ | 6,313 | | | $ | 19,502 | | | $ | 2,049 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | — | | | | (0.34 | %) | | | (0.36 | %) | | | 0.25 | % | | | (0.42 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.60 | % | | | 1.58 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 1,306 | % | | | 887 | % | | | 238 | % | | | 395 | % | | | 671 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.83 | | | $ | 23.23 | | | $ | 24.46 | | | $ | 20.64 | | | $ | 17.40 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.23 | ) | | | (.24 | ) | | | (.19 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.80 | | | | (.17 | ) | | | (.97 | ) | | | 4.01 | | | | 3.47 | |
| Total from investment operations | | | 2.63 | | | | (.40 | ) | | | (1.21 | ) | | | 3.82 | | | | 3.24 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 25.46 | | | $ | 22.83 | | | $ | 23.23 | | | $ | 24.46 | | | $ | 20.64 | |
| |
| Total Returnc | | | 11.52 | % | | | (1.76 | %) | | | (4.94 | %) | | | 18.51 | % | | | 18.62 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 603 | | | $ | 1,601 | | | $ | 2,532 | | | $ | 3,455 | | | $ | 2,503 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.71 | %) | | | (1.00 | %) | | | (1.04 | %) | | | (0.88 | %) | | | (1.16 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.34 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 1,306 | % | | | 887 | % | | | 238 | % | | | 395 | % | | | 671 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.83 | | | $ | 25.07 | | | $ | 26.22 | | | $ | 22.00 | | | $ | 18.45 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .05 | | | | (— | )b | | | (.11 | ) | | | .01 | | | | (.14 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.03 | | | | (.24 | ) | | | (1.02 | ) | | | 4.21 | | | | 3.69 | |
| Total from investment operations | | | 3.08 | | | | (.24 | ) | | | (1.13 | ) | | | 4.22 | | | | 3.55 | |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.02 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 27.91 | | | $ | 24.83 | | | $ | 25.07 | | | $ | 26.22 | | | $ | 22.00 | |
| |
| Total Returnc | | | 12.40 | % | | | (0.96 | %) | | | (4.31 | %) | | | 19.18 | % | | | 19.24 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,079 | | | $ | 411 | | | $ | 3,407 | | | $ | 8,871 | | | $ | 5,391 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.18 | % | | | (— | )e | | | (0.44 | %) | | | 0.05 | % | | | (0.64 | %) |
| Total expenses | | | 1.62 | % | | | 1.62 | % | | | 1.71 | % | | | 1.83 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 1,306 | % | | | 887 | % | | | 238 | % | | | 395 | % | | | 671 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Net investment income is less than $0.01 per share. |
| c | | Total return does not reflect the impact of any applicable sales charges. |
| 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. |
| e | | Less than (0.01)%. |
| 126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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, and PC hardware and peripherals companies (“Technology Companies”).
For the one-year period ended March 29, 2018, Technology Fund Investor Class returned 27.11%, compared with 27.68% for the S&P 500 Information Technology Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was semiconductor devices, followed by application software. The transaction management systems industry detracted the most, followed by electronics manufacturing services & original design manufacturers.
Microsoft Corp., NVIDIA Corp., and Alphabet, Inc. Class A contributed the most to the performance of the Fund. International Business Machines Corp., Advanced Micro Devices, Inc., and Macom Technology Solutions Holdings, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 14, 1998 |
| A-Class | September 1, 2004 |
| C-Class | April 18, 2001 |
| H-Class | April 29, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | 3.5% |
| Microsoft Corp. | 3.2% |
| Alphabet, Inc. — Class A | 3.1% |
| Facebook, Inc. — Class A | 2.5% |
| Alibaba Group Holding Ltd. ADR | 2.0% |
| Intel Corp. | 1.9% |
| Visa, Inc. — Class A | 1.9% |
| Cisco Systems, Inc. | 1.7% |
| Mastercard, Inc. — Class A | 1.6% |
| Oracle Corp. | 1.6% |
| Top Ten Total | 23.0% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 127 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 27.11% | 17.08% | 10.51% |
| A-Class Shares | 26.77% | 16.77% | 10.20% |
| A-Class Shares with sales charge† | 20.75% | 15.63% | 9.67% |
| C-Class Shares | 25.85% | 15.93% | 9.40% |
| C-Class Shares with CDSC‡ | 24.85% | 15.93% | 9.40% |
| H-Class Shares** | 26.78% | 16.66% | 10.02% |
| S&P 500 Information Technology Index | 27.68% | 20.65% | 14.15% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | 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. |
| 128 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| TECHNOLOGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.4% |
| | | | | | | |
| Software - 24.1% |
| Microsoft Corp. | | | 44,955 | | | $ | 4,103,043 | |
| Oracle Corp. | | | 44,488 | | | | 2,035,326 | |
| Adobe Systems, Inc.* | | | 7,514 | | | | 1,623,625 | |
| salesforce.com, Inc.* | | | 12,062 | | | | 1,402,811 | |
| VMware, Inc. — Class A* | | | 9,008 | | | | 1,092,400 | |
| Activision Blizzard, Inc. | | | 15,682 | | | | 1,057,908 | |
| Intuit, Inc. | | | 6,047 | | | | 1,048,247 | |
| Electronic Arts, Inc.* | | | 7,781 | | | | 943,368 | |
| Fidelity National Information Services, Inc. | | | 9,123 | | | | 878,545 | |
| Fiserv, Inc.* | | | 11,882 | | | | 847,305 | |
| ServiceNow, Inc.* | | | 5,070 | | | | 838,832 | |
| Red Hat, Inc.* | | | 5,369 | | | | 802,719 | |
| Autodesk, Inc.* | | | 6,327 | | | | 794,545 | |
| Workday, Inc. — Class A* | | | 6,220 | | | | 790,624 | |
| NetEase, Inc. ADR | | | 2,570 | | | | 720,602 | |
| Paychex, Inc. | | | 11,694 | | | | 720,233 | |
| First Data Corp. — Class A* | | | 38,755 | | | | 620,080 | |
| Momo, Inc. ADR* | | | 16,567 | | | | 619,274 | |
| Broadridge Financial Solutions, Inc. | | | 5,215 | | | | 572,033 | |
| CA, Inc. | | | 16,873 | | | | 571,995 | |
| Splunk, Inc.* | | | 5,780 | | | | 568,694 | |
| Citrix Systems, Inc.* | | | 6,010 | | | | 557,728 | |
| ANSYS, Inc.* | | | 3,520 | | | | 551,549 | |
| Synopsys, Inc.* | | | 6,480 | | | | 539,395 | |
| SS&C Technologies Holdings, Inc. | | | 10,040 | | | | 538,546 | |
| Akamai Technologies, Inc.* | | | 7,527 | | | | 534,267 | |
| Cadence Design Systems, Inc.* | | | 13,435 | | | | 494,005 | |
| Take-Two Interactive Software, Inc.* | | | 4,984 | | | | 487,336 | |
| Jack Henry & Associates, Inc. | | | 3,972 | | | | 480,413 | |
| PTC, Inc.* | | | 6,043 | | | | 471,414 | |
| CDK Global, Inc. | | | 6,899 | | | | 436,983 | |
| Ultimate Software Group, Inc.* | | | 1,754 | | | | 427,450 | |
| Tableau Software, Inc. — Class A* | | | 4,890 | | | | 395,210 | |
| Aspen Technology, Inc.* | | | 4,680 | | | | 369,205 | |
| Nuance Communications, Inc.* | | | 20,580 | | | | 324,135 | |
| RealPage, Inc.* | | | 6,270 | | | | 322,905 | |
| j2 Global, Inc. | | | 3,863 | | | | 304,868 | |
| Twilio, Inc. — Class A* | | | 7,774 | | | | 296,811 | |
| CommVault Systems, Inc.* | | | 4,550 | | | | 260,260 | |
| Manhattan Associates, Inc.* | | | 6,145 | | | | 257,353 | |
| Cornerstone OnDemand, Inc.* | | | 5,644 | | | | 220,737 | |
| Total Software | | | | | | | 30,922,779 | |
| | | | | | | | | |
| Semiconductors - 19.4% |
| Intel Corp. | | | 47,597 | | | | 2,478,852 | |
| NVIDIA Corp. | | | 7,896 | | | | 1,828,635 | |
| Texas Instruments, Inc. | | | 14,948 | | | | 1,552,948 | |
| Broadcom Ltd. | | | 6,571 | | | | 1,548,456 | |
| QUALCOMM, Inc. | | | 24,383 | | | | 1,351,062 | |
| Micron Technology, Inc.* | | | 23,172 | | | | 1,208,188 | |
| Applied Materials, Inc. | | | 20,787 | | | | 1,155,965 | |
| Analog Devices, Inc. | | | 9,940 | | | | 905,832 | |
| Lam Research Corp. | | | 4,286 | | | | 870,744 | |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 18,181 | | | | 795,601 | |
| NXP Semiconductor N.V.* | | | 6,317 | | | | 739,089 | |
| Microchip Technology, Inc. | | | 7,751 | | | | 708,131 | |
| Xilinx, Inc. | | | 9,203 | | | | 664,825 | |
| Skyworks Solutions, Inc. | | | 6,378 | | | | 639,458 | |
| Maxim Integrated Products, Inc. | | | 10,603 | | | | 638,513 | |
| KLA-Tencor Corp. | | | 5,728 | | | | 624,409 | |
| Marvell Technology Group Ltd. | | | 29,329 | | | | 615,909 | |
| ASML Holding N.V. — Class G | | | 3,030 | | | | 601,637 | |
| IPG Photonics Corp.* | | | 2,345 | | | | 547,276 | |
| ON Semiconductor Corp.* | | | 20,131 | | | | 492,404 | |
| Advanced Micro Devices, Inc.*,1 | | | 45,807 | | | | 460,360 | |
| Teradyne, Inc. | | | 10,008 | | | | 457,466 | |
| Qorvo, Inc.* | | | 6,118 | | | | 431,013 | |
| Microsemi Corp.* | | | 6,651 | | | | 430,453 | |
| MKS Instruments, Inc. | | | 3,325 | | | | 384,536 | |
| Cypress Semiconductor Corp. | | | 22,098 | | | | 374,782 | |
| Cavium, Inc.* | | | 4,410 | | | | 350,066 | |
| Entegris, Inc. | | | 9,890 | | | | 344,172 | |
| Monolithic Power Systems, Inc. | | | 2,930 | | | | 339,206 | |
| Integrated Device Technology, Inc.* | | | 10,108 | | | | 308,900 | |
| Silicon Laboratories, Inc.* | | | 3,290 | | | | 295,771 | |
| Cirrus Logic, Inc.* | | | 5,931 | | | | 240,976 | |
| Synaptics, Inc.* | | | 4,242 | | | | 193,987 | |
| Ambarella, Inc.*,1 | | | 3,945 | | | | 193,266 | |
| MACOM Technology Solutions Holdings, Inc.*,1 | | | 8,370 | | | | 138,942 | |
| Total Semiconductors | | | | | | | 24,911,830 | |
| | | | | | | | | |
| Internet - 17.9% |
| Alphabet, Inc. — Class A* | | | 3,891 | | | | 4,035,512 | |
| Facebook, Inc. — Class A* | | | 20,016 | | | | 3,198,357 | |
| Alibaba Group Holding Ltd. ADR* | | | 13,930 | | | | 2,556,712 | |
| eBay, Inc.* | | | 24,192 | | | | 973,486 | |
| Baidu, Inc. ADR* | | | 3,959 | | | | 883,609 | |
| Twitter, Inc.* | | | 23,194 | | | | 672,858 | |
| Snap, Inc. — Class A* | | | 41,700 | | | | 661,779 | |
| Palo Alto Networks, Inc.* | | | 3,518 | | | | 638,587 | |
| Symantec Corp. | | | 23,768 | | | | 614,403 | |
| MercadoLibre, Inc. | | | 1,603 | | | | 571,293 | |
| IAC/InterActiveCorp* | | | 3,610 | | | | 564,532 | |
| Weibo Corp. ADR* | | | 4,656 | | | | 556,578 | |
| Match Group, Inc.*,1 | | | 12,458 | | | | 553,634 | |
| YY, Inc. ADR* | | | 5,151 | | | | 541,885 | |
| VeriSign, Inc.* | | | 4,514 | | | | 535,180 | |
| Shopify, Inc. — Class A* | | | 4,191 | | | | 522,157 | |
| SINA Corp.* | | | 4,957 | | | | 516,866 | |
| CDW Corp. | | | 7,198 | | | | 506,091 | |
| Zillow Group, Inc. — Class C* | | | 9,352 | | | | 503,138 | |
| GoDaddy, Inc. — Class A* | | | 8,163 | | | | 501,372 | |
| F5 Networks, Inc.* | | | 3,258 | | | | 471,139 | |
| GrubHub, Inc.* | | | 4,503 | | | | 456,919 | |
| Proofpoint, Inc.* | | | 3,290 | | | | 373,909 | |
| Stamps.com, Inc.* | | | 1,478 | | | | 297,152 | |
| Etsy, Inc.* | | | 10,500 | | | | 294,630 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 129 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| TECHNOLOGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Yelp, Inc. — Class A* | | | 6,735 | | | $ | 281,186 | |
| FireEye, Inc.* | | | 16,430 | | | | 278,160 | |
| Trade Desk, Inc. — Class A* | | | 4,243 | | | | 210,538 | |
| Pandora Media, Inc.*,1 | | | 36,011 | | | | 181,135 | |
| Total Internet | | | | | | | 22,952,797 | |
| | | | | | | | | |
| Computers - 14.2% |
| Apple, Inc. | | | 26,732 | | | | 4,485,095 | |
| International Business Machines Corp. | | | 12,108 | | | | 1,857,730 | |
| Cognizant Technology Solutions Corp. — Class A | | | 13,256 | | | | 1,067,108 | |
| Accenture plc — Class A | | | 6,657 | | | | 1,021,850 | |
| HP, Inc. | | | 41,025 | | | | 899,268 | |
| DXC Technology Co. | | | 8,226 | | | | 826,960 | |
| Western Digital Corp. | | | 8,698 | | | | 802,564 | |
| Hewlett Packard Enterprise Co. | | | 45,313 | | | | 794,790 | |
| Seagate Technology plc | | | 10,953 | | | | 640,970 | |
| NetApp, Inc. | | | 10,201 | | | | 629,300 | |
| Check Point Software Technologies Ltd.* | | | 6,151 | | | | 611,040 | |
| Infosys Ltd. ADR1 | | | 33,755 | | | | 602,527 | |
| Leidos Holdings, Inc. | | | 7,434 | | | | 486,184 | |
| Amdocs Ltd. | | | 7,260 | | | | 484,387 | |
| Fortinet, Inc.* | | | 8,843 | | | | 473,808 | |
| Nutanix, Inc. — Class A* | | | 9,094 | | | | 446,606 | |
| CSRA, Inc. | | | 10,120 | | | | 417,248 | |
| DST Systems, Inc. | | | 4,230 | | | | 353,840 | |
| Teradata Corp.* | | | 8,505 | | | | 337,393 | |
| Lumentum Holdings, Inc.* | | | 4,797 | | | | 306,049 | |
| NCR Corp.* | | | 9,191 | | | | 289,700 | |
| NetScout Systems, Inc.* | | | 8,998 | | | | 237,097 | |
| Electronics for Imaging, Inc.* | | | 6,370 | | | | 174,092 | |
| Total Computers | | | | | | | 18,245,606 | |
| | | | | | | | | |
| Commercial Services - 6.3% |
| PayPal Holdings, Inc.* | | | 19,405 | | | | 1,472,257 | |
| Automatic Data Processing, Inc. | | | 9,719 | | | | 1,102,912 | |
| Worldpay, Inc. — Class A* | | | 9,720 | | | | 799,373 | |
| Square, Inc. — Class A* | | | 13,830 | | | | 680,436 | |
| FleetCor Technologies, Inc.* | | | 3,300 | | | | 668,250 | |
| Global Payments, Inc. | | | 5,861 | | | | 653,619 | |
| Total System Services, Inc. | | | 7,123 | | | | 614,430 | |
| Gartner, Inc.* | | | 4,325 | | | | 508,707 | |
| Western Union Co. | | | 24,014 | | | | 461,789 | |
| WEX, Inc.* | | | 2,610 | | | | 408,778 | |
| Sabre Corp. | | | 17,460 | | | | 374,517 | |
| Euronet Worldwide, Inc.* | | | 3,850 | | | | 303,842 | |
| Total Commercial Services | | | | | | | 8,048,910 | |
| | | | | | | | | |
| Electronics - 5.5% |
| Amphenol Corp. — Class A | | | 9,151 | | | | 788,176 | |
| Corning, Inc. | | | 26,936 | | | | 750,976 | |
| TE Connectivity Ltd. | | | 7,271 | | | | 726,373 | |
| Keysight Technologies, Inc.* | | | 9,380 | | | | 491,418 | |
| Trimble, Inc.* | | | 12,621 | | | | 452,841 | |
| Flex Ltd.* | | | 26,577 | | | | 434,002 | |
| FLIR Systems, Inc. | | | 8,260 | | | | 413,083 | |
| Arrow Electronics, Inc.* | | | 5,221 | | | | 402,121 | |
| National Instruments Corp. | | | 7,930 | | | | 401,020 | |
| Jabil, Inc. | | | 12,544 | | | | 360,389 | |
| Avnet, Inc. | | | 8,309 | | | | 346,984 | |
| Coherent, Inc.* | | | 1,680 | | | | 314,832 | |
| Tech Data Corp.* | | | 3,273 | | | | 278,631 | |
| Vishay Intertechnology, Inc. | | | 13,560 | | | | 252,216 | |
| II-VI, Inc.* | | | 6,159 | | | | 251,903 | |
| Sanmina Corp.* | | | 7,939 | | | | 207,605 | |
| KEMET Corp.* | | | 8,540 | | | | 154,830 | |
| Applied Optoelectronics, Inc.*,1 | | | 4,153 | | | | 104,074 | |
| Total Electronics | | | | | | | 7,131,474 | |
| | | | | | | | | |
| Telecommunications - 5.4% |
| Cisco Systems, Inc. | | | 51,872 | | | | 2,224,790 | |
| Motorola Solutions, Inc. | | | 6,120 | | | | 644,436 | |
| Arista Networks, Inc.* | | | 2,520 | | | | 643,356 | |
| Juniper Networks, Inc. | | | 18,153 | | | | 441,662 | |
| CommScope Holding Company, Inc.* | | | 10,856 | | | | 433,914 | |
| LogMeIn, Inc. | | | 3,248 | | | | 375,306 | |
| Ubiquiti Networks, Inc.*,1 | | | 5,303 | | | | 364,846 | |
| ARRIS International plc* | | | 13,005 | | | | 345,543 | |
| Ciena Corp.* | | | 11,596 | | | | 300,336 | |
| ViaSat, Inc.*,1 | | | 4,490 | | | | 295,083 | |
| Viavi Solutions, Inc.* | | | 23,197 | | | | 225,475 | |
| Oclaro, Inc.* | | | 23,387 | | | | 223,580 | |
| NETGEAR, Inc.* | | | 3,643 | | | | 208,380 | |
| Finisar Corp.* | | | 12,271 | | | | 194,005 | |
| Total Telecommunications | | | | | | | 6,920,712 | |
| | | | | | | | | |
| Diversified Financial Services - 4.4% |
| Visa, Inc. — Class A | | | 20,471 | | | | 2,448,741 | |
| Mastercard, Inc. — Class A | | | 12,050 | | | | 2,110,678 | |
| Alliance Data Systems Corp. | | | 2,419 | | | | 514,908 | |
| Ellie Mae, Inc.* | | | 3,040 | | | | 279,498 | |
| Blackhawk Network Holdings, Inc.* | | | 5,670 | | | | 253,449 | |
| Total Diversified Financial Services | | | | | | | 5,607,274 | |
| | | | | | | | | |
| Electrical Components & Equipment - 0.7% |
| Littelfuse, Inc. | | | 1,697 | | | | 353,282 | |
| Universal Display Corp. | | | 3,000 | | | | 303,000 | |
| Advanced Energy Industries, Inc.* | | | 3,738 | | | | 238,858 | |
| Total Electrical Components & Equipment | | | | | | | 895,140 | |
| | | | | | | | | |
| Machinery-Diversified - 0.7% |
| Cognex Corp. | | | 8,860 | | | | 460,631 | |
| Zebra Technologies Corp. — Class A* | | | 3,094 | | | | 430,654 | |
| Total Machinery-Diversified | | | | | | | 891,285 | |
| | | | | | | | | |
| Energy-Alternate Sources - 0.3% |
| First Solar, Inc.* | | | 6,241 | | | | 442,986 | |
| | | | | | | | | |
| Office & Business Equipment - 0.3% |
| Xerox Corp. | | | 14,681 | | | | 422,519 | |
| | | | | | | | | |
| Building Materials - 0.2% |
| Cree, Inc.* | | | 7,766 | | | | 313,048 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $104,375,845) | | | | | | | 127,706,360 | |
| 130 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| TECHNOLOGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 382,893 | | | $ | 382,893 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 125,293 | | | | 125,293 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $508,186) | | | | | | | 508,186 | |
| | | Shares | | | | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 1.7% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 2,163,422 | | | | 2,163,422 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $2,163,422) | | | | | | | 2,163,422 | |
| | | | | | | | | |
| Total Investments - 101.5% | | | | | | | | |
| (Cost $107,047,453) | | | | | | $ | 130,377,968 | |
| Other Assets & Liabilities, net - (1.5)% | | | | | | | (1,966,762 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 128,411,206 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 127,706,360 | | | $ | — | | | $ | — | | | $ | 127,706,360 | |
| Repurchase Agreements | | | — | | | | 508,186 | | | | — | | | | 508,186 | |
| Securities Lending Collateral | | | 2,163,422 | | | | — | | | | — | | | | 2,163,422 | |
| Total Assets | | $ | 129,869,782 | | | $ | 508,186 | | | $ | — | | | $ | 130,377,968 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 131 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $2,117,846 of securities loaned (cost $106,539,267) | | $ | 129,869,782 | |
| Repurchase agreements, at value (cost $508,186) | | | 508,186 | |
| Cash | | | 24,947 | |
| Receivables: |
| Securities sold | | | 6,204,305 | |
| Fund shares sold | | | 332,879 | |
| Dividends | | | 54,632 | |
| Securities lending income | | | 6,108 | |
| Foreign taxes reclaim | | | 1,107 | |
| Interest | | | 76 | |
| Total assets | | | 137,002,022 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 6,233,883 | |
| Return of securities loaned | | | 2,163,422 | |
| Management fees | | | 100,205 | |
| Transfer agent and administrative fees | | | 29,472 | |
| Distribution and service fees | | | 15,710 | |
| Portfolio accounting fees | | | 11,789 | |
| Trustees’ fees* | | | 3,604 | |
| Miscellaneous | | | 32,731 | |
| Total liabilities | | | 8,590,816 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 128,411,206 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 107,593,406 | |
| Accumulated net investment loss | | | (129,960 | ) |
| Accumulated net realized loss on investments | | | (2,382,755 | ) |
| Net unrealized appreciation on investments | | | 23,330,515 | |
| Net assets | | $ | 128,411,206 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 76,819,944 | |
| Capital shares outstanding | | | 811,900 | |
| Net asset value per share | | $ | 94.62 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 5,032,739 | |
| Capital shares outstanding | | | 56,929 | |
| Net asset value per share | | $ | 88.40 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 92.81 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 6,409,318 | |
| Capital shares outstanding | | | 80,056 | |
| Net asset value per share | | $ | 80.06 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 40,149,205 | |
| Capital shares outstanding | | | 463,924 | |
| Net asset value per share | | $ | 86.54 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $827) | | $ | 1,028,575 | |
| Interest | | | 6,478 | |
| Income from securities lending, net | | | 74,203 | |
| Total investment income | | | 1,109,256 | |
| | | | | |
| Expenses: |
| Management fees | | | 905,123 | |
| Distribution and service fees: |
| A-Class | | | 13,534 | |
| C-Class | | | 47,272 | |
| H-Class | | | 85,023 | |
| Transfer agent and administrative fees | | | 266,212 | |
| Portfolio accounting fees | | | 106,484 | |
| Custodian fees | | | 14,415 | |
| Trustees’ fees* | | | 8,304 | |
| Line of credit fees | | | 349 | |
| Miscellaneous | | | 163,693 | |
| Total expenses | | | 1,610,409 | |
| Net investment loss | | | (501,153 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 11,926,887 | |
| Net realized gain | | | 11,926,887 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | 10,313,651 | |
| Net change in unrealized appreciation (depreciation) | | | 10,313,651 | |
| Net realized and unrealized gain | | | 22,240,538 | |
| Net increase in net assets resulting from operations | | $ | 21,739,385 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (501,153 | ) | | $ | (132,224 | ) |
| Net realized gain on investments | | | 11,926,887 | | | | 6,670,155 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 10,313,651 | | | | 4,144,640 | |
| Net increase in net assets resulting from operations | | | 21,739,385 | | | | 10,682,571 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| Investor Class | | | (884,002 | ) | | | — | |
| A-Class | | | (88,875 | ) | | | — | |
| C-Class | | | (86,701 | ) | | | — | |
| H-Class | | | (340,979 | ) | | | — | |
| Total distributions to shareholders | | | (1,400,557 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 233,535,719 | | | | 164,308,988 | |
| A-Class | | | 14,514,895 | | | | 15,140,469 | |
| C-Class | | | 6,729,760 | | | | 4,835,439 | |
| H-Class | | | 135,900,317 | | | | 59,582,617 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 881,980 | | | | — | |
| A-Class | | | 59,109 | | | | — | |
| C-Class | | | 85,105 | | | | — | |
| H-Class | | | 340,979 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (224,056,476 | ) | | | (138,630,626 | ) |
| A-Class | | | (14,033,917 | ) | | | (20,841,622 | ) |
| C-Class | | | (4,511,197 | ) | | | (4,264,033 | ) |
| H-Class | | | (124,390,710 | ) | | | (42,353,661 | ) |
| Net increase from capital share transactions | | | 25,055,564 | | | | 37,777,571 | |
| Net increase in net assets | | | 45,394,392 | | | | 48,460,142 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 83,016,814 | | | | 34,556,672 | |
| End of year | | $ | 128,411,206 | | | $ | 83,016,814 | |
| Accumulated net investment loss at end of year | | $ | (129,960 | ) | | $ | (108,130 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 2,639,170 | | | | 2,453,827 | |
| A-Class | | | 186,346 | | | | 240,039 | |
| C-Class | | | 90,922 | | | | 83,451 | |
| H-Class | | | 1,737,082 | | | | 989,015 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 9,914 | | | | — | |
| A-Class | | | 710 | | | | — | |
| C-Class | | | 1,127 | | | | — | |
| H-Class | | | 4,187 | | | | — | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,566,368 | ) | | | (2,090,864 | ) |
| A-Class | | | (176,688 | ) | | | (339,864 | ) |
| C-Class | | | (61,538 | ) | | | (76,557 | ) |
| H-Class | | | (1,587,781 | ) | | | (711,407 | ) |
| Net increase in shares | | | 277,083 | | | | 547,640 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 133 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 75.45 | | | $ | 60.53 | | | $ | 61.23 | | | $ | 55.90 | | | $ | 43.58 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.29 | ) | | | (.09 | ) | | | (.06 | ) | | | (.10 | ) | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 20.66 | | | | 15.01 | | | | (.64 | ) | | | 5.43 | | | | 12.41 | |
| Total from investment operations | | | 20.37 | | | | 14.92 | | | | (.70 | ) | | | 5.33 | | | | 12.32 | |
| Less distributions from: |
| Net realized gains | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 94.62 | | | $ | 75.45 | | | $ | 60.53 | | | $ | 61.23 | | | $ | 55.90 | |
| |
| Total Returnb | | | 27.11 | % | | | 24.63 | % | | | (1.14 | %) | | | 9.53 | % | | | 28.24 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 76,820 | | | $ | 55,016 | | | $ | 22,167 | | | $ | 20,458 | | | $ | 32,858 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.34 | %) | | | (0.13 | %) | | | (0.10 | %) | | | (0.17 | %) | | | (0.18 | %) |
| Total expenses | | | 1.37 | % | | | 1.38 | % | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 270 | % | | | 320 | % | | | 388 | % | | | 280 | % | | | 321 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.74 | | | $ | 56.88 | | | $ | 57.69 | | | $ | 52.79 | | | $ | 41.30 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.45 | ) | | | (.25 | ) | | | (.14 | ) | | | (.21 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 19.31 | | | | 14.11 | | | | (.67 | ) | | | 5.11 | | | | 11.72 | |
| Total from investment operations | | | 18.86 | | | | 13.86 | | | | (.81 | ) | | | 4.90 | | | | 11.49 | |
| Less distributions from: |
| Net realized gains | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 88.40 | | | $ | 70.74 | | | $ | 56.88 | | | $ | 57.69 | | | $ | 52.79 | |
| |
| Total Returnb | | | 26.77 | % | | | 24.37 | % | | | (1.40 | %) | | | 9.28 | % | | | 27.79 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,033 | | | $ | 3,294 | | | $ | 8,327 | | | $ | 9,960 | | | $ | 5,873 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.56 | %) | | | (0.40 | %) | | | (0.25 | %) | | | (0.39 | %) | | | (0.47 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % | | | 1.59 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 270 | % | | | 320 | % | | | 388 | % | | | 280 | % | | | 321 | % |
| 134 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.64 | | | $ | 52.37 | | | $ | 53.50 | | | $ | 49.30 | | | $ | 38.84 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (1.02 | ) | | | (.64 | ) | | | (.59 | ) | | | (.58 | ) | | | (.50 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 17.64 | | | | 12.91 | | | | (.54 | ) | | | 4.78 | | | | 10.96 | |
| Total from investment operations | | | 16.62 | | | | 12.27 | | | | (1.13 | ) | | | 4.20 | | | | 10.46 | |
| Less distributions from: |
| Net realized gains | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 80.06 | | | $ | 64.64 | | | $ | 52.37 | | | $ | 53.50 | | | $ | 49.30 | |
| |
| Total Returnb | | | 25.85 | % | | | 23.41 | % | | | (2.11 | %) | | | 8.52 | % | | | 26.90 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,409 | | | $ | 3,203 | | | $ | 2,234 | | | $ | 2,910 | | | $ | 2,827 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.37 | %) | | | (1.12 | %) | | | (1.12 | %) | | | (1.13 | %) | | | (1.13 | %) |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 270 | % | | | 320 | % | | | 388 | % | | | 280 | % | | | 321 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c,d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 69.27 | | | $ | 55.72 | | | $ | 56.54 | | | $ | 51.87 | | | $ | 40.65 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.46 | ) | | | (.30 | ) | | | (.23 | ) | | | (.37 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 18.93 | | | | 13.85 | | | | (.59 | ) | | | 5.04 | | | | 11.49 | |
| Total from investment operations | | | 18.47 | | | | 13.55 | | | | (.82 | ) | | | 4.67 | | | | 11.22 | |
| Less distributions from: |
| Net realized gains | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.20 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 86.54 | | | $ | 69.27 | | | $ | 55.72 | | | $ | 56.54 | | | $ | 51.87 | |
| |
| Total Returnb | | | 26.78 | % | | | 24.32 | % | | | (1.45 | %) | | | 9.00 | % | | | 27.60 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 40,149 | | | $ | 21,504 | | | $ | 1,829 | | | $ | 2,831 | | | $ | 6,915 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.58 | %) | | | (0.46 | %) | | | (0.42 | %) | | | (0.69 | %) | | | (0.54 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.68 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 270 | % | | | 320 | % | | | 388 | % | | | 280 | % | | | 321 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| 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. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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”).
For the one-year period ended March 29, 2018, Telecommunications Fund Investor Class returned 3.33%, compared with -4.86% for the S&P 500 Telecommunications Services Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was communications equipment, followed by real estate investment trusts (REITs). The telecom carriers industry detracted the most, followed by semiconductor devices.
Cisco Systems, Inc., Arista Networks, Inc., and Palo Alto Networks, Inc. contributed the most to the performance of the Fund. Sprint Corp., AT&T, Inc., and Finisar Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 1, 1998 |
| 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. | 9.4% |
| Cisco Systems, Inc. | 9.1% |
| Verizon Communications, Inc. | 9.0% |
| QUALCOMM, Inc. | 5.5% |
| T-Mobile US, Inc. | 4.5% |
| Crown Castle International Corp. | 4.4% |
| SBA Communications Corp. | 2.9% |
| Harris Corp. | 2.9% |
| Sprint Corp. | 2.8% |
| Motorola Solutions, Inc. | 2.6% |
| Top Ten Total | 53.1% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 136 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 3.33% | 6.03% | 1.91% |
| A-Class Shares | 3.08% | 5.73% | 1.66% |
| A-Class Shares with sales charge† | (1.81%) | 4.70% | 1.17% |
| C-Class Shares | 2.30% | 5.02% | 0.99% |
| C-Class Shares with CDSC‡ | 1.32% | 5.02% | 0.99% |
| H-Class Shares** | 3.07% | 5.61% | 1.48% |
| S&P 500 Telecommunication Services Index | (4.86%) | 4.12% | 5.80% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 137 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| TELECOMMUNICATIONS FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.7% |
| | | | | | | |
| Telecommunications - 74.5% |
| AT&T, Inc. | | | 5,992 | | | $ | 213,615 | |
| Cisco Systems, Inc. | | | 4,796 | | | | 205,700 | |
| Verizon Communications, Inc. | | | 4,270 | | | | 204,191 | |
| T-Mobile US, Inc.* | | | 1,684 | | | | 102,791 | |
| Sprint Corp.*,1 | | | 12,790 | | | | 62,415 | |
| Motorola Solutions, Inc. | | | 566 | | | | 59,600 | |
| Arista Networks, Inc.* | | | 233 | | | | 59,485 | |
| CenturyLink, Inc. | | | 3,594 | | | | 59,049 | |
| Zayo Group Holdings, Inc.* | | | 1,199 | | | | 40,958 | |
| Juniper Networks, Inc. | | | 1,678 | | | | 40,826 | |
| CommScope Holding Company, Inc.* | | | 1,005 | | | | 40,170 | |
| Ubiquiti Networks, Inc.*,1 | | | 490 | | | | 33,712 | |
| ARRIS International plc* | | | 1,203 | | | | 31,964 | |
| EchoStar Corp. — Class A* | | | 596 | | | | 31,451 | |
| Vodafone Group plc ADR | | | 1,106 | | | | 30,769 | |
| America Movil SAB de CV — Class L ADR | | | 1,513 | | | | 28,883 | |
| Ciena Corp.* | | | 1,072 | | | | 27,765 | |
| China Mobile Ltd. ADR | | | 600 | | | | 27,450 | |
| ViaSat, Inc.*,1 | | | 415 | | | | 27,274 | |
| BCE, Inc. | | | 601 | | | | 25,867 | |
| Telephone & Data Systems, Inc. | | | 912 | | | | 25,563 | |
| Rogers Communications, Inc. — Class B | | | 553 | | | | 24,708 | |
| Telefonica Brasil S.A. ADR | | | 1,602 | | | | 24,607 | |
| InterDigital, Inc. | | | 315 | | | | 23,184 | |
| Vonage Holdings Corp.* | | | 2,135 | | | | 22,738 | |
| Viavi Solutions, Inc.* | | | 2,145 | | | | 20,849 | |
| Oclaro, Inc.* | | | 2,162 | | | | 20,669 | |
| Shenandoah Telecommunications Co. | | | 555 | | | | 19,980 | |
| NETGEAR, Inc.* | | | 337 | | | | 19,276 | |
| Infinera Corp.* | | | 1,696 | | | | 18,419 | |
| Finisar Corp.* | | | 1,134 | | | | 17,929 | |
| Acacia Communications, Inc.*,1 | | | 452 | | | | 17,384 | |
| Extreme Networks, Inc.* | | | 1,408 | | | | 15,587 | |
| Iridium Communications, Inc.* | | | 1,354 | | | | 15,232 | |
| ADTRAN, Inc. | | | 802 | | | | 12,471 | |
| Consolidated Communications Holdings, Inc. | | | 1,121 | | | | 12,286 | |
| ORBCOMM, Inc.* | | | 1,254 | | | | 11,750 | |
| Frontier Communications Corp.1 | | | 1,437 | | | | 10,663 | |
| Total Telecommunications | | | | | | | 1,687,230 | |
| | | | | | | | | |
| REITs - 7.3% |
| Crown Castle International Corp. | | | 900 | | | | 98,649 | |
| SBA Communications Corp.* | | | 389 | | | | 66,488 | |
| Total REITs | | | | | | | 165,137 | |
| | | | | | | | | |
| Internet - 6.9% |
| Palo Alto Networks, Inc.* | | | 325 | | | | 58,994 | |
| F5 Networks, Inc.* | | | 301 | | | | 43,528 | |
| Cogent Communications Holdings, Inc. | | | 470 | | | | 20,398 | |
| 8x8, Inc.* | | | 1,001 | | | | 18,669 | |
| Boingo Wireless, Inc.* | | | 567 | | | | 14,044 | |
| Total Internet | | | | | | | 155,633 | |
| | | | | | | | | |
| Semiconductors - 5.5% |
| QUALCOMM, Inc. | | | 2,255 | | | | 124,949 | |
| | | | | | | | | |
| Aerospace & Defense - 2.9% |
| Harris Corp. | | | 404 | | | | 65,157 | |
| | | | | | | | | |
| Computers - 2.2% |
| Lumentum Holdings, Inc.* | | | 443 | | | | 28,264 | |
| NetScout Systems, Inc.* | | | 832 | | | | 21,923 | |
| Total Computers | | | | | | | 50,187 | |
| | | | | | | | | |
| Electronics - 0.4% |
| Applied Optoelectronics, Inc.*,1 | | | 384 | | | | 9,623 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $1,729,413) | | | | | | | 2,257,916 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.7% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 10,991 | | | | 10,991 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 3,597 | | | | 3,597 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $14,588) | | | | | | | 14,588 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 4.4% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 100,563 | | | | 100,563 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $100,563) | | | | | | | 100,563 | |
| | | | | | | | | |
| Total Investments - 104.8% | | | | | | | | |
| (Cost $1,844,564) | | | | | | $ | 2,373,067 | |
| Other Assets & Liabilities, net - (4.8)% | | | | | | | (108,309 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 2,264,758 | |
| 138 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| TELECOMMUNICATIONS FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 2,257,916 | | | $ | — | | | $ | — | | | $ | 2,257,916 | |
| Repurchase Agreements | | | — | | | | 14,588 | | | | — | | | | 14,588 | |
| Securities Lending Collateral | | | 100,563 | | | | — | | | | — | | | | 100,563 | |
| Total Assets | | $ | 2,358,479 | | | $ | 14,588 | | | $ | — | | | $ | 2,373,067 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 139 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $98,303 of securities loaned (cost $1,829,976) | | $ | 2,358,479 | |
| Repurchase agreements, at value (cost $14,588) | | | 14,588 | |
| Cash | | | 1,002 | |
| Receivables: |
| Securities sold | | | 164,980 | |
| Dividends | | | 652 | |
| Securities lending income | | | 602 | |
| Foreign taxes reclaim | | | 513 | |
| Fund shares sold | | | 250 | |
| Interest | | | 2 | |
| Total assets | | | 2,541,068 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 171,650 | |
| Return of securities loaned | | | 100,563 | |
| Management fees | | | 1,887 | |
| Transfer agent and administrative fees | | | 555 | |
| Distribution and service fees | | | 469 | |
| Portfolio accounting fees | | | 222 | |
| Trustees’ fees* | | | 99 | |
| Miscellaneous | | | 865 | |
| Total liabilities | | | 276,310 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 2,264,758 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 1,964,413 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (228,158 | ) |
| Net unrealized appreciation on investments | | | 528,503 | |
| Net assets | | $ | 2,264,758 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 1,308,613 | |
| Capital shares outstanding | | | 27,456 | |
| Net asset value per share | | $ | 47.66 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 448,369 | |
| Capital shares outstanding | | | 10,228 | |
| Net asset value per share | | $ | 43.84 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 46.03 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 368,248 | |
| Capital shares outstanding | | | 9,401 | |
| Net asset value per share | | $ | 39.17 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 139,528 | |
| Capital shares outstanding | | | 3,271 | |
| Net asset value per share | | $ | 42.66 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $(963)) | | $ | 71,962 | |
| Interest | | | 114 | |
| Income from securities lending, net | | | 8,190 | |
| Total investment income | | | 80,266 | |
| | | | | |
| Expenses: |
| Management fees | | | 32,164 | |
| Distribution and service fees: |
| A-Class | | | 1,667 | |
| C-Class | | | 3,581 | |
| H-Class | | | 1,335 | |
| Transfer agent and administrative fees | | | 9,460 | |
| Registration fees | | | 4,797 | |
| Portfolio accounting fees | | | 3,784 | |
| Trustees’ fees* | | | 855 | |
| Custodian fees | | | 570 | |
| Line of credit fees | | | 162 | |
| Miscellaneous | | | 547 | |
| Total expenses | | | 58,922 | |
| Net investment income | | | 21,344 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 1,189,343 | |
| Net realized gain | | | 1,189,343 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (1,262,386 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,262,386 | ) |
| Net realized and unrealized loss | | | (73,043 | ) |
| Net decrease in net assets resulting from operations | | $ | (51,699 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 21,344 | | | $ | 295,233 | |
| Net realized gain on investments | | | 1,189,343 | | | | 3,661,119 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,262,386 | ) | | | (781,475 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (51,699 | ) | | | 3,174,877 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (90,769 | ) | | | (148,366 | ) |
| A-Class | | | (21,826 | ) | | | (18,046 | ) |
| C-Class | | | (13,315 | ) | | | (15,410 | ) |
| H-Class | | | (7,413 | ) | | | (59,833 | ) |
| Total distributions to shareholders | | | (133,323 | ) | | | (241,655 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 18,198,892 | | | | 102,887,896 | |
| A-Class | | | 1,789,379 | | | | 52,341,342 | |
| C-Class | | | 1,338,693 | | | | 3,895,441 | |
| H-Class | | | 45,664,344 | | | | 55,785,784 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 85,913 | | | | 147,778 | |
| A-Class | | | 18,059 | | | | 17,422 | |
| C-Class | | | 13,271 | | | | 15,386 | |
| H-Class | | | 7,413 | | | | 59,833 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (29,351,432 | ) | | | (109,831,997 | ) |
| A-Class | | | (2,427,788 | ) | | | (54,681,307 | ) |
| C-Class | | | (1,377,526 | ) | | | (3,803,624 | ) |
| H-Class | | | (46,748,671 | ) | | | (65,870,500 | ) |
| Net decrease from capital share transactions | | | (12,789,453 | ) | | | (19,036,546 | ) |
| Net decrease in net assets | | | (12,974,475 | ) | | | (16,103,324 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 15,239,233 | | | | 31,342,557 | |
| End of year | | $ | 2,264,758 | | | $ | 15,239,233 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 133,323 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 379,653 | | | | 2,237,261 | |
| A-Class | | | 40,426 | | | | 1,269,793 | |
| C-Class | | | 33,554 | | | | 102,253 | |
| H-Class | | | 1,077,686 | | | | 1,323,661 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 1,806 | | | | 3,252 | |
| A-Class | | | 412 | | | | 414 | |
| C-Class | | | 338 | | | | 403 | |
| H-Class | | | 174 | | | | 1,460 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (615,510 | ) | | | (2,426,423 | ) |
| A-Class | | | (54,963 | ) | | | (1,284,565 | ) |
| C-Class | | | (34,603 | ) | | | (99,349 | ) |
| H-Class | | | (1,102,664 | ) | | | (1,563,493 | ) |
| Net decrease in shares | | | (273,691 | ) | | | (435,333 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 141 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 47.95 | | | $ | 42.91 | | | $ | 45.56 | | | $ | 45.51 | | | $ | 40.76 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .43 | | | | .49 | | | | .44 | | | | .72 | | | | 1.06 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.17 | | | | 5.55 | | | | (1.64 | ) | | | .63 | | | | 4.26 | |
| Total from investment operations | | | 1.60 | | | | 6.04 | | | | (1.20 | ) | | | 1.35 | | | | 5.32 | |
| Less distributions from: |
| Net investment income | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Total distributions | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Net asset value, end of period | | $ | 47.66 | | | $ | 47.95 | | | $ | 42.91 | | | $ | 45.56 | | | $ | 45.51 | |
| |
| Total Returnb | | | 3.33 | % | | | 14.21 | % | | | (2.49 | %) | | | 2.93 | % | | | 13.12 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,309 | | | $ | 12,539 | | | $ | 19,198 | | | $ | 1,316 | | | $ | 2,497 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.89 | % | | | 1.09 | % | | | 0.97 | % | | | 1.55 | % | | | 2.47 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.34 | % | | | 1.36 | % | | | 1.38 | % |
| Portfolio turnover rate | | | 1,455 | % | | | 605 | % | | | 660 | % | | | 804 | % | | | 1,271 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.39 | | | $ | 39.88 | | | $ | 42.63 | | | $ | 42.74 | | | $ | 38.44 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .20 | | | | .32 | | | | .58 | | | | .58 | | | | .72 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.14 | | | | 5.19 | | | | (1.88 | ) | | | .61 | | | | 4.15 | |
| Total from investment operations | | | 1.34 | | | | 5.51 | | | | (1.30 | ) | | | 1.19 | | | | 4.87 | |
| Less distributions from: |
| Net investment income | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Total distributions | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Net asset value, end of period | | $ | 43.84 | | | $ | 44.39 | | | $ | 39.88 | | | $ | 42.63 | | | $ | 42.74 | |
| |
| Total Returnb | | | 3.08 | % | | | 13.88 | % | | | (2.90 | %) | | | 2.75 | % | | | 12.80 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 448 | | | $ | 1,081 | | | $ | 1,544 | | | $ | 454 | | | $ | 2,631 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.45 | % | | | 0.75 | % | | | 1.41 | % | | | 1.35 | % | | | 1.79 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % | | | 1.60 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 1,455 | % | | | 605 | % | | | 660 | % | | | 804 | % | | | 1,271 | % |
| 142 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 40.14 | | | $ | 36.43 | | | $ | 39.35 | | | $ | 39.89 | | | $ | 36.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.09 | ) | | | .03 | | | | (.01 | ) | | | .06 | | | | .54 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.01 | | | | 4.68 | | | | (1.46 | ) | | | .70 | | | | 3.92 | |
| Total from investment operations | | | .92 | | | | 4.71 | | | | (1.47 | ) | | | .76 | | | | 4.46 | |
| Less distributions from: |
| Net investment income | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Total distributions | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Net asset value, end of period | | $ | 39.17 | | | $ | 40.14 | | | $ | 36.43 | | | $ | 39.35 | | | $ | 39.89 | |
| |
| Total Returnb | | | 2.30 | % | | | 13.05 | % | | | (3.59 | %) | | | 1.86 | % | | | 12.49 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 368 | | | $ | 406 | | | $ | 248 | | | $ | 499 | | | $ | 271 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.22 | %) | | | 0.07 | % | | | (0.03 | %) | | | 0.14 | % | | | 1.42 | % |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 1,455 | % | | | 605 | % | | | 660 | % | | | 804 | % | | | 1,271 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014c,d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 43.21 | | | $ | 38.85 | | | $ | 41.59 | | | $ | 41.86 | | | $ | 37.75 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.06 | ) | | | .58 | | | | .17 | | | | .60 | | | | .29 | |
| Net gain (loss) on investments (realized and unrealized) | | | 1.40 | | | | 4.78 | | | | (1.46 | ) | | | .43 | | | | 4.39 | |
| Total from investment operations | | | 1.34 | | | | 5.36 | | | | (1.29 | ) | | | 1.03 | | | | 4.68 | |
| Less distributions from: |
| Net investment income | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Total distributions | | | (1.89 | ) | | | (1.00 | ) | | | (1.45 | ) | | | (1.30 | ) | | | (.57 | ) |
| Net asset value, end of period | | $ | 42.66 | | | $ | 43.21 | | | $ | 38.85 | | | $ | 41.59 | | | $ | 41.86 | |
| |
| Total Returnb | | | 3.07 | % | | | 13.94 | % | | | (2.95 | %) | | | 2.42 | % | | | 12.53 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 140 | | | $ | 1,213 | | | $ | 10,353 | | | $ | 151 | | | $ | 316 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.14 | %) | | | 1.44 | % | | | 0.44 | % | | | 1.40 | % | | | 0.74 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.64 | % | | | 1.86 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 1,455 | % | | | 605 | % | | | 659 | % | | | 804 | % | | | 1,271 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Reverse share split — Per share amounts for the periods presented through February 7, 2014 have been restated to reflect a 1:3 reverse share split effective February 7, 2014. |
| d | | Effective September 30, 2015, the Fund’s Advisor Class shares were converted into H-Class shares. The financial highlights for the period prior to that date reflect the performance of the former Advisor Class. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 143 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
For the one-year period ended March 29, 2018, Transportation Fund Investor Class returned 12.67%, compared with 13.95% for the S&P 500 Industrials Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was trucking, followed by rail freight. The transport support services industry detracted the most, followed by industrial distribution & rental.
Union Pacific Corp., XPO Logistics, Inc., and Fiat Chrysler Automobiles NV contributed the most to the performance of the Fund. Macquarie Infrastructure Corp., Alaska Air Group, Inc., and Harley-Davidson, Inc. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 2, 1998 |
| A-Class | September 1, 2004 |
| C-Class | May 14, 2001 |
| H-Class | June 9, 1998 |
| Ten Largest Holdings (% of Total Net Assets) |
| Union Pacific Corp. | 5.0% |
| United Parcel Service, Inc. — Class B | 4.5% |
| FedEx Corp. | 3.9% |
| General Motors Co. | 3.4% |
| CSX Corp. | 3.4% |
| Ford Motor Co. | 3.3% |
| Delta Air Lines, Inc. | 3.0% |
| Tesla, Inc. | 3.0% |
| Norfolk Southern Corp. | 2.9% |
| Southwest Airlines Co. | 2.8% |
| Top Ten Total | 35.2% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 144 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 12.67% | 13.64% | 9.27% |
| A-Class Shares | 12.38% | 13.36% | 9.02% |
| A-Class Shares with sales charge† | 7.04% | 12.27% | 8.49% |
| C-Class Shares | 11.56% | 12.51% | 8.19% |
| C-Class Shares with CDSC‡ | 10.56% | 12.51% | 8.19% |
| H-Class Shares** | 12.33% | 13.23% | 8.82% |
| S&P 500 Industrials Index | 13.95% | 14.02% | 8.89% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | 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. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 145 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| TRANSPORTATION FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.9% |
| | | | | | | |
| Transportation - 44.5% |
| Union Pacific Corp. | | | 9,919 | | | $ | 1,333,411 | |
| United Parcel Service, Inc. — Class B | | | 11,628 | | | | 1,216,986 | |
| FedEx Corp. | | | 4,336 | | | | 1,041,117 | |
| CSX Corp. | | | 16,273 | | | | 906,569 | |
| Norfolk Southern Corp. | | | 5,816 | | | | 789,696 | |
| CH Robinson Worldwide, Inc. | | | 5,136 | | | | 481,295 | |
| J.B. Hunt Transport Services, Inc. | | | 3,949 | | | | 462,625 | |
| Old Dominion Freight Line, Inc. | | | 3,111 | | | | 457,224 | |
| XPO Logistics, Inc.* | | | 4,462 | | | | 454,276 | |
| Kansas City Southern | | | 4,003 | | | | 439,730 | |
| Expeditors International of Washington, Inc. | | | 6,874 | | | | 435,124 | |
| Knight-Swift Transportation Holdings, Inc. | | | 7,938 | | | | 365,227 | |
| Canadian National Railway Co. | | | 4,150 | | | | 303,489 | |
| Canadian Pacific Railway Ltd. | | | 1,647 | | | | 290,696 | |
| Kirby Corp.* | | | 3,677 | | | | 282,945 | |
| Landstar System, Inc. | | | 2,542 | | | | 278,730 | |
| Schneider National, Inc. — Class B | | | 10,560 | | | | 275,194 | |
| Genesee & Wyoming, Inc. — Class A* | | | 3,851 | | | | 272,612 | |
| Ryder System, Inc. | | | 3,463 | | | | 252,072 | |
| ZTO Express Cayman, Inc. ADR | | | 15,040 | | | | 225,450 | |
| Werner Enterprises, Inc. | | | 5,667 | | | | 206,846 | |
| Saia, Inc.* | | | 2,420 | | | | 181,863 | |
| Atlas Air Worldwide Holdings, Inc.*,1 | | | 2,682 | | | | 162,127 | |
| Forward Air Corp. | | | 3,027 | | | | 160,007 | |
| Heartland Express, Inc. | | | 8,502 | | | | 152,951 | |
| Hub Group, Inc. — Class A* | | | 3,632 | | | | 151,999 | |
| Air Transport Services Group, Inc.* | | | 6,396 | | | | 149,155 | |
| Echo Global Logistics, Inc.* | | | 4,255 | | | | 117,438 | |
| ArcBest Corp. | | | 3,538 | | | | 113,393 | |
| Total Transportation | | | | | | | 11,960,247 | |
| | | | | | | | | |
| Airlines - 17.6% |
| Delta Air Lines, Inc. | | | 14,776 | | | | 809,873 | |
| Southwest Airlines Co. | | | 13,058 | | | | 747,962 | |
| American Airlines Group, Inc. | | | 12,090 | | | | 628,196 | |
| United Continental Holdings, Inc.* | | | 8,296 | | | | 576,323 | |
| Alaska Air Group, Inc. | | | 5,738 | | | | 355,527 | |
| JetBlue Airways Corp.* | | | 15,917 | | | | 323,433 | |
| Ryanair Holdings plc ADR* | | | 1,874 | | | | 230,221 | |
| Copa Holdings S.A. — Class A | | | 1,740 | | | | 223,816 | |
| Allegiant Travel Co. — Class A | | | 1,273 | | | | 219,656 | |
| SkyWest, Inc. | | | 3,932 | | | | 213,901 | |
| Spirit Airlines, Inc.* | | | 5,244 | | | | 198,118 | |
| Hawaiian Holdings, Inc. | | | 4,945 | | | | 191,372 | |
| Total Airlines | | | | | | | 4,718,398 | |
| | | | | | | | | |
| Auto Parts & Equipment - 16.2% |
| Lear Corp. | | | 2,469 | | | | 459,456 | |
| Aptiv plc | | | 5,049 | | | | 429,014 | |
| BorgWarner, Inc. | | | 8,410 | | | | 422,434 | |
| Goodyear Tire & Rubber Co. | | | 12,043 | | | | 320,103 | |
| Adient plc | | | 5,076 | | | | 303,342 | |
| Magna International, Inc. | | | 5,071 | | | | 285,751 | |
| Autoliv, Inc.1 | | | 1,885 | | | | 275,097 | |
| Delphi Technologies plc | | | 5,499 | | | | 262,027 | |
| Dana, Inc. | | | 9,632 | | | | 248,120 | |
| Visteon Corp.* | | | 2,081 | | | | 229,409 | |
| Tenneco, Inc. | | | 3,988 | | | | 218,822 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 14,110 | | | | 214,754 | |
| Cooper-Standard Holdings, Inc.* | | | 1,599 | | | | 196,373 | |
| Dorman Products, Inc.* | | | 2,831 | | | | 187,440 | |
| Cooper Tire & Rubber Co. | | | 5,242 | | | | 153,591 | |
| Gentherm, Inc.* | | | 4,364 | | | | 148,158 | |
| Total Auto Parts & Equipment | | | | | | | 4,353,891 | |
| | | | | | | | | |
| Auto Manufacturers - 12.5% |
| General Motors Co. | | | 25,319 | | | | 920,092 | |
| Ford Motor Co. | | | 80,084 | | | | 887,331 | |
| Tesla, Inc.*,1 | | | 2,991 | | | | 795,995 | |
| Fiat Chrysler Automobiles N.V.* | | | 13,172 | | | | 270,289 | |
| Tata Motors Ltd. ADR* | | | 9,581 | | | | 246,232 | |
| Ferrari N.V. | | | 2,003 | | | | 241,402 | |
| Total Auto Manufacturers | | | | | | | 3,361,341 | |
| | | | | | | | | |
| Commercial Services - 2.9% |
| AMERCO | | | 1,000 | | | | 345,100 | |
| Avis Budget Group, Inc.*,1 | | | 5,422 | | | | 253,966 | |
| Hertz Global Holdings, Inc.*,1 | | | 8,428 | | | | 167,296 | |
| Total Commercial Services | | | | | | | 766,362 | |
| | | | | | | | | |
| Leisure Time - 2.6% |
| Harley-Davidson, Inc.1 | | | 8,113 | | | | 347,885 | |
| LCI Industries | | | 1,970 | | | | 205,176 | |
| Fox Factory Holding Corp.* | | | 4,210 | | | | 146,929 | |
| Total Leisure Time | | | | | | | 699,990 | |
| | | | | | | | | |
| Home Builders - 1.7% |
| Thor Industries, Inc. | | | 2,683 | | | | 309,001 | |
| Winnebago Industries, Inc. | | | 3,510 | | | | 131,976 | |
| Total Home Builders | | | | | | | 440,977 | |
| | | | | | | | | |
| Electronics - 1.2% |
| Gentex Corp. | | | 14,293 | | | | 329,025 | |
| | | | | | | | | |
| Internet - 0.7% |
| Cars.com, Inc.* | | | 6,471 | | | | 183,324 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $20,415,090) | | | | | | | 26,813,555 | |
| 146 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| TRANSPORTATION FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.3% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 66,185 | | | $ | 66,185 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 21,658 | | | | 21,658 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $87,843) | | | | | | | 87,843 | |
| | | Shares | | | | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 5.1% |
| Money Market Fund |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 1,363,538 | | | | 1,363,538 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,363,538) | | | | | | | 1,363,538 | |
| | | | | | | | | |
| Total Investments - 105.3% | | | | | | | | |
| (Cost $21,866,471) | | | | | | $ | 28,264,936 | |
| Other Assets & Liabilities, net - (5.3)% | | | | | | | (1,412,804 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 26,852,132 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 26,813,555 | | | $ | — | | | $ | — | | | $ | 26,813,555 | |
| Repurchase Agreements | | | — | | | | 87,843 | | | | — | | | | 87,843 | |
| Securities Lending Collateral | | | 1,363,538 | | | | — | | | | — | | | | 1,363,538 | |
| Total Assets | | $ | 28,177,093 | | | $ | 87,843 | | | $ | — | | | $ | 28,264,936 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 147 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $1,345,804 of securities loaned (cost $21,778,628) | | $ | 28,177,093 | |
| Repurchase agreements, at value (cost $87,843) | | | 87,843 | |
| Cash | | | 15,478 | |
| Receivables: |
| Fund shares sold | | | 259,822 | |
| Dividends | | | 7,157 | |
| Securities lending income | | | 581 | |
| Foreign taxes reclaim | | | 117 | |
| Interest | | | 13 | |
| Total assets | | | 28,548,104 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 1,363,538 | |
| Fund shares redeemed | | | 288,186 | |
| Management fees | | | 20,974 | |
| Transfer agent and administrative fees | | | 6,169 | |
| Distribution and service fees | | | 4,322 | |
| Portfolio accounting fees | | | 2,468 | |
| Trustees’ fees* | | | 882 | |
| Miscellaneous | | | 9,433 | |
| Total liabilities | | | 1,695,972 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 26,852,132 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 20,585,622 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (131,955 | ) |
| Net unrealized appreciation on investments | | | 6,398,465 | |
| Net assets | | $ | 26,852,132 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 16,603,005 | |
| Capital shares outstanding | | | 280,928 | |
| Net asset value per share | | $ | 59.10 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 5,760,278 | |
| Capital shares outstanding | | | 105,825 | |
| Net asset value per share | | $ | 54.43 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 57.14 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 2,559,747 | |
| Capital shares outstanding | | | 51,155 | |
| Net asset value per share | | $ | 50.04 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 1,929,102 | |
| Capital shares outstanding | | | 36,465 | |
| Net asset value per share | | $ | 52.90 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $7,475) | | $ | 566,957 | |
| Interest | | | 2,268 | |
| Income from securities lending, net | | | 11,212 | |
| Total investment income | | | 580,437 | |
| | | | | |
| Expenses: |
| Management fees | | | 360,012 | |
| Distribution and service fees: |
| A-Class | | | 22,514 | |
| C-Class | | | 23,867 | |
| H-Class | | | 14,152 | |
| Transfer agent and administrative fees | | | 105,886 | |
| Portfolio accounting fees | | | 42,354 | |
| Registration fees | | | 38,302 | |
| Custodian fees | | | 5,843 | |
| Trustees’ fees* | | | 3,654 | |
| Line of credit fees | | | 42 | |
| Miscellaneous | | | 26,153 | |
| Total expenses | | | 642,779 | |
| Net investment loss | | | (62,342 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 10,190,225 | |
| Net realized gain | | | 10,190,225 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (3,511,458 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,511,458 | ) |
| Net realized and unrealized gain | | | 6,678,767 | |
| Net increase in net assets resulting from operations | | $ | 6,616,425 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 148 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (62,342 | ) | | $ | (1,275 | ) |
| Net realized gain on investments | | | 10,190,225 | | | | 5,205,605 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,511,458 | ) | | | 887,530 | |
| Net increase in net assets resulting from operations | | | 6,616,425 | | | | 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 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (882,913 | ) | | | — | |
| A-Class | | | (192,541 | ) | | | — | |
| C-Class | | | (62,119 | ) | | | — | |
| H-Class | | | (192,453 | ) | | | — | |
| Total distributions to shareholders | | | (1,330,026 | ) | | | (118,994 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 130,291,611 | | | | 122,086,249 | |
| A-Class | | | 15,148,859 | | | | 19,099,228 | |
| C-Class | | | 3,569,224 | | | | 4,867,697 | |
| H-Class | | | 96,085,939 | | | | 143,717,449 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 876,202 | | | | 73,847 | |
| A-Class | | | 188,343 | | | | 20,353 | |
| C-Class | | | 60,157 | | | | 6,873 | |
| H-Class | | | 192,158 | | | | 15,696 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (150,963,703 | ) | | | (106,399,464 | ) |
| A-Class | | | (15,123,096 | ) | | | (20,440,514 | ) |
| C-Class | | | (3,496,787 | ) | | | (5,771,671 | ) |
| H-Class | | | (99,350,757 | ) | | | (150,146,386 | ) |
| Net increase (decrease) from capital share transactions | | | (22,521,850 | ) | | | 7,129,357 | |
| Net increase (decrease) in net assets | | | (17,235,451 | ) | | | 13,102,223 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 44,087,583 | | | | 30,985,360 | |
| End of year | | $ | 26,852,132 | | | $ | 44,087,583 | |
| Undistributed (distributions in excess of) net investment income at end of year | | $ | — | | | $ | (1,009 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 149 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 2,235,675 | | | | 2,457,004 | |
| A-Class | | | 280,882 | | | | 417,626 | |
| C-Class | | | 70,988 | | | | 114,437 | |
| H-Class | | | 1,891,455 | | | | 3,310,254 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 14,388 | | | | 1,486 | |
| A-Class | | | 3,355 | | | | 443 | |
| C-Class | | | 1,163 | | | | 161 | |
| H-Class | | | 3,523 | | | | 351 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (2,584,123 | ) | | | (2,138,529 | ) |
| A-Class | | | (274,219 | ) | | | (446,819 | ) |
| C-Class | | | (71,214 | ) | | | (138,639 | ) |
| H-Class | | | (1,944,227 | ) | | | (3,441,408 | ) |
| Net increase (decrease) in shares | | | (372,354 | ) | | | 136,367 | |
| 150 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 53.52 | | | $ | 46.23 | | | $ | 52.06 | | | $ | 44.63 | | | $ | 32.07 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.04 | ) | | | .09 | | | | .16 | | | | .18 | | | | (.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.85 | | | | 7.37 | | | | (5.78 | ) | | | 7.25 | | | | 12.60 | |
| Total from investment operations | | | 6.81 | | | | 7.46 | | | | (5.62 | ) | | | 7.43 | | | | 12.56 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net realized gains | | | (1.23 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 59.10 | | | $ | 53.52 | | | $ | 46.23 | | | $ | 52.06 | | | $ | 44.63 | |
| |
| Total Returnb | | | 12.67 | % | | | 16.14 | % | | | (10.80 | %) | | | 16.65 | % | | | 39.16 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 16,603 | | | $ | 32,911 | | | $ | 13,638 | | | $ | 42,947 | | | $ | 44,021 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.07 | %) | | | 0.17 | % | | | 0.33 | % | | | 0.37 | % | | | (0.09 | %) |
| Total expenses | | | 1.37 | % | | | 1.38 | % | | | 1.34 | % | | | 1.35 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 483 | % | | | 676 | % | | | 219 | % | | | 247 | % | | | 593 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 49.50 | | | $ | 42.87 | | | $ | 48.41 | | | $ | 41.61 | | | $ | 29.96 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.07 | ) | | | (.06 | ) | | | .04 | | | | .05 | | | | (.11 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.23 | | | | 6.86 | | | | (5.37 | ) | | | 6.75 | | | | 11.76 | |
| Total from investment operations | | | 6.16 | | | | 6.80 | | | | (5.33 | ) | | | 6.80 | | | | 11.65 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net realized gains | | | (1.23 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 54.43 | | | $ | 49.50 | | | $ | 42.87 | | | $ | 48.41 | | | $ | 41.61 | |
| |
| Total Returnb | | | 12.38 | % | | | 15.87 | % | | | (11.01 | %) | | | 16.34 | % | | | 38.89 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,760 | | | $ | 4,742 | | | $ | 5,339 | | | $ | 15,359 | | | $ | 12,938 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.12 | %) | | | (0.12 | %) | | | 0.08 | % | | | 0.12 | % | | | (0.28 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % | | | 1.60 | % | | | 1.62 | % |
| Portfolio turnover rate | | | 483 | % | | | 676 | % | | | 219 | % | | | 247 | % | | | 593 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 151 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 45.93 | | | $ | 40.09 | | | $ | 45.63 | | | $ | 39.52 | | | $ | 28.67 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.43 | ) | | | (.34 | ) | | | (.24 | ) | | | (.27 | ) | | | (.37 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.77 | | | | 6.35 | | | | (5.09 | ) | | | 6.38 | | | | 11.22 | |
| Total from investment operations | | | 5.34 | | | | 6.01 | | | | (5.33 | ) | | | 6.11 | | | | 10.85 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net realized gains | | | (1.23 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 50.04 | | | $ | 45.93 | | | $ | 40.09 | | | $ | 45.63 | | | $ | 39.52 | |
| |
| Total Returnb | | | 11.56 | % | | | 15.00 | % | | | (11.69 | %) | | | 15.46 | % | | | 37.84 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,560 | | | $ | 2,307 | | | $ | 2,977 | | | $ | 6,405 | | | $ | 3,734 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.87 | %) | | | (0.81 | %) | | | (0.57 | %) | | | (0.62 | %) | | | (1.07 | %) |
| Total expenses | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % | | | 2.35 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 483 | % | | | 676 | % | | | 219 | % | | | 247 | % | | | 593 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.15 | | | $ | 41.71 | | | $ | 47.12 | | | $ | 40.61 | | | $ | 29.32 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.13 | ) | | | (.13 | ) | | | (.09 | ) | | | (.10 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.11 | | | | 6.74 | | | | (5.11 | ) | | | 6.61 | | | | 11.47 | |
| Total from investment operations | | | 5.98 | | | | 6.61 | | | | (5.20 | ) | | | 6.51 | | | | 11.29 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net realized gains | | | (1.23 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (1.23 | ) | | | (.17 | ) | | | (.21 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 52.90 | | | $ | 48.15 | | | $ | 41.71 | | | $ | 47.12 | | | $ | 40.61 | |
| |
| Total Returnb | | | 12.33 | % | | | 15.88 | % | | | (11.04 | %) | | | 16.03 | % | | | 38.51 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,929 | | | $ | 4,127 | | | $ | 9,031 | | | $ | 6,249 | | | $ | 2,583 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.24 | %) | | | (0.30 | %) | | | (0.20 | %) | | | (0.22 | %) | | | (0.50 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.72 | % | | | 1.85 | % | | | 1.87 | % |
| Portfolio turnover rate | | | 483 | % | | | 676 | % | | | 219 | % | | | 247 | % | | | 593 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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. |
| 152 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
For the one-year period ended March 29, 2018, Utilities Fund Investor Class returned 1.72%, compared with 1.89% for the S&P 500 Utilities Index. The broader S&P 500 Index returned 13.99%.
The industry that contributed the most to performance of the Fund was power generation, followed by integrated utilities. The midstream oil & gas industry was the only detractor from return. The cement & aggregates industry contributed the least.
NextEra Energy, Inc. NRG Energy, Inc., and Avagrid, Inc. contributed the most to the performance of the Fund. PG&E Corp., Scana Corp., and PPL Corp. detracted the most.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| Investor Class | April 3, 2000 |
| 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. | 4.6% |
| Duke Energy Corp. | 3.8% |
| Southern Co. | 3.4% |
| Dominion Energy, Inc. | 3.2% |
| Exelon Corp. | 3.2% |
| American Electric Power Company, Inc. | 3.0% |
| Sempra Energy | 2.7% |
| Public Service Enterprise Group, Inc. | 2.6% |
| Consolidated Edison, Inc. | 2.5% |
| Xcel Energy, Inc. | 2.5% |
| Top Ten Total | 31.5% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 153 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 1.72% | 7.63% | 6.70% |
| A-Class Shares | 1.45% | 7.36% | 6.43% |
| A-Class Shares with sales charge† | (3.38%) | 6.32% | 5.92% |
| C-Class Shares | 0.69% | 6.56% | 5.63% |
| C-Class Shares with CDSC‡ | (0.28%) | 6.56% | 5.63% |
| H-Class Shares** | 1.44% | 7.23% | 6.24% |
| S&P 500 Utilities Index | 1.89% | 9.16% | 7.07% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for 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. |
| † | | 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. |
| 154 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| UTILITIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% |
| | | | | | | |
| Electric - 81.1% |
| NextEra Energy, Inc. | | | 5,523 | | | $ | 902,072 | |
| Duke Energy Corp. | | | 9,602 | | | | 743,867 | |
| Southern Co. | | | 15,205 | | | | 679,055 | |
| Dominion Energy, Inc. | | | 9,467 | | | | 638,360 | |
| Exelon Corp. | | | 16,066 | | | | 626,735 | |
| American Electric Power Company, Inc. | | | 8,667 | | | | 594,470 | |
| Sempra Energy | | | 4,846 | | | | 538,972 | |
| Public Service Enterprise Group, Inc. | | | 10,372 | | | | 521,089 | |
| Consolidated Edison, Inc. | | | 6,432 | | | | 501,310 | |
| Xcel Energy, Inc. | | | 10,856 | | | | 493,731 | |
| PG&E Corp. | | | 11,089 | | | | 487,140 | |
| Edison International | | | 7,422 | | | | 472,484 | |
| WEC Energy Group, Inc. | | | 7,224 | | | | 452,945 | |
| PPL Corp. | | | 15,893 | | | | 449,613 | |
| DTE Energy Co. | | | 4,234 | | | | 442,030 | |
| Eversource Energy | | | 7,455 | | | | 439,249 | |
| FirstEnergy Corp. | | | 12,083 | | | | 410,943 | |
| Avangrid, Inc. | | | 8,025 | | | | 410,238 | |
| Entergy Corp. | | | 4,859 | | | | 382,792 | |
| Ameren Corp. | | | 6,710 | | | | 379,987 | |
| CMS Energy Corp. | | | 8,134 | | | | 368,389 | |
| CenterPoint Energy, Inc. | | | 12,626 | | | | 345,952 | |
| Alliant Energy Corp. | | | 7,740 | | | | 316,256 | |
| NRG Energy, Inc. | | | 10,352 | | | | 316,047 | |
| Pinnacle West Capital Corp. | | | 3,833 | | | | 305,873 | |
| Vistra Energy Corp.* | | | 14,408 | | | | 300,119 | |
| Westar Energy, Inc. | | | 5,351 | | | | 281,409 | |
| AES Corp. | | | 24,714 | | | | 280,998 | |
| Great Plains Energy, Inc. | | | 8,475 | | | | 269,420 | |
| OGE Energy Corp. | | | 7,990 | | | | 261,832 | |
| MDU Resources Group, Inc. | | | 8,598 | | | | 242,120 | |
| SCANA Corp. | | | 6,043 | | | | 226,915 | |
| IDACORP, Inc. | | | 2,480 | | | | 218,910 | |
| ALLETE, Inc. | | | 2,744 | | | | 198,254 | |
| Hawaiian Electric Industries, Inc. | | | 5,724 | | | | 196,791 | |
| Portland General Electric Co. | | | 4,775 | | | | 193,435 | |
| Avista Corp. | | | 3,700 | | | | 189,625 | |
| PNM Resources, Inc. | | | 4,726 | | | | 180,769 | |
| NRG Yield, Inc. — Class C | | | 10,468 | | | | 177,956 | |
| Black Hills Corp. | | | 3,211 | | | | 174,357 | |
| NorthWestern Corp. | | | 3,111 | | | | 167,372 | |
| El Paso Electric Co. | | | 2,900 | | | | 147,900 | |
| Dynegy, Inc.* | | | 10,408 | | | | 140,716 | |
| Total Electric | | | | | | | 16,068,497 | |
| | | | | | | | | |
| Gas - 13.3% |
| Atmos Energy Corp. | | | 3,727 | | | | 313,963 | |
| NiSource, Inc. | | | 12,144 | | | | 290,363 | |
| UGI Corp. | | | 6,286 | | | | 279,224 | |
| Vectren Corp. | | | 3,701 | | | | 236,568 | |
| National Fuel Gas Co. | | | 4,169 | | | | 214,495 | |
| WGL Holdings, Inc. | | | 2,493 | | | | 208,539 | |
| National Grid plc ADR1 | | | 3,440 | | | | 194,119 | |
| Spire, Inc. | | | 2,670 | | | | 193,041 | |
| New Jersey Resources Corp. | | | 4,717 | | | | 189,152 | |
| ONE Gas, Inc. | | | 2,847 | | | | 187,959 | |
| Southwest Gas Holdings, Inc. | | | 2,626 | | | | 177,596 | |
| South Jersey Industries, Inc. | | | 5,410 | | | | 152,346 | |
| Total Gas | | | | | | | 2,637,365 | |
| | | | | | | | | |
| Water - 3.9% |
| American Water Works Company, Inc. | | | 4,695 | | | | 385,600 | |
| Aqua America, Inc. | | | 7,286 | | | | 248,161 | |
| American States Water Co. | | | 2,660 | | | | 141,140 | |
| Total Water | | | | | | | 774,901 | |
| | | | | | | | | |
| Energy-Alternate Sources - 1.2% |
| Pattern Energy Group, Inc. — Class A1 | | | 7,400 | | | | 127,946 | |
| TerraForm Power, Inc. — Class A | | | 11,330 | | | | 121,571 | |
| Total Energy-Alternate Sources | | | | | | | 249,517 | |
| | | | | | | | | |
| Pipelines - 0.0% |
| Kinder Morgan, Inc. | | | 1 | | | | 15 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $16,847,090) | | | | | | | 19,730,295 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.3% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 46,050 | | | | 46,050 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 15,068 | | | | 15,068 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $61,118) | | | | | | | 61,118 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 133,964 | | | | 133,964 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $133,964) | | | | | | | 133,964 | |
| | | | | | | | | |
| Total Investments - 100.5% | | | | | | | | |
| (Cost $17,042,172) | | | | | | $ | 19,925,377 | |
| Other Assets & Liabilities, net - (0.5)% | | | | | | | (101,118 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 19,824,259 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 155 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| UTILITIES FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 3. |
| †† | | Value determined based on Level 2 inputs — See Note 3. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 5. |
| 2 | | Repurchase Agreements — See Note 4. |
| 3 | | Securities lending collateral — See Note 5. |
| 4 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (See Note 3 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 | | $ | 19,730,295 | | | $ | — | | | $ | — | | | $ | 19,730,295 | |
| Repurchase Agreements | | | — | | | | 61,118 | | | | — | | | | 61,118 | |
| Securities Lending Collateral | | | 133,964 | | | | — | | | | — | | | | 133,964 | |
| Total Assets | | $ | 19,864,259 | | | $ | 61,118 | | | $ | — | | | $ | 19,925,377 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 156 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $127,765 of securities loaned (cost $16,981,054) | | $ | 19,864,259 | |
| Repurchase agreements, at value (cost $61,118) | | | 61,118 | |
| Cash | | | 14,906 | |
| Receivables: |
| Securities sold | | | 2,792,053 | |
| Dividends | | | 56,114 | |
| Fund shares sold | | | 14,447 | |
| Foreign taxes reclaim | | | 315 | |
| Interest | | | 9 | |
| Securities lending income | | | 6 | |
| Total assets | | | 22,803,227 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 2,806,960 | |
| Return of securities loaned | | | 133,964 | |
| Management fees | | | 16,423 | |
| Distribution and service fees | | | 6,391 | |
| Transfer agent and administrative fees | | | 4,830 | |
| Portfolio accounting fees | | | 1,932 | |
| Trustees’ fees* | | | 635 | |
| Miscellaneous | | | 7,833 | |
| Total liabilities | | | 2,978,968 | |
| Commitments and contingent liabilities (Note 9) | | | — | |
| Net assets | | $ | 19,824,259 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 19,438,027 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (2,496,973 | ) |
| Net unrealized appreciation on investments | | | 2,883,205 | |
| Net assets | | $ | 19,824,259 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 9,005,701 | |
| Capital shares outstanding | | | 230,745 | |
| Net asset value per share | | $ | 39.03 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,482,354 | |
| Capital shares outstanding | | | 96,816 | |
| Net asset value per share | | $ | 35.97 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 37.76 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 6,526,026 | |
| Capital shares outstanding | | | 214,771 | |
| Net asset value per share | | $ | 30.39 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 810,178 | |
| Capital shares outstanding | | | 23,388 | |
| Net asset value per share | | $ | 34.64 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 1,291,999 | |
| Interest | | | 1,786 | |
| Income from securities lending, net | | | 393 | |
| Total investment income | | | 1,294,178 | |
| | | | | |
| Expenses: |
| Management fees | | | 364,994 | |
| Distribution and service fees: |
| A-Class | | | 16,969 | |
| C-Class | | | 77,241 | |
| H-Class | | | 10,801 | |
| Transfer agent and administrative fees | | | 107,351 | |
| Portfolio accounting fees | | | 42,940 | |
| Custodian fees | | | 5,847 | |
| Trustees’ fees* | | | 3,841 | |
| Line of credit fees | | | 170 | |
| Miscellaneous | | | 67,877 | |
| Total expenses | | | 698,031 | |
| Net investment income | | | 596,147 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 4,235,990 | |
| Net realized gain | | | 4,235,990 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (5,033,646 | ) |
| Net change in unrealized appreciation (depreciation) | | | (5,033,646 | ) |
| Net realized and unrealized loss | | | (797,656 | ) |
| Net decrease in net assets resulting from operations | | $ | (201,509 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 157 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 596,147 | | | $ | 839,774 | |
| Net realized gain on investments | | | 4,235,990 | | | | 11,894,279 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (5,033,646 | ) | | | (12,192,043 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (201,509 | ) | | | 542,010 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (309,568 | ) | | | (577,820 | ) |
| A-Class | | | (64,504 | ) | | | (127,704 | ) |
| C-Class | | | (122,855 | ) | | | (237,845 | ) |
| H-Class | | | (15,542 | ) | | | (188,129 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (302,366 | ) | | | (1,895,220 | ) |
| A-Class | | | (63,004 | ) | | | (418,860 | ) |
| C-Class | | | (119,996 | ) | | | (780,119 | ) |
| H-Class | | | (15,181 | ) | | | (617,055 | ) |
| Total distributions to shareholders | | | (1,013,016 | ) | | | (4,842,752 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 152,584,832 | | | | 282,505,858 | |
| A-Class | | | 11,463,834 | | | | 40,059,210 | |
| C-Class | | | 3,176,346 | | | | 6,907,165 | |
| H-Class | | | 84,220,174 | | | | 103,464,307 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 600,953 | | | | 2,434,848 | |
| A-Class | | | 121,868 | | | | 536,124 | |
| C-Class | | | 239,192 | | | | 1,004,274 | |
| H-Class | | | 29,375 | | | | 803,467 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (167,380,453 | ) | | | (307,478,614 | ) |
| A-Class | | | (17,316,656 | ) | | | (54,062,337 | ) |
| C-Class | | | (5,019,312 | ) | | | (9,547,021 | ) |
| H-Class | | | (88,808,628 | ) | | | (105,286,529 | ) |
| Net decrease from capital share transactions | | | (26,088,475 | ) | | | (38,659,248 | ) |
| Net increase (decrease) in net assets | | | (27,303,000 | ) | | | (42,959,990 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 47,127,259 | | | | 90,087,249 | |
| End of year | | $ | 19,824,259 | | | $ | 47,127,259 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | — | |
| 158 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 3,722,394 | | | | 6,973,833 | |
| A-Class | | | 298,597 | | | | 1,063,262 | |
| C-Class | | | 99,174 | | | | 209,067 | |
| H-Class | | | 2,313,316 | | | | 2,848,092 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 14,453 | | | | 68,472 | |
| A-Class | | | 3,178 | | | | 16,261 | |
| C-Class | | | 7,367 | | | | 35,537 | |
| H-Class | | | 795 | | | | 25,290 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (4,119,104 | ) | | | (7,690,866 | ) |
| A-Class | | | (461,937 | ) | | | (1,419,071 | ) |
| C-Class | | | (157,243 | ) | | | (295,878 | ) |
| H-Class | | | (2,443,865 | ) | | | (2,897,377 | ) |
| Net decrease in shares | | | (722,875 | ) | | | (1,063,378 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 159 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 39.34 | | | $ | 40.23 | | | $ | 36.98 | | | $ | 34.01 | | | $ | 32.71 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .68 | | | | .59 | | | | .73 | | | | .84 | | | | .78 | |
| Net gain (loss) on investments (realized and unrealized) | | | .06 | | | | 2.25 | | | | 3.09 | | | | 2.26 | | | | 1.98 | |
| Total from investment operations | | | .74 | | | | 2.84 | | | | 3.82 | | | | 3.10 | | | | 2.76 | |
| Less distributions from: |
| Net investment income | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net realized gains | | | (.52 | ) | | | (2.86 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net asset value, end of period | | $ | 39.03 | | | $ | 39.34 | | | $ | 40.23 | | | $ | 36.98 | | | $ | 34.01 | |
| |
| Total Returnb | | | 1.72 | % | | | 8.04 | % | | | 10.61 | % | | | 9.12 | % | | | 8.88 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 9,006 | | | $ | 24,116 | | | $ | 50,753 | | | $ | 55,156 | | | $ | 95,854 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.67 | % | | | 1.47 | % | | | 2.00 | % | | | 2.31 | % | | | 2.38 | % |
| Total expenses | | | 1.38 | % | | | 1.38 | % | | | 1.35 | % | | | 1.35 | % | | | 1.40 | % |
| Portfolio turnover rate | | | 452 | % | | | 507 | % | | | 475 | % | | | 384 | % | | | 508 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.43 | | | $ | 37.63 | | | $ | 34.70 | | | $ | 32.02 | | | $ | 30.95 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .54 | | | | .45 | | | | .63 | | | | .66 | | | | .63 | |
| Net gain (loss) on investments (realized and unrealized) | | | .05 | | | | 2.08 | | | | 2.87 | | | | 2.15 | | | | 1.90 | |
| Total from investment operations | | | .59 | | | | 2.53 | | | | 3.50 | | | | 2.81 | | | | 2.53 | |
| Less distributions from: |
| Net investment income | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net realized gains | | | (.52 | ) | | | (2.86 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net asset value, end of period | | $ | 35.97 | | | $ | 36.43 | | | $ | 37.63 | | | $ | 34.70 | | | $ | 32.02 | |
| |
| Total Returnb | | | 1.45 | % | | | 7.75 | % | | | 10.38 | % | | | 8.78 | % | | | 8.64 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,482 | | | $ | 9,362 | | | $ | 22,448 | | | $ | 9,782 | | | $ | 11,417 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.43 | % | | | 1.20 | % | | | 1.85 | % | | | 1.93 | % | | | 2.05 | % |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % | | | 1.60 | % | | | 1.63 | % |
| Portfolio turnover rate | | | 452 | % | | | 507 | % | | | 475 | % | | | 384 | % | | | 508 | % |
| 160 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 31.15 | | | $ | 32.96 | | | $ | 30.70 | | | $ | 28.55 | | | $ | 27.96 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .25 | | | | .22 | | | | .28 | | | | .36 | | | | .34 | |
| Net gain (loss) on investments (realized and unrealized) | | | .04 | | | | 1.70 | | | | 2.55 | | | | 1.92 | | | | 1.71 | |
| Total from investment operations | | | .29 | | | | 1.92 | | | | 2.83 | | | | 2.28 | | | | 2.05 | |
| Less distributions from: |
| Net investment income | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net realized gains | | | (.52 | ) | | | (2.86 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net asset value, end of period | | $ | 30.39 | | | $ | 31.15 | | | $ | 32.96 | | | $ | 30.70 | | | $ | 28.55 | |
| |
| Total Returnb | | | 0.69 | % | | | 6.97 | % | | | 9.55 | % | | | 7.99 | % | | | 7.83 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,526 | | | $ | 8,270 | | | $ | 10,438 | | | $ | 8,417 | | | $ | 8,387 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.78 | % | | | 0.69 | % | | | 0.94 | % | | | 1.18 | % | | | 1.22 | % |
| Total expenses | | | 2.38 | % | | | 2.37 | % | | | 2.35 | % | | | 2.35 | % | | | 2.38 | % |
| Portfolio turnover rate | | | 452 | % | | | 507 | % | | | 475 | % | | | 384 | % | | | 508 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 35.12 | | | $ | 36.40 | | | $ | 33.61 | | | $ | 31.09 | | | $ | 30.19 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .31 | | | | .41 | | | | .54 | | | | .60 | | | | .69 | |
| Net gain (loss) on investments (realized and unrealized) | | | .26 | | | | 2.04 | | | | 2.82 | | | | 2.05 | | | | 1.67 | |
| Total from investment operations | | | .57 | | | | 2.45 | | | | 3.36 | | | | 2.65 | | | | 2.36 | |
| Less distributions from: |
| Net investment income | | | (.53 | ) | | | (.87 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net realized gains | | | (.52 | ) | | | (2.86 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.05 | ) | | | (3.73 | ) | | | (.57 | ) | | | (.13 | ) | | | (1.46 | ) |
| Net asset value, end of period | | $ | 34.64 | | | $ | 35.12 | | | $ | 36.40 | | | $ | 33.61 | | | $ | 31.09 | |
| |
| Total Returnb | | | 1.44 | % | | | 7.80 | % | | | 10.31 | % | | | 8.53 | % | | | 8.29 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 810 | | | $ | 5,379 | | | $ | 6,448 | | | $ | 13,546 | | | $ | 2,269 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.85 | % | | | 1.13 | % | | | 1.65 | % | | | 1.79 | % | | | 2.32 | % |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.68 | % | | | 1.84 | % | | | 1.88 | % |
| Portfolio turnover rate | | | 452 | % | | | 507 | % | | | 475 | % | | | 384 | % | | | 508 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 ANNUAL REPORT | 161 |
| NOTES TO FINANCIAL STATEMENTS |
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 March 29, 2018, 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 shares 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
March 29, 2018 represents the last day during the Funds’ annual period on which the New York Stock Exchange (“NYSE”) was open for trading. The Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ NAV calculations used for shareholder transactions.
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 a fund is calculated by dividing the market value of a 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.
| 162 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 (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, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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 March 29, 2018, 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 Real Estate Investment Trusts (“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
| | THE RYDEX FUNDS ANNUAL REPORT | 163 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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.
(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 1.68% at March 29, 2018.
(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 – Investment Advisory Agreement and Other Agreements
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.
| 164 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
For the year ended March 29, 2018, GFD retained sales charges of $173,191 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and or employees 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. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Funds’ average daily net assets and out of pocket expenses.
Note 3 – 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 4 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The 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 ANNUAL REPORT | 165 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
At March 29, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| JPMorgan Chase & Co. | | | | | | | | U.S Treasury Notes | | | | | | |
| 1.80% | | | | | | | | 1.38% - 2.75% | | | | | | |
| Due 04/02/18 | | $ | 208,198,841 | | | $ | 208,240,481 | | | 04/15/20 - 05/15/25 | | $ | 208,076,600 | | | $ | 207,119,552 | |
| | | | | | | | | | | U.S. TIP Notes | | | | | | | | |
| | | | | | | | | | | 0.13% | | | | | | | | |
| | | | | | | | | | | 04/15/20 | | | 4,654,400 | | | | 4,908,055 | |
| | | | | | | | | | | U.S. Treasury Bonds | | | | | | | | |
| | | | | | | | | | | 3.00% - 8.00% | | | | | | | | |
| | | | | | | | | | | 11/15/21/- 05/15/45 | | | 329,500 | | | | 335,239 | |
| | | | | | | | | | | | | | | | | | 212,362,846 | |
| | | | | | | | | | | | | | | | | | | |
| Bank of America Merrill Lynch | | | | | | | | | | U.S. Treasury Notes | | | | | | | | |
| 1.78% | | | | | | | | | | 1.63% | | | | | | | | |
| Due 04/02/18 | | | 68,128,219 | | | | 68,141,693 | | | 06/30/20 - 07/31/20 | | | 70,403,800 | | | | 69,490,837 | |
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 5 – 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 their 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.
| 166 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
At March 29, 2018, 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 | | | $ | 382,239 | | | $ | (382,239 | ) | | $ | — | | | $ | 395,290 | | | $ | — | | | $ | 395,290 | |
| Basic Materials Fund | | | | 3,282,182 | | | | (3,282,182 | ) | | | — | | | | 3,296,775 | | | | — | | | | 3,296,775 | |
| Biotechnology Fund | | | | 10,533,289 | | | | (10,533,289 | ) | | | — | | | | 10,830,439 | | | | — | | | | 10,830,439 | |
| Consumer Products Fund | | | | 10,259,396 | | | | (10,259,396 | ) | | | — | | | | 10,416,568 | | | | — | | | | 10,416,568 | |
| Electronics Fund | | | | 3,868,842 | | | | (3,868,842 | ) | | | — | | | | 3,947,233 | | | | — | | | | 3,947,233 | |
| Energy Fund | | | | 891,172 | | | | (891,172 | ) | | | — | | | | 893,759 | | | | — | | | | 893,759 | |
| Energy Services Fund | | | | 718,911 | | | | (718,911 | ) | | | — | | | | 719,875 | | | | — | | | | 719,875 | |
| Financial Services Fund | | | | 270,408 | | | | (270,408 | ) | | | — | | | | 283,231 | | | | — | | | | 283,231 | |
| Health Care Fund | | | | 1,114,478 | | | | (1,114,478 | ) | | | — | | | | 1,139,522 | | | | — | | | | 1,139,522 | |
| Internet Fund | | | | 1,581,119 | | | | (1,581,119 | ) | | | — | | | | 1,620,073 | | | | — | | | | 1,620,073 | |
| Leisure Fund | | | | 1,131,452 | | | | (1,131,452 | ) | | | — | | | | 1,166,692 | | | | — | | | | 1,166,692 | |
| Precious Metals Fund | | | | 3,073,314 | | | | (3,073,314 | ) | | | — | | | | 3,155,252 | | | | — | | | | 3,155,252 | |
| Real Estate Fund | | | | 179,810 | | | | (179,810 | ) | | | — | | | | 187,965 | | | | — | | | | 187,965 | |
| Retailing Fund | | | | 718,639 | | | | (718,639 | ) | | | — | | | | 738,056 | | | | — | | | | 738,056 | |
| Technology Fund | | | | 2,117,846 | | | | (2,117,846 | ) | | | — | | | | 2,163,422 | | | | — | | | | 2,163,422 | |
| Telecommunications Fund | | | | 98,303 | | | | (98,303 | ) | | | — | | | | 100,563 | | | | — | | | | 100,563 | |
| Transportation Fund | | | | 1,345,804 | | | | (1,345,804 | ) | | | — | | | | 1,363,538 | | | | — | | | | 1,363,538 | |
| Utilities Fund | | | | 127,765 | | | | (127,765 | ) | | | — | | | | 133,964 | | | | — | | | | 133,964 | |
| (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 6 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all 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 ANNUAL REPORT | 167 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 29, 2018 was as follows:
| Fund | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distributions | |
| Banking Fund | | | $ | 238,285 | | | $ | — | | | $ | — | | | $ | 238,285 | |
| Basic Materials Fund | | | | 401,894 | | | | — | | | | — | | | | 401,894 | |
| Biotechnology Fund | | | | 327,024 | | | | 17,204,989 | | | | — | | | | 17,532,013 | |
| Consumer Products Fund | | | | 3,467,891 | | | | 16,097,709 | | | | — | | | | 19,565,600 | |
| Electronics Fund | | | | 27,832 | | | | — | | | | — | | | | 27,832 | |
| Energy Fund | | | | 216,098 | | | | — | | | | — | | | | 216,098 | |
| Energy Services Fund | | | | 127,667 | | | | — | | | | — | | | | 127,667 | |
| Financial Services Fund | | | | 373,064 | | | | — | | | | — | | | | 373,064 | |
| Health Care Fund | | | | 2,822,295 | | | | 2,944,365 | | | | — | | | | 5,766,660 | |
| Leisure Fund | | | | 1,306,512 | | | | — | | | | — | | | | 1,306,512 | |
| Precious Metals Fund | | | | 3,137,438 | | | | — | | | | — | | | | 3,137,438 | |
| Real Estate Fund | | | | 124,354 | | | | — | | | | — | | | | 124,354 | |
| Technology Fund | | | | — | | | | 1,400,557 | | | | — | | | | 1,400,557 | |
| Telecommunications Fund | | | | 133,323 | | | | — | | | | — | | | | 133,323 | |
| Transportation Fund | | | | — | | | | 1,330,026 | | | | — | | | | 1,330,026 | |
| Utilities Fund | | | | 512,469 | | | | 500,547 | | | | — | | | | 1,013,016 | |
The tax character of distributions paid during the year ended March 31, 2017 was as follows:
| Fund | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distributions | |
| Banking Fund | | | $ | 269,048 | | | $ | — | | | $ | — | | | $ | 269,048 | |
| Basic Materials Fund | | | | 670,396 | | | | — | | | | — | | | | 670,396 | |
| Consumer Products Fund | | | | 4,654,580 | | | | 902,413 | | | | — | | | | 5,556,993 | |
| Energy Fund | | | | 476,798 | | | | — | | | | — | | | | 476,798 | |
| Energy Services Fund | | | | 125,275 | | | | — | | | | — | | | | 125,275 | |
| Financial Services Fund | | | | 570,253 | | | | — | | | | — | | | | 570,253 | |
| Health Care Fund | | | | — | | | | 5,852,628 | | | | — | | | | 5,852,628 | |
| Leisure Fund | | | | 131,755 | | | | — | | | | — | | | | 131,755 | |
| Precious Metals Fund | | | | 3,117,567 | | | | — | | | | — | | | | 3,117,567 | |
| Real Estate Fund | | | | 834,145 | | | | — | | | | — | | | | 834,145 | |
| Telecommunications Fund | | | | 241,655 | | | | — | | | | — | | | | 241,655 | |
| Transportation Fund | | | | 118,994 | | | | — | | | | — | | | | 118,994 | |
| Utilities Fund | | | | 1,131,498 | | | | 3,711,254 | | | | — | | | | 4,842,752 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
| 168 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax components of accumulated earnings/(deficit) as of March 29, 2018 were as follows:
| Fund | | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
| Banking Fund | | | $ | 287,899 | | | $ | — | | | $ | 2,095,991 | | | $ | (912,723 | ) | | $ | — | | | $ | 1,471,167 | |
| Basic Materials Fund | | | | 142,838 | | | | 350,894 | | | | 3,529,053 | | | | — | | | | (130,382 | ) | | | 3,892,403 | |
| Biotechnology Fund | | | | 9,243,980 | | | | 18,196,724 | | | | 103,395,957 | | | | — | | | | — | | | | 130,836,661 | |
| Consumer Products Fund | | | | 1,280,299 | | | | 6,200,707 | | | | 54,021,823 | | | | — | | | | — | | | | 61,502,829 | |
| Electronics Fund | | | | 1,986,759 | | | | — | | | | 4,151,399 | | | | — | | | | — | | | | 6,138,158 | |
| Energy Fund | | | | 297,239 | | | | — | | | | (8,833,871 | ) | | | (2,758,568 | ) | | | — | | | | (11,295,200 | ) |
| Energy Services Fund | | | | 144,264 | | | | — | | | | (3,875,149 | ) | | | (15,977,863 | ) | | | — | | | | (19,708,748 | ) |
| Financial Services Fund | | | | 433,322 | | | | 1,103,518 | | | | 4,328,423 | | | | — | | | | — | | | | 5,865,263 | |
| Health Care Fund | | | | 1,811,707 | | | | — | | | | (1,104,886 | ) | | | — | | | | — | | | | 706,821 | |
| Internet Fund | | | | 3,115,314 | | | | — | | | | 6,016,781 | | | | — | | | | — | | | | 9,132,095 | |
| Leisure Fund | | | | 892,513 | | | | — | | | | 1,299,660 | | | | — | | | | — | | | | 2,192,173 | |
| Precious Metals Fund | | | | 618,560 | | | | — | | | | (21,350,173 | ) | | | (24,574,222 | ) | | | (276,532 | ) | | | (45,582,367 | ) |
| Real Estate Fund | | | | 336,149 | | | | — | | | | (2,214,968 | ) | | | (224,660 | ) | | | — | | | | (2,103,479 | ) |
| Retailing Fund | | | | 72,309 | | | | — | | | | 290,370 | | | | — | | | | — | | | | 362,679 | |
| Technology Fund | | | | 4,525,368 | | | | — | | | | 16,292,432 | | | | — | | | | — | | | | 20,817,800 | |
| Telecommunications Fund | | | | — | | | | — | | | | 300,345 | | | | — | | | | — | | | | 300,345 | |
| Transportation Fund | | | | 1,658,735 | | | | — | | | | 4,607,775 | | | | — | | | | — | | | | 6,266,510 | |
| Utilities Fund | | | | — | | | | — | | | | 386,232 | | | | — | | | | — | | | | 386,232 | |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of March 29, 2018, capital loss carryforwards for the Funds were as follows:
| | | | | | Unlimited | | | | |
| Fund | | | Expires in
2019 | | | Short-Term | | | | Long-Term | | | | Total
Capital Loss
Carryforward | |
| Banking Fund | | | $ | (912,723 | ) | | $ | — | | | $ | — | | | $ | (912,723 | ) |
| Energy Fund | | | | — | | | | (401,603 | ) | | | (2,356,965 | ) | | | (2,758,568 | ) |
| Energy Services Fund | | | | — | | | | (10,357,500 | ) | | | (5,620,363 | ) | | | (15,977,863 | ) |
| Precious Metals Fund | | | | — | | | | (5,570,526 | ) | | | (19,003,696 | ) | | | (24,574,222 | ) |
| Real Estate Fund | | | | — | | | | (224,660 | ) | | | — | | | | (224,660 | ) |
For the year ended March 29, 2018, the following capital loss carryforward amounts expired or were utilized:
| Fund | | | Expired | | | Utilized | | | Total | |
| Banking Fund | | | $ | 7,760,194 | | | $ | 11,566,814 | | | $ | 19,327,008 | |
| Basic Materials Fund | | | | — | | | | 8,009,421 | | | | 8,009,421 | |
| Electronics Fund | | | | — | | | | 3,055,204 | | | | 3,055,204 | |
| Energy Services Fund | | | | 5,702,829 | | | | — | | | | 5,702,829 | |
| Financial Services Fund | | | | — | | | | 3,920,455 | | | | 3,920,455 | |
| Internet Fund | | | | — | | | | 792,834 | | | | 792,834 | |
| Precious Metals Fund | | | | — | | | | 1,694,289 | | | | 1,694,289 | |
| Real Estate Fund | | | | 4,305,317 | | | | 1,028,298 | | | | 5,333,615 | |
| Transportation Fund | | | | — | | | | 755,317 | | | | 755,317 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 169 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in real estate investment trusts, foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, non-deductible expenses, return of capital distributions received, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, foreign capital gains taxes, corporate actions, and the expiration of capital loss carryforward amounts. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 29, 2018 for permanent book/tax differences:
| Fund | | | Paid In
Capital | | | Undistributed
Net Investment
Income/(Loss) | | | Accumulated
Net Realized
Gain/(Loss) | |
| Banking Fund | | | $ | (7,760,194 | ) | | $ | — | | | $ | 7,760,194 | |
| Basic Materials Fund | | | | (1,861 | ) | | | 319,616 | | | | (317,755 | ) |
| Biotechnology Fund | | | | 30,399,610 | | | | 3,250,375 | | | | (33,649,985 | ) |
| Consumer Products Fund | | | | 7,715,214 | | | | 1 | | | | (7,715,215 | ) |
| Electronics Fund | | | | 5,967,219 | | | | 130,478 | | | | (6,097,697 | ) |
| Energy Fund | | | | 809 | | | | (809 | ) | | | — | |
| Energy Services Fund | | | | (5,702,878 | ) | | | 49 | | | | 5,702,829 | |
| Financial Services Fund | | | | 1,625,540 | | | | — | | | | (1,625,540 | ) |
| Health Care Fund | | | | 5,971,660 | | | | 410,242 | | | | (6,381,902 | ) |
| Internet Fund | | | | 7,228,667 | | | | 599,777 | | | | (7,828,444 | ) |
| Leisure Fund | | | | 3,276,241 | | | | — | | | | (3,276,241 | ) |
| Precious Metals Fund | | | | 1 | | | | 3,991,079 | | | | (3,991,080 | ) |
| Real Estate Fund | | | | (4,305,318 | ) | | | 1,515 | | | | 4,303,803 | |
| Retailing Fund | | | | 460,732 | | | | 170 | | | | (460,902 | ) |
| Technology Fund | | | | 9,157,577 | | | | 479,323 | | | | (9,636,900 | ) |
| Telecommunications Fund | | | | 428,311 | | | | (21,344 | ) | | | (406,967 | ) |
| Transportation Fund | | | | 5,576,982 | | | | 63,351 | | | | (5,640,333 | ) |
| Utilities Fund | | | | 2,413,701 | | | | (83,678 | ) | | | (2,330,023 | ) |
At March 29, 2018, 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 | | | $ | 46,875,968 | | | $ | 2,185,394 | | | $ | (89,403 | ) | | $ | 2,095,991 | |
| Basic Materials Fund | | | | 74,973,190 | | | | 3,972,905 | | | | (443,852 | ) | | | 3,529,053 | |
| Biotechnology Fund | | | | 185,868,942 | | | | 105,546,706 | | | | (2,150,749 | ) | | | 103,395,957 | |
| Consumer Products Fund | | | | 168,520,952 | | | | 57,423,062 | | | | (3,401,239 | ) | | | 54,021,823 | |
| Electronics Fund | | | | 91,339,742 | | | | 5,926,962 | | | | (1,775,563 | ) | | | 4,151,399 | |
| Energy Fund | | | | 55,200,846 | | | | — | | | | (8,833,871 | ) | | | (8,833,871 | ) |
| Energy Services Fund | | | | 31,180,406 | | | | — | | | | (3,875,149 | ) | | | (3,875,149 | ) |
| Financial Services Fund | | | | 34,687,827 | | | | 4,795,298 | | | | (466,875 | ) | | | 4,328,423 | |
| Health Care Fund | | | | 82,806,947 | | | | 355,664 | | | | (1,460,550 | ) | | | (1,104,886 | ) |
| Internet Fund | | | | 71,423,341 | | | | 6,729,985 | | | | (713,204 | ) | | | 6,016,781 | |
| Leisure Fund | | | | 20,992,602 | | | | 1,375,129 | | | | (75,469 | ) | | | 1,299,660 | |
| Precious Metals Fund | | | | 80,213,000 | | | | — | | | | (21,350,173 | ) | | | (21,350,173 | ) |
| Real Estate Fund | | | | 12,670,075 | | | | — | | | | (2,214,968 | ) | | | (2,214,968 | ) |
| Retailing Fund | | | | 27,164,176 | | | | 904,822 | | | | (614,452 | ) | | | 290,370 | |
| Technology Fund | | | | 114,085,536 | | | | 16,769,940 | | | | (477,508 | ) | | | 16,292,432 | |
| Telecommunications Fund | | | | 2,072,722 | | | | 309,612 | | | | (9,267 | ) | | | 300,345 | |
| Transportation Fund | | | | 23,657,161 | | | | 4,776,961 | | | | (169,186 | ) | | | 4,607,775 | |
| Utilities Fund | | | | 19,539,145 | | | | 665,416 | | | | (279,184 | ) | | | 386,232 | |
| 170 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Note 7 – Securities Transactions
For the year ended March 29, 2018, 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 | | | $ | 380,402,512 | | | $ | 399,053,596 | |
| Basic Materials Fund | | | | 239,211,604 | | | | 256,141,975 | |
| Biotechnology Fund | | | | 353,764,756 | | | | 441,160,344 | |
| Consumer Products Fund | | | | 214,541,588 | | | | 310,879,307 | |
| Electronics Fund | | | | 288,009,397 | | | | 285,170,959 | |
| Energy Fund | | | | 361,147,651 | | | | 344,239,332 | |
| Energy Services Fund | | | | 329,214,641 | | | | 315,165,394 | |
| Financial Services Fund | | | | 176,399,666 | | | | 203,786,542 | |
| Health Care Fund | | | | 299,874,248 | | | | 278,793,470 | |
| Internet Fund | | | | 219,339,213 | | | | 181,938,263 | |
| Leisure Fund | | | | 139,384,572 | | | | 141,484,342 | |
| Precious Metals Fund | | | | 417,214,367 | | | | 420,438,008 | |
| Real Estate Fund | | | | 232,278,984 | | | | 229,186,655 | |
| Retailing Fund | | | | 266,419,356 | | | | 251,961,513 | |
| Technology Fund | | | | 307,595,068 | | | | 284,539,386 | |
| Telecommunications Fund | | | | 59,810,054 | | | | 72,706,623 | |
| Transportation Fund | | | | 189,559,611 | | | | 213,371,976 | |
| Utilities Fund | | | | 200,267,086 | | | | 226,559,795 | |
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 year ended March 29, 2018, 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 | | | $ | 19,728,315 | | | $ | 13,597,737 | | | $ | 345,171 | |
| Basic Materials Fund | | | | 17,638,144 | | | | 15,302,551 | | | | (360,009 | ) |
| Biotechnology Fund | | | | 15,292,995 | | | | 28,904,329 | | | | 3,379,319 | |
| Consumer Products Fund | | | | 7,564,398 | | | | 22,137,549 | | | | 1,277,225 | |
| Electronics Fund | | | | 41,786,024 | | | | 23,586,766 | | | | 2,260,539 | |
| Energy Fund | | | | 42,200,611 | | | | 35,975,673 | | | | (1,194,509 | ) |
| Energy Services Fund | | | | 15,942,382 | | | | 17,509,169 | | | | (416,486 | ) |
| Financial Services Fund | | | | 36,635,113 | | | | 32,583,897 | | | | 940,097 | |
| Health Care Fund | | | | 35,138,092 | | | | 38,952,443 | | | | 556,181 | |
| Internet Fund | | | | 31,120,559 | | | | 29,218,542 | | | | 2,998,155 | |
| Leisure Fund | | | | 29,848,102 | | | | 17,625,782 | | | | 624,399 | |
| Precious Metals Fund | | | | 22,689,359 | | | | 18,307,863 | | | | 22,975 | |
| Real Estate Fund | | | | 18,458,094 | | | | 24,160,898 | | | | (198,038 | ) |
| Retailing Fund | | | | 40,537,223 | | | | 21,473,991 | | | | 514,189 | |
| Technology Fund | | | | 48,629,104 | | | | 56,224,022 | | | | 3,024,020 | |
| Telecommunications Fund | | | | 3,854,116 | | | | 6,471,507 | | | | 162,121 | |
| Transportation Fund | | | | 10,155,411 | | | | 15,989,028 | | | | 402,596 | |
| Utilities Fund | | | | 7,956,546 | | | | 11,597,715 | | | | 1,089,185 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 171 |
| NOTES TO FINANCIAL STATEMENTS (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 2.26% for the year ended March 29, 2018. On March 29, 2018, the Basic Materials Fund, Energy Services Fund and Leisure Fund borrowed $86,000, $1,000 and $232,000, respectively, under this agreement. The remaining funds did not have any borrowings outstanding under this agreement at March 29, 2018.
The average daily balances borrowed for the year ended March 29, 2018, were as follows:
| Fund | | Average Daily Balance | |
| Banking Fund | | $ | 30,062 | |
| Basic Materials Fund | | | 24,160 | |
| Biotechnology Fund | | | 171,904 | |
| Consumer Products Fund | | | 13,506 | |
| Electronics Fund | | | 23,669 | |
| Energy Fund | | | 3,739 | |
| Energy Services Fund | | | 7,425 | |
| Financial Services Fund | | | 9,457 | |
| Health Care Fund | | | 10,058 | |
| Internet Fund | | | 18,127 | |
| Leisure Fund | | | 12,849 | |
| Precious Metals Fund | | | 21,338 | |
| Real Estate Fund | | | 7,022 | |
| Retailing Fund | | | 6,287 | |
| Technology Fund | | | 15,765 | |
| Telecommunications Fund | | | 7,117 | |
| Transportation Fund | | | 1,833 | |
| Utilities Fund | | | 7,265 | |
Note 9 – Legal Proceedings
Tribune Company
Rydex Series Funds has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled 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.
| 172 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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 April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. The court has not yet ruled on the motion.
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. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The District Court has not yet ruled on that request.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 173 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (collectively referred to as the “Funds”), (eighteen of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 29, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (eighteen of the funds constituting Rydex Series Funds) at March 29, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 29, 2018, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 25, 2018
| 174 | THE RYDEX FUNDS ANNUAL REPORT | |
| OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2019, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2018.
Precious Metals intends to designate $271,299 of foreign tax withholding on foreign source income of $433,482.
Of the taxable ordinary income distributions paid during the fiscal year ending March 29, 2018, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 29, 2018, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified short-term capital gain columns, in the table below.
| Fund | Qualified
Dividend
Income | Dividend
Received
Deduction | Qualified
Short-Term
Capital Gain |
| Banking Fund | 100.00% | 100.00% | 0.00% |
| Basic Materials Fund | 100.00% | 100.00% | 0.00% |
| Biotechnology Fund | 20.97% | 18.57% | 100.00% |
| Consumer Products Fund | 0.00% | 0.00% | 100.00% |
| Electronics Fund | 100.00% | 100.00% | 0.00% |
| Energy Fund | 100.00% | 100.00% | 0.00% |
| Energy Services Fund | 41.69% | 25.16% | 0.00% |
| Financial Services Fund | 100.00% | 100.00% | 0.00% |
| Health Care Fund | 17.36% | 16.03% | 100.00% |
| Leisure Fund | 20.24% | 17.59% | 100.00% |
| Precious Metals Fund | 13.08% | 7.12% | 0.00% |
| Real Estate Fund | 4.66% | 0.87% | 0.00% |
| Technology Fund | 0.00% | 0.00% | 0.00% |
| Telecommunications Fund | 100.00% | 100.00% | 0.00% |
| Utilities Fund | 100.00% | 100.00% | 0.00% |
With respect to the taxable year ended March 29, 2018, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| Fund | | | From long-term capital gain: | | | From long-term capital gain,
using proceeds
from shareholder
redemptions: | |
| Biotechnology Fund | | | $ | 17,204,989 | | | $ | 30,399,610 | |
| Consumer Products Fund | | | | 16,097,709 | | | | 7,750,281 | |
| Electronics Fund | | | | — | | | | 1,683,275 | |
| Financial Services Fund | | | | — | | | | 1,625,540 | |
| Health Care Fund | | | | 2,944,365 | | | | 1,489,619 | |
| Internet Fund | | | | — | | | | 5,699,062 | |
| Leisure Fund | | | | — | | | | 1,867,850 | |
| Technology Fund | | | | 1,400,557 | | | | 8,379,640 | |
| Telecommunications Fund | | | | — | | | | 406,967 | |
| Transportation Fund | | | | 1,330,026 | | | | 3,642,052 | |
| Utilities Fund | | | | 500,547 | | | | 2,330,023 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 175 |
| OTHER INFORMATION (Unaudited) (concluded) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Fund’s 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 Fund 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. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies 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 Fund’s 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.
| 176 | THE RYDEX FUNDS ANNUAL REPORT | |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by 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 Five Years | Number of Portfolios in
Fund Complex Overseen
by Trustee*** | Other
Directorships
Held by
Trustee**** |
| INTERESTED TRUSTEE |
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 158 | None. |
| INDEPENDENT TRUSTEES | | | |
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; Member of the Governance and Nominating Committee and Chairwoman of the Compliance Risk Oversight Committee from 2017 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). | 110 | 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 Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | 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. | 110 | Epiphany Funds (2) (2009-present). |
| | THE RYDEX FUNDS ANNUAL REPORT | 177 |
| 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 Five 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. | Retired. | 110 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee of the Board and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2007 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee, and Chairman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
| 178 | THE RYDEX FUNDS 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 Five Years |
| OFFICERS | | |
Michael P. Byrum (1970) | Vice President (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); and Director and Chairman, Advisory Research Center, Inc. (2006-present). Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), 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. |
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, Mutual Fund Administration of 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). Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); 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). |
Mark E. Mathiasen (1978) | Secretary (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); Assistant Treasurer, certain other funds in the Fund Complex (2007-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); 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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 179 |
| 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 Five 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 (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); 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. |
| ** | | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
| *** | | 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. |
| 180 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | THE RYDEX FUNDS ANNUAL REPORT | 181 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
| 182 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
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| | THE RYDEX FUNDS ANNUAL REPORT | 183 |
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3.29.2018
Rydex Funds 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 | RTB1-ANN-0318x0319 |
| 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 | 28 |
| INVERSE S&P 500® STRATEGY FUND | 41 |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | 50 |
| INVERSE NASDAQ-100® STRATEGY FUND | 60 |
| MID-CAP 1.5x STRATEGY FUND | 68 |
| INVERSE MID-CAP STRATEGY FUND | 80 |
| RUSSELL 2000® 1.5x STRATEGY FUND | 88 |
| RUSSELL 2000® FUND | 115 |
| INVERSE RUSSELL 2000® STRATEGY FUND | 141 |
| DOW JONES INDUSTRIAL AVERAGE® FUND | 149 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 158 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 167 |
| HIGH YIELD STRATEGY FUND | 177 |
| INVERSE HIGH YIELD STRATEGY FUND | 186 |
| U.S. GOVERNMENT MONEY MARKET FUND | 194 |
| NOTES TO FINANCIAL STATEMENTS | 200 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM . | 220 |
| OTHER INFORMATION | 222 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 224 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 228 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our funds (the “Fund” or “Funds”). This report covers performance for the 12-month period ended March 29, 2018.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2018
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 to ensure that they are consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
| 2 | THE RYDEX FUNDS ANNUAL REPORT | |
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.
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 to ensure that they are 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. ● You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
| ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 29, 2018 |
As we enter the ninth year of the current expansion, one of the most important new developments to evaluate is the impact of the corporate tax cuts passed into law at the end of 2017. Guggenheim’s concern is that the substantial late-cycle fiscal easing in the pipeline will prompt more restrictive monetary policy, which increases the risk that the economy will experience a boom-bust cycle that ends in a recession.
With the unemployment rate at 4.1% and core inflation rising, fiscal policy should be leaning against the economy to prevent overheating, not providing further stimulus. Faster wage growth, rising core inflation, and an unsustainably low unemployment rate underpin our longstanding view that the U.S. Federal Reserve (the “Fed”) will raise interest rates four times in 2018. Fed funds futures show the market is now pricing in nearly three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Tighter fiscal and monetary policy, along with rising policy uncertainty ahead of the 2018 mid-terms and 2020 presidential election, could prove to be too much for an overextended economy to bear.
Further complicating the story is the risk of a global trade war sparked by protectionist actions taken by the Trump administration. We now have new steel and aluminum tariffs in place that are likely to have some modest inflationary impact while hurting almost 20% of U.S. corporates, according to our estimates. We expect more protectionist trade and investment policies in place by year end.
Over the 12 months ended March 29, 2018, the bear flattening (the condition in which short-term rates rise faster than long-term rates) of the U.S. Treasury curve continued with Treasury yields higher across the curve. Yields increased the most in the belly and front end of the curve. The 2-year Treasury ended the period at 2.27%, up 102 basis points from a year ago, while the 10-year finished the period at 2.74%, up 35 basis points from a year ago. The 2-year-10 year curve, which started the period at 113 basis points, finished at 47 basis points.
For the 12 months ended March 29, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 13.99%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 15.32%. The return of the MSCI Emerging Markets Index* was 25.37%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 1.20% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.78%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.11% for the 12-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. 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.
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 ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 29, 2018 |
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.
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.
ICE 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.
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 broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
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 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 to ensure that they are 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 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 September 30, 2017 and ending March 29, 2018 for actual Fund returns. Hypothetical Fund returns are for the period beginning September 30, 2017 and ending March 31, 2018.
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 Funds’ 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 ANNUAL REPORT | 7 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
| Table 1. Based on actual Fund return3 | | | | | |
| Nova Fund | | | | | |
| Investor Class | 1.25% | 6.91% | $ 1,000.00 | $ 1,069.10 | $ 6.38 |
| A-Class | 1.50% | 6.80% | 1,000.00 | 1,068.00 | 7.65 |
| C-Class | 2.26% | 6.42% | 1,000.00 | 1,064.20 | 11.50 |
| H-Class | 1.50% | 6.79% | 1,000.00 | 1,067.90 | 7.65 |
| S&P 500® Fund | | | | | |
| A-Class | 1.57% | 4.99% | 1,000.00 | 1,049.90 | 7.94 |
| C-Class | 2.32% | 4.58% | 1,000.00 | 1,045.80 | 11.70 |
| H-Class | 1.57% | 4.97% | 1,000.00 | 1,049.70 | 7.93 |
| Inverse S&P 500® Strategy Fund | | | | | |
| Investor Class | 1.42% | (5.74%) | 1,000.00 | 942.60 | 6.80 |
| A-Class | 1.67% | (5.85%) | 1,000.00 | 941.50 | 7.99 |
| C-Class | 2.42% | (6.22%) | 1,000.00 | 937.80 | 11.56 |
| H-Class | 1.67% | (5.85%) | 1,000.00 | 941.50 | 7.99 |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
| A-Class | 1.35% | 19.12% | 1,000.00 | 1,191.20 | 7.29 |
| C-Class | 2.10% | 18.69% | 1,000.00 | 1,186.90 | 11.32 |
| H-Class | 1.35% | 19.13% | 1,000.00 | 1,191.30 | 7.29 |
| Inverse NASDAQ-100® Strategy Fund | | | | | |
| Investor Class | 1.45% | (10.34%) | 1,000.00 | 896.60 | 6.78 |
| A-Class | 1.70% | (10.45%) | 1,000.00 | 895.50 | 7.95 |
| C-Class | 2.45% | (10.79%) | 1,000.00 | 892.10 | 11.43 |
| H-Class | 1.70% | (10.44%) | 1,000.00 | 895.60 | 7.95 |
| Mid-Cap 1.5x Strategy Fund | | | | | |
| A-Class | 1.65% | 6.55% | 1,000.00 | 1,065.50 | 8.40 |
| C-Class | 2.41% | 6.15% | 1,000.00 | 1,061.50 | 12.25 |
| H-Class | 1.66% | 6.63% | 1,000.00 | 1,066.30 | 8.46 |
| Inverse Mid-Cap Strategy Fund | | | | | |
| A-Class | 1.67% | (5.63%) | 1,000.00 | 943.70 | 8.00 |
| C-Class | 2.41% | (5.99%) | 1,000.00 | 940.10 | 11.53 |
| H-Class | 1.67% | (5.67%) | 1,000.00 | 943.30 | 8.00 |
| Russell 2000® 1.5x Strategy Fund | | | | | |
| A-Class | 1.71% | 3.25% | 1,000.00 | 1,032.50 | 8.57 |
| C-Class | 2.46% | 2.87% | 1,000.00 | 1,028.70 | 12.31 |
| H-Class | 1.71% | 3.08% | 1,000.00 | 1,030.80 | 8.56 |
| Russell 2000® Fund | | | | | |
| A-Class | 1.61% | 2.38% | 1,000.00 | 1,023.80 | 8.03 |
| C-Class | 2.36% | 2.02% | 1,000.00 | 1,020.20 | 11.76 |
| H-Class | 1.61% | 2.38% | 1,000.00 | 1,023.80 | 8.03 |
| Inverse Russell 2000® Strategy Fund | | | | | |
| A-Class | 1.71% | (3.78%) | 1,000.00 | 962.20 | 8.27 |
| C-Class | 2.46% | (4.13%) | 1,000.00 | 958.70 | 11.88 |
| H-Class | 1.71% | (3.68%) | 1,000.00 | 963.20 | 8.28 |
| 8 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
| Dow Jones Industrial Average® Fund | | | | | |
| A-Class | 1.53% | 7.92% | $ 1,000.00 | $ 1,079.20 | $ 7.84 |
| C-Class | 2.28% | 7.51% | 1,000.00 | 1,075.10 | 11.67 |
| H-Class | 1.53% | 7.91% | 1,000.00 | 1,079.10 | 7.84 |
| Government Long Bond 1.2x Strategy Fund | | | | | |
| Investor Class | 0.96% | (1.99%) | 1,000.00 | 980.10 | 4.69 |
| A-Class | 1.21% | (2.10%) | 1,000.00 | 979.00 | 5.90 |
| C-Class | 1.96% | (2.51%) | 1,000.00 | 974.90 | 9.54 |
| H-Class | 1.21% | (2.12%) | 1,000.00 | 978.80 | 5.90 |
| Inverse Government Long Bond Strategy Fund | | | | |
| Investor Class | 3.94% | 0.93% | 1,000.00 | 1,009.30 | 19.52 |
| A-Class | 4.20% | 0.82% | 1,000.00 | 1,008.20 | 20.80 |
| C-Class | 4.94% | 0.45% | 1,000.00 | 1,004.50 | 24.42 |
| H-Class | 4.17% | 0.75% | 1,000.00 | 1,007.50 | 20.64 |
| High Yield Strategy Fund | | | | |
| A-Class | 1.51% | (1.04%) | 1,000.00 | 989.60 | 7.41 |
| C-Class | 2.26% | (1.39%) | 1,000.00 | 986.10 | 11.07 |
| H-Class | 1.51% | (1.04%) | 1,000.00 | 989.60 | 7.41 |
| Inverse High Yield Strategy Fund | | | | | |
| A-Class | 1.51% | 0.78% | 1,000.00 | 1,007.80 | 7.48 |
| C-Class | 2.26% | 0.40% | 1,000.00 | 1,004.00 | 11.17 |
| H-Class | 1.51% | 0.75% | 1,000.00 | 1,007.50 | 7.47 |
| U.S. Government Money Market Fund | | | | | |
| Money Market Class | 0.95% | 0.19% | 1,000.00 | 1,001.90 | 4.69 |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Table 2. Based on hypothetical 5% return (before expenses)5 | | | | |
| Nova Fund | | | | | |
| Investor Class | 1.25% | 5.00% | $ 1,000.00 | $ 1,018.70 | $ 6.29 |
| A-Class | 1.50% | 5.00% | 1,000.00 | 1,017.45 | 7.54 |
| C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
| H-Class | 1.50% | 5.00% | 1,000.00 | 1,017.45 | 7.54 |
| S&P 500® Fund | | | | | |
| A-Class | 1.57% | 5.00% | 1,000.00 | 1,017.10 | 7.90 |
| C-Class | 2.32% | 5.00% | 1,000.00 | 1,013.36 | 11.65 |
| H-Class | 1.57% | 5.00% | 1,000.00 | 1,017.10 | 7.90 |
| Inverse S&P 500® Strategy Fund | | | | | |
| Investor Class | 1.42% | 5.00% | 1,000.00 | 1,017.85 | 7.14 |
| A-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
| C-Class | 2.42% | 5.00% | 1,000.00 | 1,012.86 | 12.14 |
| H-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | | |
| A-Class | 1.35% | 5.00% | 1,000.00 | 1,018.20 | 6.79 |
| C-Class | 2.10% | 5.00% | 1,000.00 | 1,014.46 | 10.55 |
| H-Class | 1.35% | 5.00% | 1,000.00 | 1,018.20 | 6.79 |
| Inverse NASDAQ-100® Strategy Fund | | | | | |
| Investor Class | 1.45% | 5.00% | 1,000.00 | 1,017.70 | 7.29 |
| A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
| C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.72 | 12.29 |
| H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
| Mid-Cap 1.5x Strategy Fund | | | | | |
| A-Class | 1.65% | 5.00% | 1,000.00 | 1,016.70 | 8.30 |
| C-Class | 2.41% | 5.00% | 1,000.00 | 1,012.91 | 12.09 |
| H-Class | 1.66% | 5.00% | 1,000.00 | 1,016.65 | 8.35 |
| Inverse Mid-Cap Strategy Fund | | | | | |
| A-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
| C-Class | 2.41% | 5.00% | 1,000.00 | 1,012.91 | 12.09 |
| H-Class | 1.67% | 5.00% | 1,000.00 | 1,016.60 | 8.40 |
| Russell 2000® 1.5x Strategy Fund | | | | | |
| A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.40 | 8.60 |
| C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.67 | 12.34 |
| H-Class | 1.71% | 5.00% | 1,000.00 | 1,016.40 | 8.60 |
| Russell 2000® Fund | | | | | |
| A-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| H-Class | 1.61% | 5.00% | 1,000.00 | 1,016.90 | 8.10 |
| Inverse Russell 2000® Strategy Fund | | | | | |
| A-Class | 1.71% | 5.00% | 1,000.00 | 1,016.40 | 8.60 |
| C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.67 | 12.34 |
| H-Class | 1.71% | 5.00% | 1,000.00 | 1,016.40 | 8.60 |
| 10 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Dow Jones Industrial Average® Fund | | | | | |
| A-Class | 1.53% | 5.00% | $ 1,000.00 | $ 1,017.30 | $ 7.70 |
| C-Class | 2.28% | 5.00% | 1,000.00 | 1,013.56 | 11.45 |
| H-Class | 1.53% | 5.00% | 1,000.00 | 1,017.30 | 7.70 |
| Government Long Bond 1.2x Strategy Fund | | | | | |
| Investor Class | 0.96% | 5.00% | 1,000.00 | 1,020.14 | 4.84 |
| A-Class | 1.21% | 5.00% | 1,000.00 | 1,018.90 | 6.09 |
| C-Class | 1.96% | 5.00% | 1,000.00 | 1,015.16 | 9.85 |
| H-Class | 1.21% | 5.00% | 1,000.00 | 1,018.90 | 6.09 |
| Inverse Government Long Bond Strategy Fund | | | | |
| Investor Class | 3.94% | 5.00% | 1,000.00 | 1,005.29 | 19.70 |
| A-Class | 4.20% | 5.00% | 1,000.00 | 1,003.99 | 20.98 |
| C-Class | 4.94% | 5.00% | 1,000.00 | 1,000.30 | 24.64 |
| H-Class | 4.17% | 5.00% | 1,000.00 | 1,004.14 | 20.84 |
| High Yield Strategy Fund | | | | |
| A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
| H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| Inverse High Yield Strategy Fund | | | | | |
| A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
| H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| U.S. Government Money Market Fund | | | | | |
| Money Market Class | 0.95% | 5.00% | 1,000.00 | 1,020.19 | 4.78 |
| 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 1.68% for the Investor Class, A-Class, C-Class, and H-Class, respectively. Excludes expenses of the underlying funds in which the Funds invests, if any. |
| 2 | | Expenses in table 1 are equal to the Funds’ annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 180/365 (to reflect the one-half year period). |
| 3 | | Actual cumulative return at net asset value for the period September 30, 2017 to March 29, 2018. |
| 4 | | Expenses in table 2 are equal to the Funds’ annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | | Hypothetical return for the period September 30, 2017 to March 31, 2018. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Nova Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. Nova Fund Investor Class returned 18.09%, while the S&P 500 Index returned 13.99% over the same period.
Sectors contributing the most to the performance of the underlying index were Technology and Financials. Energy was the only detractor. The Utilities sector contributed the least.
Microsoft Corp., Amazon.com, Inc., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the period. General Electric Co., AT&T, Inc., and Celgene Corp. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 12 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| Investor Class | July 12, 1993 |
| A-Class | March 31, 2004 |
| C-Class | March 14, 2001 |
| H-Class | September 18, 2014 |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 3.0% |
| Guggenheim Strategy Fund I | 2.3% |
| Guggenheim Strategy Fund III | 1.3% |
| Apple, Inc. | 0.4% |
| Microsoft Corp. | 0.3% |
| Amazon.com, Inc. | 0.3% |
| Berkshire Hathaway, Inc. — Class B | 0.2% |
| Facebook, Inc. — Class A | 0.2% |
| JPMorgan Chase & Co. | 0.2% |
| Johnson & Johnson | 0.2% |
| Top Ten Total | 8.4% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 18.09% | 17.60% | 10.87% |
| A-Class Shares | 17.68% | 17.31% | 10.59% |
| A-Class Shares with sales charge‡ | 12.09% | 16.17% | 10.06% |
| C-Class Shares | 17.01% | 16.45% | 9.78% |
| C-Class Shares with CDSC§ | 16.01% | 16.45% | 9.78% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| | | 1 Year | Since Inception
(09/18/14) |
| H-Class Shares | | 17.88% | 12.47% |
| S&P 500 Index | | 13.99% | 10.28% |
| * | | 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 S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares, and H-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 13 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| NOVA FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 11.1% |
| | | | | | | |
| Consumer, Non-cyclical - 2.4% |
| Johnson & Johnson | | | 6,957 | | | $ | 891,540 | |
| Pfizer, Inc. | | | 15,436 | | | | 547,824 | |
| UnitedHealth Group, Inc. | | | 2,509 | | | | 536,926 | |
| Procter & Gamble Co. | | | 6,537 | | | | 518,253 | |
| Coca-Cola Co. | | | 9,955 | | | | 432,346 | |
| PepsiCo, Inc. | | | 3,688 | | | | 402,545 | |
| Philip Morris International, Inc. | | | 4,027 | | | | 400,284 | |
| AbbVie, Inc. | | | 4,133 | | | | 391,188 | |
| Merck & Company, Inc. | | | 6,991 | | | | 380,800 | |
| Altria Group, Inc. | | | 4,928 | | | | 307,113 | |
| Amgen, Inc. | | | 1,733 | | | | 295,442 | |
| Medtronic plc | | | 3,514 | | | | 281,893 | |
| Abbott Laboratories | | | 4,513 | | | | 270,419 | |
| Bristol-Myers Squibb Co. | | | 4,233 | | | | 267,737 | |
| Gilead Sciences, Inc. | | | 3,397 | | | | 256,100 | |
| PayPal Holdings, Inc.* | | | 2,925 | | | | 221,920 | |
| Thermo Fisher Scientific, Inc. | | | 1,042 | | | | 215,131 | |
| Eli Lilly & Co. | | | 2,500 | | | | 193,425 | |
| Celgene Corp.* | | | 1,950 | | | | 173,960 | |
| CVS Health Corp. | | | 2,631 | | | | 163,674 | |
| Colgate-Palmolive Co. | | | 2,270 | | | | 162,714 | |
| Mondelez International, Inc. — Class A | | | 3,857 | | | | 160,953 | |
| Danaher Corp. | | | 1,592 | | | | 155,873 | |
| Biogen, Inc.* | | | 549 | | | | 150,327 | |
| Becton Dickinson and Co. | | | 690 | | | | 149,523 | |
| Anthem, Inc. | | | 663 | | | | 145,661 | |
| Allergan plc | | | 857 | | | | 144,224 | |
| Aetna, Inc. | | | 848 | | | | 143,312 | |
| Stryker Corp. | | | 835 | | | | 134,368 | |
| Automatic Data Processing, Inc. | | | 1,149 | | | | 130,389 | |
| S&P Global, Inc. | | | 658 | | | | 125,717 | |
| Intuitive Surgical, Inc.* | | | 291 | | | | 120,134 | |
| Vertex Pharmaceuticals, Inc.* | | | 658 | | | | 107,241 | |
| Cigna Corp. | | | 630 | | | | 105,676 | |
| Zoetis, Inc. | | | 1,264 | | | | 105,557 | |
| Constellation Brands, Inc. — Class A | | | 444 | | | | 101,197 | |
| Express Scripts Holding Co.* | | | 1,463 | | | | 101,064 | |
| Kimberly-Clark Corp. | | | 909 | | | | 100,108 | |
| Boston Scientific Corp.* | | | 3,565 | | | | 97,396 | |
| Kraft Heinz Co. | | | 1,549 | | | | 96,487 | |
| Humana, Inc. | | | 357 | | | | 95,972 | |
| Ecolab, Inc. | | | 674 | | | | 92,385 | |
| Illumina, Inc.* | | | 381 | | | | 90,076 | |
| Estee Lauder Companies, Inc. — Class A | | | 582 | | | | 87,137 | |
| Baxter International, Inc. | | | 1,289 | | | | 83,837 | |
| Edwards Lifesciences Corp.* | | | 545 | | | | 76,038 | |
| McKesson Corp. | | | 535 | | | | 75,365 | |
| Sysco Corp. | | | 1,245 | | | | 74,650 | |
| HCA Healthcare, Inc. | | | 726 | | | | 70,422 | |
| Moody’s Corp. | | | 431 | | | | 69,520 | |
| Regeneron Pharmaceuticals, Inc.* | | | 200 | | | | 68,872 | |
| General Mills, Inc. | | | 1,476 | | | | 66,509 | |
| Alexion Pharmaceuticals, Inc.* | | | 575 | | | | 64,089 | |
| Archer-Daniels-Midland Co. | | | 1,450 | | | | 62,886 | |
| Monster Beverage Corp.* | | | 1,072 | | | | 61,329 | |
| Zimmer Biomet Holdings, Inc. | | | 527 | | | | 57,464 | |
| Tyson Foods, Inc. — Class A | | | 772 | | | | 56,503 | |
| Dr Pepper Snapple Group, Inc. | | | 466 | | | | 55,165 | |
| Mylan N.V.* | | | 1,335 | | | | 54,962 | |
| Kroger Co. | | | 2,285 | | | | 54,703 | |
| Cardinal Health, Inc. | | | 816 | | | | 51,147 | |
| Centene Corp.* | | | 450 | | | | 48,091 | |
| Align Technology, Inc.* | | | 187 | | | | 46,961 | |
| Global Payments, Inc. | | | 413 | | | | 46,058 | |
| IHS Markit Ltd.* | | | 939 | | | | 45,297 | |
| Clorox Co. | | | 336 | | | | 44,725 | |
| Nektar Therapeutics* | | | 417 | | | | 44,310 | |
| IDEXX Laboratories, Inc.* | | | 226 | | | | 43,254 | |
| Laboratory Corporation of America Holdings* | | | 264 | | | | 42,702 | |
| Kellogg Co. | | | 645 | | | | 41,931 | |
| Verisk Analytics, Inc. — Class A* | | | 402 | | | | 41,808 | |
| Conagra Brands, Inc. | | | 1,039 | | | | 38,318 | |
| Cintas Corp. | | | 224 | | | | 38,210 | |
| Incyte Corp.* | | | 456 | | | | 37,998 | |
| United Rentals, Inc.* | | | 219 | | | | 37,828 | |
| IQVIA Holdings, Inc.* | | | 378 | | | | 37,086 | |
| Total System Services, Inc. | | | 429 | | | | 37,006 | |
| Brown-Forman Corp. — Class B | | | 678 | | | | 36,897 | |
| Equifax, Inc. | | | 311 | | | | 36,639 | |
| JM Smucker Co. | | | 295 | | | | 36,583 | |
| ResMed, Inc. | | | 371 | | | | 36,532 | |
| AmerisourceBergen Corp. — Class A | | | 422 | | | | 36,381 | |
| Hershey Co. | | | 365 | | | | 36,120 | |
| Molson Coors Brewing Co. — Class B | | | 479 | | | | 36,083 | |
| Quest Diagnostics, Inc. | | | 352 | | | | 35,306 | |
| McCormick & Company, Inc. | | | 314 | | | | 33,407 | |
| Church & Dwight Company, Inc. | | | 633 | | | | 31,878 | |
| Dentsply Sirona, Inc. | | | 596 | | | | 29,985 | |
| Varian Medical Systems, Inc.* | | | 237 | | | | 29,068 | |
| Cooper Companies, Inc. | | | 127 | | | | 29,059 | |
| Perrigo Company plc | | | 340 | | | | 28,336 | |
| Gartner, Inc.* | | | 236 | | | | 27,758 | |
| Nielsen Holdings plc | | | 869 | | | | 27,625 | |
| Henry Schein, Inc.* | | | 399 | | | | 26,817 | |
| Hologic, Inc.* | | | 717 | | | | 26,787 | |
| Universal Health Services, Inc. — Class B | | | 226 | | | | 26,761 | |
| DaVita, Inc.* | | | 378 | | | | 24,925 | |
| Avery Dennison Corp. | | | 228 | | | | 24,225 | |
| Hormel Foods Corp. | | | 700 | | | | 24,024 | |
| Western Union Co. | | | 1,191 | | | | 22,903 | |
| Coty, Inc. — Class A | | | 1,224 | | | | 22,399 | |
| Campbell Soup Co.1 | | | 499 | | | | 21,612 | |
| Robert Half International, Inc. | | | 322 | | | | 18,641 | |
| H&R Block, Inc. | | | 542 | | | | 13,772 | |
| Quanta Services, Inc.* | | | 399 | | | | 13,706 | |
| Envision Healthcare Corp.* | | | 314 | | | | 12,067 | |
| Total Consumer, Non-cyclical | | | | | | | 12,633,351 | |
| 14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Financial - 2.1% |
| Berkshire Hathaway, Inc. — Class B* | | | 4,991 | | | $ | 995,605 | |
| JPMorgan Chase & Co. | | | 8,899 | | | | 978,623 | |
| Bank of America Corp. | | | 24,808 | | | | 743,992 | |
| Wells Fargo & Co. | | | 11,383 | | | | 596,583 | |
| Visa, Inc. — Class A | | | 4,674 | | | | 559,104 | |
| Citigroup, Inc. | | | 6,664 | | | | 449,820 | |
| Mastercard, Inc. — Class A | | | 2,394 | | | | 419,333 | |
| Goldman Sachs Group, Inc. | | | 916 | | | | 230,704 | |
| U.S. Bancorp | | | 4,069 | | | | 205,484 | |
| Morgan Stanley | | | 3,578 | | | | 193,069 | |
| PNC Financial Services Group, Inc. | | | 1,223 | | | | 184,966 | |
| American Express Co. | | | 1,868 | | | | 174,247 | |
| BlackRock, Inc. — Class A | | | 321 | | | | 173,892 | |
| American Tower Corp. — Class A REIT | | | 1,143 | | | | 166,124 | |
| Chubb Ltd. | | | 1,203 | | | | 164,534 | |
| Charles Schwab Corp. | | | 3,107 | | | | 162,248 | |
| CME Group, Inc. — Class A | | | 883 | | | | 142,816 | |
| Bank of New York Mellon Corp. | | | 2,618 | | | | 134,906 | |
| American International Group, Inc. | | | 2,331 | | | | 126,853 | |
| Simon Property Group, Inc. REIT | | | 807 | | | | 124,560 | |
| MetLife, Inc. | | | 2,688 | | | | 123,352 | |
| Capital One Financial Corp. | | | 1,261 | | | | 120,829 | |
| Crown Castle International Corp. REIT | | | 1,075 | | | | 117,831 | |
| Prudential Financial, Inc. | | | 1,094 | | | | 113,284 | |
| Intercontinental Exchange, Inc. | | | 1,510 | | | | 109,505 | |
| Marsh & McLennan Companies, Inc. | | | 1,316 | | | | 108,689 | |
| BB&T Corp. | | | 2,016 | | | | 104,913 | |
| Travelers Companies, Inc. | | | 704 | | | | 97,757 | |
| State Street Corp. | | | 953 | | | | 95,043 | |
| Progressive Corp. | | | 1,510 | | | | 92,004 | |
| Aon plc | | | 638 | | | | 89,531 | |
| Aflac, Inc. | | | 2,020 | | | | 88,395 | |
| Allstate Corp. | | | 919 | | | | 87,121 | |
| Prologis, Inc. REIT | | | 1,382 | | | | 87,052 | |
| Equinix, Inc. REIT | | | 205 | | | | 85,719 | |
| SunTrust Banks, Inc. | | | 1,214 | | | | 82,601 | |
| Public Storage REIT | | | 388 | | | | 77,751 | |
| M&T Bank Corp. | | | 389 | | | | 71,716 | |
| Weyerhaeuser Co. REIT | | | 1,958 | | | | 68,530 | |
| T. Rowe Price Group, Inc. | | | 634 | | | | 68,453 | |
| Discover Financial Services | | | 920 | | | | 66,176 | |
| Synchrony Financial | | | 1,853 | | | | 62,131 | |
| AvalonBay Communities, Inc. REIT | | | 358 | | | | 58,877 | |
| Equity Residential REIT | | | 955 | | | | 58,847 | |
| Fifth Third Bancorp | | | 1,799 | | | | 57,118 | |
| Northern Trust Corp. | | | 552 | | | | 56,928 | |
| Digital Realty Trust, Inc. REIT | | | 533 | | | | 56,167 | |
| Ameriprise Financial, Inc. | | | 379 | | | | 56,069 | |
| Regions Financial Corp. | | | 2,911 | | | | 54,086 | |
| KeyCorp | | | 2,750 | | | | 53,762 | |
| Citizens Financial Group, Inc. | | | 1,264 | | | | 53,063 | |
| Welltower, Inc. REIT | | | 960 | | | | 52,253 | |
| Willis Towers Watson plc | | | 343 | | | | 52,201 | |
| SBA Communications Corp. REIT* | | | 302 | | | | 51,618 | |
| Boston Properties, Inc. REIT | | | 400 | | | | 49,288 | |
| Hartford Financial Services Group, Inc. | | | 926 | | | | 47,708 | |
| Ventas, Inc. REIT | | | 924 | | | | 45,766 | |
| Huntington Bancshares, Inc. | | | 2,858 | | | | 43,156 | |
| Comerica, Inc. | | | 448 | | | | 42,977 | |
| Principal Financial Group, Inc. | | | 699 | | | | 42,576 | |
| Lincoln National Corp. | | | 566 | | | | 41,352 | |
| Essex Property Trust, Inc. REIT | | | 171 | | | | 41,156 | |
| E*TRADE Financial Corp.* | | | 691 | | | | 38,288 | |
| Realty Income Corp. REIT | | | 737 | | | | 38,125 | |
| CBRE Group, Inc. — Class A* | | | 784 | | | | 37,020 | |
| XL Group Ltd. | | | 666 | | | | 36,803 | |
| Host Hotels & Resorts, Inc. REIT | | | 1,904 | | | | 35,491 | |
| Loews Corp. | | | 699 | | | | 34,761 | |
| Invesco Ltd. | | | 1,056 | | | | 33,803 | |
| GGP, Inc. REIT | | | 1,638 | | | | 33,513 | |
| Cboe Global Markets, Inc. | | | 292 | | | | 33,317 | |
| SVB Financial Group* | | | 137 | | | | 32,881 | |
| Alexandria Real Estate Equities, Inc. REIT | | | 263 | | | | 32,846 | |
| Arthur J Gallagher & Co. | | | 470 | | | | 32,303 | |
| Vornado Realty Trust REIT | | | 448 | | | | 30,150 | |
| Raymond James Financial, Inc. | | | 336 | | | | 30,042 | |
| Franklin Resources, Inc. | | | 844 | | | | 29,270 | |
| Cincinnati Financial Corp. | | | 387 | | | | 28,739 | |
| Extra Space Storage, Inc. REIT | | | 327 | | | | 28,567 | |
| HCP, Inc. REIT | | | 1,217 | | | | 28,271 | |
| Unum Group | | | 574 | | | | 27,328 | |
| Everest Re Group Ltd. | | | 106 | | | | 27,223 | |
| Mid-America Apartment Communities, Inc. REIT | | | 295 | | | | 26,916 | |
| Zions Bancorporation | | | 510 | | | | 26,892 | |
| Affiliated Managers Group, Inc. | | | 141 | | | | 26,731 | |
| Alliance Data Systems Corp. | | | 125 | | | | 26,607 | |
| Nasdaq, Inc. | | | 302 | | | | 26,038 | |
| UDR, Inc. REIT | | | 695 | | | | 24,756 | |
| Duke Realty Corp. REIT | | | 926 | | | | 24,520 | |
| Iron Mountain, Inc. REIT | | | 730 | | | | 23,988 | |
| Torchmark Corp. | | | 275 | | | | 23,147 | |
| Regency Centers Corp. REIT | | | 385 | | | | 22,707 | |
| SL Green Realty Corp. REIT | | | 234 | | | | 22,658 | |
| Federal Realty Investment Trust REIT | | | 190 | | | | 22,061 | |
| Leucadia National Corp. | | | 813 | | | | 18,480 | |
| People’s United Financial, Inc. | | | 900 | | | | 16,794 | |
| Apartment Investment & Management Co. — Class A REIT | | | 408 | | | | 16,626 | |
| Kimco Realty Corp. REIT | | | 1,103 | | | | 15,883 | |
| Macerich Co. REIT | | | 281 | | | | 15,742 | |
| Brighthouse Financial, Inc.* | | | 248 | | | | 12,747 | |
| Assurant, Inc. | | | 136 | | | | 12,432 | |
| Navient Corp. | | | 682 | | | | 8,948 | |
| Total Financial | | | | | | | 11,024,228 | |
| | | | | | | | | |
| Technology - 1.8% |
| Apple, Inc. | | �� | 13,157 | | | | 2,207,481 | |
| Microsoft Corp. | | | 19,966 | | | | 1,822,297 | |
| Intel Corp. | | | 12,135 | | | | 631,991 | |
| NVIDIA Corp. | | | 1,569 | | | | 363,365 | |
| Oracle Corp. | | | 7,836 | | | | 358,497 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| International Business Machines Corp. | | | 2,221 | | | $ | 340,768 | |
| Adobe Systems, Inc.* | | | 1,275 | | | | 275,502 | |
| Texas Instruments, Inc. | | | 2,551 | | | | 265,023 | |
| Broadcom Ltd. | | | 1,064 | | | | 250,731 | |
| Accenture plc — Class A | | | 1,599 | | | | 245,447 | |
| QUALCOMM, Inc. | | | 3,839 | | | | 212,719 | |
| salesforce.com, Inc.* | | | 1,779 | | | | 206,898 | |
| Micron Technology, Inc.* | | | 2,998 | | | | 156,316 | |
| Applied Materials, Inc. | | | 2,724 | | | | 151,481 | |
| Activision Blizzard, Inc. | | | 1,967 | | | | 132,694 | |
| Cognizant Technology Solutions Corp. — Class A | | | 1,525 | | | | 122,763 | |
| Intuit, Inc. | | | 631 | | | | 109,384 | |
| Electronic Arts, Inc.* | | | 795 | | | | 96,386 | |
| HP, Inc. | | | 4,246 | | | | 93,072 | |
| Analog Devices, Inc. | | | 959 | | | | 87,394 | |
| Lam Research Corp. | | | 423 | | | | 85,937 | |
| Fidelity National Information Services, Inc. | | | 859 | | | | 82,722 | |
| Fiserv, Inc.* | | | 1,072 | | | | 76,444 | |
| DXC Technology Co. | | | 740 | | | | 74,392 | |
| Autodesk, Inc.* | | | 571 | | | | 71,706 | |
| Hewlett Packard Enterprise Co. | | | 4,063 | | | | 71,265 | |
| Western Digital Corp. | | | 772 | | | | 71,232 | |
| Red Hat, Inc.* | | | 459 | | | | 68,625 | |
| Microchip Technology, Inc. | | | 608 | | | | 55,547 | |
| Paychex, Inc. | | | 829 | | | | 51,058 | |
| Xilinx, Inc. | | | 661 | | | | 47,751 | |
| Cerner Corp.* | | | 819 | | | | 47,502 | |
| Skyworks Solutions, Inc. | | | 473 | | | | 47,423 | |
| KLA-Tencor Corp. | | | 406 | | | | 44,258 | |
| Seagate Technology plc | | | 739 | | | | 43,246 | |
| NetApp, Inc. | | | 695 | | | | 42,875 | |
| ANSYS, Inc.* | | | 217 | | | | 34,002 | |
| Synopsys, Inc.* | | | 386 | | | | 32,130 | |
| Akamai Technologies, Inc.* | | | 441 | | | | 31,302 | |
| Citrix Systems, Inc.* | | | 335 | | | | 31,088 | |
| Take-Two Interactive Software, Inc.* | | | 297 | | | | 29,041 | |
| CA, Inc. | | | 811 | | | | 27,493 | |
| Cadence Design Systems, Inc.* | | | 733 | | | | 26,952 | |
| Qorvo, Inc.* | | | 328 | | | | 23,107 | |
| IPG Photonics Corp.* | | | 98 | | | | 22,871 | |
| Advanced Micro Devices, Inc.*,1 | | | 2,136 | | | | 21,467 | |
| CSRA, Inc. | | | 425 | | | | 17,523 | |
| Xerox Corp. | | | 555 | | | | 15,973 | |
| Total Technology | | | | | | | 9,425,141 | |
| | | | | | | | | |
| Communications - 1.6% |
| Amazon.com, Inc.* | | | 1,042 | | | | 1,508,128 | |
| Facebook, Inc. — Class A* | | | 6,213 | | | | 992,775 | |
| Alphabet, Inc. — Class C* | | | 789 | | | | 814,082 | |
| Alphabet, Inc. — Class A* | | | 774 | | | | 802,746 | |
| AT&T, Inc. | | | 15,921 | | | | 567,584 | |
| Cisco Systems, Inc. | | | 12,492 | | | | 535,782 | |
| Verizon Communications, Inc. | | | 10,704 | | | | 511,865 | |
| Comcast Corp. — Class A | | | 12,019 | | | | 410,689 | |
| Walt Disney Co. | | | 3,899 | | | | 391,615 | |
| Netflix, Inc.* | | | 1,125 | | | | 332,269 | |
| Booking Holdings, Inc.* | | | 126 | | | | 262,129 | |
| Time Warner, Inc. | | | 2,022 | | | | 191,241 | |
| Charter Communications, Inc. — Class A* | | | 482 | | | | 150,008 | |
| Twenty-First Century Fox, Inc. — Class A | | | 2,733 | | | | 100,274 | |
| eBay, Inc.* | | | 2,441 | | | | 98,226 | |
| CBS Corp. — Class B | | | 895 | | | | 45,994 | |
| Motorola Solutions, Inc. | | | 420 | | | | 44,226 | |
| Omnicom Group, Inc.1 | | | 597 | | | | 43,384 | |
| Symantec Corp. | | | 1,608 | | | | 41,567 | |
| CenturyLink, Inc. | | | 2,522 | | | | 41,436 | |
| Twenty-First Century Fox, Inc. — Class B | | | 1,139 | | | | 41,425 | |
| Expedia Group, Inc. | | | 317 | | | | 35,000 | |
| Viacom, Inc. — Class B | | | 915 | | | | 28,420 | |
| VeriSign, Inc.* | | | 217 | | | | 25,728 | |
| F5 Networks, Inc.* | | | 160 | | | | 23,138 | |
| Interpublic Group of Companies, Inc. | | | 997 | | | | 22,961 | |
| DISH Network Corp. — Class A* | | | 591 | | | | 22,393 | |
| Juniper Networks, Inc. | | | 891 | | | | 21,678 | |
| News Corp. — Class A | | | 993 | | | | 15,689 | |
| Discovery, Inc. — Class C* | | | 792 | | | | 15,460 | |
| TripAdvisor, Inc.* | | | 281 | | | | 11,490 | |
| Discovery, Inc. — Class A*,1 | | | 404 | | | | 8,658 | |
| News Corp. — Class B | | | 316 | | | | 5,088 | |
| Total Communications | | | | | | | 8,163,148 | |
| | | | | | | | | |
| Industrial - 1.1% |
| Boeing Co. | | | 1,434 | | | | 470,180 | |
| 3M Co. | | | 1,544 | | | | 338,939 | |
| General Electric Co. | | | 22,514 | | | | 303,489 | |
| Honeywell International, Inc. | | | 1,950 | | | | 281,794 | |
| Union Pacific Corp. | | | 2,041 | | | | 274,372 | |
| United Technologies Corp. | | | 1,929 | | | | 242,707 | |
| Caterpillar, Inc. | | | 1,550 | | | | 228,439 | |
| Lockheed Martin Corp. | | | 644 | | | | 217,627 | |
| United Parcel Service, Inc. — Class B | | | 1,785 | | | | 186,818 | |
| Raytheon Co. | | | 748 | | | | 161,433 | |
| General Dynamics Corp. | | | 716 | | | | 158,165 | |
| Northrop Grumman Corp. | | | 451 | | | | 157,453 | |
| FedEx Corp. | | | 639 | | | | 153,430 | |
| Deere & Co. | | | 840 | | | | 130,469 | |
| CSX Corp. | | | 2,301 | | | | 128,189 | |
| Illinois Tool Works, Inc. | | | 797 | | | | 124,858 | |
| Emerson Electric Co. | | | 1,646 | | | | 112,422 | |
| Norfolk Southern Corp. | | | 737 | | | | 100,070 | |
| Eaton Corporation plc | | | 1,141 | | | | 91,177 | |
| TE Connectivity Ltd. | | | 911 | | | | 91,009 | |
| Waste Management, Inc. | | | 1,035 | | | | 87,064 | |
| Johnson Controls International plc | | | 2,401 | | | | 84,611 | |
| Roper Technologies, Inc. | | | 267 | | | | 74,944 | |
| Amphenol Corp. — Class A | | | 792 | | | | 68,215 | |
| Cummins, Inc. | | | 404 | | | | 65,484 | |
| Corning, Inc. | | | 2,253 | | | | 62,814 | |
| Fortive Corp. | | | 794 | | | | 61,551 | |
| Stanley Black & Decker, Inc. | | | 398 | | | | 60,974 | |
| Parker-Hannifin Corp. | | | 345 | | | | 59,005 | |
| Rockwell Automation, Inc. | | | 331 | | | | 57,660 | |
| Rockwell Collins, Inc. | | | 425 | | | | 57,311 | |
| 16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Agilent Technologies, Inc. | | | 837 | | | $ | 55,995 | |
| Ingersoll-Rand plc | | | 648 | | | | 55,411 | |
| Harris Corp. | | | 308 | | | | 49,674 | |
| AMETEK, Inc. | | | 600 | | | | 45,582 | |
| WestRock Co. | | | 661 | | | | 42,416 | |
| L3 Technologies, Inc. | | | 203 | | | | 42,224 | |
| Waters Corp.* | | | 204 | | | | 40,525 | |
| Textron, Inc. | | | 679 | | | | 40,041 | |
| Dover Corp. | | | 400 | | | | 39,288 | |
| Vulcan Materials Co. | | | 344 | | | | 39,274 | |
| Republic Services, Inc. — Class A | | | 584 | | | | 38,678 | |
| TransDigm Group, Inc. | | | 126 | | | | 38,675 | |
| Mettler-Toledo International, Inc.* | | | 66 | | | | 37,952 | |
| Ball Corp. | | | 908 | | | | 36,057 | |
| Xylem, Inc. | | | 466 | | | | 35,845 | |
| CH Robinson Worldwide, Inc. | | | 362 | | | | 33,923 | |
| Martin Marietta Materials, Inc. | | | 163 | | | | 33,790 | |
| Masco Corp. | | | 813 | | | | 32,878 | |
| Huntington Ingalls Industries, Inc. | | | 118 | | | | 30,416 | |
| Kansas City Southern | | | 267 | | | | 29,330 | |
| Pentair plc | | | 430 | | | | 29,296 | |
| Expeditors International of Washington, Inc. | | | 458 | | | | 28,991 | |
| Packaging Corporation of America | | | 245 | | | | 27,611 | |
| J.B. Hunt Transport Services, Inc. | | | 222 | | | | 26,007 | |
| Arconic, Inc. | | | 1,102 | | | | 25,390 | |
| AO Smith Corp. | | | 377 | | | | 23,973 | |
| Fortune Brands Home & Security, Inc. | | | 394 | | | | 23,203 | |
| PerkinElmer, Inc. | | | 287 | | | | 21,732 | |
| Snap-on, Inc. | | | 147 | | | | 21,688 | |
| Allegion plc | | | 247 | | | | 21,067 | |
| Fluor Corp. | | | 363 | | | | 20,771 | |
| Sealed Air Corp. | | | 434 | | | | 18,571 | |
| Jacobs Engineering Group, Inc. | | | 312 | | | | 18,455 | |
| FLIR Systems, Inc. | | | 360 | | | | 18,003 | |
| Garmin Ltd. | | | 287 | | | | 16,913 | |
| Acuity Brands, Inc. | | | 109 | | | | 15,171 | |
| Flowserve Corp. | | | 339 | | | | 14,689 | |
| Stericycle, Inc.* | | | 222 | | | | 12,994 | |
| Total Industrial | | | | | | | 5,875,172 | |
| | | | | | | | | |
| Consumer, Cyclical - 0.9% |
| Home Depot, Inc. | | | 3,028 | | | | 539,711 | |
| Walmart, Inc. | | | 3,764 | | | | 334,883 | |
| McDonald’s Corp. | | | 2,067 | | | | 323,237 | |
| Nike, Inc. — Class B | | | 3,365 | | | | 223,571 | |
| Costco Wholesale Corp. | | | 1,139 | | | | 214,622 | |
| Starbucks Corp. | | | 3,644 | | | | 210,951 | |
| Lowe’s Companies, Inc. | | | 2,152 | | | | 188,838 | |
| Walgreens Boots Alliance, Inc. | | | 2,209 | | | | 144,623 | |
| TJX Companies, Inc. | | | 1,640 | | | | 133,758 | |
| General Motors Co. | | | 3,274 | | | | 118,977 | |
| Ford Motor Co. | | | 10,119 | | | | 112,119 | |
| Marriott International, Inc. — Class A | | | 779 | | | | 105,928 | |
| Target Corp. | | | 1,409 | | | | 97,827 | |
| Delta Air Lines, Inc. | | | 1,686 | | | | 92,410 | |
| Southwest Airlines Co. | | | 1,403 | | | | 80,364 | |
| Ross Stores, Inc. | | | 991 | | | | 77,278 | |
| Yum! Brands, Inc. | | | 862 | | | | 73,382 | |
| Carnival Corp. | | | 1,053 | | | | 69,056 | |
| VF Corp. | | | 854 | | | | 63,298 | |
| Dollar General Corp. | | | 669 | | | | 62,585 | |
| PACCAR, Inc. | | | 913 | | | | 60,413 | |
| Aptiv plc | | | 689 | | | | 58,544 | |
| Dollar Tree, Inc.* | | | 615 | | | | 58,364 | |
| American Airlines Group, Inc. | | | 1,092 | | | | 56,740 | |
| O’Reilly Automotive, Inc.* | | | 217 | | | | 53,681 | |
| Royal Caribbean Cruises Ltd. | | | 443 | | | | 52,159 | |
| MGM Resorts International | | | 1,322 | | | | 46,297 | |
| Best Buy Company, Inc. | | | 659 | | | | 46,123 | |
| AutoZone, Inc.* | | | 71 | | | | 46,057 | |
| United Continental Holdings, Inc.* | | | 627 | | | | 43,558 | |
| Lennar Corp. — Class A | | | 708 | | | | 41,729 | |
| Hilton Worldwide Holdings, Inc. | | | 524 | | | | 41,270 | |
| Fastenal Co. | | | 746 | | | | 40,724 | |
| DR Horton, Inc. | | | 887 | | | | 38,886 | |
| Tapestry, Inc. | | | 739 | | | | 38,879 | |
| Mohawk Industries, Inc.* | | | 164 | | | | 38,084 | |
| Wynn Resorts Ltd. | | | 208 | | | | 37,931 | |
| WW Grainger, Inc. | | | 132 | | | | 37,260 | |
| Genuine Parts Co. | | | 380 | | | | 34,139 | |
| Newell Brands, Inc. | | | 1,258 | | | | 32,054 | |
| Ulta Beauty, Inc.* | | | 150 | | | | 30,641 | |
| LKQ Corp.* | | | 803 | | | | 30,474 | |
| PVH Corp. | | | 199 | | | | 30,135 | |
| Wyndham Worldwide Corp. | | | 259 | | | | 29,637 | |
| CarMax, Inc.* | | | 469 | | | | 29,050 | |
| Kohl’s Corp. | | | 436 | | | | 28,562 | |
| Norwegian Cruise Line Holdings Ltd.* | | | 535 | | | | 28,339 | |
| Whirlpool Corp. | | | 183 | | | | 28,019 | |
| Darden Restaurants, Inc. | | | 320 | | | | 27,280 | |
| Tiffany & Co. | | | 264 | | | | 25,782 | |
| BorgWarner, Inc. | | | 513 | | | | 25,768 | |
| Hasbro, Inc. | | | 293 | | | | 24,700 | |
| Michael Kors Holdings Ltd.* | | | 394 | | | | 24,460 | |
| L Brands, Inc. | | | 637 | | | | 24,340 | |
| Macy’s, Inc. | | | 790 | | | | 23,495 | |
| Advance Auto Parts, Inc. | | | 192 | | | | 22,762 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 64 | | | | 20,679 | |
| Tractor Supply Co. | | | 324 | | | | 20,418 | |
| PulteGroup, Inc. | | | 683 | | | | 20,142 | |
| Alaska Air Group, Inc. | | | 319 | | | | 19,765 | |
| Harley-Davidson, Inc.1 | | | 437 | | | | 18,738 | |
| Gap, Inc. | | | 565 | | | | 17,628 | |
| Hanesbrands, Inc.1 | | | 934 | | | | 17,204 | |
| Goodyear Tire & Rubber Co. | | | 623 | | | | 16,560 | |
| Ralph Lauren Corp. — Class A | | | 144 | | | | 16,099 | |
| Leggett & Platt, Inc. | | | 343 | | | | 15,215 | |
| Nordstrom, Inc. | | | 303 | | | | 14,668 | |
| Foot Locker, Inc. | | | 314 | | | | 14,300 | |
| Mattel, Inc.1 | | | 892 | | | | 11,730 | |
| Under Armour, Inc. — Class A*,1 | | | 480 | | | | 7,848 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Under Armour, Inc. — Class C*,1 | | | 478 | | | $ | 6,859 | |
| Total Consumer, Cyclical | | | | | | | 4,841,607 | |
| | | | | | | | | |
| Energy - 0.6% |
| Exxon Mobil Corp. | | | 10,987 | | | | 819,740 | |
| Chevron Corp. | | | 4,953 | | | | 564,840 | |
| Schlumberger Ltd. | | | 3,589 | | | | 232,495 | |
| ConocoPhillips | | | 3,046 | | | | 180,597 | |
| EOG Resources, Inc. | | | 1,500 | | | | 157,905 | |
| Occidental Petroleum Corp. | | | 1,984 | | | | 128,881 | |
| Halliburton Co. | | | 2,262 | | | | 106,178 | |
| Phillips 66 | | | 1,089 | | | | 104,457 | |
| Valero Energy Corp. | | | 1,123 | | | | 104,181 | |
| Marathon Petroleum Corp. | | | 1,230 | | | | 89,925 | |
| Anadarko Petroleum Corp. | | | 1,419 | | | | 85,722 | |
| Pioneer Natural Resources Co. | | | 442 | | | | 75,927 | |
| Kinder Morgan, Inc. | | | 4,919 | | | | 74,080 | |
| ONEOK, Inc. | | | 1,065 | | | | 60,620 | |
| Concho Resources, Inc.* | | | 387 | | | | 58,178 | |
| Williams Companies, Inc. | | | 2,145 | | | | 53,325 | |
| Devon Energy Corp. | | | 1,364 | | | | 43,362 | |
| Noble Energy, Inc. | | | 1,276 | | | | 38,663 | |
| Apache Corp. | | | 989 | | | | 38,057 | |
| Andeavor | | | 367 | | | | 36,905 | |
| National Oilwell Varco, Inc. | | | 985 | | | | 36,258 | |
| Marathon Oil Corp. | | | 2,203 | | | | 35,534 | |
| Hess Corp. | | | 694 | | | | 35,130 | |
| TechnipFMC plc | | | 1,137 | | | | 33,485 | |
| Baker Hughes a GE Co. | | | 1,096 | | | | 30,436 | |
| Equities Corp. | | | 635 | | | | 30,169 | |
| Cabot Oil & Gas Corp. — Class A | | | 1,195 | | | | 28,656 | |
| Cimarex Energy Co. | | | 247 | | | | 23,094 | |
| Helmerich & Payne, Inc. | | | 282 | | | | 18,770 | |
| Newfield Exploration Co.* | | | 518 | | | | 12,650 | |
| Range Resources Corp. | | | 586 | | | | 8,520 | |
| Total Energy | | | | | | | 3,346,740 | |
| | | | | | | | | |
| Utilities - 0.3% |
| NextEra Energy, Inc. | | | 1,220 | | | | 199,263 | |
| Duke Energy Corp. | | | 1,815 | | | | 140,608 | |
| Southern Co. | | | 2,614 | | | | 116,741 | |
| Dominion Energy, Inc. | | | 1,689 | | | | 113,889 | |
| Exelon Corp. | | | 2,502 | | | | 97,603 | |
| American Electric Power Company, Inc. | | | 1,276 | | | | 87,521 | |
| Sempra Energy | | | 662 | | | | 73,628 | |
| Public Service Enterprise Group, Inc. | | | 1,309 | | | | 65,764 | |
| Consolidated Edison, Inc. | | | 805 | | | | 62,742 | |
| Xcel Energy, Inc. | | | 1,317 | | | | 59,897 | |
| PG&E Corp. | | | 1,335 | | | | 58,647 | |
| Edison International | | | 845 | | | | 53,793 | |
| WEC Energy Group, Inc. | | | 818 | | | | 51,289 | |
| PPL Corp. | | | 1,800 | | | | 50,922 | |
| DTE Energy Co. | | | 465 | | | | 48,546 | |
| Eversource Energy | | | 822 | | | | 48,432 | |
| FirstEnergy Corp. | | | 1,159 | | | | 39,418 | |
| American Water Works Company, Inc. | | | 463 | | | | 38,026 | |
| Entergy Corp. | | | 469 | | | | 36,948 | |
| Ameren Corp. | | | 629 | | | | 35,620 | |
| CMS Energy Corp. | | | 732 | | | | 33,152 | |
| CenterPoint Energy, Inc. | | | 1,118 | | | | 30,633 | |
| Alliant Energy Corp. | | | 600 | | | | 24,516 | |
| NRG Energy, Inc. | | | 782 | | | | 23,874 | |
| Pinnacle West Capital Corp. | | | 290 | | | | 23,142 | |
| NiSource, Inc. | | | 875 | | | | 20,921 | |
| AES Corp. | | | 1,713 | | | | 19,477 | |
| SCANA Corp. | | | 370 | | | | 13,893 | |
| Total Utilities | | | | | | | 1,668,905 | |
| | | | | | | | | |
| Basic Materials - 0.3% |
| DowDuPont, Inc. | | | 6,068 | | | | 386,592 | |
| Monsanto Co. | | | 1,143 | | | | 133,377 | |
| Praxair, Inc. | | | 745 | | | | 107,503 | |
| Air Products & Chemicals, Inc. | | | 568 | | | | 90,329 | |
| LyondellBasell Industries N.V. — Class A | | | 839 | | | | 88,666 | |
| Sherwin-Williams Co. | | | 214 | | | | 83,914 | |
| PPG Industries, Inc. | | | 660 | | | | 73,656 | |
| Freeport-McMoRan, Inc. | | | 3,491 | | | | 61,337 | |
| International Paper Co. | | | 1,071 | | | | 57,224 | |
| Newmont Mining Corp. | | | 1,383 | | | | 54,034 | |
| Nucor Corp. | | | 824 | | | | 50,338 | |
| Eastman Chemical Co. | | | 371 | | | | 39,170 | |
| International Flavors & Fragrances, Inc. | | | 205 | | | | 28,067 | |
| FMC Corp. | | | 348 | | | | 26,646 | |
| Albemarle Corp. | | | 287 | | | | 26,616 | |
| CF Industries Holdings, Inc. | | | 605 | | | | 22,827 | |
| Mosaic Co. | | | 909 | | | | 22,070 | |
| Total Basic Materials | | | | | | | 1,352,366 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $54,831,244) | | | | | | | 58,330,658 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 6.6% |
| Guggenheim Strategy Fund II2 | | | 622,408 | | | | 15,566,412 | |
| Guggenheim Strategy Fund I2 | | | 482,033 | | | | 12,074,916 | |
| Guggenheim Strategy Fund III2 | | | 279,864 | | | | 7,004,998 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $34,473,286) | | | | | | | 34,646,326 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 47.7% |
| U.S. Treasury Bills | | | | | | | | |
| 1.58% due 04/05/183,4 | | $ | 100,000,000 | | | | 99,986,451 | |
| 1.66% due 04/12/183,4 | | | 100,000,000 | | | | 99,954,557 | |
| 1.66% due 04/19/183,4 | | | 40,000,000 | | | | 39,969,140 | |
| 1.39% due 04/05/183,4 | | | 8,000,000 | | | | 7,998,916 | |
| 1.31% due 04/19/183,4,5 | | | 1,500,000 | | | | 1,498,843 | |
| 1.61% due 05/31/183,4,6 | | | 1,500,000 | | | | 1,495,899 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $250,892,146) | | | | | | | 250,903,806 | |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 16.9% |
| Federal Home Loan Bank7 | | | | | | |
| 1.40% due 04/02/183,4 | | $ | 25,000,000 | | | $ | 24,999,028 | |
| 1.40% due 04/02/183,4 | | | 25,000,000 | | | | 24,999,028 | |
| 1.50% due 04/03/183,4 | | | 14,000,000 | | | | 13,998,724 | |
| 1.54% due 04/03/183,4 | | | 5,000,000 | | | | 4,999,572 | |
| Total Federal Home Loan Bank | | | | | | | 68,996,352 | |
| Fannie Mae8 | | | | | | | | |
| 1.16% due 04/02/183,4 | | | 20,000,000 | | | | 19,999,195 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $88,995,547) | | | | | | | 88,995,547 | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 1.0% |
| Federal Farm Credit Bank7 | | | | | | | | |
| 1.78% (U.S. Prime Rate -2.96%) due 06/01/189 | | | 5,000,000 | | | | 5,000,335 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $5,000,074) | | | | | | | 5,000,335 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,10 - 10.9% |
JP Morgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/186 | | | 43,043,785 | | | | 43,043,785 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/186 | | | 14,085,076 | | | | 14,085,076 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $57,128,861) | | | | | | | 57,128,861 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,11 - 0.0% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%12 | | | 116,228 | | | | 116,228 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $116,228) | | | | | | | 116,228 | |
| | | | | | | | | |
| Total Investments - 94.2% | | | | | | | | |
| (Cost $491,437,386) | | | | | | $ | 495,121,761 | |
| Other Assets & Liabilities, net - 5.8% | | | | | | | 30,673,466 | |
| Total Net Assets - 100.0% | | | | | | $ | 525,795,227 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| S&P 500 Index Mini Futures Contracts | | | 1,721 | | | Jun 2018 | | $ | 227,279,563 | | | $ | (11,975,883 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized Gain (Loss) | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | S&P 500 Index | | | 2.19 | % | | At Maturity | | 04/30/18 | | | 62,821 | | | $ | 165,902,396 | | | $ | 2,253,393 | |
| BNP Paribas | | S&P 500 Index | | | 2.34 | % | | At Maturity | | 04/30/18 | | | 15,029 | | | | 39,688,971 | | | | 424,563 | |
| Goldman Sachs International | | S&P 500 Index | | | 2.24 | % | | At Maturity | | 04/27/18 | | | 112,920 | | | | 298,207,062 | | | | (1,954,391 | ) |
| | | | | | | | | | | | | | | | | $ | 503,798,429 | | | $ | 723,565 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NOVA 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 March 29, 2018 — See Note 7. |
| 2 | | Affiliated issuer. |
| 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 March 29, 2018. |
| 6 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 7 | | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 8 | | 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. |
| 9 | | Variable rate security. Rate indicated is the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 10 | | Repurchase Agreements — See Note 6. |
| 11 | | Securities lending collateral — See Note 7. |
| 12 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 58,330,658 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 58,330,658 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 2,677,956 | | | | — | | | | 2,677,956 | |
| Federal Agency Discount Notes | | | | | | | — | | | | 88,995,547 | | | | — | | | | — | | | | 88,995,547 | |
| Federal Agency Notes | | | — | | | | — | | | | 5,000,335 | | | | — | | | | — | | | | 5,000,335 | |
| Mutual Funds | | | 34,646,326 | | | | — | | | | — | | | | — | | | | — | | | | 34,646,326 | |
| Repurchase Agreements | | | — | | | | — | | | | 57,128,861 | | | | — | | | | — | | | | 57,128,861 | |
| Securities Lending Collateral | | | 116,228 | | | | — | | | | — | | | | — | | | | — | | | | 116,228 | |
| U.S. Treasury Bills | | | | | | | — | | | | 250,903,806 | | | | — | | | | — | | | | 250,903,806 | |
| Total Assets | | $ | 93,093,212 | | | $ | — | | | $ | 402,028,549 | | | $ | 2,677,956 | | | $ | — | | | $ | 497,799,717 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 11,975,883 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,975,883 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 1,954,391 | | | | — | | | | 1,954,391 | |
| Total Liabilities | | $ | — | | | $ | 11,975,883 | | | $ | — | | | $ | 1,954,391 | | | $ | — | | | $ | 13,930,274 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| NOVA 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 the Guggenheim Investments (“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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 12,473,562 | | | $ | 1,000,000 | | | $ | (1,400,000 | ) | | $ | 4,461 | | | $ | (3,107 | ) | | $ | 12,074,916 | | | | 482,033 | | | $ | 264,288 | | | $ | 4,510 | |
| Guggenheim Strategy Fund II | | | 12,060,988 | | | | 3,500,000 | | | | — | | | | — | | | | 5,424 | | | | 15,566,412 | | | | 622,408 | | | | 322,156 | | | | 6,661 | |
| Guggenheim Strategy Fund III | | | — | | | | 7,000,000 | | | | — | | | | — | | | | 4,998 | | | | 7,004,998 | | | | 279,864 | | | | 173,435 | | | | 1,708 | |
| | | $ | 24,534,550 | | | $ | 11,500,000 | | | $ | (1,400,000 | ) | | $ | 4,461 | | | $ | 7,315 | | | $ | 34,646,326 | | | | | | | $ | 759,879 | | | $ | 12,879 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 |
| Assets: |
| Investments in unaffiliated issuers, at value - including $113,106 of securities loaned (cost $399,835,239) | | $ | 403,346,574 | |
| Investments in affiliated issuers, at value (cost $34,473,286) | | | 34,646,326 | |
| Repurchase agreements, at value (cost $57,128,861) | | | 57,128,861 | |
| Cash | | | 26,413 | |
| Segregated cash with broker | | | 29,471,902 | |
| Unrealized appreciation on swap agreements | | | 2,677,956 | |
| Receivables: |
| Variation margin | | | 2,942,297 | |
| Fund shares sold | | | 613,951 | |
| Dividends | | | 155,332 | |
| Interest | | | 15,489 | |
| Securities lending income | | | 62 | |
| Total assets | | | 531,025,163 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 1,954,391 | |
| Payable for: |
| Fund shares redeemed | | | 2,519,156 | |
| Management fees | | | 312,190 | |
| Return of securities loaned | | | 116,228 | |
| Transfer agent and administrative fees | | | 104,063 | |
| Swap settlement | | | 90,279 | |
| Portfolio accounting fees | | | 35,447 | |
| Distribution and service fees | | | 22,328 | |
| Trustees’ fees* | | | 3,753 | |
| Miscellaneous | | | 72,101 | |
| Total liabilities | | | 5,229,936 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 525,795,227 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | | 525,185,270 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | 8,177,900 | |
| Net unrealized depreciation on investments | | | (7,567,943 | ) |
| Net assets | | $ | 525,795,227 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 451,764,403 | |
| Capital shares outstanding | | | 6,487,842 | |
| Net asset value per share | | $ | 69.63 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 35,094,107 | |
| Capital shares outstanding | | | 542,243 | |
| Net asset value per share | | $ | 64.72 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 67.95 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 9,951,823 | |
| Capital shares outstanding | | | 172,254 | |
| Net asset value per share | | $ | 57.77 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 28,984,894 | |
| Capital shares outstanding | | | 447,267 | |
| Net asset value per share | | $ | 64.80 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 |
| Investment Income: |
| Dividends from securities of unaffiliated issuers | | $ | 3,466,318 | |
| Dividends from securities of affiliated issuers | | | 759,879 | |
| Interest | | | 975,799 | |
| Income from securities lending, net | | | 2,548 | |
| Other income | | | 11,164 | |
| Total investment income | | | 5,215,708 | |
| | | | | |
| Expenses: |
| Management fees | | | 2,121,092 | |
| Distribution and service fees: |
| A-Class | | | 43,816 | |
| C-Class | | | 102,262 | |
| H-Class | | | 79,676 | |
| Transfer agent and administrative fees | | | 707,031 | |
| Portfolio accounting fees | | | 254,390 | |
| Registration fees | | | 194,672 | |
| Custodian fees | | | 39,351 | |
| Trustees’ fees* | | | 17,847 | |
| Line of credit fees | | | 1,407 | |
| Miscellaneous | | | 238,920 | |
| Total expenses | | | 3,800,464 | |
| Net investment income | | | 1,415,244 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 2,381,628 | |
| Investments in affiliated issuers | | | 4,461 | |
| Distributions received from affiliated investment company shares | | | 12,879 | |
| Swap agreements | | | 13,380,033 | |
| Futures contracts | | | 11,779,717 | |
| Net realized gain | | | 27,558,718 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 1,871,176 | |
| Investments in affiliated issuers | | | 7,315 | |
| Swap agreements | | | 737,131 | |
| Futures contracts | | | (12,108,720 | ) |
| Net change in unrealized appreciation (depreciation) | | | (9,493,098 | ) |
| Net realized and unrealized gain | | | 18,065,620 | |
| Net increase in net assets resulting from operations | | $ | 19,480,864 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 1,415,244 | | | $ | 141,851 | |
| Net realized gain on investments | | | 27,558,718 | | | | 68,962,667 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (9,493,098 | ) | | | (20,720,659 | ) |
| Net increase in net assets resulting from operations | | | 19,480,864 | | | | 48,383,859 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (109,653 | ) | | | (28,278 | ) |
| A-Class | | | (12,455 | ) | | | (2,002 | ) |
| C-Class | | | (3,734 | ) | | | (4,396 | ) |
| H-Class | | | (16,013 | ) | | | (1,346 | ) |
| Net realized gains | | | | | | | | |
| Investor Class | | | (6,685,358 | ) | | | (899,670 | ) |
| A-Class | | | (759,376 | ) | | | (63,689 | ) |
| C-Class | | | (227,660 | ) | | | (139,858 | ) |
| H-Class | | | (976,327 | ) | | | (42,826 | ) |
| Total distributions to shareholders | | | (8,790,576 | ) | | | (1,182,065 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 5,321,958,804 | | | | 3,038,362,973 | |
| A-Class | | | 552,519,350 | | | | 195,568,022 | |
| C-Class | | | 6,061,928 | | | | 2,393,360 | |
| H-Class | | | 773,850,416 | | | | 578,220,052 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 6,543,258 | | | | 871,266 | |
| A-Class | | | 770,142 | | | | 64,676 | |
| C-Class | | | 230,680 | | | | 143,560 | |
| H-Class | | | 982,950 | | | | 44,161 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (4,958,949,514 | ) | | | (3,164,196,094 | ) |
| A-Class | | | (521,933,815 | ) | | | (207,737,340 | ) |
| C-Class | | | (7,366,927 | ) | | | (5,741,761 | ) |
| H-Class | | | (769,012,881 | ) | | | (579,218,274 | ) |
| Net increase (decrease) from capital share transactions | | | 405,654,391 | | | | (141,225,399 | ) |
| Net increase (decrease) in net assets | | | 416,344,679 | | | | (94,023,605 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 109,450,548 | | | | 203,474,153 | |
| End of year | | $ | 525,795,227 | | | $ | 109,450,548 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 141,851 | |
| | | | | | | | | |
| 24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 78,243,245 | | | | 55,401,102 | |
| A-Class | | | 8,822,862 | | | | 3,848,301 | |
| C-Class | | | 103,127 | | | | 52,915 | |
| H-Class | | | 12,383,133 | | | | 11,361,682 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 92,904 | | | | 16,298 | |
| A-Class | | | 11,758 | | | | 1,294 | |
| C-Class | | | 3,937 | | | | 3,182 | |
| H-Class | | | 14,989 | | | | 884 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (73,154,099 | ) | | | (57,463,068 | ) |
| A-Class | | | (8,355,177 | ) | | | (4,082,490 | ) |
| C-Class | | | (126,143 | ) | | | (129,677 | ) |
| H-Class | | | (12,266,372 | ) | | | (11,349,648 | ) |
| Net increase (decrease) in shares | | | 5,774,164 | | | | (2,339,225 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 60.14 | | | $ | 49.18 | | | $ | 49.42 | | | $ | 42.15 | | | $ | 32.05 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .40 | | | | .08 | | | | .07 | | | | .14 | | | | .14 | |
| Net gain (loss) on investments (realized and unrealized) | | | 10.50 | | | | 11.56 | | | | (.25 | ) | | | 7.18 | | | | 9.96 | |
| Total from investment operations | | | 10.90 | | | | 11.64 | | | | (.18 | ) | | | 7.32 | | | | 10.10 | |
| Less distributions from: |
| Net investment income | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net realized gains | | | (1.39 | ) | | | (.66 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net asset value, end of period | | $ | 69.63 | | | $ | 60.14 | | | $ | 49.18 | | | $ | 49.42 | | | $ | 42.15 | |
| |
| Total Returnb | | | 18.09 | % | | | 23.84 | % | | | (0.36 | %) | | | 17.36 | % | | | 31.51 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 451,764 | | | $ | 78,531 | | | $ | 164,820 | | | $ | 136,800 | | | $ | 103,254 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.58 | % | | | 0.15 | % | | | 0.14 | % | | | 0.31 | % | | | 0.37 | % |
| Total expensesc | | | 1.26 | % | | | 1.28 | % | | | 1.25 | % | | | 1.27 | % | | | 1.28 | % |
| Portfolio turnover rate | | | 2,067 | % | | | 1,288 | % | | | 619 | % | | | 403 | % | | | 259 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 56.18 | | | $ | 46.08 | | | $ | 46.40 | | | $ | 39.67 | | | $ | 30.23 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .25 | | | | (.02 | ) | | | (.05 | ) | | | .02 | | | | .05 | |
| Net gain (loss) on investments (realized and unrealized) | | | 9.70 | | | | 10.80 | | | | (.21 | ) | | | 6.76 | | | | 9.39 | |
| Total from investment operations | | | 9.95 | | | | 10.78 | | | | (.26 | ) | | | 6.78 | | | | 9.44 | |
| Less distributions from: |
| Net investment income | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net realized gains | | | (1.39 | ) | | | (.66 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net asset value, end of period | | $ | 64.72 | | | $ | 56.18 | | | $ | 46.08 | | | $ | 46.40 | | | $ | 39.67 | |
| |
| Total Returnb | | | 17.68 | % | | | 23.57 | % | | | (0.56 | %) | | | 17.09 | % | | | 31.23 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 35,094 | | | $ | 3,528 | | | $ | 13,626 | | | $ | 3,930 | | | $ | 1,237 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.39 | % | | | (0.05 | %) | | | (0.11 | %) | | | 0.05 | % | | | 0.14 | % |
| Total expensesc | | | 1.51 | % | | | 1.53 | % | | | 1.51 | % | | | 1.52 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 2,067 | % | | | 1,288 | % | | | 619 | % | | | 403 | % | | | 259 | % |
| 26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.57 | | | $ | 41.86 | | | $ | 42.50 | | | $ | 36.62 | | | $ | 28.11 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.27 | ) | | | (.40 | ) | | | (.34 | ) | | | (.28 | ) | | | (.20 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.88 | | | | 9.79 | | | | (.24 | ) | | | 6.21 | | | | 8.71 | |
| Total from investment operations | | | 8.61 | | | | 9.39 | | | | (.58 | ) | | | 5.93 | | | | 8.51 | |
| Less distributions from: |
| Net investment income | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net realized gains | | | (1.39 | ) | | | (.66 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) | | | (.05 | ) | | | — | |
| Net asset value, end of period | | $ | 57.77 | | | $ | 50.57 | | | $ | 41.86 | | | $ | 42.50 | | | $ | 36.62 | |
| |
| Total Returnb | | | 17.01 | % | | | 22.60 | % | | | (1.36 | %) | | | 16.19 | % | | | 30.27 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 9,952 | | | $ | 9,676 | | | $ | 11,090 | | | $ | 11,993 | | | $ | 10,394 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.48 | %) | | | (0.89 | %) | | | (0.83 | %) | | | (0.70 | %) | | | (0.62 | %) |
| Total expensesc | | | 2.28 | % | | | 2.27 | % | | | 2.26 | % | | | 2.27 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 2,067 | % | | | 1,288 | % | | | 619 | % | | | 403 | % | | | 259 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015d | |
| 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)a | | | .19 | | | | (.07 | ) | | | (.06 | ) | | | .02 | |
| Net gain (loss) on investments (realized and unrealized) | | | 9.87 | | | | 10.84 | | | | (.22 | ) | | | 2.03 | |
| Total from investment operations | | | 10.06 | | | | 10.77 | | | | (.28 | ) | | | 2.05 | |
| Less distributions from: |
| Net investment income | | | (.02 | ) | | | (.02 | ) | | | (.06 | ) | | | (.05 | ) |
| Net realized gains | | | (1.39 | ) | | | (.66 | ) | | | — | | | | — | |
| Total distributions | | | (1.41 | ) | | | (.68 | ) | | | (.06 | ) | | | (.05 | ) |
| Net asset value, end of period | | $ | 64.80 | | | $ | 56.15 | | | $ | 46.06 | | | $ | 46.40 | |
| |
| Total Returnb | | | 17.88 | % | | | 23.56 | % | | | (0.60 | %) | | | 4.61 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 28,985 | | | $ | 17,716 | | | $ | 13,938 | | | $ | 1,692 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.30 | % | | | (0.15 | %) | | | (0.14 | %) | | | 0.08 | % |
| Total expensesc | | | 1.52 | % | | | 1.52 | % | | | 1.51 | % | | | 1.51 | % |
| Portfolio turnover rate | | | 2,067 | % | | | 1,288 | % | | | 619 | % | | | 403 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P 500® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500® Index (the “underlying index”).
The broad-market S&P 500 Index returned 13.99% for the one-year period ended March 29, 2018, while the S&P 500® Fund H-Class returned 12.14% for the same period. The Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the S&P 500 Index.
Sectors contributing the most to the performance of the underlying index were Technology and Financials. Energy was the only detractor. The Utilities sector contributed the least.
Microsoft Corp., Amazon.com, Inc., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the period. General Electric Co., AT&T, Inc., and Celgene Corp. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | May 31, 2006 |
| C-Class | May 31, 2006 |
| H-Class | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) |
| Apple, Inc. | 3.4% |
| Microsoft Corp. | 2.8% |
| Amazon.com, Inc. | 2.3% |
| Berkshire Hathaway, Inc. — Class B | 1.5% |
| Facebook, Inc. — Class A | 1.5% |
| JPMorgan Chase & Co. | 1.5% |
| Johnson & Johnson | 1.4% |
| Exxon Mobil Corp. | 1.2% |
| Alphabet, Inc. — Class C | 1.2% |
| Alphabet, Inc. — Class A | 1.2% |
| Top Ten Total | 18.0% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| 28 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 12.16% | 11.44% | 7.77% |
| A-Class Shares with sales charge‡ | 6.83% | 10.36% | 7.24% |
| C-Class Shares | 11.29% | 10.60% | 6.93% |
| C-Class Shares with CDSC§ | 10.29% | 10.60% | 6.93% |
| H-Class Shares | 12.14% | 11.43% | 7.77% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 88.8% |
| | | | | | | |
| Consumer, Non-cyclical - 19.2% |
| Johnson & Johnson | | | 23,292 | | | $ | 2,984,870 | |
| Pfizer, Inc. | | | 51,682 | | | | 1,834,194 | |
| UnitedHealth Group, Inc. | | | 8,401 | | | | 1,797,814 | |
| Procter & Gamble Co. | | | 21,887 | | | | 1,735,201 | |
| Coca-Cola Co. | | | 33,332 | | | | 1,447,609 | |
| PepsiCo, Inc. | | | 12,347 | | | | 1,347,675 | |
| Philip Morris International, Inc. | | | 13,484 | | | | 1,340,310 | |
| AbbVie, Inc. | | | 13,840 | | | | 1,309,956 | |
| Merck & Company, Inc. | | | 23,408 | | | | 1,275,034 | |
| Altria Group, Inc. | | | 16,499 | | | | 1,028,218 | |
| Amgen, Inc. | | | 5,803 | | | | 989,295 | |
| Medtronic plc | | | 11,766 | | | | 943,869 | |
| Abbott Laboratories | | | 15,112 | | | | 905,511 | |
| Bristol-Myers Squibb Co. | | | 14,174 | | | | 896,505 | |
| Gilead Sciences, Inc. | | | 11,373 | | | | 857,411 | |
| PayPal Holdings, Inc.* | | | 9,794 | | | | 743,071 | |
| Thermo Fisher Scientific, Inc. | | | 3,488 | | | | 720,133 | |
| Eli Lilly & Co. | | | 8,370 | | | | 647,587 | |
| Celgene Corp.* | | | 6,530 | | | | 582,541 | |
| CVS Health Corp. | | | 8,808 | | | | 547,946 | |
| Colgate-Palmolive Co. | | | 7,599 | | | | 544,696 | |
| Mondelez International, Inc. — Class A | | | 12,913 | | | | 538,859 | |
| Danaher Corp. | | | 5,329 | | | | 521,762 | |
| Biogen, Inc.* | | | 1,837 | | | | 503,007 | |
| Becton Dickinson and Co. | | | 2,311 | | | | 500,794 | |
| Anthem, Inc. | | | 2,220 | | | | 487,734 | |
| Allergan plc | | | 2,868 | | | | 482,656 | |
| Aetna, Inc. | | | 2,838 | | | | 479,622 | |
| Stryker Corp. | | | 2,797 | | | | 450,093 | |
| Automatic Data Processing, Inc. | | | 3,848 | | | | 436,671 | |
| S&P Global, Inc. | | | 2,204 | | | | 421,096 | |
| Intuitive Surgical, Inc.* | | | 975 | | | | 402,509 | |
| Vertex Pharmaceuticals, Inc.* | | | 2,204 | | | | 359,208 | |
| Cigna Corp. | | | 2,109 | | | | 353,764 | |
| Zoetis, Inc. | | | 4,231 | | | | 353,331 | |
| Constellation Brands, Inc. — Class A | | | 1,488 | | | | 339,145 | |
| Express Scripts Holding Co.* | | | 4,900 | | | | 338,492 | |
| Kimberly-Clark Corp. | | | 3,045 | | | | 335,346 | |
| Boston Scientific Corp.* | | | 11,937 | | | | 326,119 | |
| Kraft Heinz Co. | | | 5,185 | | | | 322,974 | |
| Humana, Inc. | | | 1,195 | | | | 321,252 | |
| Ecolab, Inc. | | | 2,257 | | | | 309,367 | |
| Illumina, Inc.* | | | 1,276 | | | | 301,672 | |
| Estee Lauder Companies, Inc. — Class A | | | 1,950 | | | | 291,954 | |
| Baxter International, Inc. | | | 4,314 | | | | 280,583 | |
| Edwards Lifesciences Corp.* | | | 1,823 | | | | 254,345 | |
| McKesson Corp. | | | 1,791 | | | | 252,298 | |
| Sysco Corp. | | | 4,169 | | | | 249,973 | |
| HCA Healthcare, Inc. | | | 2,430 | | | | 235,710 | |
| Moody’s Corp. | | | 1,443 | | | | 232,756 | |
| Regeneron Pharmaceuticals, Inc.* | | | 670 | | | | 230,721 | |
| General Mills, Inc. | | | 4,940 | | | | 222,596 | |
| Alexion Pharmaceuticals, Inc.* | | | 1,925 | | | | 214,561 | |
| Archer-Daniels-Midland Co. | | | 4,855 | | | | 210,561 | |
| Monster Beverage Corp.* | | | 3,590 | | | | 205,384 | |
| Zimmer Biomet Holdings, Inc. | | | 1,764 | | | | 192,347 | |
| Tyson Foods, Inc. — Class A | | | 2,584 | | | | 189,123 | |
| Dr Pepper Snapple Group, Inc. | | | 1,561 | | | | 184,791 | |
| Mylan N.V.* | | | 4,469 | | | | 183,989 | |
| Kroger Co. | | | 7,652 | | | | 183,189 | |
| Cardinal Health, Inc. | | | 2,732 | | | | 171,242 | |
| Centene Corp.* | | | 1,506 | | | | 160,946 | |
| Align Technology, Inc.* | | | 626 | | | | 157,207 | |
| Global Payments, Inc. | | | 1,382 | | | | 154,121 | |
| IHS Markit Ltd.* | | | 3,143 | | | | 151,618 | |
| Clorox Co. | | | 1,123 | | | | 149,483 | |
| Nektar Therapeutics* | | | 1,397 | | | | 148,445 | |
| IDEXX Laboratories, Inc.* | | | 756 | | | | 144,691 | |
| Laboratory Corporation of America Holdings* | | | 885 | | | | 143,149 | |
| Kellogg Co. | | | 2,161 | | | | 140,487 | |
| Verisk Analytics, Inc. — Class A* | | | 1,347 | | | | 140,088 | |
| Conagra Brands, Inc. | | | 3,478 | | | | 128,269 | |
| Cintas Corp. | | | 749 | | | | 127,765 | |
| Incyte Corp.* | | | 1,525 | | | | 127,078 | |
| United Rentals, Inc.* | | | 734 | | | | 126,784 | |
| IQVIA Holdings, Inc.* | | | 1,266 | | | | 124,207 | |
| Total System Services, Inc. | | | 1,436 | | | | 123,869 | |
| Brown-Forman Corp. — Class B | | | 2,271 | | | | 123,556 | |
| Equifax, Inc. | | | 1,043 | | | | 122,876 | |
| JM Smucker Co. | | | 986 | | | | 122,274 | |
| ResMed, Inc. | | | 1,241 | | | | 122,201 | |
| AmerisourceBergen Corp. — Class A | | | 1,411 | | | | 121,642 | |
| Hershey Co. | | | 1,223 | | | | 121,028 | |
| Molson Coors Brewing Co. — Class B | | | 1,605 | | | | 120,905 | |
| Quest Diagnostics, Inc. | | | 1,178 | | | | 118,153 | |
| McCormick & Company, Inc. | | | 1,051 | | | | 111,816 | |
| Church & Dwight Company, Inc. | | | 2,118 | | | | 106,662 | |
| Dentsply Sirona, Inc. | | | 1,994 | | | | 100,318 | |
| Cooper Companies, Inc. | | | 426 | | | | 97,473 | |
| Varian Medical Systems, Inc.* | | | 793 | | | | 97,261 | |
| Perrigo Company plc | | | 1,137 | | | | 94,757 | |
| Gartner, Inc.* | | | 789 | | | | 92,802 | |
| Nielsen Holdings plc | | | 2,911 | | | | 92,541 | |
| Hologic, Inc.* | | | 2,401 | | | | 89,701 | |
| Henry Schein, Inc.* | | | 1,334 | | | | 89,658 | |
| Universal Health Services, Inc. — Class B | | | 755 | | | | 89,400 | |
| DaVita, Inc.* | | | 1,264 | | | | 83,348 | |
| Avery Dennison Corp. | | | 763 | | | | 81,069 | |
| Hormel Foods Corp. | | | 2,345 | | | | 80,480 | |
| Western Union Co. | | | 3,987 | | | | 76,670 | |
| Coty, Inc. — Class A | | | 4,099 | | | | 75,012 | |
| Campbell Soup Co.1 | | | 1,670 | | | | 72,328 | |
| Robert Half International, Inc. | | | 1,079 | | | | 62,463 | |
| H&R Block, Inc. | | | 1,815 | | | | 46,119 | |
| Quanta Services, Inc.* | | | 1,335 | | | | 45,857 | |
| Envision Healthcare Corp.* | | | 1,050 | | | | 40,351 | |
| Total Consumer, Non-cyclical | | | | | | | 42,297,970 | |
| 30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Financial - 16.8% |
| Berkshire Hathaway, Inc. — Class B* | | | 16,709 | | | $ | 3,333,111 | |
| JPMorgan Chase & Co. | | | 29,796 | | | | 3,276,666 | |
| Bank of America Corp. | | | 83,061 | | | | 2,490,999 | |
| Wells Fargo & Co. | | | 38,113 | | | | 1,997,502 | |
| Visa, Inc. — Class A | | | 15,650 | | | | 1,872,053 | |
| Citigroup, Inc. | | | 22,313 | | | | 1,506,128 | |
| Mastercard, Inc. — Class A | | | 8,015 | | | | 1,403,907 | |
| Goldman Sachs Group, Inc. | | | 3,067 | | | | 772,455 | |
| U.S. Bancorp | | | 13,624 | | | | 688,012 | |
| Morgan Stanley | | | 11,978 | | | | 646,333 | |
| PNC Financial Services Group, Inc. | | | 4,094 | | | | 619,177 | |
| American Express Co. | | | 6,255 | | | | 583,467 | |
| BlackRock, Inc. — Class A | | | 1,074 | | | | 581,807 | |
| American Tower Corp. — Class A REIT | | | 3,827 | | | | 556,216 | |
| Chubb Ltd. | | | 4,029 | | | | 551,046 | |
| Charles Schwab Corp. | | | 10,404 | | | | 543,297 | |
| CME Group, Inc. — Class A | | | 2,955 | | | | 477,942 | |
| Bank of New York Mellon Corp. | | | 8,766 | | | | 451,712 | |
| American International Group, Inc. | | | 7,805 | | | | 424,748 | |
| Simon Property Group, Inc. REIT | | | 2,701 | | | | 416,899 | |
| MetLife, Inc. | | | 9,000 | | | | 413,010 | |
| Capital One Financial Corp. | | | 4,222 | | | | 404,552 | |
| Crown Castle International Corp. REIT | | | 3,600 | | | | 394,596 | |
| Prudential Financial, Inc. | | | 3,664 | | | | 379,407 | |
| Intercontinental Exchange, Inc. | | | 5,055 | | | | 366,589 | |
| Marsh & McLennan Companies, Inc. | | | 4,407 | | | | 363,974 | |
| BB&T Corp. | | | 6,749 | | | | 351,218 | |
| Travelers Companies, Inc. | | | 2,356 | | | | 327,154 | |
| State Street Corp. | | | 3,192 | | | | 318,338 | |
| Progressive Corp. | | | 5,055 | | | | 308,001 | |
| Aon plc | | | 2,137 | | | | 299,885 | |
| Aflac, Inc. | | | 6,766 | | | | 296,080 | |
| Allstate Corp. | | | 3,077 | | | | 291,700 | |
| Prologis, Inc. REIT | | | 4,628 | | | | 291,518 | |
| Equinix, Inc. REIT | | | 688 | | | | 287,680 | |
| SunTrust Banks, Inc. | | | 4,066 | | | | 276,651 | |
| Public Storage REIT | | | 1,301 | | | | 260,707 | |
| M&T Bank Corp. | | | 1,304 | | | | 240,405 | |
| Weyerhaeuser Co. REIT | | | 6,557 | | | | 229,495 | |
| T. Rowe Price Group, Inc. | | | 2,124 | | | | 229,328 | |
| Discover Financial Services | | | 3,080 | | | | 221,544 | |
| Synchrony Financial | | | 6,204 | | | | 208,020 | |
| AvalonBay Communities, Inc. REIT | | | 1,199 | | | | 197,188 | |
| Equity Residential REIT | | | 3,196 | | | | 196,938 | |
| Fifth Third Bancorp | | | 6,023 | | | | 191,230 | |
| Northern Trust Corp. | | | 1,847 | | | | 190,481 | |
| Digital Realty Trust, Inc. REIT | | | 1,784 | | | | 187,998 | |
| Ameriprise Financial, Inc. | | | 1,270 | | | | 187,884 | |
| Regions Financial Corp. | | | 9,746 | | | | 181,081 | |
| KeyCorp | | | 9,209 | | | | 180,036 | |
| Citizens Financial Group, Inc. | | | 4,231 | | | | 177,617 | |
| Welltower, Inc. REIT | | | 3,215 | | | | 174,992 | |
| Willis Towers Watson plc | | | 1,147 | | | | 174,562 | |
| SBA Communications Corp. REIT* | | | 1,012 | | | | 172,971 | |
| Boston Properties, Inc. REIT | | | 1,340 | | | | 165,115 | |
| Hartford Financial Services Group, Inc. | | | 3,099 | | | | 159,660 | |
| Ventas, Inc. REIT | | | 3,092 | | | | 153,147 | |
| Huntington Bancshares, Inc. | | | 9,570 | | | | 144,507 | |
| Comerica, Inc. | | | 1,500 | | | | 143,895 | |
| Principal Financial Group, Inc. | | | 2,339 | | | | 142,469 | |
| Lincoln National Corp. | | | 1,895 | | | | 138,449 | |
| Essex Property Trust, Inc. REIT | | | 573 | | | | 137,910 | |
| E*TRADE Financial Corp.* | | | 2,312 | | | | 128,108 | |
| Realty Income Corp. REIT | | | 2,467 | | | | 127,618 | |
| CBRE Group, Inc. — Class A* | | | 2,623 | | | | 123,858 | |
| XL Group Ltd. | | | 2,230 | | | | 123,230 | |
| Host Hotels & Resorts, Inc. REIT | | | 6,373 | | | | 118,793 | |
| Loews Corp. | | | 2,341 | | | | 116,418 | |
| Invesco Ltd. | | | 3,535 | | | | 113,155 | |
| GGP, Inc. REIT | | | 5,484 | | | | 112,203 | |
| Cboe Global Markets, Inc. | | | 978 | | | | 111,590 | |
| SVB Financial Group* | | | 459 | | | | 110,165 | |
| Alexandria Real Estate Equities, Inc. REIT | | | 879 | | | | 109,778 | |
| Arthur J Gallagher & Co. | | | 1,575 | | | | 108,250 | |
| Vornado Realty Trust REIT | | | 1,501 | | | | 101,017 | |
| Raymond James Financial, Inc. | | | 1,125 | | | | 100,586 | |
| Franklin Resources, Inc. | | | 2,826 | | | | 98,006 | |
| Cincinnati Financial Corp. | | | 1,296 | | | | 96,241 | |
| Extra Space Storage, Inc. REIT | | | 1,094 | | | | 95,572 | |
| HCP, Inc. REIT | | | 4,076 | | | | 94,685 | |
| Unum Group | | | 1,921 | | | | 91,459 | |
| Everest Re Group Ltd. | | | 355 | | | | 91,171 | |
| Mid-America Apartment Communities, Inc. REIT | | | 986 | | | | 89,963 | |
| Zions Bancorporation | | | 1,706 | | | | 89,957 | |
| Affiliated Managers Group, Inc. | | | 473 | | | | 89,671 | |
| Alliance Data Systems Corp. | | | 419 | | | | 89,188 | |
| Nasdaq, Inc. | | | 1,012 | | | | 87,255 | |
| UDR, Inc. REIT | | | 2,328 | | | | 82,923 | |
| Duke Realty Corp. REIT | | | 3,099 | | | | 82,061 | |
| Iron Mountain, Inc. REIT | | | 2,443 | | | | 80,277 | |
| Torchmark Corp. | | | 921 | | | | 77,521 | |
| Regency Centers Corp. REIT | | | 1,290 | | | | 76,084 | |
| SL Green Realty Corp. REIT | | | 784 | | | | 75,915 | |
| Federal Realty Investment Trust REIT | | | 635 | | | | 73,730 | |
| Leucadia National Corp. | | | 2,722 | | | | 61,871 | |
| People’s United Financial, Inc. | | | 3,014 | | | | 56,241 | |
| Apartment Investment & Management Co. — Class A REIT | | | 1,366 | | | | 55,664 | |
| Kimco Realty Corp. REIT | | | 3,694 | | | | 53,194 | |
| Macerich Co. REIT | | | 942 | | | | 52,771 | |
| Brighthouse Financial, Inc.* | | | 832 | | | | 42,765 | |
| Assurant, Inc. | | | 456 | | | | 41,683 | |
| Navient Corp. | | | 2,283 | | | | 29,953 | |
| Total Financial | | | | | | | 36,912,049 | |
| | | | | | | | | |
| Technology - 14.4% |
| Apple, Inc. | | | 44,052 | | | | 7,391,045 | |
| Microsoft Corp. | | | 66,848 | | | | 6,101,217 | |
| Intel Corp. | | | 40,631 | | | | 2,116,063 | |
| NVIDIA Corp. | | | 5,253 | | | | 1,216,542 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Oracle Corp. | | | 26,236 | | | $ | 1,200,297 | |
| International Business Machines Corp. | | | 7,438 | | | | 1,141,212 | |
| Adobe Systems, Inc.* | | | 4,268 | | | | 922,229 | |
| Texas Instruments, Inc. | | | 8,541 | | | | 887,325 | |
| Broadcom Ltd. | | | 3,564 | | | | 839,857 | |
| Accenture plc — Class A | | | 5,354 | | | | 821,839 | |
| QUALCOMM, Inc. | | | 12,852 | | | | 712,129 | |
| salesforce.com, Inc.* | | | 5,957 | | | | 692,799 | |
| Micron Technology, Inc.* | | | 10,039 | | | | 523,433 | |
| Applied Materials, Inc. | | | 9,122 | | | | 507,274 | |
| Activision Blizzard, Inc. | | | 6,586 | | | | 444,292 | |
| Cognizant Technology Solutions Corp. — Class A | | | 5,105 | | | | 410,953 | |
| Intuit, Inc. | | | 2,112 | | | | 366,115 | |
| Electronic Arts, Inc.* | | | 2,663 | | | | 322,862 | |
| HP, Inc. | | | 14,216 | | | | 311,615 | |
| Analog Devices, Inc. | | | 3,211 | | | | 292,618 | |
| Lam Research Corp. | | | 1,415 | | | | 287,471 | |
| Fidelity National Information Services, Inc. | | | 2,875 | | | | 276,863 | |
| Fiserv, Inc.* | | | 3,588 | | | | 255,860 | |
| DXC Technology Co. | | | 2,477 | | | | 249,013 | |
| Autodesk, Inc.* | | | 1,912 | | | | 240,109 | |
| Hewlett Packard Enterprise Co. | | | 13,604 | | | | 238,614 | |
| Western Digital Corp. | | | 2,583 | | | | 238,333 | |
| Red Hat, Inc.* | | | 1,537 | | | | 229,797 | |
| Microchip Technology, Inc. | | | 2,035 | | | | 185,918 | |
| Paychex, Inc. | | | 2,775 | | | | 170,912 | |
| Xilinx, Inc. | | | 2,212 | | | | 159,795 | |
| Cerner Corp.* | | | 2,743 | | | | 159,094 | |
| Skyworks Solutions, Inc. | | | 1,584 | | | | 158,812 | |
| KLA-Tencor Corp. | | | 1,360 | | | | 148,254 | |
| Seagate Technology plc | | | 2,473 | | | | 144,720 | |
| NetApp, Inc. | | | 2,326 | | | | 143,491 | |
| ANSYS, Inc.* | | | 728 | | | | 114,070 | |
| Synopsys, Inc.* | | | 1,291 | | | | 107,463 | |
| Akamai Technologies, Inc.* | | | 1,476 | | | | 104,766 | |
| Citrix Systems, Inc.* | | | 1,123 | | | | 104,214 | |
| Take-Two Interactive Software, Inc.* | | | 993 | | | | 97,096 | |
| CA, Inc. | | | 2,715 | | | | 92,039 | |
| Cadence Design Systems, Inc.* | | | 2,456 | | | | 90,307 | |
| Qorvo, Inc.* | | | 1,098 | | | | 77,354 | |
| IPG Photonics Corp.* | | | 329 | | | | 76,782 | |
| Advanced Micro Devices, Inc.*,1 | | | 7,152 | | | | 71,878 | |
| CSRA, Inc. | | | 1,423 | | | | 58,670 | |
| Xerox Corp. | | | 1,857 | | | | 53,444 | |
| Total Technology | | | | | | | 31,556,855 | |
| | | | | | | | | |
| Communications - 12.4% |
| Amazon.com, Inc.* | | | 3,488 | | | | 5,048,322 | |
| Facebook, Inc. — Class A* | | | 20,801 | | | | 3,323,792 | |
| Alphabet, Inc. — Class C* | | | 2,642 | | | | 2,725,989 | |
| Alphabet, Inc. — Class A* | | | 2,591 | | | | 2,687,230 | |
| AT&T, Inc. | | | 53,306 | | | | 1,900,359 | |
| Cisco Systems, Inc. | | | 41,825 | | | | 1,793,874 | |
| Verizon Communications, Inc. | | | 35,838 | | | | 1,713,773 | |
| Comcast Corp. — Class A | | | 40,241 | | | | 1,375,035 | |
| Walt Disney Co. | | | 13,055 | | | | 1,311,244 | |
| Netflix, Inc.* | | | 3,767 | | | | 1,112,583 | |
| Booking Holdings, Inc.* | | | 423 | | | | 880,005 | |
| Time Warner, Inc. | | | 6,771 | | | | 640,401 | |
| Charter Communications, Inc. — Class A* | | | 1,615 | | | | 502,620 | |
| Twenty-First Century Fox, Inc. — Class A | | | 9,151 | | | | 335,750 | |
| eBay, Inc.* | | | 8,172 | | | | 328,841 | |
| CBS Corp. — Class B | | | 2,997 | | | | 154,016 | |
| Motorola Solutions, Inc. | | | 1,406 | | | | 148,052 | |
| Omnicom Group, Inc.1 | | | 1,999 | | | | 145,267 | |
| Symantec Corp. | | | 5,383 | | | | 139,151 | |
| CenturyLink, Inc. | | | 8,446 | | | | 138,768 | |
| Twenty-First Century Fox, Inc. — Class B | | | 3,813 | | | | 138,679 | |
| Expedia Group, Inc. | | | 1,062 | | | | 117,255 | |
| Viacom, Inc. — Class B | | | 3,064 | | | | 95,168 | |
| VeriSign, Inc.* | | | 725 | | | | 85,956 | |
| F5 Networks, Inc.* | | | 537 | | | | 77,656 | |
| Interpublic Group of Companies, Inc. | | | 3,338 | | | | 76,874 | |
| DISH Network Corp. — Class A* | | | 1,980 | | | | 75,022 | |
| Juniper Networks, Inc. | | | 2,984 | | | | 72,601 | |
| News Corp. — Class A | | | 3,325 | | | | 52,535 | |
| Discovery, Inc. — Class C* | | | 2,651 | | | | 51,748 | |
| TripAdvisor, Inc.* | | | 942 | | | | 38,518 | |
| Discovery, Inc. — Class A*,1 | | | 1,351 | | | | 28,952 | |
| News Corp. — Class B | | | 1,057 | | | | 17,018 | |
| Total Communications | | | | | | | 27,333,054 | |
| | | | | | | | | |
| Industrial - 8.9% |
| Boeing Co. | | | 4,803 | | | | 1,574,808 | |
| 3M Co. | | | 5,170 | | | | 1,134,918 | |
| General Electric Co. | | | 75,381 | | | | 1,016,136 | |
| Honeywell International, Inc. | | | 6,529 | | | | 943,506 | |
| Union Pacific Corp. | | | 6,834 | | | | 918,695 | |
| United Technologies Corp. | | | 6,457 | | | | 812,420 | |
| Caterpillar, Inc. | | | 5,188 | | | | 764,607 | |
| Lockheed Martin Corp. | | | 2,157 | | | | 728,915 | |
| United Parcel Service, Inc. — Class B | | | 5,975 | | | | 625,344 | |
| Raytheon Co. | | | 2,505 | | | | 540,629 | |
| General Dynamics Corp. | | | 2,397 | | | | 529,497 | |
| Northrop Grumman Corp. | | | 1,511 | | | | 527,520 | |
| FedEx Corp. | | | 2,140 | | | | 513,835 | |
| Deere & Co. | | | 2,811 | | | | 436,604 | |
| CSX Corp. | | | 7,703 | | | | 429,134 | |
| Illinois Tool Works, Inc. | | | 2,669 | | | | 418,126 | |
| Emerson Electric Co. | | | 5,512 | | | | 376,470 | |
| Norfolk Southern Corp. | | | 2,467 | | | | 334,969 | |
| Eaton Corporation plc | | | 3,822 | | | | 305,416 | |
| TE Connectivity Ltd. | | | 3,049 | | | | 304,595 | |
| Waste Management, Inc. | | | 3,464 | | | | 291,392 | |
| Johnson Controls International plc | | | 8,040 | | | | 283,330 | |
| Roper Technologies, Inc. | | | 893 | | | | 250,656 | |
| Amphenol Corp. — Class A | | | 2,652 | | | | 228,417 | |
| Cummins, Inc. | | | 1,352 | | | | 219,146 | |
| Corning, Inc. | | | 7,545 | | | | 210,354 | |
| Fortive Corp. | | | 2,659 | | | | 206,126 | |
| Stanley Black & Decker, Inc. | | | 1,331 | | | | 203,909 | |
| Parker-Hannifin Corp. | | | 1,155 | | | | 197,540 | |
| Rockwell Automation, Inc. | | | 1,109 | | | | 193,188 | |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Rockwell Collins, Inc. | | | 1,423 | | | $ | 191,892 | |
| Agilent Technologies, Inc. | | | 2,802 | | | | 187,454 | |
| Ingersoll-Rand plc | | | 2,169 | | | | 185,471 | |
| Harris Corp. | | | 1,031 | | | | 166,280 | |
| AMETEK, Inc. | | | 2,008 | | | | 152,548 | |
| WestRock Co. | | | 2,215 | | | | 142,136 | |
| L3 Technologies, Inc. | | | 679 | | | | 141,232 | |
| Waters Corp.* | | | 684 | | | | 135,877 | |
| Textron, Inc. | | | 2,273 | | | | 134,039 | |
| Dover Corp. | | | 1,341 | | | | 131,713 | |
| Vulcan Materials Co. | | | 1,150 | | | | 131,296 | |
| Republic Services, Inc. — Class A | | | 1,955 | | | | 129,479 | |
| TransDigm Group, Inc. | | | 421 | | | | 129,222 | |
| Mettler-Toledo International, Inc.* | | | 221 | | | | 127,082 | |
| Ball Corp. | | | 3,039 | | | | 120,679 | |
| Xylem, Inc. | | | 1,562 | | | | 120,149 | |
| CH Robinson Worldwide, Inc. | | | 1,213 | | | | 113,670 | |
| Martin Marietta Materials, Inc. | | | 545 | | | | 112,978 | |
| Masco Corp. | | | 2,721 | | | | 110,037 | |
| Huntington Ingalls Industries, Inc. | | | 394 | | | | 101,557 | |
| Kansas City Southern | | | 895 | | | | 98,316 | |
| Pentair plc | | | 1,438 | | | | 97,971 | |
| Expeditors International of Washington, Inc. | | | 1,533 | | | | 97,039 | |
| Packaging Corporation of America | | | 819 | | | | 92,301 | |
| J.B. Hunt Transport Services, Inc. | | | 743 | | | | 87,042 | |
| Arconic, Inc. | | | 3,688 | | | | 84,971 | |
| AO Smith Corp. | | | 1,263 | | | | 80,314 | |
| Fortune Brands Home & Security, Inc. | | | 1,319 | | | | 77,676 | |
| PerkinElmer, Inc. | | | 959 | | | | 72,615 | |
| Snap-on, Inc. | | | 492 | | | | 72,590 | |
| Allegion plc | | | 826 | | | | 70,449 | |
| Fluor Corp. | | | 1,215 | | | | 69,522 | |
| Sealed Air Corp. | | | 1,453 | | | | 62,174 | |
| Jacobs Engineering Group, Inc. | | | 1,045 | | | | 61,812 | |
| FLIR Systems, Inc. | | | 1,206 | | | | 60,312 | |
| Garmin Ltd. | | | 960 | | | | 56,573 | |
| Acuity Brands, Inc. | | | 366 | | | | 50,943 | |
| Flowserve Corp. | | | 1,136 | | | | 49,223 | |
| Stericycle, Inc.* | | | 743 | | | | 43,488 | |
| Total Industrial | | | | | | | 19,670,324 | |
| | | | | | | | | |
| Consumer, Cyclical - 7.4% |
| Home Depot, Inc. | | | 10,138 | | | | 1,806,997 | |
| Walmart, Inc. | | | 12,602 | | | | 1,121,200 | |
| McDonald’s Corp. | | | 6,921 | | | | 1,082,306 | |
| Nike, Inc. — Class B | | | 11,268 | | | | 748,646 | |
| Costco Wholesale Corp. | | | 3,812 | | | | 718,295 | |
| Starbucks Corp. | | | 12,201 | | | | 706,316 | |
| Lowe’s Companies, Inc. | | | 7,206 | | | | 632,327 | |
| Walgreens Boots Alliance, Inc. | | | 7,397 | | | | 484,282 | |
| TJX Companies, Inc. | | | 5,490 | | | | 447,764 | |
| General Motors Co. | | | 10,963 | | | | 398,395 | |
| Ford Motor Co. | | | 33,881 | | | | 375,401 | |
| Marriott International, Inc. — Class A | | | 2,607 | | | | 354,500 | |
| Target Corp. | | | 4,719 | | | | 327,640 | |
| Delta Air Lines, Inc. | | | 5,646 | | | | 309,457 | |
| Southwest Airlines Co. | | | 4,696 | | | | 268,987 | |
| Ross Stores, Inc. | | | 3,318 | | | | 258,738 | |
| Yum! Brands, Inc. | | | 2,887 | | | | 245,770 | |
| Carnival Corp. | | | 3,525 | | | | 231,169 | |
| VF Corp. | | | 2,859 | | | | 211,909 | |
| Dollar General Corp. | | | 2,240 | | | | 209,552 | |
| PACCAR, Inc. | | | 3,056 | | | | 202,216 | |
| Aptiv plc | | | 2,308 | | | | 196,111 | |
| Dollar Tree, Inc.* | | | 2,058 | | | | 195,304 | |
| American Airlines Group, Inc. | | | 3,656 | | | | 189,966 | |
| O’Reilly Automotive, Inc.* | | | 726 | | | | 179,598 | |
| Royal Caribbean Cruises Ltd. | | | 1,485 | | | | 174,844 | |
| MGM Resorts International | | | 4,425 | | | | 154,964 | |
| Best Buy Company, Inc. | | | 2,208 | | | | 154,538 | |
| AutoZone, Inc.* | | | 237 | | | | 153,740 | |
| United Continental Holdings, Inc.* | | | 2,101 | | | | 145,957 | |
| Lennar Corp. — Class A | | | 2,371 | | | | 139,747 | |
| Hilton Worldwide Holdings, Inc. | | | 1,756 | | | | 138,303 | |
| Fastenal Co. | | | 2,497 | | | | 136,311 | |
| DR Horton, Inc. | | | 2,970 | | | | 130,205 | |
| Tapestry, Inc. | | | 2,473 | | | | 130,105 | |
| Mohawk Industries, Inc.* | | | 549 | | | | 127,489 | |
| Wynn Resorts Ltd. | | | 698 | | | | 127,287 | |
| WW Grainger, Inc. | | | 443 | | | | 125,046 | |
| Genuine Parts Co. | | | 1,274 | | | | 114,456 | |
| Newell Brands, Inc. | | | 4,212 | | | | 107,322 | |
| Ulta Beauty, Inc.* | | | 503 | | | | 102,748 | |
| LKQ Corp.* | | | 2,688 | | | | 102,009 | |
| PVH Corp. | | | 668 | | | | 101,155 | |
| Wyndham Worldwide Corp. | | | 866 | | | | 99,096 | |
| CarMax, Inc.* | | | 1,570 | | | | 97,246 | |
| Kohl’s Corp. | | | 1,459 | | | | 95,579 | |
| Norwegian Cruise Line Holdings Ltd.* | | | 1,790 | | | | 94,816 | |
| Whirlpool Corp. | | | 614 | | | | 94,010 | |
| Darden Restaurants, Inc. | | | 1,073 | | | | 91,473 | |
| Tiffany & Co. | | | 885 | | | | 86,429 | |
| BorgWarner, Inc. | | | 1,718 | | | | 86,295 | |
| Hasbro, Inc. | | | 981 | | | | 82,698 | |
| Michael Kors Holdings Ltd.* | | | 1,320 | | | | 81,945 | |
| L Brands, Inc. | | | 2,132 | | | | 81,464 | |
| Macy’s, Inc. | | | 2,646 | | | | 78,692 | |
| Advance Auto Parts, Inc. | | | 642 | | | | 76,109 | |
| Chipotle Mexican Grill, Inc. — Class A* | | | 213 | | | | 68,822 | |
| Tractor Supply Co. | | | 1,086 | | | | 68,440 | |
| PulteGroup, Inc. | | | 2,288 | | | | 67,473 | |
| Alaska Air Group, Inc. | | | 1,068 | | | | 66,173 | |
| Harley-Davidson, Inc.1 | | | 1,462 | | | | 62,691 | |
| Gap, Inc. | | | 1,891 | | | | 58,999 | |
| Hanesbrands, Inc.1 | | | 3,128 | | | | 57,618 | |
| Goodyear Tire & Rubber Co. | | | 2,087 | | | | 55,472 | |
| Ralph Lauren Corp. — Class A | | | 481 | | | | 53,776 | |
| Leggett & Platt, Inc. | | | 1,148 | | | | 50,925 | |
| Nordstrom, Inc. | | | 1,015 | | | | 49,136 | |
| Foot Locker, Inc. | | | 1,052 | | | | 47,908 | |
| Mattel, Inc.1 | | | 2,986 | | | | 39,266 | |
| Under Armour, Inc. — Class A*,1 | | | 1,609 | | | | 26,307 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Under Armour, Inc. — Class C*,1 | | | 1,600 | | | $ | 22,960 | |
| Total Consumer, Cyclical | | | | | | | 16,210,890 | |
| | | | | | | | | |
| Energy - 5.1% |
| Exxon Mobil Corp. | | | 36,787 | | | | 2,744,678 | |
| Chevron Corp. | | | 16,584 | | | | 1,891,239 | |
| Schlumberger Ltd. | | | 12,015 | | | | 778,332 | |
| ConocoPhillips | | | 10,197 | | | | 604,580 | |
| EOG Resources, Inc. | | | 5,024 | | | | 528,876 | |
| Occidental Petroleum Corp. | | | 6,643 | | | | 431,529 | |
| Halliburton Co. | | | 7,575 | | | | 355,570 | |
| Phillips 66 | | | 3,645 | | | | 349,628 | |
| Valero Energy Corp. | | | 3,761 | | | | 348,908 | |
| Marathon Petroleum Corp. | | | 4,119 | | | | 301,140 | |
| Anadarko Petroleum Corp. | | | 4,750 | | | | 286,947 | |
| Pioneer Natural Resources Co. | | | 1,479 | | | | 254,063 | |
| Kinder Morgan, Inc. | | | 16,471 | | | | 248,053 | |
| ONEOK, Inc. | | | 3,565 | | | | 202,920 | |
| Concho Resources, Inc.* | | | 1,294 | | | | 194,527 | |
| Williams Companies, Inc. | | | 7,183 | | | | 178,570 | |
| Devon Energy Corp. | | | 4,568 | | | | 145,217 | |
| Noble Energy, Inc. | | | 4,273 | | | | 129,472 | |
| Apache Corp. | | | 3,312 | | | | 127,446 | |
| Andeavor | | | 1,228 | | | | 123,488 | |
| National Oilwell Varco, Inc. | | | 3,299 | | | | 121,436 | |
| Marathon Oil Corp. | | | 7,377 | | | | 118,991 | |
| Hess Corp. | | | 2,325 | | | | 117,692 | |
| TechnipFMC plc | | | 3,806 | | | | 112,087 | |
| Baker Hughes a GE Co. | | | 3,669 | | | | 101,888 | |
| Equities Corp. | | | 2,126 | | | | 101,006 | |
| Cabot Oil & Gas Corp. — Class A | | | 4,000 | | | | 95,920 | |
| Cimarex Energy Co. | | | 829 | | | | 77,512 | |
| Helmerich & Payne, Inc.1 | | | 945 | | | | 62,899 | |
| Newfield Exploration Co.* | | | 1,734 | | | | 42,344 | |
| Range Resources Corp. | | | 1,964 | | | | 28,557 | |
| Total Energy | | | | | | | 11,205,515 | |
| | | | | | | | | |
| Utilities - 2.5% |
| NextEra Energy, Inc. | | | 4,084 | | | | 667,040 | |
| Duke Energy Corp. | | | 6,078 | | | | 470,863 | |
| Southern Co. | | | 8,753 | | | | 390,909 | |
| Dominion Energy, Inc. | | | 5,656 | | | | 381,384 | |
| Exelon Corp. | | | 8,378 | | | | 326,826 | |
| American Electric Power Company, Inc. | | | 4,272 | | | | 293,016 | |
| Sempra Energy | | | 2,217 | | | | 246,575 | |
| Public Service Enterprise Group, Inc. | | | 4,382 | | | | 220,152 | |
| Consolidated Edison, Inc. | | | 2,695 | | | | 210,048 | |
| Xcel Energy, Inc. | | | 4,411 | | | | 200,612 | |
| PG&E Corp. | | | 4,471 | | | | 196,411 | |
| Edison International | | | 2,829 | | | | 180,094 | |
| WEC Energy Group, Inc. | | | 2,739 | | | | 171,735 | |
| PPL Corp. | | | 6,026 | | | | 170,475 | |
| DTE Energy Co. | | | 1,557 | | | | 162,551 | |
| Eversource Energy | | | 2,751 | | | | 162,089 | |
| FirstEnergy Corp. | | | 3,881 | | | | 131,993 | |
| American Water Works Company, Inc. | | | 1,550 | | | | 127,302 | |
| Entergy Corp. | | | 1,569 | | | | 123,606 | |
| Ameren Corp. | | | 2,107 | | | | 119,319 | |
| CMS Energy Corp. | | | 2,452 | | | | 111,051 | |
| CenterPoint Energy, Inc. | | | 3,742 | | | | 102,531 | |
| Alliant Energy Corp. | | | 2,009 | | | | 82,088 | |
| NRG Energy, Inc. | | | 2,620 | | | | 79,989 | |
| Pinnacle West Capital Corp. | | | 971 | | | | 77,486 | |
| NiSource, Inc. | | | 2,929 | | | | 70,032 | |
| AES Corp. | | | 5,734 | | | | 65,195 | |
| SCANA Corp. | | | 1,238 | | | | 46,487 | |
| Total Utilities | | | | | | | 5,587,859 | |
| | | | | | | | | |
| Basic Materials - 2.1% |
| DowDuPont, Inc. | | | 20,315 | | | | 1,294,269 | |
| Monsanto Co. | | | 3,827 | | | | 446,573 | |
| Praxair, Inc. | | | 2,493 | | | | 359,740 | |
| Air Products & Chemicals, Inc. | | | 1,901 | | | | 302,316 | |
| LyondellBasell Industries N.V. — Class A | | | 2,809 | | | | 296,855 | |
| Sherwin-Williams Co. | | | 718 | | | | 281,542 | |
| PPG Industries, Inc. | | | 2,209 | | | | 246,524 | |
| Freeport-McMoRan, Inc. | | | 11,690 | | | | 205,394 | |
| International Paper Co. | | | 3,585 | | | | 191,547 | |
| Newmont Mining Corp. | | | 4,632 | | | | 180,972 | |
| Nucor Corp. | | | 2,760 | | | | 168,608 | |
| Eastman Chemical Co. | | | 1,241 | | | | 131,025 | |
| International Flavors & Fragrances, Inc. | | | 685 | | | | 93,783 | |
| FMC Corp. | | | 1,166 | | | | 89,281 | |
| Albemarle Corp. | | | 961 | | | | 89,123 | |
| CF Industries Holdings, Inc. | | | 2,025 | | | | 76,403 | |
| Mosaic Co. | | | 3,043 | | | | 73,884 | |
| Total Basic Materials | | | | | | | 4,527,839 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $156,652,231) | | | | | | | 195,302,355 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 7.7% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.55% due 04/04/183,4 | | $ | 17,000,000 | | | | 16,997,804 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $16,997,804) | | | | | | | 16,997,804 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 1.9% |
JP Morgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/186 | | | 3,061,518 | | | | 3,061,518 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/186 | | | 1,001,810 | | | | 1,001,810 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $4,063,328) | | | | | | | 4,063,328 | |
| 34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,7 - 0.2% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%8 | | | 430,184 | | | $ | 430,184 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $430,184) | | | | | | | 430,184 | |
| | | | | | | | | |
| Total Investments - 98.5% | | | | | | | | |
| (Cost $178,143,547) | | | | | | $ | 216,793,671 | |
| Other Assets & Liabilities, net - 1.5% | | | | | | | 3,264,197 | |
| Total Net Assets - 100.0% | | | | | | $ | 220,057,868 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| S&P 500 Index Mini Futures Contracts | | | 10 | | | Jun 2018 | | $ | 1,320,625 | | | $ | (10,568 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Equity Index Swap Agreements†† |
| BNP Paribas | | S&P 500 Index | | | 2.34 | % | | At Maturity | | 04/30/18 | | | 5,733 | | | $ | 15,139,833 | | | $ | 161,954 | |
| Goldman Sachs International | | S&P 500 Index | | | 2.24 | % | | At Maturity | | 04/27/18 | | | 2,955 | | | | 7,803,904 | | | | 15,386 | |
| Barclays Bank plc | | S&P 500 Index | | | 2.19 | % | | At Maturity | | 04/30/18 | | | 238 | | | | 627,326 | | | | 8,521 | |
| | | | | | | | | | | | | | | | | $ | 23,571,063 | | | $ | 185,861 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 2 | | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 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 equity index swap collateral at March 29, 2018. |
| 7 | | Securities lending collateral — See Note 7. |
| 8 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | plc — Public Limited Company |
| | | REIT — Real Estate Investment Trust |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| S&P 500® FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 195,302,355 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 195,302,355 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 185,861 | | | | — | | | | 185,861 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 16,997,804 | | | | — | | | | — | | | | 16,997,804 | |
| Repurchase Agreements | | | — | | | | — | | | | 4,063,328 | | | | — | | | | — | | | | 4,063,328 | |
| Securities Lending Collateral | | | 430,184 | | | | — | | | | — | | | | — | | | | — | | | | 430,184 | |
| Total Assets | | $ | 195,732,539 | | | $ | — | | | $ | 21,061,132 | | | $ | 185,861 | | | $ | — | | | $ | 216,979,532 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 10,568 | | | $ | — | | | $ | — | | | $ | — | | | $ | 10,568 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES | |
| March 29, 2018 | |
| Assets: | | | |
| Investments, at value - including $418,218 of securities loaned (cost $174,080,219) | | $ | 212,730,343 | |
| Repurchase agreements, at value (cost $4,063,328) | | | 4,063,328 | |
| Cash | | | 51,931 | |
| Segregated cash with broker | | | 58,000 | |
| Unrealized appreciation on swap agreements | | | 185,861 | |
| Receivables: |
| Fund shares sold | | | 5,902,317 | |
| Dividends | | | 189,318 | |
| Variation margin | | | 16,825 | |
| Interest | | | 608 | |
| Securities lending income | | | 224 | |
| Total assets | | | 223,198,755 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 2,323,012 | |
| Return of securities loaned | | | 430,184 | |
| Management fees | | | 133,352 | |
| Distribution and service fees | | | 57,126 | |
| Swap settlement | | | 53,425 | |
| Transfer agent and administrative fees | | | 44,451 | |
| Portfolio accounting fees | | | 26,670 | |
| Trustees’ fees* | | | 5,855 | |
| Miscellaneous | | | 66,812 | |
| Total liabilities | | | 3,140,887 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 220,057,868 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 190,452,573 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (9,220,122 | ) |
| Net unrealized appreciation on investments | | | 38,825,417 | |
| Net assets | | $ | 220,057,868 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 21,040,624 | |
| Capital shares outstanding | | | 431,909 | |
| Net asset value per share | | $ | 48.72 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 51.15 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 20,484,045 | |
| Capital shares outstanding | | | 465,597 | |
| Net asset value per share | | $ | 44.00 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 178,533,199 | |
| Capital shares outstanding | | | 3,665,512 | |
| Net asset value per share | | $ | 48.71 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 4,325,472 | |
| Interest | | | 253,915 | |
| Income from securities lending, net | | | 5,955 | |
| Total investment income | | | 4,585,342 | |
| | | | | |
| Expenses: |
| Management fees | | | 1,819,820 | |
| Distribution and service fees: |
| A-Class | | | 75,121 | |
| C-Class | | | 191,511 | |
| H-Class | | | 483,612 | |
| Transfer agent and administrative fees | | | 606,608 | |
| Portfolio accounting fees | | | 363,967 | |
| Registration fees | | | 203,223 | |
| Custodian fees | | | 33,360 | |
| Trustees’ fees* | | | 22,616 | |
| Line of credit fees | | | 161 | |
| Miscellaneous | | | 180,530 | |
| Total expenses | | | 3,980,529 | |
| Net investment income | | | 604,813 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 37,108,226 | |
| Swap agreements | | | 1,699,495 | |
| Futures contracts | | | 794,078 | |
| Net realized gain | | | 39,601,799 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (11,176,462 | ) |
| Swap agreements | | | 137,332 | |
| Futures contracts | | | (14,304 | ) |
| Net change in unrealized appreciation (depreciation) | | | (11,053,434 | ) |
| Net realized and unrealized gain | | | 28,548,365 | |
| Net increase in net assets resulting from operations | | $ | 29,153,178 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 604,813 | | | $ | 281,043 | |
| Net realized gain on investments | | | 39,601,799 | | | | 45,881,302 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (11,053,434 | ) | | | (9,583,790 | ) |
| Net increase in net assets resulting from operations | | | 29,153,178 | | | | 36,578,555 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (78,826 | ) | | | (29,671 | ) |
| C-Class | | | (49,892 | ) | | | (28,356 | ) |
| H-Class | | | (530,847 | ) | | | (293,993 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (1,424,670 | ) | | | (174,898 | ) |
| C-Class | | | (901,719 | ) | | | (167,151 | ) |
| H-Class | | | (9,594,319 | ) | | | (1,732,984 | ) |
| Total distributions to shareholders | | | (12,580,273 | ) | | | (2,427,053 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 110,066,805 | | | | 109,316,182 | |
| C-Class | | | 13,382,887 | | | | 22,735,429 | |
| H-Class | | | 989,684,357 | | | | 1,205,465,115 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 1,454,888 | | | | 193,648 | |
| C-Class | | | 906,343 | | | | 186,917 | |
| H-Class | | | 10,068,429 | | | | 2,014,895 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (114,411,356 | ) | | | (131,672,483 | ) |
| C-Class | | | (15,773,634 | ) | | | (20,167,745 | ) |
| H-Class | | | (1,060,528,492 | ) | | | (1,238,468,770 | ) |
| Net decrease from capital share transactions | | | (65,149,773 | ) | | | (50,396,812 | ) |
| Net decrease in net assets | | | (48,576,868 | ) | | | (16,245,310 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 268,634,736 | | | | 284,880,046 | |
| End of year | | $ | 220,057,868 | | | $ | 268,634,736 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 2,338,120 | | | | 2,539,581 | |
| C-Class | | | 301,776 | | | | 592,763 | |
| H-Class | | | 20,411,784 | | | | 28,720,011 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 29,433 | | | | 4,549 | |
| C-Class | | | 20,258 | | | | 4,790 | |
| H-Class | | | 203,732 | | | | 47,342 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (2,396,111 | ) | | | (3,082,299 | ) |
| C-Class | | | (359,338 | ) | | | (521,111 | ) |
| H-Class | | | (21,932,029 | ) | | | (29,543,485 | ) |
| Net decrease in shares | | | (1,382,375 | ) | | | (1,237,859 | ) |
| 38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 45.52 | | | $ | 39.85 | | | $ | 41.40 | | | $ | 37.78 | | | $ | 31.55 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .13 | | | | .06 | | | | .03 | | | | .04 | | | | .07 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.44 | | | | 5.97 | | | | — | | | | 4.08 | | | | 6.20 | |
| Total from investment operations | | | 5.57 | | | | 6.03 | | | | .03 | | | | 4.12 | | | | 6.27 | |
| Less distributions from: |
| Net investment income | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) | | | (.02 | ) | | | (.04 | ) |
| Net realized gains | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) | | | (.48 | ) | | | — | |
| Total distributions | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) | | | (.50 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 48.72 | | | $ | 45.52 | | | $ | 39.85 | | | $ | 41.40 | | | $ | 37.78 | |
| |
| Total Returnb | | | 12.16 | % | | | 15.17 | % | | | 0.08 | % | | | 10.90 | % | | | 19.87 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 21,041 | | | $ | 20,960 | | | $ | 39,793 | | | $ | 28,022 | | | $ | 28,028 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.27 | % | | | 0.14 | % | | | 0.02 | % | | | 0.11 | % | | | 0.19 | % |
| Total expenses | | | 1.58 | % | | | 1.57 | % | | | 1.55 | % | | | 1.59 | % | | | 1.57 | % |
| Portfolio turnover rate | | | 151 | % | | | 133 | % | | | 181 | % | | | 256 | % | | | 157 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.62 | | | $ | 36.74 | | | $ | 38.58 | | | $ | 35.51 | | | $ | 29.87 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.19 | ) | | | (.22 | ) | | | (.26 | ) | | | (.23 | ) | | | (.19 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.94 | | | | 5.46 | | | | — | | | | 3.80 | | | | 5.87 | |
| Total from investment operations | | | 4.75 | | | | 5.24 | | | | (.26 | ) | | | 3.57 | | | | 5.68 | |
| Less distributions from: |
| Net investment income | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) | | | (.02 | ) | | | (.04 | ) |
| Net realized gains | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) | | | (.48 | ) | | | — | |
| Total distributions | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) | | | (.50 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 44.00 | | | $ | 41.62 | | | $ | 36.74 | | | $ | 38.58 | | | $ | 35.51 | |
| |
| Total Returnb | | | 11.29 | % | | | 14.33 | % | | | (0.67 | %) | | | 10.04 | % | | | 19.01 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 20,484 | | | $ | 20,931 | | | $ | 15,667 | | | $ | 20,977 | | | $ | 16,182 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.44 | %) | | | (0.57 | %) | | | (0.70 | %) | | | (0.62 | %) | | | (0.59 | %) |
| Total expenses | | | 2.33 | % | | | 2.33 | % | | | 2.31 | % | | | 2.34 | % | | | 2.32 | % |
| Portfolio turnover rate | | | 151 | % | | | 133 | % | | | 181 | % | | | 256 | % | | | 157 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 45.51 | | | $ | 39.84 | | | $ | 41.40 | | | $ | 37.78 | | | $ | 31.55 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .15 | | | | .07 | | | | .03 | | | | .05 | | | | .05 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.42 | | | | 5.96 | | | | (.01 | ) | | | 4.07 | | | | 6.22 | |
| Total from investment operations | | | 5.57 | | | | 6.03 | | | | .02 | | | | 4.12 | | | | 6.27 | |
| Less distributions from: |
| Net investment income | | | (.12 | ) | | | (.05 | ) | | | (.01 | ) | | | (.02 | ) | | | (.04 | ) |
| Net realized gains | | | (2.25 | ) | | | (.31 | ) | | | (1.57 | ) | | | (.48 | ) | | | — | |
| Total distributions | | | (2.37 | ) | | | (.36 | ) | | | (1.58 | ) | | | (.50 | ) | | | (.04 | ) |
| Net asset value, end of period | | $ | 48.71 | | | $ | 45.51 | | | $ | 39.84 | | | $ | 41.40 | | | $ | 37.78 | |
| |
| Total Returnb | | | 12.14 | % | | | 15.20 | % | | | 0.06 | % | | | 10.90 | % | | | 19.87 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 178,533 | | | $ | 226,744 | | | $ | 229,420 | | | $ | 254,610 | | | $ | 255,912 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.31 | % | | | 0.16 | % | | | 0.07 | % | | | 0.12 | % | | | 0.15 | % |
| Total expenses | | | 1.58 | % | | | 1.58 | % | | | 1.55 | % | | | 1.58 | % | | | 1.56 | % |
| Portfolio turnover rate | | | 151 | % | | | 133 | % | | | 181 | % | | | 256 | % | | | 157 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| 40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Inverse S&P 500® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the S&P 500 Index. Inverse S&P 500® Strategy Fund Investor Class returned -12.21%, while the S&P 500 Index returned 13.99% over the same period.
Sectors contributing the most to the performance of the underlying index were Technology and Financials. Energy was the only detractor. The Utilities sector contributed the least.
Microsoft Corp., Amazon.com, Inc., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the period. General Electric Co., AT&T, Inc., and Celgene Corp. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS ANNUAL REPORT | 41 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 10.7% |
| Guggenheim Strategy Fund I | 7.4% |
| Total | 18.1% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (12.21%) | (13.32%) | (12.55%) |
| A-Class Shares | (12.43%) | (13.53%) | (12.77%) |
| A-Class Shares with sales charge‡ | (16.59%) | (14.37%) | (13.19%) |
| C-Class Shares | (13.11%) | (14.18%) | (13.43%) |
| C-Class Shares with CDSC§ | (13.98%) | (14.18%) | (13.43%) |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| | | 1 Year | Since Inception
(09/18/14) |
| H-Class Shares | | (12.43%) | (10.97%) |
| S&P 500 Index | | 13.99% | 10.28% |
| * | | 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 S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 42 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE S&P 500® STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 18.1% |
| Guggenheim Strategy Fund II1 | | | 302,786 | | | $ | 7,572,685 | |
| Guggenheim Strategy Fund I1 | | | 208,311 | | | | 5,218,190 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $12,677,803) | | | | | | | 12,790,875 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 45.8% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.70% due 09/13/223 | | $ | 10,000,000 | | | | 9,986,220 | |
| 1.73% (1 Month USD LIBOR - 0.13%) due 11/23/184 | | | 7,000,000 | | | | 6,996,377 | |
| 1.50% due 10/26/223 | | | 4,000,000 | | | | 3,995,624 | |
| Total Federal Home Loan Bank | | | | | | | 20,978,221 | |
| Freddie Mac5 | | | | | | | | |
| 1.40% due 10/26/223 | | | 7,500,000 | | | | 7,495,582 | |
| 1.45% due 11/02/223 | | | 4,000,000 | | | | 3,984,136 | |
| Total Freddie Mac | | | | | | | 11,479,718 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $32,500,000) | | | | | | | 32,457,939 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 15.7% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.55% due 04/04/186,7 | | | 9,000,000 | | | | 8,998,837 | |
| 1.60% due 04/11/186,7 | | | 2,100,000 | | | | 2,099,067 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $11,097,904) | | | | | | | 11,097,904 | |
| U.S. TREASURY BILLS†† - 7.5% |
| U.S. Treasury Bills | | | | | | | | |
| 1.66% due 04/19/186,7,8 | | | 5,000,000 | | | | 4,996,143 | |
| 1.61% due 05/31/186,7,9 | | | 350,000 | | | | 349,043 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $5,344,886) | | | | | | | 5,345,186 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,10 - 11.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/189 | | | 6,082,635 | | | | 6,082,635 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/189 | | | 1,990,401 | | | | 1,990,401 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $8,073,036) | | | | | | | 8,073,036 | |
| | | | | | | | | |
| Total Investments - 98.5% | | | | | | | | |
| (Cost $69,693,629) | | | | | | $ | 69,764,940 | |
| Other Assets & Liabilities, net - 1.5% | | | | | | | 1,089,701 | |
| Total Net Assets - 100.0% | | | | | | $ | 70,854,641 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Sold Short† |
| S&P 500 Index Mini Futures Contracts | | | 5 | | | Jun 2018 | | $ | 660,313 | | | $ | (11,196 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements Sold Short†† |
| Goldman Sachs International | | S&P 500 Index | | | (2.14 | %) | | At Maturity | | 04/27/18 | | | 8,829 | | | $ | 23,314,919 | | | $ | 107,340 | |
| Barclays Bank plc | | S&P 500 Index | | | (2.04 | %) | | At Maturity | | 04/30/18 | | | 1,458 | | | | 3,849,914 | | | | (52,292 | ) |
| BNP Paribas | | S&P 500 Index | | | (1.84 | %) | | At Maturity | | 04/30/18 | | | 16,288 | | | | 43,015,302 | | | | (460,144 | ) |
| | | | | | | | | | | | | | | | | $ | 70,180,135 | | | $ | (405,096 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| 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 | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 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 March 29, 2018. |
| 9 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 10 | | Repurchase Agreements — See Note 6. |
| | | LIBOR — London Interbank Offered Rate |
| | | 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 March 29, 2018 (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 | |
| Equity Index Swap Agreements | | $ | — | | | $ | — | | | $ | — | | | $ | 107,340 | | | $ | — | | | $ | 107,340 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 11,097,904 | | | | — | | | | — | | | | 11,097,904 | |
| Federal Agency Notes | | | — | | | | — | | | | 32,457,939 | | | | — | | | | — | | | | 32,457,939 | |
| Mutual Funds | | | 12,790,875 | | | | — | | | | — | | | | — | | | | — | | | | 12,790,875 | |
| Repurchase Agreements | | | — | | | | — | | | | 8,073,036 | | | | — | | | | — | | | | 8,073,036 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 5,345,186 | | | | — | | | | — | | | | 5,345,186 | |
| Total Assets | | $ | 12,790,875 | | | $ | — | | | $ | 56,974,065 | | | $ | 107,340 | | | $ | — | | | $ | 69,872,280 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 11,196 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,196 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 512,436 | | | | — | | | | 512,436 | |
| Total Liabilities | | $ | — | | | $ | 11,196 | | | $ | — | | | $ | 512,436 | | | $ | — | | | $ | 523,632 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 6,317,313 | | | $ | — | | | $ | (1,100,000 | ) | | $ | 10,092 | | | $ | (9,215 | ) | | $ | 5,218,190 | | | | 208,311 | | | $ | 131,921 | | | $ | 2,399 | |
| Guggenheim Strategy Fund II | | | 7,769,577 | | | | — | | | | (200,000 | ) | | | 1,679 | | | | 1,429 | | | | 7,572,685 | | | | 302,786 | | | | 188,968 | | | | 4,153 | |
| | | $ | 14,086,890 | | | $ | — | | | $ | (1,300,000 | ) | | $ | 11,771 | | | $ | (7,786 | ) | | $ | 12,790,875 | | | | | | | $ | 320,889 | | | $ | 6,552 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
| INVERSE S&P 500® STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers (cost $48,942,790) | | $ | 48,901,029 | |
| Investments in affiliated issuers, at value (cost $12,677,803) | | | 12,790,875 | |
| Repurchase agreements, at value (cost $8,073,036) | | | 8,073,036 | |
| Segregated cash with broker | | | 40,443 | |
| Unrealized appreciation on swap agreements | | | 107,340 | |
| Receivables: | | | | |
| Fund shares sold | | | 1,501,482 | |
| Interest | | | 92,793 | |
| Dividends | | | 27,053 | |
| Total assets | | | 71,534,051 | |
| | | | | |
| Liabilities: | | | | |
| Unrealized depreciation on swap agreements | | | 512,436 | |
| Payable for: | | | | |
| Fund shares redeemed | | | 62,325 | |
| Management fees | | | 45,962 | |
| Transfer agent and administrative fees | | | 12,767 | |
| Variation margin | | | 8,413 | |
| Swap settlement | | | 7,303 | |
| Portfolio accounting fees | | | 5,107 | |
| Distribution and service fees | | | 4,759 | |
| Trustees’ fees* | | | 1,513 | |
| Miscellaneous | | | 18,825 | |
| Total liabilities | | | 679,410 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 70,854,641 | |
| | | | | |
| Net assets consist of: | | | | |
| Paid in capital | | $ | 333,429,308 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (262,229,686 | ) |
| Net unrealized depreciation on investments | | | (344,981 | ) |
| Net assets | | $ | 70,854,641 | |
| | | | | |
| Investor Class: | | | | |
| Net assets | | $ | 57,342,382 | |
| Capital shares outstanding | | | 928,475 | |
| Net asset value per share | | $ | 61.76 | |
| | | | | |
| A-Class: | | | | |
| Net assets | | $ | 4,637,115 | |
| Capital shares outstanding | | | 81,199 | |
| Net asset value per share | | $ | 57.11 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 59.96 | |
| | | | | |
| C-Class: | | | | |
| Net assets | | $ | 4,202,788 | |
| Capital shares outstanding | | | 81,506 | |
| Net asset value per share | | $ | 51.56 | |
| | | | | |
| H-Class: | | | | |
| Net assets | | $ | 4,672,356 | |
| Capital shares outstanding | | | 81,811 | |
| Net asset value per share | | $ | 57.11 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 320,889 | |
| Interest | | | 661,846 | |
| Total investment income | | | 982,735 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 670,216 | |
| Distribution and service fees: | | | | |
| A-Class | | | 13,543 | |
| C-Class | | | 49,501 | |
| H-Class | | | 11,154 | |
| Transfer agent and administrative fees | | | 186,171 | |
| Portfolio accounting fees | | | 74,468 | |
| Custodian fees | | | 10,071 | |
| Trustees’ fees* | | | 6,592 | |
| Line of credit fees | | | 233 | |
| Miscellaneous | | | 118,579 | |
| Total expenses | | | 1,140,528 | |
| Net investment loss | | | (157,793 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments in unaffiliated issuers | | | 2,146 | |
| Investments in affiliated issuers | | | 11,771 | |
| Distributions received from affiliated investment company shares | | | 6,552 | |
| Swap agreements | | | (10,591,819 | ) |
| Futures contracts | | | (145,657 | ) |
| Net realized loss | | | (10,717,007 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments in unaffiliated issuers | | | (7,793 | ) |
| Investments in affiliated issuers | | | (7,786 | ) |
| Swap agreements | | | 187,710 | |
| Futures contracts | | | (17,039 | ) |
| Net change in unrealized appreciation (depreciation) | | | 155,092 | |
| Net realized and unrealized loss | | | (10,561,915 | ) |
| Net decrease in net assets resulting from operations | | $ | (10,719,708 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE S&P 500® STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (157,793 | ) | | $ | (1,061,768 | ) |
| Net realized loss on investments | | | (10,717,007 | ) | | | (22,072,461 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 155,092 | | | | 824,680 | |
| Net decrease in net assets resulting from operations | | | (10,719,708 | ) | | | (22,309,549 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 112,579,208 | | | | 216,913,681 | |
| A-Class | | | 5,525,301 | | | | 40,603,523 | |
| C-Class | | | 12,033,613 | | | | 14,721,850 | |
| H-Class | | | 51,999,149 | | | | 74,772,925 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (123,066,679 | ) | | | (276,226,585 | ) |
| A-Class | | | (6,458,851 | ) | | | (41,519,960 | ) |
| C-Class | | | (13,875,910 | ) | | | (16,239,943 | ) |
| H-Class | | | (49,513,727 | ) | | | (77,726,210 | ) |
| Net decrease from capital share transactions | | | (10,777,896 | ) | | | (64,700,719 | ) |
| Net decrease in net assets | | | (21,497,604 | ) | | | (87,010,268 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 92,352,245 | | | | 179,362,513 | |
| End of year | | $ | 70,854,641 | | | $ | 92,352,245 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (122,695 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,777,623 | | | | 2,775,050 | * |
| A-Class | | | 90,823 | | | | 543,016 | * |
| C-Class | | | 228,607 | | | | 232,771 | * |
| H-Class | | | 860,662 | | | | 1,020,456 | * |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,935,145 | ) | | | (3,537,019 | )* |
| A-Class | | | (106,705 | ) | | | (565,804 | )* |
| C-Class | | | (261,035 | ) | | | (249,423 | )* |
| H-Class | | | (822,654 | ) | | | (1,071,490 | )* |
| Net decrease in shares | | | (167,824 | ) | | | (852,443 | )* |
| * | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
| INVERSE S&P 500® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | | | Year Ended
March 31,
2015e | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.35 | | | $ | 83.09 | | | $ | 87.54 | | | $ | 100.90 | | | $ | 126.16 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.07 | ) | | | (.55 | ) | | | (.78 | ) | | | (1.02 | ) | | | (1.50 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (8.52 | ) | | | (12.19 | ) | | | (3.67 | ) | | | (12.34 | ) | | | (23.76 | ) |
| Total from investment operations | | | (8.59 | ) | | | (12.74 | ) | | | (4.45 | ) | | | (13.36 | ) | | | (25.26 | ) |
| Net asset value, end of period | | $ | 61.76 | | | $ | 70.35 | | | $ | 83.09 | | | $ | 87.54 | | | $ | 100.90 | |
| |
| Total Returnb | | | (12.21 | %) | | | (15.34 | %) | | | (5.07 | %) | | | (13.26 | %) | | | (20.02 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 57,342 | | | $ | 76,404 | | | $ | 153,544 | | | $ | 60,745 | | | $ | 79,172 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.10 | %) | | | (0.70 | %) | | | (0.91 | %) | | | (1.07 | %) | | | (1.35 | %) |
| Total expensesc | | | 1.43 | % | | | 1.42 | % | | | 1.41 | % | | | 1.41 | % | | | 1.42 | % |
| Portfolio turnover rate | | | 56 | % | | | 114 | % | | | 63 | % | | | 103 | % | | | — | |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | | | Year Ended
March 31,
2015e | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.22 | | | $ | 77.21 | | | $ | 81.54 | | | $ | 94.27 | | | $ | 118.13 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.22 | ) | | | (.70 | ) | | | (.96 | ) | | | (1.14 | ) | | | (1.68 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (7.89 | ) | | | (11.29 | ) | | | (3.37 | ) | | | (11.59 | ) | | | (22.18 | ) |
| Total from investment operations | | | (8.11 | ) | | | (11.99 | ) | | | (4.33 | ) | | | (12.73 | ) | | | (23.86 | ) |
| Net asset value, end of period | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.21 | | | $ | 81.54 | | | $ | 94.27 | |
| |
| Total Returnb | | | (12.43 | %) | | | (15.54 | %) | | | (5.30 | %) | | | (13.49 | %) | | | (20.21 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,637 | | | $ | 6,331 | | | $ | 9,256 | | | $ | 4,758 | | | $ | 5,468 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.37 | %) | | | (0.96 | %) | | | (1.18 | %) | | | (1.32 | %) | | | (1.58 | %) |
| Total expensesc | | | 1.68 | % | | | 1.67 | % | | | 1.66 | % | | | 1.66 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 56 | % | | | 114 | % | | | 63 | % | | | 103 | % | | | — | |
| 48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | | | Year Ended
March 31,
2015e | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.34 | | | $ | 70.79 | | | $ | 75.34 | | | $ | 87.73 | | | $ | 110.78 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.63 | ) | | | (1.12 | ) | | | (1.44 | ) | | | (1.68 | ) | | | (2.28 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (7.15 | ) | | | (10.33 | ) | | | (3.11 | ) | | | (10.71 | ) | | | (20.77 | ) |
| Total from investment operations | | | (7.78 | ) | | | (11.45 | ) | | | (4.55 | ) | | | (12.39 | ) | | | (23.05 | ) |
| Net asset value, end of period | | $ | 51.56 | | | $ | 59.34 | | | $ | 70.79 | | | $ | 75.34 | | | $ | 87.73 | |
| |
| Total Returnb | | | (13.11 | %) | | | (16.20 | %) | | | (6.05 | %) | | | (14.09 | %) | | | (20.80 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,203 | | | $ | 6,760 | | | $ | 9,244 | | | $ | 5,121 | | | $ | 6,177 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.14 | %) | | | (1.69 | %) | | | (1.93 | %) | | | (2.07 | %) | | | (2.34 | %) |
| Total expensesc | | | 2.43 | % | | | 2.42 | % | | | 2.41 | % | | | 2.41 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 56 | % | | | 114 | % | | | 63 | % | | | 103 | % | | | — | |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017e | | | Year Ended
March 31,
2016e | | | Period Ended
March 31,
2015d,e | |
| 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)a | | | (.27 | ) | | | (.70 | ) | | | (.90 | ) | | | (.54 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (7.84 | ) | | | (11.25 | ) | | | (3.47 | ) | | | (4.02 | ) |
| Total from investment operations | | | (8.11 | ) | | | (11.95 | ) | | | (4.37 | ) | | | (4.56 | ) |
| Net asset value, end of period | | $ | 57.11 | | | $ | 65.22 | | | $ | 77.17 | | | $ | 81.54 | |
| |
| Total Returnb | | | (12.43 | %) | | | (15.47 | %) | | | (5.37 | %) | | | (5.30 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,672 | | | $ | 2,857 | | | $ | 7,319 | | | $ | 13,085 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.45 | %) | | | (0.96 | %) | | | (1.08 | %) | | | (1.27 | %) |
| Total expensesc | | | 1.69 | % | | | 1.67 | % | | | 1.67 | % | | | 1.60 | % |
| Portfolio turnover rate | | | 56 | % | | | 114 | % | | | 63 | % | | | 103 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| e | | Reverse share split — Per share amounts for the periods presented through March 31, 2017 have been restated to reflect 1:6 reverse share split effective October 28, 2016. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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.
For the one-year period ended March 29, 2018, the Monthly Rebalanced NASDAQ-100® 2x Strategy Fund H-Class returned 42.86%, while the NASDAQ-100 Index returned 22.38% over the same period.
The Technology sector contributed the most to the performance of the underlying index, followed by the Consumer Discretionary sector. Consumer Staples was the only detractor. The Industrials sector contributed the least.
Amazon.com, Inc., Microsoft Corp., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the year. Kraft Heinz Co., Celgene Corp., and Walgreens Boots Alliance, Inc. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 50 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| A-Class | November 28, 2014 |
| C-Class | November 28, 2014 |
| H-Class | November 28, 2014 |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 11.4% |
| Guggenheim Strategy Fund I | 6.6% |
| Apple, Inc. | 6.6% |
| Microsoft Corp. | 5.5% |
| Amazon.com, Inc. | 5.4% |
| Facebook, Inc. — Class A | 3.0% |
| Alphabet, Inc. — Class C | 2.8% |
| Alphabet, Inc. — Class A | 2.4% |
| Intel Corp. | 1.9% |
| Cisco Systems, Inc. | 1.6% |
| Top Ten Total | 47.2% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | Since Inception
(11/28/14) |
| A-Class Shares | 42.85% | 27.78% |
| A-Class Shares with sales charge‡ | 36.06% | 25.93% |
| C-Class Shares | 41.82% | 26.76% |
| C-Class Shares with CDSC§ | 40.82% | 26.76% |
| H-Class Shares | 42.86% | 28.70% |
| NASDAQ-100 Index | 22.38% | 14.64% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 51 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 58.3% |
| | | | | | | |
| Technology - 23.7% |
| Apple, Inc. | | | 10,832 | | | $ | 1,817,393 | |
| Microsoft Corp. | | | 16,437 | | | | 1,500,205 | |
| Intel Corp. | | | 9,965 | | | | 518,977 | |
| NVIDIA Corp. | | | 1,292 | | | | 299,214 | |
| Adobe Systems, Inc.* | | | 1,050 | | | | 226,884 | |
| Texas Instruments, Inc. | | | 2,101 | | | | 218,273 | |
| Broadcom Ltd. | | | 876 | | | | 206,429 | |
| QUALCOMM, Inc. | | | 3,160 | | | | 175,096 | |
| Micron Technology, Inc.* | | | 2,468 | | | | 128,682 | |
| Applied Materials, Inc. | | | 2,243 | | | | 124,733 | |
| Activision Blizzard, Inc. | | | 1,619 | | | | 109,218 | |
| Cognizant Technology Solutions Corp. — Class A | | | 1,255 | | | | 101,028 | |
| Intuit, Inc. | | | 547 | | | | 94,822 | |
| Electronic Arts, Inc.* | | | 655 | | | | 79,412 | |
| Analog Devices, Inc. | | | 789 | | | | 71,902 | |
| Lam Research Corp. | | | 348 | | | | 70,700 | |
| Fiserv, Inc.* | | | 882 | | | | 62,895 | |
| Autodesk, Inc.* | | | 470 | | | | 59,023 | |
| Western Digital Corp. | | | 635 | | | | 58,591 | |
| Paychex, Inc. | | | 767 | | | | 47,240 | |
| Microchip Technology, Inc. | | | 500 | | | | 45,680 | |
| NetEase, Inc. ADR | | | 161 | | | | 45,143 | |
| Cerner Corp.* | | | 710 | | | | 41,180 | |
| Xilinx, Inc. | | | 544 | | | | 39,299 | |
| Skyworks Solutions, Inc. | | | 390 | | | | 39,101 | |
| Workday, Inc. — Class A* | | | 292 | | | | 37,116 | |
| KLA-Tencor Corp. | | | 334 | | | | 36,409 | |
| Maxim Integrated Products, Inc. | | | 600 | | | | 36,132 | |
| Seagate Technology plc | | | 608 | | | | 35,580 | |
| Check Point Software Technologies Ltd.* | | | 349 | | | | 34,670 | |
| ASML Holding N.V. — Class G | | | 158 | | | | 31,372 | |
| CA, Inc. | | | 890 | | | | 30,171 | |
| Citrix Systems, Inc.* | | | 291 | | | | 27,005 | |
| Synopsys, Inc.* | | | 317 | | | | 26,387 | |
| Take-Two Interactive Software, Inc.* | | | 244 | | | | 23,858 | |
| Cadence Design Systems, Inc.* | | | 604 | | | | 22,209 | |
| Total Technology | | | | | | | 6,522,029 | |
| | | | | | | | | |
| Communications - 22.0% |
| Amazon.com, Inc.* | | | 1,033 | | | | 1,495,102 | |
| Facebook, Inc. — Class A* | | | 5,115 | | | | 817,326 | |
| Alphabet, Inc. — Class C* | | | 747 | | | | 770,747 | |
| Alphabet, Inc. — Class A* | | | 638 | | | | 661,695 | |
| Cisco Systems, Inc. | | | 10,285 | | | | 441,124 | |
| Comcast Corp. — Class A | | | 9,896 | | | | 338,146 | |
| Netflix, Inc.* | | | 927 | | | | 273,790 | |
| Booking Holdings, Inc.* | | | 103 | | | | 214,280 | |
| Charter Communications, Inc. — Class A* | | | 509 | | | | 158,411 | |
| Baidu, Inc. ADR* | | | 599 | | | | 133,691 | |
| T-Mobile US, Inc.* | | | 1,824 | | | | 111,337 | |
| eBay, Inc.* | | | 2,160 | | | | 86,918 | |
| Twenty-First Century Fox, Inc. — Class A | | | 2,250 | | | | 82,553 | |
| JD.com, Inc. ADR* | | | 1,969 | | | | 79,725 | |
| Twenty-First Century Fox, Inc. — Class B | | | 1,705 | | | | 62,011 | |
| Sirius XM Holdings, Inc.1 | | | 9,591 | | | | 59,848 | |
| Ctrip.com International Ltd. ADR* | | | 987 | | | | 46,014 | |
| Liberty Global plc — Class C* | | | 1,235 | | | | 37,581 | |
| Symantec Corp. | | | 1,327 | | | | 34,303 | |
| MercadoLibre, Inc. | | | 94 | | | | 33,501 | |
| Expedia Group, Inc. | | | 298 | | | | 32,902 | |
| Vodafone Group plc ADR | | | 1,014 | | | | 28,209 | |
| DISH Network Corp. — Class A* | | | 487 | | | | 18,452 | |
| Liberty Global plc — Class A* | | | 469 | | | | 14,684 | |
| Total Communications | | | | | | | 6,032,350 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 8.1% |
| Amgen, Inc. | | | 1,538 | | | | 262,198 | |
| Gilead Sciences, Inc. | | | 2,796 | | | | 210,791 | |
| PayPal Holdings, Inc.* | | | 2,562 | | | | 194,379 | |
| Kraft Heinz Co. | | | 2,602 | | | | 162,078 | |
| Celgene Corp.* | | | 1,606 | | | | 143,271 | |
| Mondelez International, Inc. — Class A | | | 3,175 | | | | 132,493 | |
| Biogen, Inc.* | | | 452 | | | | 123,767 | |
| Automatic Data Processing, Inc. | | | 946 | | | | 107,352 | |
| Intuitive Surgical, Inc.* | | | 240 | | | | 99,079 | |
| Vertex Pharmaceuticals, Inc.* | | | 542 | | | | 88,335 | |
| Express Scripts Holding Co.* | | | 1,205 | | | | 83,241 | |
| Regeneron Pharmaceuticals, Inc.* | | | 226 | | | | 77,825 | |
| Illumina, Inc.* | | | 314 | | | | 74,236 | |
| Monster Beverage Corp.* | | | 1,204 | | | | 68,881 | |
| Alexion Pharmaceuticals, Inc.* | | | 473 | | | | 52,721 | |
| Mylan N.V.* | | | 1,145 | | | | 47,140 | |
| Align Technology, Inc.* | | | 171 | | | | 42,943 | |
| Cintas Corp. | | | 227 | | | | 38,722 | |
| Incyte Corp.* | | | 452 | | | | 37,665 | |
| Verisk Analytics, Inc. — Class A* | | | 352 | | | | 36,608 | |
| IDEXX Laboratories, Inc.* | | | 186 | | | | 35,599 | |
| BioMarin Pharmaceutical, Inc.* | | | 376 | | | | 30,482 | |
| Dentsply Sirona, Inc. | | | 490 | | | | 24,652 | |
| Shire plc ADR | | | 150 | | | | 22,409 | |
| Henry Schein, Inc.* | | | 328 | | | | 22,045 | |
| Hologic, Inc.* | | | 590 | | | | 22,042 | |
| Total Consumer, Non-cyclical | | | | | | | 2,240,954 | |
| | | | | | | | | |
| Consumer, Cyclical - 4.0% |
| Costco Wholesale Corp. | | | 938 | | | | 176,747 | |
| Starbucks Corp. | | | 3,001 | | | | 173,728 | |
| Walgreens Boots Alliance, Inc. | | | 2,115 | | | | 138,469 | |
| Marriott International, Inc. — Class A | | | 763 | | | | 103,753 | |
| Tesla, Inc.*,1 | | | 361 | | | | 96,073 | |
| Ross Stores, Inc. | | | 816 | | | | 63,632 | |
| American Airlines Group, Inc. | | | 1,010 | | | | 52,480 | |
| PACCAR, Inc. | | | 752 | | | | 49,760 | |
| Dollar Tree, Inc.* | | | 506 | | | | 48,020 | |
| O’Reilly Automotive, Inc.* | | | 179 | | | | 44,281 | |
| Wynn Resorts Ltd. | | | 220 | | | | 40,119 | |
| Fastenal Co. | | | 614 | | | | 33,518 | |
| Ulta Beauty, Inc.* | | | 131 | | | | 26,759 | |
| Liberty Interactive Corporation QVC Group — Class A* | | | 960 | | | | 24,163 | |
| 52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Hasbro, Inc. | | | 265 | | | $ | 22,339 | |
| Total Consumer, Cyclical | | | | | | | 1,093,841 | |
| | | | | | | | | |
| Industrial - 0.5% |
| CSX Corp. | | | 1,894 | | | | 105,515 | |
| J.B. Hunt Transport Services, Inc. | | | 234 | | | | 27,413 | |
| Total Industrial | | | | | | | 132,928 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $12,504,674) | | | | | | | 16,022,102 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 18.0% |
| Guggenheim Strategy Fund II2 | | | 124,739 | | | | 3,119,724 | |
| Guggenheim Strategy Fund I2 | | | 72,635 | | | | 1,819,498 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $4,926,764) | | | | | | | 4,939,222 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 10.9% |
| U.S. Treasury Bills | | | | | | | | |
| 1.61% due 05/31/183,4,5 | | $ | 3,000,000 | | | | 2,991,797 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $2,991,845) | | | | | | | 2,991,797 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,6 - 3.3% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/183 | | | 693,034 | | | | 693,034 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/183 | | | 226,779 | | | | 226,779 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $919,813) | | | | | | | 919,813 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,7 - 0.5% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%8 | | | 124,532 | | | | 124,532 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $124,532) | | | | | | | 124,532 | |
| | | | | | | | | |
| Total Investments - 91.0% | | | | | | | | |
| (Cost $21,467,628) | | | | | | $ | 24,997,466 | |
| Other Assets & Liabilities, net - 9.0% | | | | | | | 2,466,250 | |
| Total Net Assets - 100.0% | | | | | | $ | 27,463,716 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| NASDAQ-100 Index Mini Futures Contracts | | | 9 | | | Jun 2018 | | $ | 1,185,435 | | | $ | (94,023 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | | NASDAQ-100 Index | | | | 2.24 | % | | At Maturity | | 04/30/18 | | | 4,699 | | | $ | 30,925,807 | | | $ | 565,385 | |
| BNP Paribas | | | NASDAQ-100 Index | | | | 2.39 | % | | At Maturity | | 04/30/18 | | | 998 | | | | 6,568,738 | | | | 45,734 | |
| Goldman Sachs International | | | NASDAQ-100 Index | | | | 2.34 | % | | At Maturity | | 04/27/18 | | | 40 | | | | 265,239 | | | | 2,060 | |
| | | | | | | | | | | | | | | | | | | $ | 37,759,784 | | | $ | 613,179 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| 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 March 29, 2018 — See Note 6. |
| 2 | | Affiliated issuer. |
| 3 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 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 March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 16,022,102 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 16,022,102 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 613,179 | | | | — | | | | 613,179 | |
| Mutual Funds | | | 4,939,222 | | | | — | | | | — | | | | — | | | | — | | | | 4,939,222 | |
| Repurchase Agreements | | | — | | | | — | | | | 919,813 | | | | — | | | | — | | | | 919,813 | |
| Securities Lending Collateral | | | 124,532 | | | | — | | | | — | | | | — | | | | — | | | | 124,532 | |
| U.S. Treasury Bills | | | - | | | | — | | | | 2,991,797 | | | | — | | | | — | | | | 2,991,797 | |
| Total Assets | | $ | 21,085,856 | | | $ | — | | | $ | 3,911,610 | | | $ | 613,179 | | | $ | — | | | $ | 25,610,645 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 94,023 | | | $ | — | | | $ | — | | | $ | — | | | $ | 94,023 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 54 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, in which the portfolio company is an “affiliated person”, were as follows:
| Security Name | | Value
03/31/17 | | | Additions | | | Reductions | | | Realized
Loss | | | Change in
Unrealized | | | Value
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 1,719,776 | | | $ | 1,400,000 | | | $ | (1,300,000 | ) | | $ | (238 | ) | | $ | (40 | ) | | $ | 1,819,498 | | | | 72,635 | | | $ | 46,939 | | | $ | 919 | |
| Guggenheim Strategy Fund II | | | 1,719,595 | | | | 1,400,000 | | | | — | | | | — | | | | 129 | | | | 3,119,724 | | | | 124,739 | | | | 57,138 | | | | 1,293 | |
| | | $ | 3,439,371 | | | $ | 2,800,000 | | | $ | (1,300,000 | ) | | $ | (238 | ) | | $ | 89 | | | $ | 4,939,222 | | | | | | | $ | 104,077 | | | $ | 2,212 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value - including $122,224 of securities loaned (cost $15,621,051) | | $ | 19,138,431 | |
| Investments in affiliated issuers, at value (cost $4,926,764) | | | 4,939,222 | |
| Repurchase agreements, at value (cost $919,813) | | | 919,813 | |
| Cash | | | 4,577 | |
| Segregated cash with broker | | | 2,548,300 | |
| Unrealized appreciation on swap agreements | | | 613,179 | |
| Receivables: |
| Securities sold | | | 1,389,919 | |
| Variation margin | | | 19,530 | |
| Dividends | | | 16,501 | |
| Investment adviser | | | 15,616 | |
| Fund shares sold | | | 15,228 | |
| Securities lending income | | | 502 | |
| Interest | | | 138 | |
| Total assets | | | 29,620,956 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Line of credit | | | 1,794,000 | |
| Return of securities loaned | | | 124,532 | |
| Fund shares redeemed | | | 114,022 | |
| Swap settlement | | | 42,214 | |
| Management fees | | | 38,295 | |
| Distribution and service fees | | | 10,753 | |
| Transfer agent and administrative fees | | | 10,638 | |
| Portfolio accounting fees | | | 4,255 | |
| Trustees’ fees* | | | 1,483 | |
| Miscellaneous | | | 17,048 | |
| Total liabilities | | | 2,157,240 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 27,463,716 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 110,945,392 | |
| Accumulated net investment loss | | | (53,988 | ) |
| Accumulated net realized loss on investments | | | (87,476,682 | ) |
| Net unrealized appreciation on investments | | | 4,048,994 | |
| Net assets | | $ | 27,463,716 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,989,630 | |
| Capital shares outstanding | | | 17,559 | |
| Net asset value per share | | $ | 113.31 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 118.96 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 170,385 | |
| Capital shares outstanding | | | 1,544 | |
| Net asset value per share | | $ | 110.32 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 25,303,701 | |
| Capital shares outstanding | | | 218,003 | |
| Net asset value per share | | $ | 116.07 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $88) | | $ | 283,007 | |
| Dividends from securities of affiliated issuers | | | 104,077 | |
| Interest | | | 81,470 | |
| Income from securities lending, net | | | 2,142 | |
| Total investment income | | | 470,696 | |
| | | | | |
| Expenses: |
| Management fees | | | 382,341 | |
| Distribution and service fees: |
| A-Class | | | 3,425 | |
| C-Class | | | 2,939 | |
| H-Class | | | 102,046 | |
| Transfer agent and administrative fees | | | 106,206 | |
| Portfolio accounting fees | | | 42,482 | |
| Custodian fees | | | 5,747 | |
| Trustees’ fees* | | | 3,155 | |
| Line of credit fees | | | 4 | |
| Miscellaneous | | | 81,991 | |
| Total expenses | | | 730,336 | |
| Less: |
| Expenses waived by Adviser | | | (155,056 | ) |
| Net expenses | | | 575,280 | |
| Net investment loss | | | (104,584 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 639,279 | |
| Investments in affiliated issuers | | | (238 | ) |
| Distributions received from affiliated investment company shares | | | 2,212 | |
| Swap agreements | | | 6,869,540 | |
| Futures contracts | | | 296,505 | |
| Net realized gain | | | 7,807,298 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 1,282,774 | |
| Investments in affiliated issuers | | | 89 | |
| Swap agreements | | | 497,343 | |
| Futures contracts | | | (102,132 | ) |
| Net change in unrealized appreciation (depreciation) | | | 1,678,074 | |
| Net realized and unrealized gain | | | 9,485,372 | |
| Net increase in net assets resulting from operations | | $ | 9,380,788 | |
| * | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (104,584 | ) | | $ | (81,109 | ) |
| Net realized gain on investments | | | 7,807,298 | | | | 1,489,138 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,678,074 | | | | 2,207,612 | |
| Net increase in net assets resulting from operations | | | 9,380,788 | | | | 3,615,641 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 2,354,616 | | | | 1,029,778 | |
| C-Class | | | 863,781 | | | | 434,997 | |
| H-Class | | | 141,378,941 | | | | 92,047,101 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,779,999 | ) | | | (464,494 | ) |
| C-Class | | | (859,151 | ) | | | (380,929 | ) |
| H-Class | | | (153,547,919 | ) | | | (71,098,351 | ) |
| Net increase (decrease) from capital share transactions | | | (11,589,731 | ) | | | 21,568,102 | |
| Net increase (decrease) in net assets | | | (2,208,943 | ) | | | 25,183,743 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 29,672,659 | | | | 4,488,916 | |
| End of year | | $ | 27,463,716 | | | $ | 29,672,659 | |
| Accumulated net investment loss at end of year | | $ | (53,988 | ) | | $ | (25,894 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 23,176 | | | | 15,538 | |
| C-Class | | | 9,241 | | | | 5,962 | |
| H-Class | | | 1,310,588 | | | | 1,422,966 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (18,356 | ) | | | (7,319 | ) |
| C-Class | | | (8,847 | ) | | | (5,237 | ) |
| H-Class | | | (1,444,250 | ) | | | (1,146,939 | ) |
| Net increase (decrease) in shares | | | (128,448 | ) | | | 284,971 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| MONTHLY REBALANCE NASDAQ-100® 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015a | |
| 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)b | | | (.23 | ) | | | (.18 | ) | | | (.27 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 34.22 | | | | 25.05 | | | | 3.04 | | | | 1.75 | |
| Total from investment operations | | | 33.99 | | | | 24.87 | | | | 2.77 | | | | 1.68 | |
| Net asset value, end of period | | $ | 113.31 | | | $ | 79.32 | | | $ | 54.45 | | | $ | 51.68 | |
| |
| Total Returne | | | 42.85 | % | | | 45.65 | % | | | 5.38 | % | | | 3.36 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,990 | | | $ | 1,010 | | | $ | 246 | | | $ | 465 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.23 | %) | | | (0.28 | %) | | | (0.48 | %) | | | (0.38 | %) |
| Total expensesc | | | 1.71 | % | | | 1.72 | % | | | 1.70 | % | | | 1.63 | % |
| Net expensesd,f | | | 1.35 | % | | | 1.35 | % | | | 1.37 | % | | | 1.35 | % |
| Portfolio turnover rate | | | 385 | % | | | 259 | % | | | 551 | % | | | 84 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015a | |
| 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)b | | | (1.00 | ) | | | (.73 | ) | | | (.56 | ) | | | (.19 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 33.53 | | | | 24.72 | | | | 2.81 | | | | 1.74 | |
| Total from investment operations | | | 32.53 | | | | 23.99 | | | | 2.25 | | | | 1.55 | |
| Net asset value, end of period | | $ | 110.32 | | | $ | 77.79 | | | $ | 53.80 | | | $ | 51.55 | |
| |
| Total Returne | | | 41.82 | % | | | 44.52 | % | | | 4.40 | % | | | 3.10 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 170 | | | $ | 89 | | | $ | 23 | | | $ | 14 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.02 | %) | | | (1.10 | %) | | | (1.04 | %) | | | (1.13 | %) |
| Total expensesc | | | 2.46 | % | | | 2.47 | % | | | 2.51 | % | | | 2.43 | % |
| Net expensesd,f | | | 2.10 | % | | | 2.10 | % | | | 2.17 | % | | | 2.13 | % |
| Portfolio turnover rate | | | 385 | % | | | 259 | % | | | 551 | % | | | 84 | % |
| 58 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015a | |
| 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)b | | | (.25 | ) | | | (.23 | ) | | | (.17 | ) | | | (.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 35.07 | | | | 25.69 | | | | 4.39 | | | | 1.67 | |
| Total from investment operations | | | 34.82 | | | | 25.46 | | | | 4.22 | | | | 1.57 | |
| Net asset value, end of period | | $ | 116.07 | | | $ | 81.25 | | | $ | 55.79 | | | $ | 51.57 | |
| |
| Total Returne | | | 42.86 | % | | | 45.64 | % | | | 8.18 | % | | | 3.14 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 25,304 | | | $ | 28,573 | | | $ | 4,220 | | | $ | 342,658 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.24 | %) | | | (0.35 | %) | | | (0.30 | %) | | | (0.60 | %) |
| Total expensesc | | | 1.71 | % | | | 1.72 | % | | | 1.67 | % | | | 1.64 | % |
| Net expensesd,f | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % | | | 1.35 | % |
| Portfolio turnover rate | | | 385 | % | | | 259 | % | | | 551 | % | | | 84 | % |
| a | | Since commencement of operations: November 28, 2014. 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 | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Net expense information reflects the expense ratios after expense waivers. |
| e | | Total Return does not reflect the impact of any applicable sales charge. |
| f | | Net expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the operating expense ratios would be: |
| | | 03/29/18 | 03/31/17 | 03/31/16 | 03/31/15 |
| | 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 ANNUAL REPORT | 59 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, the Inverse NASDAQ-100® Fund Investor Class returned -18.83% while the NASDAQ-100 Index returned 22.38% over the same period. For the one-year period ended March 29, 2018, Inverse NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the NASDAQ-100 Index.
The Technology sector contributed the most to the performance of the underlying index, followed by the Consumer Discretionary sector. Consumer Staples was the only detractor. The Industrials sector contributed the least.
Amazon.com, Inc., Microsoft Corp., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the year. Kraft Heinz Co., Celgene Corp., and Walgreens Boots Alliance, Inc. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 60 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 21.7% |
| Guggenheim Strategy Fund I | 21.7% |
| Total | 43.4% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (18.83%) | (18.52%) | (17.27%) |
| A-Class Shares | (19.03%) | (18.51%) | (17.40%) |
| A-Class Shares with sales charge‡ | (22.87%) | (19.29%) | (17.80%) |
| C-Class Shares | (19.62%) | (19.34%) | (18.12%) |
| C-Class Shares with CDSC§ | (20.43%) | (19.34%) | (18.12%) |
| NASDAQ-100 Index | 22.38% | 19.97% | 15.18% |
| | | 1 Year | Since Inception
(09/18/14) |
| H-Class Shares | | (19.03%) | (15.62%) |
| NASDAQ-100 Index | | 22.38% | 15.68% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 61 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE NASDAQ-100® STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 43.4% |
| Guggenheim Strategy Fund II1 | | | 84,998 | | | $ | 2,125,793 | |
| Guggenheim Strategy Fund I1 | | | 84,664 | | | | 2,120,838 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $4,216,828) | | | | | | | 4,246,631 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 46.7% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/183 | | $ | 3,447,186 | | | | 3,447,186 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/183 | | | 1,128,011 | | | | 1,128,011 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $4,575,197) | | | | | | | 4,575,197 | |
| | | | | | | | | |
| Total Investments - 90.1% | | | | | | | | |
| (Cost $8,792,025) | | | | | | $ | 8,821,828 | |
| Other Assets & Liabilities, net - 9.9% | | | | | | | 973,209 | |
| Total Net Assets - 100.0% | | | | | | $ | 9,795,037 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | | Financing
Rate Pay
(Receive) | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements Sold Short†† |
| Goldman Sachs International | | | NASDAQ-100 Index | | | | (2.04 | %) | | At Maturity | | 04/27/18 | | | 1,287 | | | $ | 8,467,350 | | | $ | 187,878 | |
| Barclays Bank plc | | | NASDAQ-100 Index | | | | (2.09 | %) | | At Maturity | | 04/30/18 | | | 13 | | | | 88,246 | | | | (1,614 | ) |
| BNP Paribas | | | NASDAQ-100 Index | | | | (1.89 | %) | | At Maturity | | 04/30/18 | | | 180 | | | | 1,181,416 | | | | (8,429 | ) |
| | | | | | | | | | | | | | | | | | | $ | 9,737,012 | | | $ | 177,835 | |
| † | | 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 March 29, 2018. |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| 62 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE NASDAQ-100® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | |
| Equity Index Swap Agreements | | $ | — | | | $ | — | | | $ | 187,878 | | | $ | — | | | $ | 187,878 | |
| Mutual Funds | | | 4,246,631 | | | | — | | | | — | | | | — | | | | 4,246,631 | |
| Repurchase Agreements | | | — | | | | 4,575,197 | | | | — | | | | — | | | | 4,575,197 | |
| Total Assets | | $ | 4,246,631 | | | $ | 4,575,197 | | | $ | 187,878 | | | $ | — | | | $ | 9,009,706 | |
| | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | 10,043 | | | $ | — | | | $ | 10,043 | |
| * | | 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 year ended March 29, 2018, 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 2,620,638 | | | $ | — | | | $ | (500,000 | ) | | $ | 2,394 | | | $ | (2,194 | ) | | $ | 2,120,838 | | | | 84,664 | | | $ | 53,626 | | | $ | 995 | |
| Guggenheim Strategy Fund II | | | 2,624,943 | | | | — | | | | (500,000 | ) | | | 2,800 | | | | (1,950 | ) | | | 2,125,793 | | | | 84,998 | | | | 61,067 | | | | 1,403 | |
| | | $ | 5,245,581 | | | $ | — | | | $ | (1,000,000 | ) | | $ | 5,194 | | | $ | (4,144 | ) | | $ | 4,246,631 | | | | | | | $ | 114,693 | | | $ | 2,398 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
| INVERSE NASDAQ-100® STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in affiliated issuers, at value (cost $4,216,828) | | $ | 4,246,631 | |
| Repurchase agreements, at value (cost $4,575,197) | | | 4,575,197 | |
| Segregated cash with broker | | | 11,600 | |
| Unrealized appreciation on swap agreements | | | 187,878 | |
| Receivables: |
| Fund shares sold | | | 871,982 | |
| Variation margin | | | 14,184 | |
| Dividends | | | 9,079 | |
| Swap settlement | | | 3,290 | |
| Interest | | | 685 | |
| Total assets | | | 9,920,526 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 10,043 | |
| Payable for: |
| Fund shares redeemed | | | 99,729 | |
| Management fees | | | 7,225 | |
| Transfer agent and administrative fees | | | 2,007 | |
| Distribution and service fees | | | 1,476 | |
| Portfolio accounting fees | | | 803 | |
| Trustees’ fees* | | | 327 | |
| Miscellaneous | | | 3,879 | |
| Total liabilities | | | 125,489 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 9,795,037 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 49,455,561 | |
| Accumulated net investment loss | | | (7,114 | ) |
| Accumulated net realized loss on investments | | | (39,861,048 | ) |
| Net unrealized appreciation on investments | | | 207,638 | |
| Net assets | | $ | 9,795,037 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 5,473,589 | |
| Capital shares outstanding | | | 86,812 | |
| Net asset value per share | | $ | 63.05 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,037,250 | |
| Capital shares outstanding | | | 16,938 | |
| Net asset value per share | | $ | 61.24 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 64.29 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 881,058 | |
| Capital shares outstanding | | | 16,806 | |
| Net asset value per share | | $ | 52.43 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 2,403,140 | |
| Capital shares outstanding | | | 39,810 | |
| Net asset value per share | | $ | 60.37 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 114,693 | |
| Interest | | | 65,291 | |
| Total investment income | | | 179,984 | |
| | | | | |
| Expenses: |
| Management fees | | | 98,849 | |
| Distribution and service fees: |
| A-Class | | | 5,541 | |
| C-Class | | | 11,405 | |
| H-Class | | | 2,663 | |
| Transfer agent and administrative fees | | | 27,458 | |
| Portfolio accounting fees | | | 10,983 | |
| Custodian fees | | | 1,496 | |
| Trustees’ fees* | | | 957 | |
| Line of credit fees | | | 3 | |
| Miscellaneous | | | 21,022 | |
| Total expenses | | | 180,377 | |
| Net investment loss | | | (393 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 8,598 | |
| Investments in affiliated issuers | | | 5,194 | |
| Distributions received from affiliated investment company shares | | | 2,398 | |
| Swap agreements | | | (2,428,340 | ) |
| Futures contracts | | | (117,906 | ) |
| Net realized loss | | | (2,530,056 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (2,713 | ) |
| Investments in affiliated issuers | | | (4,144 | ) |
| Swap agreements | | | 241,922 | |
| Futures contracts | | | 7,107 | |
| Net change in unrealized appreciation (depreciation) | | | 242,172 | |
| Net realized and unrealized loss | | | (2,287,884 | ) |
| Net decrease in net assets resulting from operations | | $ | (2,288,277 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE NASDAQ-100® STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (393 | ) | | $ | (180,441 | ) |
| Net realized loss on investments | | | (2,530,056 | ) | | | (6,273,609 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 242,172 | | | | 1,287,438 | |
| Net decrease in net assets resulting from operations | | | (2,288,277 | ) | | | (5,166,612 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 93,876,628 | | | | 68,630,748 | |
| A-Class | | | 1,757,628 | | | | 196,691,141 | |
| C-Class | | | 2,225,904 | | | | 4,397,242 | |
| H-Class | | | 51,935,256 | | | | 37,021,976 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (93,335,132 | ) | | | (72,329,507 | ) |
| A-Class | | | (2,856,960 | ) | | | (246,743,211 | ) |
| C-Class | | | (2,270,555 | ) | | | (4,285,878 | ) |
| H-Class | | | (49,868,266 | ) | | | (36,110,405 | ) |
| Net increase (decrease) from capital share transactions | | | 1,464,503 | | | | (52,727,894 | ) |
| Net decrease in net assets | | | (823,774 | ) | | | (57,894,506 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 10,618,811 | | | | 68,513,317 | |
| End of year | | $ | 9,795,037 | | | $ | 10,618,811 | |
| Accumulated net investment loss at end of year | | $ | (7,114 | ) | | $ | (8,539 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 1,343,162 | | | | 780,223 | * |
| A-Class | | | 25,793 | | | | 2,137,082 | * |
| C-Class | | | 40,912 | | | | 59,951 | * |
| H-Class | | | 822,375 | | | | 412,562 | * |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (1,337,274 | ) | | | (822,276 | )* |
| A-Class | | | (43,572 | ) | | | (2,686,864 | )* |
| C-Class | | | (43,217 | ) | | | (58,648 | )* |
| H-Class | | | (788,739 | ) | | | (409,102 | )* |
| Net increase (decrease) in shares | | | 19,440 | | | | (587,072 | )* |
| * | Capital share activity for the period presented through March 31, 2017 has been restated to reflect a 1:4 reverse split effective November 4, 2016. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
| INVERSE NASDAQ-100® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | | | Year Ended
March 31,
2015f | | | Year Ended
March 31,
2014e,f | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 77.68 | | | $ | 96.42 | | | $ | 105.47 | | | $ | 132.37 | | | $ | 175.63 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .11 | | | | (.51 | ) | | | (1.08 | ) | | | (1.32 | ) | | | (2.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (14.74 | ) | | | (18.23 | ) | | | (7.97 | ) | | | (25.58 | ) | | | (41.10 | ) |
| Total from investment operations | | | (14.63 | ) | | | (18.74 | ) | | | (9.05 | ) | | | (26.90 | ) | | | (43.26 | ) |
| Net asset value, end of period | | $ | 63.05 | | | $ | 77.68 | | | $ | 96.42 | | | $ | 105.47 | | | $ | 132.37 | |
| |
| Total Returnb | | | (18.83 | %) | | | (19.42 | %) | | | (8.61 | %) | | | (20.31 | %) | | | (24.62 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,474 | | | $ | 6,286 | | | $ | 11,857 | | | $ | 6,821 | | | $ | 6,865 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.16 | % | | | (0.57 | %) | | | (1.04 | %) | | | (1.14 | %) | | | (1.44 | %) |
| Total expensesc | | | 1.46 | % | | | 1.46 | % | | | 1.44 | % | | | 1.46 | % | | | 1.46 | % |
| Portfolio turnover rate | | | — | | | | 486 | % | | | 1,674 | % | | | 149 | % | | | — | |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | | | Year Ended
March 31,
2015f | | | Year Ended
March 31,
2014e,f | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 75.63 | | | $ | 94.01 | | | $ | 101.76 | | | $ | 127.98 | | | $ | 170.45 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.08 | ) | | | (1.00 | ) | | | (1.32 | ) | | | (1.48 | ) | | | (2.40 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (14.31 | ) | | | (17.38 | ) | | | (6.43 | ) | | | (24.74 | ) | | | (40.07 | ) |
| Total from investment operations | | | (14.39 | ) | | | (18.38 | ) | | | (7.75 | ) | | | (26.22 | ) | | | (42.47 | ) |
| Net asset value, end of period | | $ | 61.24 | | | $ | 75.63 | | | $ | 94.01 | | | $ | 101.76 | | | $ | 127.98 | |
| |
| Total Returnb | | | (19.03 | %) | | | (19.54 | %) | | | (7.63 | %) | | | (20.50 | %) | | | (24.88 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,037 | | | $ | 2,626 | | | $ | 54,948 | | | $ | 570 | | | $ | 372 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.12 | %) | | | (1.08 | %) | | | (1.36 | %) | | | (1.35 | %) | | | (1.69 | %) |
| Total expensesc | | | 1.72 | % | | | 1.70 | % | | | 1.69 | % | | | 1.71 | % | | | 1.71 | % |
| Portfolio turnover rate | | | — | | | | 486 | % | | | 1,674 | % | | | 149 | % | | | — | |
| 66 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | | | Year Ended
March 31,
2015f | | | Year Ended
March 31,
2014e,f | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.23 | | | $ | 81.79 | | | $ | 90.32 | | | $ | 114.51 | | | $ | 153.69 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.48 | ) | | | (1.14 | ) | | | (1.80 | ) | | | (2.12 | ) | | | (3.20 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (12.32 | ) | | | (15.42 | ) | | | (6.73 | ) | | | (22.07 | ) | | | (35.98 | ) |
| Total from investment operations | | | (12.80 | ) | | | (16.56 | ) | | | (8.53 | ) | | | (24.19 | ) | | | (39.18 | ) |
| Net asset value, end of period | | $ | 52.43 | | | $ | 65.23 | | | $ | 81.79 | | | $ | 90.32 | | | $ | 114.51 | |
| |
| Total Returnb | | | (19.62 | %) | | | (20.26 | %) | | | (9.43 | %) | | | (21.13 | %) | | | (25.44 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 881 | | | $ | 1,247 | | | $ | 1,457 | | | $ | 998 | | | $ | 561 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.84 | %) | | | (1.51 | %) | | | (2.09 | %) | | | (2.12 | %) | | | (2.44 | %) |
| Total expensesc | | | 2.46 | % | | | 2.46 | % | | | 2.44 | % | | | 2.46 | % | | | 2.46 | % |
| Portfolio turnover rate | | | — | | | | 486 | % | | | 1,674 | % | | | 149 | % | | | — | |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017f | | | Year Ended
March 31,
2016f | | | Period Ended
March 31,
2015d,f | |
| 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)a | | | .07 | | | | (.86 | ) | | | (1.16 | ) | | | (.80 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (14.26 | ) | | | (17.40 | ) | | | (7.78 | ) | | | (7.44 | ) |
| Total from investment operations | | | (14.19 | ) | | | (18.26 | ) | | | (8.94 | ) | | | (8.24 | ) |
| Net asset value, end of period | | $ | 60.37 | | | $ | 74.56 | | | $ | 92.82 | | | $ | 101.76 | |
| |
| Total Returnb | | | (19.03 | %) | | | (19.65 | %) | | | (8.80 | %) | | | (7.49 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,403 | | | $ | 460 | | | $ | 252 | | | $ | 335 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.11 | % | | | (0.95 | %) | | | (1.18 | %) | | | (1.35 | %) |
| Total expensesc | | | 1.71 | % | | | 1.70 | % | | | 1.70 | % | | | 1.68 | % |
| Portfolio turnover rate | | | — | | | | 486 | % | | | 1,674 | % | | | 149 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Since commencement of operations: September 18, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
| e | | 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. |
| f | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, the Mid-Cap 1.5x Strategy Fund H-Class returned 13.82%. Over the same period, its benchmark, the S&P MidCap 400 Index, returned 10.97%. The Fund had a correlation of more than 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index.
Industrials and Technology contributed the most to performance of the underlying index during the period. The largest detractors were Energy and Consumer Staples.
ABIOMED, Inc., Take-Two Interactive Software, Inc., and Broadridge Financial Solutions, Inc. contributed the most to the performance of the underlying index for the period. Mallinckrodt Plc, TreeHouse Foods, Inc., and NCR Corp. were the largest detractors from performance of the underlying index for the period.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 68 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| A-Class | March 31, 2004 |
| C-Class | August 20, 2001 |
| H-Class | August 16, 2001 |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 38.7% |
| Guggenheim Strategy Fund I | 31.1% |
| MSCI, Inc. — Class A | 0.1% |
| Broadridge Financial Solutions, Inc. | 0.1% |
| ABIOMED, Inc. | 0.1% |
| Teleflex, Inc. | 0.1% |
| IDEX Corp. | 0.1% |
| Steel Dynamics, Inc. | 0.1% |
| Copart, Inc. | 0.1% |
| Domino’s Pizza, Inc. | 0.1% |
| Top Ten Total | 70.6% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 13.74% | 15.32% | 12.07% |
| A-Class Shares with sales charge‡ | 8.34% | 14.20% | 11.52% |
| C-Class Shares | 12.89% | 14.47% | 11.24% |
| C-Class Shares with CDSC§ | 11.89% | 14.47% | 11.24% |
| H-Class Shares | 13.82% | 15.40% | 12.12% |
| S&P MidCap 400 Index | 10.97% | 11.97% | 10.90% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 69 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 7.0% |
| | | | | | | |
| Financial - 1.7% |
| Reinsurance Group of America, Inc. — Class A | | | 58 | | | $ | 8,932 | |
| SEI Investments Co. | | | 117 | | | | 8,765 | |
| Alleghany Corp. | | | 14 | | | | 8,602 | |
| East West Bancorp, Inc. | | | 130 | | | | 8,130 | |
| Jones Lang LaSalle, Inc. | | | 41 | | | | 7,160 | |
| Camden Property Trust REIT | | | 83 | | | | 6,987 | |
| American Financial Group, Inc. | | | 62 | | | | 6,958 | |
| Signature Bank* | | | 48 | | | | 6,814 | |
| Kilroy Realty Corp. REIT | | | 89 | | | | 6,315 | |
| WR Berkley Corp. | | | 86 | | | | 6,252 | |
| Eaton Vance Corp. | | | 108 | | | | 6,012 | |
| First American Financial Corp. | | | 99 | | | | 5,809 | |
| New York Community Bancorp, Inc. | | | 440 | | | | 5,734 | |
| PacWest Bancorp | | | 113 | | | | 5,597 | |
| First Horizon National Corp. | | | 293 | | | | 5,517 | |
| Cullen/Frost Bankers, Inc. | | | 52 | | | | 5,516 | |
| National Retail Properties, Inc. REIT | | | 138 | | | | 5,418 | |
| Janus Henderson Group plc | | | 162 | | | | 5,361 | |
| Synovus Financial Corp. | | | 106 | | | | 5,294 | |
| Bank of the Ozarks | | | 109 | | | | 5,261 | |
| Douglas Emmett, Inc. REIT | | | 143 | | | | 5,257 | |
| Liberty Property Trust REIT | | | 132 | | | | 5,244 | |
| Brown & Brown, Inc. | | | 206 | | | | 5,241 | |
| Commerce Bancshares, Inc. | | | 84 | | | | 5,032 | |
| RenaissanceRe Holdings Ltd. | | | 36 | | | | 4,986 | |
| Old Republic International Corp. | | | 225 | | | | 4,826 | |
| Omega Healthcare Investors, Inc. REIT1 | | | 178 | | | | 4,813 | |
| Lamar Advertising Co. — Class A REIT | | | 75 | | | | 4,774 | |
| DCT Industrial Trust, Inc. REIT | | | 84 | | | | 4,733 | |
| American Campus Communities, Inc. REIT | | | 122 | | | | 4,712 | |
| Webster Financial Corp. | | | 83 | | | | 4,598 | |
| Prosperity Bancshares, Inc. | | | 63 | | | | 4,576 | |
| Sterling Bancorp | | | 202 | | | | 4,555 | |
| Hanover Insurance Group, Inc. | | | 38 | | | | 4,480 | |
| CyrusOne, Inc. REIT | | | 86 | | | | 4,404 | |
| SLM Corp.* | | | 389 | | | | 4,361 | |
| Interactive Brokers Group, Inc. — Class A | | | 64 | | | | 4,303 | |
| Wintrust Financial Corp. | | | 50 | | | | 4,303 | |
| Medical Properties Trust, Inc. REIT | | | 327 | | | | 4,251 | |
| Umpqua Holdings Corp. | | | 198 | | | | 4,239 | |
| Pinnacle Financial Partners, Inc. | | | 66 | | | | 4,237 | |
| Rayonier, Inc. REIT | | | 116 | | | | 4,081 | |
| Highwoods Properties, Inc. REIT | | | 93 | | | | 4,075 | |
| Texas Capital Bancshares, Inc.* | | | 45 | | | | 4,045 | |
| Hancock Holding Co. | | | 76 | | | | 3,929 | |
| FNB Corp. | | | 290 | | | | 3,900 | |
| Primerica, Inc. | | | 40 | | | | 3,864 | |
| Associated Banc-Corp. | | | 153 | | | | 3,802 | |
| Stifel Financial Corp. | | | 64 | | | | 3,791 | |
| Hospitality Properties Trust REIT | | | 147 | | | | 3,725 | |
| Life Storage, Inc. REIT | | | 42 | | | | 3,508 | |
| Chemical Financial Corp. | | | 64 | | | | 3,500 | |
| TCF Financial Corp. | | | 153 | | | | 3,490 | |
| Senior Housing Properties Trust REIT | | | 213 | | | | 3,336 | |
| United Bankshares, Inc. | | | 94 | | | | 3,313 | |
| Cousins Properties, Inc. REIT | | | 377 | | | | 3,272 | |
| CNO Financial Group, Inc. | | | 150 | | | | 3,251 | |
| Home BancShares, Inc. | | | 142 | | | | 3,239 | |
| Evercore, Inc. — Class A | | | 37 | | | | 3,226 | |
| EPR Properties REIT | | | 58 | | | | 3,213 | |
| Bank of Hawaii Corp. | | | 38 | | | | 3,158 | |
| First Industrial Realty Trust, Inc. REIT | | | 108 | | | | 3,157 | |
| Taubman Centers, Inc. REIT | | | 55 | | | | 3,130 | |
| CoreSite Realty Corp. REIT | | | 31 | | | | 3,108 | |
| Healthcare Realty Trust, Inc. REIT | | | 112 | | | | 3,103 | |
| Legg Mason, Inc. | | | 76 | | | | 3,089 | |
| MB Financial, Inc. | | | 75 | | | | 3,036 | |
| Weingarten Realty Investors REIT | | | 107 | | | | 3,005 | |
| LaSalle Hotel Properties REIT | | | 102 | | | | 2,959 | |
| Valley National Bancorp | | | 237 | | | | 2,953 | |
| Federated Investors, Inc. — Class B | | | 85 | | | | 2,839 | |
| JBG SMITH Properties REIT | | | 84 | | | | 2,832 | |
| Sabra Health Care REIT, Inc. | | | 160 | | | | 2,824 | |
| UMB Financial Corp. | | | 39 | | | | 2,823 | |
| PotlatchDeltic Corp. REIT | | | 54 | | | | 2,811 | |
| Fulton Financial Corp. | | | 157 | | | | 2,787 | |
| Cathay General Bancorp | | | 68 | | | | 2,719 | |
| Washington Federal, Inc. | | | 77 | | | | 2,664 | |
| Kemper Corp. | | | 44 | | | | 2,508 | |
| Uniti Group, Inc. REIT1 | | | 148 | | | | 2,405 | |
| BancorpSouth Bank | | | 75 | | | | 2,385 | |
| Aspen Insurance Holdings Ltd. | | | 53 | | | | 2,377 | |
| Corporate Office Properties Trust REIT | | | 91 | | | | 2,351 | |
| GEO Group, Inc. REIT | | | 111 | | | | 2,272 | |
| Education Realty Trust, Inc. REIT | | | 68 | | | | 2,227 | |
| CoreCivic, Inc. REIT | | | 106 | | | | 2,069 | |
| Urban Edge Properties REIT | | | 95 | | | | 2,028 | |
| International Bancshares Corp. | | | 49 | | | | 1,906 | |
| Trustmark Corp. | | | 61 | | | | 1,901 | |
| Tanger Factory Outlet Centers, Inc. REIT1 | | | 85 | | | | 1,870 | |
| Quality Care Properties, Inc. REIT* | | | 84 | | | | 1,632 | |
| Mercury General Corp. | | | 33 | | | | 1,514 | |
| Alexander & Baldwin, Inc. REIT | | | 61 | | | | 1,411 | |
| Mack-Cali Realty Corp. REIT | | | 81 | | | | 1,353 | |
| Genworth Financial, Inc. — Class A* | | | 448 | | | | 1,268 | |
| Washington Prime Group, Inc. REIT | | | 167 | | | | 1,114 | |
| Total Financial | | | | | | | 384,507 | |
| | | | | | | | | |
| Industrial - 1.3% |
| IDEX Corp. | | | 69 | | | | 9,833 | |
| Old Dominion Freight Line, Inc. | | | 61 | | | | 8,965 | |
| Keysight Technologies, Inc.* | | | 170 | | | | 8,906 | |
| Cognex Corp. | | | 156 | | | | 8,111 | |
| Trimble, Inc.* | | | 223 | | | | 8,001 | |
| Graco, Inc. | | | 152 | | | | 6,949 | |
| Lennox International, Inc. | | | 34 | | | | 6,949 | |
| Orbital ATK, Inc. | | | 52 | | | | 6,896 | |
| Zebra Technologies Corp. — Class A* | | | 48 | | | | 6,681 | |
| Nordson Corp. | | | 46 | | | | 6,272 | |
| Wabtec Corp. | | | 77 | | | | 6,268 | |
| 70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Arrow Electronics, Inc.* | | | 79 | | | $ | 6,085 | |
| Teledyne Technologies, Inc.* | | | 32 | | | | 5,989 | |
| Hubbell, Inc. | | | 49 | | | | 5,967 | |
| Carlisle Companies, Inc. | | | 55 | | | | 5,743 | |
| Gentex Corp. | | | 246 | | | | 5,663 | |
| Curtiss-Wright Corp. | | | 40 | | | | 5,403 | |
| Knight-Swift Transportation Holdings, Inc. | | | 115 | | | | 5,291 | |
| Donaldson Company, Inc. | | | 117 | | | | 5,271 | |
| Oshkosh Corp. | | | 67 | | | | 5,177 | |
| AECOM* | | | 143 | | | | 5,095 | |
| AptarGroup, Inc. | | | 56 | | | | 5,031 | |
| Lincoln Electric Holdings, Inc. | | | 55 | | | | 4,947 | |
| National Instruments Corp. | | | 96 | | | | 4,855 | |
| Littelfuse, Inc. | | | 22 | | | | 4,580 | |
| Eagle Materials, Inc. | | | 44 | | | | 4,534 | |
| Jabil, Inc. | | | 157 | | | | 4,511 | |
| Avnet, Inc. | | | 108 | | | | 4,510 | |
| Trinity Industries, Inc. | | | 135 | | | | 4,405 | |
| Sonoco Products Co. | | | 89 | | | | 4,316 | |
| Crane Co. | | | 45 | | | | 4,173 | |
| Landstar System, Inc. | | | 38 | | | | 4,167 | |
| Coherent, Inc.* | | | 22 | | | | 4,123 | |
| EMCOR Group, Inc. | | | 52 | | | | 4,052 | |
| Genesee & Wyoming, Inc. — Class A* | | | 56 | | | | 3,964 | |
| ITT, Inc. | | | 79 | | | | 3,869 | |
| AGCO Corp. | | | 59 | | | | 3,826 | |
| Louisiana-Pacific Corp. | | | 130 | | | | 3,740 | |
| Kirby Corp.* | | | 48 | | | | 3,694 | |
| Bemis Company, Inc. | | | 82 | | | | 3,569 | |
| Cree, Inc.* | | | 88 | | | | 3,547 | |
| Woodward, Inc. | | | 49 | | | | 3,511 | |
| Ryder System, Inc. | | | 48 | | | | 3,494 | |
| Energizer Holdings, Inc. | | | 54 | | | | 3,217 | |
| KLX, Inc.* | | | 45 | | | | 3,198 | |
| Owens-Illinois, Inc.* | | | 146 | | | | 3,162 | |
| SYNNEX Corp. | | | 26 | | | | 3,078 | |
| Dycom Industries, Inc.* | | | 28 | | | | 3,014 | |
| Regal Beloit Corp. | | | 40 | | | | 2,934 | |
| Kennametal, Inc. | | | 73 | | | | 2,932 | |
| Valmont Industries, Inc. | | | 20 | | | | 2,926 | |
| Timken Co. | | | 61 | | | | 2,782 | |
| Tech Data Corp.* | | | 31 | | | | 2,639 | |
| EnerSys | | | 38 | | | | 2,636 | |
| Belden, Inc. | | | 38 | | | | 2,620 | |
| Terex Corp. | | | 69 | | | | 2,581 | |
| MSA Safety, Inc. | | | 31 | | | | 2,581 | |
| GATX Corp. | | | 34 | | | | 2,329 | |
| Clean Harbors, Inc.* | | | 46 | | | | 2,245 | |
| Vishay Intertechnology, Inc. | | | 118 | | | | 2,195 | |
| KBR, Inc. | | | 126 | | | | 2,040 | |
| Granite Construction, Inc. | | | 36 | | | | 2,011 | |
| Silgan Holdings, Inc. | | | 66 | | | | 1,838 | |
| Esterline Technologies Corp.* | | | 23 | | | | 1,682 | |
| Worthington Industries, Inc. | | | 39 | | | | 1,674 | |
| Werner Enterprises, Inc. | | | 40 | | | | 1,460 | |
| Greif, Inc. — Class A | | | 23 | | | | 1,202 | |
| Knowles Corp.* | | | 80 | | | | 1,007 | |
| Total Industrial | | | | | | | 290,916 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 1.0% |
| ABIOMED, Inc.* | | | 38 | | | | 11,058 | |
| Teleflex, Inc. | | | 40 | | | | 10,199 | |
| Ingredion, Inc. | | | 65 | | | | 8,380 | |
| WellCare Health Plans, Inc.* | | | 40 | | | | 7,745 | |
| Lamb Weston Holdings, Inc. | | | 131 | | | | 7,627 | |
| MarketAxess Holdings, Inc. | | | 34 | | | | 7,393 | |
| STERIS plc | | | 76 | | | | 7,095 | |
| ManpowerGroup, Inc. | | | 59 | | | | 6,791 | |
| Service Corporation International | | | 166 | | | | 6,265 | |
| West Pharmaceutical Services, Inc. | | | 66 | | | | 5,827 | |
| WEX, Inc.* | | | 36 | | | | 5,638 | |
| Bio-Techne Corp. | | | 34 | | | | 5,135 | |
| Hill-Rom Holdings, Inc. | | | 59 | | | | 5,133 | |
| Encompass Health Corp. | | | 88 | | | | 5,031 | |
| Catalent, Inc.* | | | 120 | | | | 4,927 | |
| MEDNAX, Inc.* | | | 84 | | | | 4,673 | |
| Charles River Laboratories International, Inc.* | | | 43 | | | | 4,590 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 18 | | | | 4,502 | |
| Post Holdings, Inc.* | | | 59 | | | | 4,470 | |
| Rollins, Inc. | | | 86 | | | | 4,388 | |
| United Therapeutics Corp.* | | | 39 | | | | 4,382 | |
| Sabre Corp. | | | 202 | | | | 4,333 | |
| Masimo Corp.* | | | 43 | | | | 3,782 | |
| Flowers Foods, Inc. | | | 166 | | | | 3,629 | |
| Cantel Medical Corp. | | | 32 | | | | 3,565 | |
| ICU Medical, Inc.* | | | 14 | | | | 3,534 | |
| LivaNova plc* | | | 39 | | | | 3,452 | |
| Molina Healthcare, Inc.* | | | 41 | | | | 3,328 | |
| CoreLogic, Inc.* | | | 73 | | | | 3,302 | |
| Globus Medical, Inc. — Class A* | | | 65 | | | | 3,238 | |
| Brink’s Co. | | | 45 | | | | 3,211 | |
| Deluxe Corp. | | | 43 | | | | 3,182 | |
| Avis Budget Group, Inc.*,1 | | | 64 | | | | 2,998 | |
| Hain Celestial Group, Inc.* | | | 93 | | | | 2,982 | |
| Healthcare Services Group, Inc. | | | 66 | | | | 2,870 | |
| Acadia Healthcare Company, Inc.* | | | 73 | | | | 2,860 | |
| Sprouts Farmers Market, Inc.* | | | 111 | | | | 2,605 | |
| Adtalem Global Education, Inc.* | | | 54 | | | | 2,568 | |
| Aaron’s, Inc. | | | 55 | | | | 2,563 | |
| Graham Holdings Co. — Class B | | | 4 | | | | 2,409 | |
| NuVasive, Inc.* | | | 46 | | | | 2,402 | |
| Edgewell Personal Care Co.* | | | 48 | | | | 2,343 | |
| LendingTree, Inc.* | | | 7 | | | | 2,297 | |
| Sanderson Farms, Inc. | | | 18 | | | | 2,142 | |
| Lancaster Colony Corp. | | | 17 | | | | 2,093 | |
| Helen of Troy Ltd.* | | | 24 | | | | 2,088 | |
| TreeHouse Foods, Inc.* | | | 51 | | | | 1,952 | |
| Halyard Health, Inc.* | | | 42 | | | | 1,935 | |
| United Natural Foods, Inc.* | | | 45 | | | | 1,932 | |
| Syneos Health, Inc.* | | | 51 | | | | 1,811 | |
| Tenet Healthcare Corp.* | | | 73 | | | | 1,770 | |
| Sotheby’s* | | | 33 | | | | 1,693 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| LifePoint Health, Inc.* | | | 35 | | | $ | 1,645 | |
| Patterson Companies, Inc. | | | 73 | | | | 1,623 | |
| Prestige Brands Holdings, Inc.* | | | 48 | | | | 1,619 | |
| Akorn, Inc.* | | | 84 | | | | 1,572 | |
| Boston Beer Company, Inc. — Class A* | | | 8 | | | | 1,512 | |
| Mallinckrodt plc*,1 | | | 77 | | | | 1,115 | |
| Endo International plc* | | | 180 | | | | 1,069 | |
| Tootsie Roll Industries, Inc. | | | 18 | | | | 516 | |
| Total Consumer, Non-cyclical | | | | | | | 226,789 | |
| | | | | | | | | |
| Consumer, Cyclical - 0.9% |
| Copart, Inc.* | | | 181 | | | | 9,218 | |
| Domino’s Pizza, Inc. | | | 39 | | | | 9,109 | |
| NVR, Inc.* | | | 3 | | | | 8,400 | |
| Polaris Industries, Inc.1 | | | 53 | | | | 6,069 | |
| Toro Co. | | | 96 | | | | 5,995 | |
| JetBlue Airways Corp.* | | | 289 | | | | 5,872 | |
| Toll Brothers, Inc. | | | 128 | | | | 5,536 | |
| Pool Corp. | | | 36 | | | | 5,264 | |
| Watsco, Inc. | | | 29 | | | | 5,248 | |
| Live Nation Entertainment, Inc.* | | | 121 | | | | 5,099 | |
| Thor Industries, Inc. | | | 44 | | | | 5,067 | |
| Skechers U.S.A., Inc. — Class A* | | | 122 | | | | 4,745 | |
| Brunswick Corp. | | | 79 | | | | 4,692 | |
| Six Flags Entertainment Corp. | | | 71 | | | | 4,420 | |
| Dunkin’ Brands Group, Inc. | | | 74 | | | | 4,417 | |
| Carter’s, Inc. | | | 42 | | | | 4,372 | |
| Delphi Technologies plc | | | 79 | | | | 3,764 | |
| Casey’s General Stores, Inc. | | | 34 | | | | 3,732 | |
| MSC Industrial Direct Company, Inc. — Class A | | | 40 | | | | 3,668 | |
| Williams-Sonoma, Inc. | | | 69 | | | | 3,641 | |
| Cinemark Holdings, Inc. | | | 95 | | | | 3,579 | |
| Cracker Barrel Old Country Store, Inc.1 | | | 22 | | | | 3,502 | |
| Texas Roadhouse, Inc. — Class A | | | 59 | | | | 3,409 | |
| Dana, Inc. | | | 130 | | | | 3,349 | |
| Nu Skin Enterprises, Inc. — Class A | | | 44 | | | | 3,243 | |
| Scotts Miracle-Gro Co. — Class A | | | 36 | | | | 3,087 | |
| American Eagle Outfitters, Inc. | | | 151 | | | | 3,010 | |
| ILG, Inc. | | | 95 | | | | 2,955 | |
| Wendy’s Co. | | | 161 | | | | 2,826 | |
| Bed Bath & Beyond, Inc. | | | 128 | | | | 2,687 | |
| Urban Outfitters, Inc.* | | | 72 | | | | 2,661 | |
| Dick’s Sporting Goods, Inc. | | | 74 | | | | 2,594 | |
| AutoNation, Inc.* | | | 54 | | | | 2,526 | |
| Deckers Outdoor Corp.* | | | 28 | | | | 2,521 | |
| Churchill Downs, Inc. | | | 10 | | | | 2,440 | |
| Boyd Gaming Corp. | | | 74 | | | | 2,358 | |
| TRI Pointe Group, Inc.* | | | 136 | | | | 2,235 | |
| Tupperware Brands Corp. | | | 46 | | | | 2,226 | |
| Jack in the Box, Inc. | | | 26 | | | | 2,219 | |
| KB Home | | | 76 | | | | 2,162 | |
| Signet Jewelers Ltd.1 | | | 54 | | | | 2,080 | |
| Scientific Games Corp. — Class A* | | | 48 | | | | 1,997 | |
| Michaels Companies, Inc.* | | | 99 | | | | 1,951 | |
| Tempur Sealy International, Inc.* | | | 41 | | | | 1,857 | |
| Sally Beauty Holdings, Inc.* | | | 112 | | | | 1,842 | |
| Cheesecake Factory, Inc.1 | | | 38 | | | | 1,832 | |
| Herman Miller, Inc. | | | 54 | | | | 1,725 | |
| Big Lots, Inc. | | | 38 | | | | 1,654 | |
| Brinker International, Inc.1 | | | 42 | | | | 1,516 | |
| World Fuel Services Corp. | | | 61 | | | | 1,498 | |
| Dillard’s, Inc. — Class A1 | | | 18 | | | | 1,446 | |
| HNI Corp. | | | 39 | | | | 1,408 | |
| Cooper Tire & Rubber Co. | | | 46 | | | | 1,348 | |
| Papa John’s International, Inc. | | | 22 | | | | 1,261 | |
| GameStop Corp. — Class A1 | | | 91 | | | | 1,149 | |
| Office Depot, Inc. | | | 462 | | | | 993 | |
| International Speedway Corp. — Class A | | | 22 | | | | 970 | |
| Total Consumer, Cyclical | | | | | | | 190,444 | |
| | | | | | | | | |
| Technology - 0.8% |
| MSCI, Inc. — Class A | | | 81 | | | | 12,107 | |
| Broadridge Financial Solutions, Inc. | | | 105 | | | | 11,517 | |
| Leidos Holdings, Inc. | | | 128 | | | | 8,371 | |
| Jack Henry & Associates, Inc. | | | 69 | | | | 8,346 | |
| PTC, Inc.* | | | 104 | | | | 8,113 | |
| Teradyne, Inc. | | | 175 | | | | 7,999 | |
| CDK Global, Inc. | | | 113 | | | | 7,157 | |
| Fortinet, Inc.* | | | 130 | | | | 6,966 | |
| Microsemi Corp.* | | | 105 | | | | 6,795 | |
| Tyler Technologies, Inc.* | | | 32 | | | | 6,751 | |
| Ultimate Software Group, Inc.* | | | 26 | | | | 6,336 | |
| MKS Instruments, Inc. | | | 49 | | | | 5,667 | |
| Cypress Semiconductor Corp. | | | 318 | | | | 5,393 | |
| Fair Isaac Corp.* | | | 27 | | | | 4,573 | |
| DST Systems, Inc. | | | 53 | | | | 4,434 | |
| Blackbaud, Inc. | | | 43 | | | | 4,378 | |
| Teradata Corp.* | | | 109 | | | | 4,324 | |
| Monolithic Power Systems, Inc. | | | 35 | | | | 4,052 | |
| MAXIMUS, Inc. | | | 58 | | | | 3,871 | |
| Dun & Bradstreet Corp. | | | 33 | | | | 3,861 | |
| Integrated Device Technology, Inc.* | | | 119 | | | | 3,637 | |
| j2 Global, Inc. | | | 44 | | | | 3,473 | |
| Silicon Laboratories, Inc.* | | | 38 | | | | 3,416 | |
| NCR Corp.* | | | 106 | | | | 3,341 | |
| Medidata Solutions, Inc.* | | | 53 | | | | 3,329 | |
| Science Applications International Corp. | | | 38 | | | | 2,994 | |
| Manhattan Associates, Inc.* | | | 61 | | | | 2,555 | |
| ACI Worldwide, Inc.* | | | 104 | | | | 2,467 | |
| Cirrus Logic, Inc.* | | | 57 | | | | 2,316 | |
| CommVault Systems, Inc.* | | | 37 | | | | 2,116 | |
| NetScout Systems, Inc.* | | | 78 | | | | 2,055 | |
| Allscripts Healthcare Solutions, Inc.* | | | 162 | | | | 2,001 | |
| Convergys Corp. | | | 82 | | | | 1,855 | |
| Pitney Bowes, Inc. | | | 168 | | | | 1,829 | |
| Acxiom Corp.* | | | 71 | | | | 1,612 | |
| VeriFone Systems, Inc.* | | | 99 | | | | 1,523 | |
| Synaptics, Inc.* | | | 31 | | | | 1,418 | |
| 3D Systems Corp.*,1 | | | 102 | | | | 1,182 | |
| Diebold Nixdorf, Inc.1 | | | 68 | | | | 1,047 | |
| Total Technology | | | | | | | 175,177 | |
| 72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Utilities - 0.4% |
| Atmos Energy Corp. | | | 100 | | | $ | 8,424 | |
| UGI Corp. | | | 155 | | | | 6,885 | |
| Westar Energy, Inc. | | | 128 | | | | 6,732 | |
| Great Plains Energy, Inc. | | | 193 | | | | 6,135 | |
| OGE Energy Corp. | | | 179 | | | | 5,866 | |
| Aqua America, Inc. | | | 159 | | | | 5,415 | |
| MDU Resources Group, Inc. | | | 175 | | | | 4,928 | |
| Vectren Corp. | | | 74 | | | | 4,730 | |
| IDACORP, Inc. | | | 45 | | | | 3,972 | |
| National Fuel Gas Co. | | | 77 | | | | 3,962 | |
| WGL Holdings, Inc. | | | 46 | | | | 3,848 | |
| Hawaiian Electric Industries, Inc. | | | 98 | | | | 3,369 | |
| ALLETE, Inc. | | | 46 | | | | 3,324 | |
| New Jersey Resources Corp. | | | 79 | | | | 3,168 | |
| ONE Gas, Inc. | | | 47 | | | | 3,103 | |
| Southwest Gas Holdings, Inc. | | | 43 | | | | 2,908 | |
| PNM Resources, Inc. | | | 71 | | | | 2,716 | |
| Black Hills Corp. | | | 48 | | | | 2,606 | |
| NorthWestern Corp. | | | 44 | | | | 2,367 | |
| Total Utilities | | | | | | | 84,458 | |
| | | | | | | | | |
| Basic Materials - 0.4% |
| Steel Dynamics, Inc. | | | 212 | | | | 9,375 | |
| Chemours Co. | | | 166 | | | | 8,086 | |
| RPM International, Inc. | | | 120 | | | | 5,720 | |
| Reliance Steel & Aluminum Co. | | | 65 | | | | 5,573 | |
| United States Steel Corp. | | | 158 | | | | 5,560 | |
| Royal Gold, Inc. | | | 59 | | | | 5,067 | |
| Olin Corp. | | | 150 | | | | 4,559 | |
| Valvoline, Inc. | | | 179 | | | | 3,961 | |
| Ashland Global Holdings, Inc. | | | 56 | | | | 3,908 | |
| Versum Materials, Inc. | | | 98 | | | | 3,688 | |
| NewMarket Corp. | | | 8 | | | | 3,213 | |
| PolyOne Corp. | | | 73 | | | | 3,104 | |
| Cabot Corp. | | | 55 | | | | 3,065 | |
| Sensient Technologies Corp. | | | 39 | | | | 2,753 | |
| Allegheny Technologies, Inc.* | | | 113 | | | | 2,676 | |
| Domtar Corp. | | | 56 | | | | 2,382 | |
| Commercial Metals Co. | | | 105 | | | | 2,148 | |
| Minerals Technologies, Inc. | | | 32 | | | | 2,142 | |
| Carpenter Technology Corp. | | | 42 | | | | 1,853 | |
| Compass Minerals International, Inc.1 | | | 30 | | | | 1,809 | |
| Total Basic Materials | | | | | | | 80,642 | |
| | | | | | | | | |
| Energy - 0.3% |
| HollyFrontier Corp. | | | 159 | | | | 7,769 | |
| Energen Corp.* | | | 87 | | | | 5,469 | |
| WPX Energy, Inc.* | | | 357 | | | | 5,276 | |
| First Solar, Inc.* | | | 73 | | | | 5,182 | |
| Core Laboratories N.V. | | | 40 | | | | 4,329 | |
| Transocean Ltd.* | | | 391 | | | | 3,871 | |
| Murphy Oil Corp. | | | 145 | | | | 3,747 | |
| Patterson-UTI Energy, Inc. | | | 199 | | | | 3,485 | |
| PBF Energy, Inc. — Class A | | | 99 | | | | 3,356 | |
| CNX Resources Corp.* | | | 181 | | | | 2,793 | |
| Matador Resources Co.* | | | 87 | | | | 2,602 | |
| Chesapeake Energy Corp.*,1 | | | 815 | | | | 2,461 | |
| Callon Petroleum Co.* | | | 181 | | | | 2,396 | |
| QEP Resources, Inc.* | | | 216 | | | | 2,115 | |
| Murphy USA, Inc.* | | | 28 | | | | 2,038 | |
| Southwestern Energy Co.* | | | 458 | | | | 1,983 | |
| Nabors Industries Ltd. | | | 283 | | | | 1,978 | |
| Ensco plc — Class A1 | | | 391 | | | | 1,717 | |
| SM Energy Co. | | | 92 | | | | 1,659 | |
| Oceaneering International, Inc. | | | 88 | | | | 1,632 | |
| Dril-Quip, Inc.* | | | 34 | | | | 1,523 | |
| Gulfport Energy Corp.* | | | 148 | | | | 1,428 | |
| Rowan Companies plc — Class A* | | | 102 | | | | 1,177 | |
| Superior Energy Services, Inc.* | | | 138 | | | | 1,163 | |
| NOW, Inc.* | | | 97 | | | | 991 | |
| Diamond Offshore Drilling, Inc.*,1 | | | 58 | | | | 850 | |
| Total Energy | | | | | | | 72,990 | |
| | | | | | | | | |
| Communications - 0.2% |
| FactSet Research Systems, Inc. | | | 35 | | | | 6,980 | |
| LogMeIn, Inc. | | | 47 | | | | 5,431 | |
| ARRIS International plc* | | | 156 | | | | 4,145 | |
| Ciena Corp.* | | | 129 | | | | 3,341 | |
| ViaSat, Inc.*,1 | | | 49 | | | | 3,220 | |
| New York Times Co. — Class A | | | 115 | | | | 2,772 | |
| Cable One, Inc. | | | 4 | | | | 2,748 | |
| John Wiley & Sons, Inc. — Class A | | | 40 | | | | 2,548 | |
| Telephone & Data Systems, Inc. | | | 83 | | | | 2,326 | |
| InterDigital, Inc. | | | 31 | | | | 2,282 | |
| AMC Networks, Inc. — Class A* | | | 44 | | | | 2,275 | |
| TEGNA, Inc. | | | 193 | | | | 2,198 | |
| Meredith Corp. | | | 36 | | | | 1,937 | |
| Cars.com, Inc.* | | | 64 | | | | 1,813 | |
| Plantronics, Inc. | | | 30 | | | | 1,811 | |
| Total Communications | | | | | | | 45,827 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $1,491,813) | | | | | | | 1,551,750 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 69.8% |
| Guggenheim Strategy Fund II2 | | | 343,908 | | | | 8,601,145 | |
| Guggenheim Strategy Fund I2 | | | 275,588 | | | | 6,903,472 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $15,479,971) | | | | | | | 15,504,617 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,3 - 18.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/184 | | $ | 3,114,213 | | | $ | 3,114,213 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/184 | | | 1,019,053 | | | | 1,019,053 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $4,133,266) | | | | | | | 4,133,266 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,5 - 0.1% |
| Money Market Fund |
| First American Government Obligations Fund — Class Z, 1.49%6 | | | 30,559 | | | | 30,559 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $30,559) | | | | | | | 30,559 | |
| | | | | | | | | |
| Total Investments - 95.5% | | | | | | | | |
| (Cost $21,135,609) | | | | | | $ | 21,220,192 | |
| Other Assets & Liabilities, net - 4.5% | | | | | | | 993,381 | |
| Total Net Assets - 100.0% | | | | | | $ | 22,213,573 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| S&P MidCap 400 Index Mini Futures Contracts | | | 63 | | | Jun 2018 | | $ | 11,850,930 | | | $ | (412,725 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Equity Index Swap Agreements†† |
| BNP Paribas | | S&P MidCap 400 Index | | | 2.24 | % | | At Maturity | | 04/30/18 | | | 2,791 | | | $ | 5,243,619 | | | $ | 75,413 | |
| Barclays Bank plc | | S&P MidCap 400 Index | | | 2.09 | % | | At Maturity | | 04/30/18 | | | 763 | | | | 1,433,016 | | | | 19,061 | |
| Goldman Sachs International | | S&P MidCap 400 Index | | | 2.09 | % | | At Maturity | | 04/27/18 | | | 7,074 | | | | 13,290,601 | | | | 7,522 | |
| | | | | | | | | | | | | | | | | $ | 19,967,236 | | | $ | 101,996 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 2 | | Affiliated issuer. |
| 3 | | Repurchase Agreements — See Note 6. |
| 4 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 5 | | Securities lending collateral — See Note 7. |
| 6 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | plc — Public Limited Company |
| | | REIT — Real Estate Investment Trust |
| | | |
| | | See Sector Classification in Other Information section. |
| 74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| MID-CAP 1.5x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 1,551,750 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,551,750 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 101,996 | | | | — | | | | 101,996 | |
| Mutual Funds | | | 15,504,617 | | | | — | | | | — | | | | — | | | | — | | | | 15,504,617 | |
| Repurchase Agreements | | | — | | | | — | | | | 4,133,266 | | | | — | | | | — | | | | 4,133,266 | |
| Securities Lending Collateral | | | 30,559 | | | | — | | | | — | | | | — | | | | — | | | | 30,559 | |
| Total Assets | | $ | 17,086,926 | | | $ | — | | | $ | 4,133,266 | | | $ | 101,996 | | | $ | — | | | $ | 21,322,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 412,725 | | | $ | — | | | $ | — | | | $ | — | | | $ | 412,725 | |
| * | 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 year ended March 29, 2018, 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 8,803,108 | | | $ | 12,000,000 | | | $ | (13,900,000 | ) | | $ | 16,643 | | | $ | (16,279 | ) | | $ | 6,903,472 | | | | 275,588 | | | $ | 155,680 | | | $ | 2,202 | |
| Guggenheim Strategy Fund II | | | 10,160,083 | | | | 6,000,000 | | | | (7,550,000 | ) | | | 1,714 | | | | (10,652 | ) | | | 8,601,145 | | | | 343,908 | | | | 229,407 | | | | 6,572 | |
| | | $ | 18,963,191 | | | $ | 18,000,000 | | | $ | (21,450,000 | ) | | $ | 18,357 | | | $ | (26,931 | ) | | $ | 15,504,617 | | | | | | | $ | 385,087 | | | $ | 8,774 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
| MID-CAP 1.5x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value - including $29,443 of securities loaned (cost $1,522,372) | | $ | 1,582,309 | |
| Investments in affiliated issuers, at value (cost $15,479,971) | | | 15,504,617 | |
| Repurchase agreements, at value (cost $4,133,266) | | | 4,133,266 | |
| Cash | | | 354 | |
| Segregated cash with broker | | | 757,845 | |
| Unrealized appreciation on swap agreements | | | 101,996 | |
| Receivables: |
| Variation margin | | | 156,870 | |
| Dividends | | | 34,477 | |
| Fund shares sold | | | 12,699 | |
| Swap settlement | | | 7,241 | |
| Interest | | | 618 | |
| Securities lending income | | | 29 | |
| Total assets | | | 22,292,321 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 30,559 | |
| Management fees | | | 17,474 | |
| Distribution and service fees | | | 8,671 | |
| Transfer agent and administrative fees | | | 4,854 | |
| Portfolio accounting fees | | | 1,942 | |
| Fund shares redeemed | | | 1,048 | |
| Trustees’ fees* | | | 595 | |
| Miscellaneous | | | 13,605 | |
| Total liabilities | | | 78,748 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 22,213,573 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 21,315,659 | |
| Undistributed net investment income | | | 208,175 | |
| Accumulated net realized gain on investments | | | 915,885 | |
| Net unrealized depreciation on investments | | | (226,146 | ) |
| Net assets | | $ | 22,213,573 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 2,382,456 | |
| Capital shares outstanding | | | 26,361 | |
| Net asset value per share | | $ | 90.38 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 94.89 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 5,875,263 | |
| Capital shares outstanding | | | 74,382 | |
| Net asset value per share | | $ | 78.99 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 13,955,854 | |
| Capital shares outstanding | | | 153,666 | |
| Net asset value per share | | $ | 90.82 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $26) | | $ | 958,874 | |
| Dividends from securities of affiliated issuers | | | 385,087 | |
| Interest | | | 108,875 | |
| Income from securities lending, net | | | 10,800 | |
| Total investment income | | | 1,463,636 | |
| | | | | |
| Expenses: |
| Management fees | | | 652,953 | |
| Distribution and service fees: |
| A-Class | | | 4,680 | |
| C-Class | | | 63,355 | |
| H-Class | | | 160,857 | |
| Transfer agent and administrative fees | | | 181,376 | |
| Registration fees | | | 95,659 | |
| Portfolio accounting fees | | | 70,114 | |
| Custodian fees | | | 12,665 | |
| Trustees’ fees* | | | 9,740 | |
| Line of credit fees | | | 423 | |
| Miscellaneous | | | 3,639 | |
| Total expenses | | | 1,255,461 | |
| Net investment income | | | 208,175 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 7,913,129 | |
| Investments in affiliated issuers | | | 18,357 | |
| Distributions received from affiliated investment company shares | | | 8,774 | |
| Swap agreements | | | 3,350,526 | |
| Futures contracts | | | 4,319,690 | |
| Net realized gain | | | 15,610,476 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (252,224 | ) |
| Investments in affiliated issuers | | | (26,931 | ) |
| Swap agreements | | | (407,420 | ) |
| Futures contracts | | | (421,028 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,107,603 | ) |
| Net realized and unrealized gain | | | 14,502,873 | |
| Net increase in net assets resulting from operations | | $ | 14,711,048 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| MID-CAP 1.5x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 208,175 | | | $ | (340,190 | ) |
| Net realized gain on investments | | | 15,610,476 | | | | 11,668,465 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,107,603 | ) | | | (851,968 | ) |
| Net increase in net assets resulting from operations | | | 14,711,048 | | | | 10,476,307 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (15,856 | ) | | | (5,668 | ) |
| C-Class | | | (36,829 | ) | | | (15,978 | ) |
| H-Class | | | (1,268,478 | ) | | | (693,678 | ) |
| Total distributions to shareholders | | | (1,321,163 | ) | | | (715,324 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 8,151,254 | | | | 59,054,189 | |
| C-Class | | | 759,646 | | | | 2,596,544 | |
| H-Class | | | 694,252,101 | | | | 992,509,796 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 12,792 | | | | 3,889 | |
| C-Class | | | 36,567 | | | | 15,931 | |
| H-Class | | | 581,833 | | | | 252,871 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (7,941,273 | ) | | | (58,826,949 | ) |
| C-Class | | | (3,306,799 | ) | | | (1,331,076 | ) |
| H-Class | | | (713,448,078 | ) | | | (994,594,368 | ) |
| Net decrease from capital share transactions | | | (20,901,957 | ) | | | (319,173 | ) |
| Net increase (decrease) in net assets | | | (7,512,072 | ) | | | 9,441,810 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 29,725,645 | | | | 20,283,835 | |
| End of year | | $ | 22,213,573 | | | $ | 29,725,645 | |
| Undistributed net investment income at end of year | | $ | 208,175 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 91,040 | | | | 822,566 | |
| C-Class | | | 9,510 | | | | 43,403 | |
| H-Class | | | 7,776,386 | | | | 13,926,583 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 142 | | | | 53 | |
| C-Class | | | 464 | | | | 245 | |
| H-Class | | | 6,443 | | | | 3,418 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (89,042 | ) | | | (828,877 | ) |
| C-Class | | | (45,221 | ) | | | (21,601 | ) |
| H-Class | | | (7,879,319 | ) | | | (13,899,912 | ) |
| Net increase (decrease) in shares | | | (129,597 | ) | | | 45,878 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
| MID-CAP 1.5x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 79.90 | | | $ | 61.64 | | | $ | 67.32 | | | $ | 58.48 | | | $ | 45.07 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .15 | | | | (.09 | ) | | | (.47 | ) | | | (.41 | ) | | | (.35 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 10.83 | | | | 18.50 | | | | (4.81 | ) | | | 9.45 | | | | 13.76 | |
| Total from investment operations | | | 10.98 | | | | 18.41 | | | | (5.28 | ) | | | 9.04 | | | | 13.41 | |
| Less distributions from: |
| Net realized gains | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 90.38 | | | $ | 79.90 | | | $ | 61.64 | | | $ | 67.32 | | | $ | 58.48 | |
| |
| Total Returnb | | | 13.74 | % | | | 29.88 | % | | | (7.86 | %) | | | 15.50 | % | | | 29.75 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,382 | | | $ | 1,935 | | | $ | 1,879 | | | $ | 5,330 | | | $ | 2,632 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.17 | % | | | (0.13 | %) | | | (0.75 | %) | | | (0.66 | %) | | | (0.68 | %) |
| Total expensesc | | | 1.67 | % | | | 1.68 | % | | | 1.65 | % | | | 1.64 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 722 | % | | | 1,216 | % | | | 1,506 | % | | | 598 | % | | | 563 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 70.42 | | | $ | 54.73 | | | $ | 60.27 | | | $ | 52.77 | | | $ | 40.97 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.51 | ) | | | (.65 | ) | | | (.78 | ) | | | (.76 | ) | | | (.64 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.58 | | | | 16.49 | | | | (4.36 | ) | | | 8.46 | | | | 12.44 | |
| Total from investment operations | | | 9.07 | | | | 15.84 | | | | (5.14 | ) | | | 7.70 | | | | 11.80 | |
| Less distributions from: |
| Net realized gains | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 78.99 | | | $ | 70.42 | | | $ | 54.73 | | | $ | 60.27 | | | $ | 52.77 | |
| |
| Total Returnb | | | 12.89 | % | | | 28.94 | % | | | (8.55 | %) | | | 14.63 | % | | | 28.80 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,875 | | | $ | 7,720 | | | $ | 4,794 | | | $ | 4,615 | | | $ | 4,549 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.68 | %) | | | (1.05 | %) | | | (1.41 | %) | | | (1.39 | %) | | | (1.40 | %) |
| Total expensesc | | | 2.43 | % | | | 2.42 | % | | | 2.40 | % | | | 2.40 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 722 | % | | | 1,216 | % | | | 1,506 | % | | | 598 | % | | | 563 | % |
| 78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| MID-CAP 1.5x STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 80.23 | | | $ | 61.85 | | | $ | 67.45 | | | $ | 58.56 | | | $ | 45.13 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .35 | | | | (.37 | ) | | | (.57 | ) | | | (.29 | ) | | | (.34 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 10.74 | | | | 18.90 | | | | (4.63 | ) | | | 9.38 | | | | 13.77 | |
| Total from investment operations | | | 11.09 | | | | 18.53 | | | | (5.20 | ) | | | 9.09 | | | | 13.43 | |
| Less distributions from: |
| Net realized gains | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | (.50 | ) | | | (.15 | ) | | | (.40 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 90.82 | | | $ | 80.23 | | | $ | 61.85 | | | $ | 67.45 | | | $ | 58.56 | |
| |
| Total Returnb | | | 13.82 | % | | | 29.97 | % | | | (7.73 | %) | | | 15.56 | % | | | 29.76 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 13,956 | | | $ | 20,071 | | | $ | 13,611 | | | $ | 16,433 | | | $ | 19,413 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.39 | % | | | (0.50 | %) | | | (0.93 | %) | | | (0.47 | %) | | | (0.66 | %) |
| Total expensesc | | | 1.66 | % | | | 1.68 | % | | | 1.66 | % | | | 1.66 | % | | | 1.68 | % |
| Portfolio turnover rate | | | 722 | % | | | 1,216 | % | | | 1,506 | % | | | 598 | % | | | 563 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year ended March 29, 2018, Inverse Mid-Cap Strategy Fund H-Class returned -10.48%. Over the same period, its benchmark, the S&P MidCap 400 Index, returned 10.97%. Inverse Mid-Cap Strategy Fund achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the S&P MidCap 400 Index.
Industrials and Technology contributed the most to performance of the underlying index during the period. The largest detractors were Energy and Consumer Staples.
ABIOMED, Inc., Take-Two Interactive Software, Inc., and Broadridge Financial Solutions, Inc. contributed the most to the performance of the underlying index for the period. Mallinckrodt plc, TreeHouse Foods, Inc., and NCR Corp. were the largest detractors from performance of the underlying index for the period.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 80 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 29.4% |
| Guggenheim Strategy Fund I | 14.5% |
| Total | 43.9% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | (10.47%) | (12.95%) | (14.83%) |
| A-Class Shares with sales charge‡ | (14.72%) | (13.79%) | (15.25%) |
| C-Class Shares | (11.22%) | (13.63%) | (15.50%) |
| C-Class Shares with CDSC§ | (12.11%) | (13.63%) | (15.50%) |
| H-Class Shares | (10.48%) | (12.94%) | (14.84%) |
| S&P MidCap 400 Index | 10.97% | 11.97% | 10.90% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 81 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE MID-CAP STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 43.9% |
| Guggenheim Strategy Fund II1 | | | 7,845 | | | $ | 196,194 | |
| Guggenheim Strategy Fund I1 | | | 3,842 | | | | 96,248 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $290,563) | | | | | | | 292,442 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 28.8% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/183 | | $ | 144,582 | | | $ | 144,582 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/183 | | | 47,311 | | | | 47,311 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $191,893) | | | | | | | 191,893 | |
| | | | | | | | | |
| Total Investments - 72.7% | | | | | | | | |
| (Cost $482,456) | | | | | | $ | 484,335 | |
| Other Assets & Liabilities, net - 27.3% | | | | | | | 182,266 | |
| Total Net Assets - 100.0% | | | | | | $ | 666,601 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements Sold Short†† |
| Goldman Sachs International | | S&P MidCap 400 Index | | | (1.79 | %) | | At Maturity | | 04/27/18 | | | 201 | | | $ | 377,778 | | | $ | 139 | |
| Barclays Bank plc | | S&P MidCap 400 Index | | | (1.94 | %) | | At Maturity | | 04/30/18 | | | 47 | | | | 88,349 | | | | (1,175 | ) |
| BNP Paribas | | S&P MidCap 400 Index | | | (1.74 | %) | | At Maturity | | 04/30/18 | | | 116 | | | | 217,452 | | | | (3,128 | ) |
| | | | | | | | | | | | | | | | | $ | 683,579 | | | $ | (4,164 | ) |
| † | | 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 March 29, 2018. |
| | | |
| | | See Sector Classification in Other Information section. |
| 82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE MID-CAP STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | |
| Equity Index Swap Agreements | | $ | — | | | $ | — | | | $ | 139 | | | $ | — | | | $ | 139 | |
| Mutual Funds | | | 292,442 | | | | — | | | | — | | | | — | | | | 292,442 | |
| Repurchase Agreements | | | — | | | | 191,893 | | | | — | | | | — | | | | 191,893 | |
| Total Assets | | $ | 292,442 | | | $ | 191,893 | | | $ | 139 | | | $ | — | | | $ | 484,474 | |
| | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | 4,303 | | | $ | — | | | $ | 4,303 | |
| * | | 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 year ended March 29, 2018, 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 136,272 | | | $ | 60,000 | | | $ | (100,000 | ) | | $ | 205 | | | $ | (229 | ) | | $ | 96,248 | | | | 3,842 | | | $ | 3,047 | | | $ | 52 | |
| Guggenheim Strategy Fund II | | | 136,140 | | | | 60,000 | | | | — | | | | — | | | | 54 | | | | 196,194 | | | | 7,845 | | | | 3,435 | | | | 73 | |
| | | $ | 272,412 | | | $ | 120,000 | | | $ | (100,000 | ) | | $ | 205 | | | $ | (175 | ) | | $ | 292,442 | | | | | | | $ | 6,482 | | | $ | 125 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
| INVERSE MID-CAP STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in affiliated issuers, at value (cost $290,563) | | $ | 292,442 | |
| Repurchase agreements, at value (cost $191,893) | | | 191,893 | |
| Segregated cash with broker | | | 250,000 | |
| Unrealized appreciation on swap agreements | | | 139 | |
| Receivables: |
| Fund shares sold | | | 5,351 | |
| Dividends | | | 784 | |
| Interest | | | 29 | |
| Total assets | | | 740,638 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 4,303 | |
| Payable for: |
| Fund shares redeemed | | | 62,822 | |
| Management fees | | | 2,959 | |
| Swap settlement | | | 1,251 | |
| Distribution and service fees | | | 823 | |
| Transfer agent and administrative fees | | | 822 | |
| Portfolio accounting fees | | | 329 | |
| Trustees’ fees* | | | 84 | |
| Miscellaneous | | | 644 | |
| Total liabilities | | | 74,037 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 666,601 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 6,886,135 | |
| Accumulated net investment loss | | | (1,151 | ) |
| Accumulated net realized loss on investments | | | (6,216,098 | ) |
| Net unrealized depreciation on investments | | | (2,285 | ) |
| Net assets | | $ | 666,601 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 155,928 | |
| Capital shares outstanding | | | 6,989 | |
| Net asset value per share | | $ | 22.31 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 23.42 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,900 | |
| Capital shares outstanding | | | 95 | |
| Net asset value per share | | $ | 19.94 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 508,773 | |
| Capital shares outstanding | | | 22,823 | |
| Net asset value per share | | $ | 22.29 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 6,482 | |
| Interest | | | 7,892 | |
| Total investment income | | | 14,374 | |
| | | | | |
| Expenses: |
| Management fees | | | 10,178 | |
| Distribution and service fees: |
| A-Class | | | 283 | |
| C-Class | | | 195 | |
| H-Class | | | 2,496 | |
| Transfer agent and administrative fees | | | 2,827 | |
| Portfolio accounting fees | | | 1,131 | |
| Custodian fees | | | 148 | |
| Trustees’ fees* | | | 72 | |
| Miscellaneous | | | 1,789 | |
| Total expenses | | | 19,119 | |
| Net investment loss | | | (4,745 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in affiliated issuers | | | 205 | |
| Distributions received from affiliated investment company shares | | | 125 | |
| Swap agreements | | | (88,110 | ) |
| Futures contracts | | | (38,237 | ) |
| Net realized loss | | | (126,017 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in affiliated issuers | | | (175 | ) |
| Swap agreements | | | 852 | |
| Net change in unrealized appreciation (depreciation) | | | 677 | |
| Net realized and unrealized loss | | | (125,340 | ) |
| Net decrease in net assets resulting from operations | | $ | (130,085 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE MID-CAP STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (4,745 | ) | | $ | (21,588 | ) |
| Net realized loss on investments | | | (126,017 | ) | | | (507,421 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 677 | | | | 57,862 | |
| Net decrease in net assets resulting from operations | | | (130,085 | ) | | | (471,147 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 1,975,142 | | | | 1,671,153 | |
| C-Class | | | 36,523 | | | | 106,446 | |
| H-Class | | | 14,023,878 | | | | 22,574,011 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (2,025,332 | ) | | | (1,524,458 | ) |
| C-Class | | | (68,571 | ) | | | (288,863 | ) |
| H-Class | | | (14,013,755 | ) | | | (24,262,478 | ) |
| Net decrease from capital share transactions | | | (72,115 | ) | | | (1,724,189 | ) |
| Net decrease in net assets | | | (202,200 | ) | | | (2,195,336 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 868,801 | | | | 3,064,137 | |
| End of year | | $ | 666,601 | | | $ | 868,801 | |
| Accumulated net investment loss at end of year | | $ | (1,151 | ) | | $ | (2,680 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 83,411 | | | | 64,427 | |
| C-Class | | | 1,695 | | | | 4,126 | |
| H-Class | | | 616,924 | | | | 826,452 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (85,509 | ) | | | (58,952 | ) |
| C-Class | | | (3,224 | ) | | | (12,294 | ) |
| H-Class | | | (618,431 | ) | | | (889,460 | ) |
| Net decrease in shares | | | (5,134 | ) | | | (65,701 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
| INVERSE MID-CAP STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.92 | | | $ | 30.70 | | | $ | 30.76 | | | $ | 35.55 | | | $ | 44.64 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.11 | ) | | | (.28 | ) | | | (.38 | ) | | | (.48 | ) | | | (.64 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.50 | ) | | | (5.50 | ) | | | .32 | | | | (4.31 | ) | | | (8.45 | ) |
| Total from investment operations | | | (2.61 | ) | | | (5.78 | ) | | | (.06 | ) | | | (4.79 | ) | | | (9.09 | ) |
| Net asset value, end of period | | $ | 22.31 | | | $ | 24.92 | | | $ | 30.70 | | | $ | 30.76 | | | $ | 35.55 | |
| |
| Total Returnb | | | (10.47 | %) | | | (18.89 | %) | | | (0.16 | %) | | | (13.47 | %) | | | (20.36 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 156 | | | $ | 226 | | | $ | 111 | | | $ | 47 | | | $ | 93 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.49 | %) | | | (1.02 | %) | | | (1.18 | %) | | | (1.40 | %) | | | (1.65 | %) |
| Total expensesc | | | 1.68 | % | | | 1.68 | % | | | 1.65 | % | | | 1.66 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 37 | % | | | 120 | % | | | 199 | % | | | 38 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.46 | | | $ | 27.89 | | | $ | 28.16 | | | $ | 32.78 | | | $ | 41.49 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.28 | ) | | | (.48 | ) | | | (.59 | ) | | | (.67 | ) | | | (.90 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.24 | ) | | | (4.95 | ) | | | .32 | | | | (3.95 | ) | | | (7.81 | ) |
| Total from investment operations | | | (2.52 | ) | | | (5.43 | ) | | | (.27 | ) | | | (4.62 | ) | | | (8.71 | ) |
| Net asset value, end of period | | $ | 19.94 | | | $ | 22.46 | | | $ | 27.89 | | | $ | 28.16 | | | $ | 32.78 | |
| |
| Total Returnb | | | (11.22 | %) | | | (19.51 | %) | | | (0.96 | %) | | | (14.09 | %) | | | (20.99 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2 | | | $ | 36 | | | $ | 273 | | | $ | 89 | | | $ | 131 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.30 | %) | | | (1.85 | %) | | | (2.00 | %) | | | (2.13 | %) | | | (2.40 | %) |
| Total expensesc | | | 2.44 | % | | | 2.42 | % | | | 2.41 | % | | | 2.41 | % | | | 2.42 | % |
| Portfolio turnover rate | | | 37 | % | | | 120 | % | | | 199 | % | | | 38 | % | | | — | |
| 86 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.90 | | | $ | 30.69 | | | $ | 30.70 | | | $ | 35.49 | | | $ | 44.59 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.09 | ) | | | (.31 | ) | | | (.42 | ) | | | (.47 | ) | | | (.66 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.52 | ) | | | (5.48 | ) | | | .41 | | | | (4.32 | ) | | | (8.44 | ) |
| Total from investment operations | | | (2.61 | ) | | | (5.79 | ) | | | (.01 | ) | | | (4.79 | ) | | | (9.10 | ) |
| Net asset value, end of period | | $ | 22.29 | | | $ | 24.90 | | | $ | 30.69 | | | $ | 30.70 | | | $ | 35.49 | |
| |
| Total Returnb | | | (10.48 | %) | | | (18.87 | %) | | | (0.07 | %) | | | (13.47 | %) | | | (20.39 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 509 | | | $ | 606 | | | $ | 2,680 | | | $ | 3,015 | | | $ | 3,825 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.39 | %) | | | (1.10 | %) | | | (1.32 | %) | | | (1.38 | %) | | | (1.65 | %) |
| Total expensesc | | | 1.68 | % | | | 1.67 | % | | | 1.65 | % | | | 1.65 | % | | | 1.67 | % |
| Portfolio turnover rate | | | 37 | % | | | 120 | % | | | 199 | % | | | 38 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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 ANNUAL REPORT | 87 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Russell 2000® 1.5x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index. Russell 2000® 1.5x Strategy Fund H-Class returned 14.97%, while the Russell 2000 Index returned 11.79% over the same time period.
The sectors contributing the most to the performance of the underlying index for the period were Health Care and Consumer Discretionary. Energy was the only detractor. The Consumer Staples sector contributed the least.
Nektar Therapeutics, GrubHub, Inc., and Kite Pharma, Inc. were the holdings contributing the most to the performance of the underlying index for the year. U.S. Silica Holdings, Inc., Oasis Petroleum, Inc., and MACOM Technology Solutions Holdings, Inc. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 88 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| A-Class | March 31, 2004 |
| C-Class | January 23, 2001 |
| H-Class | November 1, 2000 |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 32.4% |
| Guggenheim Strategy Fund I | 21.0% |
| Nektar Therapeutics | 0.2% |
| GrubHub, Inc. | 0.1% |
| Bluebird Bio, Inc. | 0.1% |
| MKS Instruments, Inc. | 0.1% |
| Curtiss-Wright Corp. | 0.1% |
| Aspen Technology, Inc. | 0.1% |
| Knight-Swift Transportation Holdings, Inc. | 0.1% |
| EPAM Systems, Inc. | 0.1% |
| Top Ten Total | 54.3% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 15.18% | 14.42% | 10.42% |
| A-Class Shares with sales charge‡ | 9.71% | 13.32% | 9.88% |
| C-Class Shares | 14.30% | 13.57% | 9.57% |
| C-Class Shares with CDSC§ | 13.30% | 13.57% | 9.57% |
| H-Class Shares | 14.97% | 14.38% | 10.38% |
| Russell 2000 Index | 11.79% | 14.45% | 11.81% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 89 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 25.8% |
| | | | | | | |
| Financial - 6.2% |
| MGIC Investment Corp.* | | | 443 | | | $ | 5,759 | |
| Sterling Bancorp | | | 251 | | | | 5,660 | |
| Umpqua Holdings Corp. | | | 260 | | | | 5,567 | |
| Wintrust Financial Corp. | | | 64 | | | | 5,507 | |
| Texas Capital Bancshares, Inc.* | | | 60 | | | | 5,394 | |
| Primerica, Inc. | | | 53 | | | | 5,120 | |
| Hancock Holding Co. | | | 98 | | | | 5,067 | |
| Radian Group, Inc. | | | 259 | | | | 4,931 | |
| Stifel Financial Corp. | | | 80 | | | | 4,738 | |
| Chemical Financial Corp. | | | 84 | | | | 4,593 | |
| IBERIABANK Corp. | | | 58 | | | | 4,524 | |
| CNO Financial Group, Inc. | | | 202 | | | | 4,377 | |
| Cousins Properties, Inc. REIT | | | 500 | | | | 4,340 | |
| Home BancShares, Inc. | | | 184 | | | | 4,197 | |
| Selective Insurance Group, Inc. | | | 69 | | | | 4,188 | |
| First Industrial Realty Trust, Inc. REIT | | | 143 | | | | 4,180 | |
| Gramercy Property Trust REIT | | | 192 | | | | 4,172 | |
| Investors Bancorp, Inc. | | | 305 | | | | 4,160 | |
| Essent Group Ltd.* | | | 97 | | | | 4,128 | |
| United Bankshares, Inc. | | | 117 | | | | 4,124 | |
| Ryman Hospitality Properties, Inc. REIT | | | 53 | | | | 4,105 | |
| Sunstone Hotel Investors, Inc. REIT | | | 269 | | | | 4,094 | |
| Healthcare Realty Trust, Inc. REIT | | | 147 | | | | 4,073 | |
| Evercore, Inc. — Class A | | | 46 | | | | 4,011 | |
| RLJ Lodging Trust REIT | | | 203 | | | | 3,946 | |
| LaSalle Hotel Properties REIT | | | 136 | | | | 3,945 | |
| MB Financial, Inc. | | | 97 | | | | 3,927 | |
| UMB Financial Corp. | | | 53 | | | | 3,837 | |
| Valley National Bancorp | | | 303 | | | | 3,775 | |
| Ellie Mae, Inc.* | | | 41 | | | | 3,770 | |
| Sabra Health Care REIT, Inc. | | | 212 | | | | 3,742 | |
| PotlatchDeltic Corp. REIT | | | 71 | | | | 3,696 | |
| Washington Federal, Inc. | | | 104 | | | | 3,598 | |
| South State Corp. | | | 42 | | | | 3,583 | |
| Columbia Banking System, Inc. | | | 85 | | | | 3,566 | |
| Fulton Financial Corp. | | | 200 | | | | 3,550 | |
| Cathay General Bancorp | | | 88 | | | | 3,518 | |
| Glacier Bancorp, Inc. | | | 89 | | | | 3,416 | |
| First Financial Bankshares, Inc. | | | 73 | | | | 3,380 | |
| Physicians Realty Trust REIT | | | 216 | | | | 3,363 | |
| EastGroup Properties, Inc. REIT | | | 40 | | | | 3,306 | |
| First Citizens BancShares, Inc. — Class A | | | 8 | | | | 3,306 | |
| National Health Investors, Inc. REIT | | | 47 | | | | 3,163 | |
| Community Bank System, Inc. | | | 59 | | | | 3,160 | |
| BancorpSouth Bank | | | 99 | | | | 3,148 | |
| American Equity Investment Life Holding Co. | | | 104 | | | | 3,053 | |
| GEO Group, Inc. REIT | | | 147 | | | | 3,009 | |
| Education Realty Trust, Inc. REIT | | | 91 | | | | 2,980 | |
| Blackhawk Network Holdings, Inc.* | | | 66 | | | | 2,950 | |
| First Midwest Bancorp, Inc. | | | 119 | | | | 2,926 | |
| BofI Holding, Inc.* | | | 72 | | | | 2,918 | |
| Bank of NT Butterfield & Son Ltd. | | | 64 | | | | 2,872 | |
| Great Western Bancorp, Inc. | | | 71 | | | | 2,859 | |
| RLI Corp. | | | 45 | | | | 2,853 | |
| Pebblebrook Hotel Trust REIT | | | 83 | | | | 2,851 | |
| Hope Bancorp, Inc. | | | 153 | | | | 2,783 | |
| Enstar Group Ltd.* | | | 13 | | | | 2,733 | |
| Simmons First National Corp. — Class A | | | 96 | | | | 2,731 | |
| STAG Industrial, Inc. REIT | | | 114 | | | | 2,727 | |
| United Community Banks, Inc. | | | 86 | | | | 2,722 | |
| CVB Financial Corp. | | | 120 | | | | 2,717 | |
| PS Business Parks, Inc. REIT | | | 24 | | | | 2,713 | |
| Kemper Corp. | | | 47 | | | | 2,679 | |
| Old National Bancorp | | | 157 | | | | 2,653 | |
| Rexford Industrial Realty, Inc. REIT | | | 92 | | | | 2,649 | |
| Urban Edge Properties REIT | | | 123 | | | | 2,626 | |
| Washington Real Estate Investment Trust REIT | | | 95 | | | | 2,594 | |
| Xenia Hotels & Resorts, Inc. REIT | | | 129 | | | | 2,544 | |
| DiamondRock Hospitality Co. REIT | | | 240 | | | | 2,506 | |
| Kennedy-Wilson Holdings, Inc. | | | 144 | | | | 2,505 | |
| International Bancshares Corp. | | | 63 | | | | 2,451 | |
| Financial Engines, Inc. | | | 70 | | | | 2,450 | |
| LegacyTexas Financial Group, Inc. | | | 57 | | | | 2,441 | |
| Acadia Realty Trust REIT | | | 99 | | | | 2,435 | |
| Trustmark Corp. | | | 78 | | | | 2,430 | |
| Ameris Bancorp | | | 44 | | | | 2,328 | |
| Apollo Commercial Real Estate Finance, Inc. REIT | | | 129 | | | | 2,319 | |
| Renasant Corp. | | | 54 | | | | 2,298 | |
| Retail Opportunity Investments Corp. REIT | | | 130 | | | | 2,297 | |
| Argo Group International Holdings Ltd. | | | 40 | | | | 2,296 | |
| Independent Bank Corp. | | | 32 | | | | 2,290 | |
| ServisFirst Bancshares, Inc. | | | 55 | | | | 2,245 | |
| Invesco Mortgage Capital, Inc. REIT | | | 135 | | | | 2,211 | |
| Terreno Realty Corp. REIT | | | 64 | | | | 2,209 | |
| FCB Financial Holdings, Inc. — Class A* | | | 43 | | | | 2,197 | |
| Quality Care Properties, Inc. REIT* | | | 113 | | | | 2,196 | |
| HFF, Inc. — Class A | | | 44 | | | | 2,187 | |
| TowneBank | | | 76 | | | | 2,174 | |
| First Financial Bancorp | | | 74 | | | | 2,172 | |
| WageWorks, Inc.* | | | 48 | | | | 2,170 | |
| Union Bankshares Corp. | | | 58 | | | | 2,129 | |
| WesBanco, Inc. | | | 50 | | | | 2,115 | |
| QTS Realty Trust, Inc. — Class A REIT | | | 58 | | | | 2,101 | |
| Eagle Bancorp, Inc.* | | | 35 | | | | 2,095 | |
| Horace Mann Educators Corp. | | | 49 | | | | 2,095 | |
| Hilltop Holdings, Inc. | | | 88 | | | | 2,064 | |
| PRA Group, Inc.* | | | 54 | | | | 2,052 | |
| Lexington Realty Trust REIT | | | 259 | | | | 2,038 | |
| First Merchants Corp. | | | 48 | | | | 2,002 | |
| Banner Corp. | | | 36 | | | | 1,998 | |
| Chesapeake Lodging Trust REIT | | | 71 | | | | 1,975 | |
| Walker & Dunlop, Inc. | | | 33 | | | | 1,961 | |
| Waddell & Reed Financial, Inc. — Class A | | | 97 | | | | 1,960 | |
| CenterState Bank Corp. | | | 72 | | | | 1,910 | |
| Capitol Federal Financial, Inc. | | | 154 | | | | 1,902 | |
| Provident Financial Services, Inc. | | | 74 | | | | 1,894 | |
| Pacific Premier Bancorp, Inc.* | | | 47 | | | | 1,889 | |
| 90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Moelis & Co. — Class A | | | 37 | | | $ | 1,881 | |
| Alexander & Baldwin, Inc. REIT | | | 81 | | | | 1,874 | |
| Northwest Bancshares, Inc. | | | 113 | | | | 1,871 | |
| Berkshire Hills Bancorp, Inc. | | | 48 | | | | 1,822 | |
| Mack-Cali Realty Corp. REIT | | | 109 | | | | 1,821 | |
| NBT Bancorp, Inc. | | | 51 | | | | 1,809 | |
| Westamerica Bancorporation | | | 31 | | | | 1,800 | |
| Artisan Partners Asset Management, Inc. — Class A | | | 54 | | | | 1,798 | |
| LTC Properties, Inc. REIT | | | 47 | | | | 1,786 | |
| WSFS Financial Corp. | | | 36 | | | | 1,724 | |
| Four Corners Property Trust, Inc. REIT | | | 74 | | | | 1,709 | |
| Genworth Financial, Inc. — Class A* | | | 602 | | | | 1,704 | |
| Summit Hotel Properties, Inc. REIT | | | 124 | | | | 1,688 | |
| Park National Corp. | | | 16 | | | | 1,660 | |
| First Commonwealth Financial Corp. | | | 116 | | | | 1,639 | |
| S&T Bancorp, Inc. | | | 41 | | | | 1,638 | |
| Agree Realty Corp. REIT | | | 34 | | | | 1,633 | |
| American Assets Trust, Inc. REIT | | | 48 | | | | 1,604 | |
| Government Properties Income Trust REIT | | | 113 | | | | 1,544 | |
| Infinity Property & Casualty Corp. | | | 13 | | | | 1,539 | |
| Heartland Financial USA, Inc. | | | 29 | | | | 1,538 | |
| Employers Holdings, Inc. | | | 38 | | | | 1,537 | |
| Third Point Reinsurance Ltd.* | | | 110 | | | | 1,535 | |
| Sandy Spring Bancorp, Inc. | | | 39 | | | | 1,512 | |
| Kite Realty Group Trust REIT | | | 99 | | | | 1,508 | |
| Boston Private Financial Holdings, Inc. | | | 100 | | | | 1,505 | |
| Washington Prime Group, Inc. REIT | | | 224 | | | | 1,494 | |
| Independent Bank Group, Inc. | | | 21 | | | | 1,485 | |
| Select Income REIT | | | 76 | | | | 1,480 | |
| Brookline Bancorp, Inc. | | | 90 | | | | 1,458 | |
| First Busey Corp. | | | 49 | | | | 1,456 | |
| Navigators Group, Inc. | | | 25 | | | | 1,441 | |
| National General Holdings Corp. | | | 59 | | | | 1,434 | |
| Ladder Capital Corp. — Class A REIT | | | 95 | | | | 1,433 | |
| Houlihan Lokey, Inc. | | | 32 | | | | 1,427 | |
| Redwood Trust, Inc. REIT | | | 92 | | | | 1,423 | |
| BrightSphere Investment Group plc | | | 90 | | | | 1,418 | |
| Piper Jaffray Cos. | | | 17 | | | | 1,412 | |
| PennyMac Mortgage Investment Trust REIT | | | 78 | | | | 1,406 | |
| Cannae Holdings, Inc.* | | | 74 | | | | 1,396 | |
| OceanFirst Financial Corp. | | | 52 | | | | 1,391 | |
| First BanCorp* | | | 230 | | | | 1,385 | |
| Safety Insurance Group, Inc. | | | 18 | | | | 1,383 | |
| Global Net Lease, Inc. REIT | | | 81 | | | | 1,367 | |
| LendingClub Corp.* | | | 390 | | | | 1,365 | |
| Tompkins Financial Corp. | | | 18 | | | | 1,364 | |
| State Bank Financial Corp. | | | 45 | | | | 1,350 | |
| Seacoast Banking Corporation of Florida* | | | 51 | | | | 1,350 | |
| Lakeland Financial Corp. | | | 29 | | | | 1,341 | |
| National Storage Affiliates Trust REIT | | | 53 | | | | 1,329 | |
| Beneficial Bancorp, Inc. | | | 83 | | | | 1,291 | |
| Monmouth Real Estate Investment Corp. REIT | | | 85 | | | | 1,278 | |
| AMERISAFE, Inc. | | | 23 | | | | 1,271 | |
| RE/MAX Holdings, Inc. — Class A | | | 21 | | | | 1,270 | |
| Enterprise Financial Services Corp. | | | 27 | | | | 1,266 | |
| Encore Capital Group, Inc.* | | | 28 | | | | 1,266 | |
| WisdomTree Investments, Inc. | | | 138 | | | | 1,266 | |
| AmTrust Financial Services, Inc. | | | 102 | | | | 1,256 | |
| United Fire Group, Inc. | | | 26 | | | | 1,244 | |
| CYS Investments, Inc. REIT | | | 185 | | | | 1,243 | |
| Kearny Financial Corp. | | | 95 | | | | 1,235 | |
| City Holding Co. | | | 18 | | | | 1,234 | |
| MainSource Financial Group, Inc. | | | 30 | | | | 1,219 | |
| First Bancorp | | | 34 | | | | 1,212 | |
| CareTrust REIT, Inc. | | | 90 | | | | 1,206 | |
| Nelnet, Inc. — Class A | | | 23 | | | | 1,205 | |
| Meta Financial Group, Inc. | | | 11 | | | | 1,201 | |
| Universal Insurance Holdings, Inc. | | | 37 | | | | 1,180 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | | | 60 | | | | 1,170 | |
| Hanmi Financial Corp. | | | 38 | | | | 1,168 | |
| ARMOUR Residential REIT, Inc. | | | 50 | | | | 1,164 | |
| Ramco-Gershenson Properties Trust REIT | | | 94 | | | | 1,162 | |
| Meridian Bancorp, Inc. | | | 57 | | | | 1,149 | |
| First Interstate BancSystem, Inc. — Class A | | | 29 | | | | 1,147 | |
| Southside Bancshares, Inc. | | | 33 | | | | 1,146 | |
| Alexander’s, Inc. REIT | | | 3 | | | | 1,144 | |
| Aircastle Ltd. | | | 57 | | | | 1,132 | |
| NMI Holdings, Inc. — Class A* | | | 68 | | | | 1,125 | |
| PJT Partners, Inc. — Class A | | | 22 | | | | 1,102 | |
| Seritage Growth Properties REIT1 | | | 31 | | | | 1,102 | |
| James River Group Holdings Ltd. | | | 31 | | | | 1,100 | |
| Stewart Information Services Corp. | | | 25 | | | | 1,098 | |
| Lakeland Bancorp, Inc. | | | 54 | | | | 1,072 | |
| Heritage Financial Corp. | | | 35 | | | | 1,071 | |
| BancFirst Corp. | | | 20 | | | | 1,062 | |
| Tier REIT, Inc. | | | 57 | | | | 1,053 | |
| Franklin Street Properties Corp. REIT | | | 125 | | | | 1,051 | |
| Easterly Government Properties, Inc. REIT | | | 51 | | | | 1,040 | |
| ConnectOne Bancorp, Inc. | | | 36 | | | | 1,037 | |
| Preferred Bank/Los Angeles CA | | | 16 | | | | 1,027 | |
| Central Pacific Financial Corp. | | | 36 | | | | 1,025 | |
| Cohen & Steers, Inc. | | | 25 | | | | 1,017 | |
| Chatham Lodging Trust REIT | | | 53 | | | | 1,015 | |
| St. Joe Co.* | | | 53 | | | | 999 | |
| Customers Bancorp, Inc.* | | | 34 | | | | 991 | |
| InfraREIT, Inc. | | | 51 | | | | 991 | |
| MBIA, Inc.*,1 | | | 107 | | | | 991 | |
| Virtus Investment Partners, Inc. | | | 8 | | | | 990 | |
| Virtu Financial, Inc. — Class A | | | 30 | | | | 990 | |
| United Financial Bancorp, Inc. | | | 61 | | | | 988 | |
| Capstead Mortgage Corp. REIT | | | 114 | | | | 986 | |
| MTGE Investment Corp. REIT | | | 55 | | | | 984 | |
| Washington Trust Bancorp, Inc. | | | 18 | | | | 968 | |
| Bryn Mawr Bank Corp. | | | 22 | | | | 967 | |
| National Bank Holdings Corp. — Class A | | | 29 | | | | 964 | |
| 1st Source Corp. | | | 19 | | | | 962 | |
| Federal Agricultural Mortgage Corp. — Class C | | | 11 | | | | 957 | |
| Banc of California, Inc.1 | | | 49 | | | | 946 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| TrustCo Bank Corp. NY | | | 111 | | | $ | 938 | |
| Getty Realty Corp. REIT | | | 37 | | | | 933 | |
| Flagstar Bancorp, Inc.* | | | 26 | | | | 920 | |
| Independence Realty Trust, Inc. REIT | | | 100 | | | | 918 | |
| National Western Life Group, Inc. — Class A | | | 3 | | | | 915 | |
| Stock Yards Bancorp, Inc. | | | 26 | | | | 913 | |
| Carolina Financial Corp. | | | 23 | | | | 903 | |
| Universal Health Realty Income Trust REIT | | | 15 | | | | 902 | |
| TriCo Bancshares | | | 24 | | | | 893 | |
| Flushing Financial Corp. | | | 33 | | | | 890 | |
| HomeStreet, Inc.* | | | 31 | | | | 888 | |
| CoBiz Financial, Inc. | | | 45 | | | | 882 | |
| Enova International, Inc.* | | | 40 | | | | 882 | |
| Kinsale Capital Group, Inc. | | | 17 | | | | 873 | |
| Triumph Bancorp, Inc.* | | | 21 | | | | 865 | |
| Univest Corporation of Pennsylvania | | | 31 | | | | 859 | |
| R1 RCM, Inc.* | | | 120 | | | | 857 | |
| Ambac Financial Group, Inc.* | | | 54 | | | | 847 | |
| NorthStar Realty Europe Corp. REIT | | | 65 | | | | 846 | |
| CBL & Associates Properties, Inc. REIT1 | | | 202 | | | | 842 | |
| Horizon Bancorp | | | 28 | | | | 840 | |
| German American Bancorp, Inc. | | | 25 | | | | 834 | |
| Cass Information Systems, Inc. | | | 14 | | | | 833 | |
| FBL Financial Group, Inc. — Class A | | | 12 | | | | 832 | |
| Diamond Hill Investment Group, Inc. | | | 4 | | | | 826 | |
| Hersha Hospitality Trust REIT | | | 46 | | | | 823 | |
| Guaranty Bancorp | | | 29 | | | | 822 | |
| Community Trust Bancorp, Inc. | | | 18 | | | | 814 | |
| Northfield Bancorp, Inc. | | | 52 | | | | 812 | |
| Trupanion, Inc.* | | | 27 | | | | 807 | |
| iStar, Inc. REIT* | | | 79 | | | | 803 | |
| New Senior Investment Group, Inc. REIT | | | 98 | | | | 802 | |
| Camden National Corp. | | | 18 | | | | 801 | |
| New York Mortgage Trust, Inc. REIT1 | | | 134 | | | | 795 | |
| Pennsylvania Real Estate Investment Trust | | | 82 | | | | 791 | |
| Live Oak Bancshares, Inc. | | | 28 | | | | 778 | |
| Bridge Bancorp, Inc. | | | 23 | | | | 772 | |
| Investment Technology Group, Inc. | | | 39 | | | | 770 | |
| First of Long Island Corp. | | | 28 | | | | 769 | |
| INTL FCStone, Inc.* | | | 18 | | | | 768 | |
| Investors Real Estate Trust REIT | | | 144 | | | | 747 | |
| Armada Hoffler Properties, Inc. REIT | | | 54 | | | | 739 | |
| World Acceptance Corp.*,1 | | | 7 | | | | 737 | |
| Oritani Financial Corp. | | | 47 | | | | 721 | |
| Saul Centers, Inc. REIT | | | 14 | | | | 714 | |
| Peoples Bancorp, Inc. | | | 20 | | | | 709 | |
| Heritage Commerce Corp. | | | 43 | | | | 709 | |
| Peapack Gladstone Financial Corp. | | | 21 | | | | 701 | |
| Dime Community Bancshares, Inc. | | | 38 | | | | 699 | |
| First Defiance Financial Corp. | | | 12 | | | | 688 | |
| Marcus & Millichap, Inc.* | | | 19 | | | | 685 | |
| Granite Point Mortgage Trust, Inc. REIT | | | 41 | | | | 678 | |
| Urstadt Biddle Properties, Inc. — Class A REIT | | | 35 | | | | 676 | |
| QCR Holdings, Inc. | | | 15 | | | | 673 | |
| Opus Bank | | | 24 | | | | 672 | |
| First Foundation, Inc.* | | | 36 | | | | 667 | |
| FB Financial Corp.* | | | 16 | | | | 649 | |
| Great Southern Bancorp, Inc. | | | 13 | | | | 649 | |
| Bancorp, Inc.* | | | 59 | | | | 637 | |
| CatchMark Timber Trust, Inc. — Class A REIT | | | 51 | | | | 636 | |
| Hamilton Lane, Inc. — Class A | | | 17 | | | | 633 | |
| Mercantile Bank Corp. | | | 19 | | | | 632 | |
| Nationstar Mortgage Holdings, Inc.* | | | 35 | | | | 629 | |
| TriState Capital Holdings, Inc.* | | | 27 | | | | 628 | |
| Preferred Apartment Communities, Inc. — Class A REIT | | | 44 | | | | 624 | |
| Associated Banc-Corp. | | | 25 | | | | 621 | |
| National Commerce Corp.* | | | 14 | | | | 610 | |
| Nicolet Bankshares, Inc.* | | | 11 | | | | 606 | |
| Blue Hills Bancorp, Inc. | | | 29 | | | | 605 | |
| Fidelity Southern Corp. | | | 26 | | | | 600 | |
| Midland States Bancorp, Inc. | | | 19 | | | | 600 | |
| First Community Bancshares, Inc. | | | 20 | | | | 597 | |
| Ashford Hospitality Trust, Inc. REIT | | | 92 | | | | 594 | |
| Front Yard Residential Corp. REIT | | | 59 | | | | 593 | |
| AG Mortgage Investment Trust, Inc. REIT | | | 34 | | | | 591 | |
| United Community Financial Corp. | | | 59 | | | | 582 | |
| Green Bancorp, Inc.* | | | 26 | | | | 578 | |
| Greenlight Capital Re Ltd. — Class A* | | | 36 | | | | 578 | |
| Cadence BanCorp | | | 21 | | | | 572 | |
| Westwood Holdings Group, Inc. | | | 10 | | | | 565 | |
| RMR Group, Inc. — Class A | | | 8 | | | | 560 | |
| Anworth Mortgage Asset Corp. REIT | | | 116 | | | | 557 | |
| Greenhill & Company, Inc. | | | 30 | | | | 555 | |
| Gladstone Commercial Corp. REIT | | | 32 | | | | 555 | |
| Forestar Group, Inc.*,1 | | | 26 | | | | 550 | |
| Independent Bank Corp. | | | 24 | | | | 550 | |
| Allegiance Bancshares, Inc.* | | | 14 | | | | 548 | |
| Maiden Holdings Ltd. | | | 84 | | | | 546 | |
| OFG Bancorp | | | 52 | | | | 543 | |
| State Auto Financial Corp. | | | 19 | | | | 543 | |
| First Financial Corp. | | | 13 | | | | 541 | |
| Community Healthcare Trust, Inc. REIT | | | 21 | | | | 541 | |
| Waterstone Financial, Inc. | | | 31 | | | | 536 | |
| Veritex Holdings, Inc.* | | | 19 | | | | 526 | |
| CorEnergy Infrastructure Trust, Inc. REIT | | | 14 | | | | 526 | |
| CNB Financial Corp. | | | 18 | | | | 524 | |
| Ocwen Financial Corp.* | | | 127 | | | | 523 | |
| NexPoint Residential Trust, Inc. REIT | | | 21 | | | | 522 | |
| HomeTrust Bancshares, Inc.* | | | 20 | | | | 521 | |
| People’s Utah Bancorp | | | 16 | | | | 517 | |
| Access National Corp. | | | 18 | | | | 514 | |
| Equity Bancshares, Inc. — Class A* | | | 13 | | | | 509 | |
| Republic First Bancorp, Inc.* | | | 58 | | | | 505 | |
| Financial Institutions, Inc. | | | 17 | | | | 503 | |
| Bar Harbor Bankshares | | | 18 | | | | 499 | |
| UMH Properties, Inc. REIT | | | 37 | | | | 496 | |
| B. Riley Financial, Inc. | | | 25 | | | | 487 | |
| Old Second Bancorp, Inc. | | | 35 | | | | 487 | |
| 92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| West Bancorporation, Inc. | | | 19 | | | $ | 486 | |
| Bank of Marin Bancorp | | | 7 | | | | 483 | |
| United Insurance Holdings Corp. | | | 25 | | | | 479 | |
| Arrow Financial Corp. | | | 14 | | | | 475 | |
| Western Asset Mortgage Capital Corp. REIT | | | 49 | | | | 475 | |
| Whitestone REIT — Class B | | | 45 | | | | 468 | |
| PCSB Financial Corp.* | | | 22 | | | | 462 | |
| Republic Bancorp, Inc. — Class A | | | 12 | | | | 460 | |
| Franklin Financial Network, Inc.* | | | 14 | | | | 456 | |
| FRP Holdings, Inc.* | | | 8 | | | | 448 | |
| Farmers & Merchants Bancorp, Inc. | | | 11 | | | | 444 | |
| First Mid-Illinois Bancshares, Inc. | | | 12 | | | | 437 | |
| Atlantic Capital Bancshares, Inc.* | | | 24 | | | | 434 | |
| MidWestOne Financial Group, Inc. | | | 13 | | | | 433 | |
| PennyMac Financial Services, Inc. — Class A* | | | 19 | | | | 430 | |
| Farmers National Banc Corp. | | | 31 | | | | 429 | |
| Sierra Bancorp | | | 16 | | | | 426 | |
| Cedar Realty Trust, Inc. REIT | | | 105 | | | | 414 | |
| Associated Capital Group, Inc. — Class A | | | 11 | | | | 412 | |
| Southern National Bancorp of Virginia, Inc. | | | 26 | | | | 412 | |
| Citizens, Inc.*,1 | | | 56 | | | | 410 | |
| First Connecticut Bancorp, Inc. | | | 16 | | | | 410 | |
| Cowen, Inc. — Class A* | | | 31 | | | | 409 | |
| Health Insurance Innovations, Inc. — Class A* | | | 14 | | | | 405 | |
| City Office REIT, Inc. | | | 35 | | | | 405 | |
| Ladenburg Thalmann Financial Services, Inc. | | | 123 | | | | 402 | |
| Dynex Capital, Inc. REIT | | | 60 | | | | 398 | |
| PHH Corp.* | | | 38 | | | | 398 | |
| Ares Commercial Real Estate Corp. REIT | | | 32 | | | | 395 | |
| Heritage Insurance Holdings, Inc.1 | | | 26 | | | | 394 | |
| Enterprise Bancorp, Inc. | | | 11 | | | | 388 | |
| First Bancshares, Inc. | | | 12 | | | | 387 | |
| Orchid Island Capital, Inc. REIT | | | 52 | | | | 383 | |
| Regional Management Corp.* | | | 12 | | | | 382 | |
| American National Bankshares, Inc. | | | 10 | | | | 376 | |
| One Liberty Properties, Inc. REIT | | | 17 | | | | 376 | |
| Clifton Bancorp, Inc. | | | 24 | | | | 376 | |
| Peoples Financial Services Corp. | | | 8 | | | | 365 | |
| Arlington Asset Investment Corp. — Class A | | | 33 | | | | 364 | |
| Farmers Capital Bank Corp. | | | 9 | | | | 360 | |
| MedEquities Realty Trust, Inc. REIT | | | 34 | | | | 357 | |
| Southern First Bancshares, Inc.* | | | 8 | | | | 356 | |
| Western New England Bancorp, Inc. | | | 33 | | | | 351 | |
| GAIN Capital Holdings, Inc. | | | 52 | | | | 351 | |
| Altisource Portfolio Solutions S.A.* | | | 13 | | | | 345 | |
| Global Indemnity Ltd | | | 10 | | | | 345 | |
| HCI Group, Inc. | | | 9 | | | | 343 | |
| Resource Capital Corp. REIT | | | 36 | | | | 342 | |
| First Bancorp, Inc. | | | 12 | | | | 336 | |
| First Internet Bancorp | | | 9 | | | | 333 | |
| Old Line Bancshares, Inc. | | | 10 | | | | 330 | |
| On Deck Capital, Inc.* | | | 59 | | | | 330 | |
| WMIH Corp.* | | | 232 | | | | 329 | |
| Summit Financial Group, Inc. | | | 13 | | | | 325 | |
| Citizens & Northern Corp. | | | 14 | | | | 323 | |
| Capital City Bank Group, Inc. | | | 13 | | | | 322 | |
| Macatawa Bank Corp. | | | 31 | | | | 318 | |
| Sutherland Asset Management Corp. REIT | | | 21 | | | | 318 | |
| Century Bancorp, Inc. — Class A | | | 4 | | | | 318 | |
| Farmland Partners, Inc. REIT | | | 38 | | | | 317 | |
| National Bankshares, Inc. | | | 7 | | | | 315 | |
| Consolidated-Tomoka Land Co. | | | 5 | | | | 314 | |
| Marlin Business Services Corp. | | | 11 | | | | 312 | |
| Ashford Hospitality Prime, Inc. REIT | | | 32 | | | | 311 | |
| Oppenheimer Holdings, Inc. — Class A | | | 12 | | | | 309 | |
| BSB Bancorp, Inc.* | | | 10 | | | | 306 | |
| Charter Financial Corp. | | | 15 | | | | 306 | |
| Home Bancorp, Inc. | | | 7 | | | | 302 | |
| Redfin Corp.*,1 | | | 13 | | | | 297 | |
| Safeguard Scientifics, Inc.* | | | 24 | | | | 294 | |
| Southern Missouri Bancorp, Inc. | | | 8 | | | | 293 | |
| BankFinancial Corp. | | | 17 | | | | 289 | |
| Shore Bancshares, Inc. | | | 15 | | | | 283 | |
| HarborOne Bancorp, Inc.* | | | 16 | | | | 283 | |
| Codorus Valley Bancorp, Inc. | | | 10 | | | | 281 | |
| Northrim BanCorp, Inc. | | | 8 | | | | 276 | |
| Ames National Corp. | | | 10 | | | | 275 | |
| eHealth, Inc.* | | | 19 | | | | 272 | |
| Jernigan Capital, Inc. REIT | | | 15 | | | | 271 | |
| Evans Bancorp, Inc. | | | 6 | | | | 271 | |
| EMC Insurance Group, Inc. | | | 10 | | | | 271 | |
| Territorial Bancorp, Inc. | | | 9 | | | | 267 | |
| First Horizon National Corp. | | | 14 | | | | 264 | |
| KKR Real Estate Finance Trust, Inc. | | | 13 | | | | 261 | |
| TPG RE Finance Trust, Inc. REIT | | | 13 | | | | 259 | |
| Investar Holding Corp. | | | 10 | | | | 258 | |
| Great Ajax Corp. REIT | | | 19 | | | | 257 | |
| Bear State Financial, Inc. | | | 25 | | | | 256 | |
| Penns Woods Bancorp, Inc. | | | 6 | | | | 254 | |
| MutualFirst Financial, Inc. | | | 7 | | | | 254 | |
| First Business Financial Services, Inc. | | | 10 | | | | 252 | |
| Civista Bancshares, Inc. | | | 11 | | | | 251 | |
| Independence Holding Co. | | | 7 | | | | 250 | |
| Cherry Hill Mortgage Investment Corp. REIT | | | 14 | | | | 246 | |
| Riverview Bancorp, Inc. | | | 26 | | | | 243 | |
| Baldwin & Lyons, Inc. — Class B | | | 11 | | | | 242 | |
| Bluerock Residential Growth REIT, Inc. | | | 28 | | | | 238 | |
| BCB Bancorp, Inc. | | | 15 | | | | 235 | |
| Central Valley Community Bancorp | | | 12 | | | | 235 | |
| ACNB Corp. | | | 8 | | | | 234 | |
| Community Bankers Trust Corp.* | | | 26 | | | | 234 | |
| Entegra Financial Corp.* | | | 8 | | | | 232 | |
| Bankwell Financial Group, Inc. | | | 7 | | | | 226 | |
| MBT Financial Corp. | | | 21 | | | | 226 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Pzena Investment Management, Inc. — Class A | | | 20 | | | $ | 223 | |
| Bank of Commerce Holdings | | | 19 | | | | 221 | |
| Federated National Holding Co. | | | 14 | | | | 221 | |
| FNB Bancorp | | | 6 | | | | 221 | |
| Howard Bancorp, Inc.* | | | 11 | | | | 218 | |
| Orrstown Financial Services, Inc. | | | 9 | | | | 217 | |
| MidSouth Bancorp, Inc. | | | 17 | | | | 215 | |
| Timberland Bancorp, Inc. | | | 7 | | | | 213 | |
| SmartFinancial, Inc.* | | | 9 | | | | 212 | |
| Stratus Properties, Inc.* | | | 7 | | | | 211 | |
| Norwood Financial Corp. | | | 7 | | | | 211 | |
| C&F Financial Corp. | | | 4 | | | | 210 | |
| Ohio Valley Banc Corp. | | | 5 | | | | 209 | |
| LCNB Corp. | | | 11 | | | | 209 | |
| Malvern Bancorp, Inc.* | | | 8 | | | | 208 | |
| Hingham Institution for Savings | | | 1 | | | | 206 | |
| Union Bankshares, Inc. | | | 4 | | | | 203 | |
| First Northwest Bancorp* | | | 12 | | | | 203 | |
| NI Holdings, Inc.* | | | 12 | | | | 200 | |
| Investors Title Co. | | | 1 | | | | 200 | |
| Unity Bancorp, Inc. | | | 9 | | | | 198 | |
| Safety Income & Growth, Inc. REIT | | | 12 | | | | 192 | |
| Tiptree, Inc. — Class A | | | 30 | | | | 191 | |
| Capstar Financial Holdings, Inc.* | | | 10 | | | | 188 | |
| SI Financial Group, Inc. | | | 13 | | | | 187 | |
| Community Financial Corp. | | | 5 | | | | 186 | |
| Premier Financial Bancorp, Inc. | | | 10 | | | | 186 | |
| Chemung Financial Corp. | | | 4 | | | | 186 | |
| Kingstone Companies, Inc. | | | 11 | | | | 185 | |
| Peoples Bancorp of North Carolina, Inc. | | | 6 | | | | 184 | |
| Byline Bancorp, Inc.* | | | 8 | | | | 183 | |
| Reliant Bancorp, Inc. | | | 8 | | | | 182 | |
| Pacific Mercantile Bancorp* | | | 19 | | | | 181 | |
| Prudential Bancorp, Inc. | | | 10 | | | | 181 | |
| County Bancorp, Inc. | | | 6 | | | | 175 | |
| Owens Realty Mortgage, Inc. REIT | | | 12 | | | | 175 | |
| Donegal Group, Inc. — Class A | | | 11 | | | | 174 | |
| United Security Bancshares | | | 16 | | | | 172 | |
| First Financial Northwest, Inc. | | | 10 | | | | 167 | |
| Northeast Bancorp | | | 8 | | | | 164 | |
| Two River Bancorp | | | 9 | | | | 162 | |
| ESSA Bancorp, Inc. | | | 11 | | | | 161 | |
| Clipper Realty, Inc. REIT | | | 19 | | | | 161 | |
| Global Medical REIT, Inc. | | | 22 | | | | 153 | |
| Elevate Credit, Inc.* | | | 21 | | | | 149 | |
| Middlefield Banc Corp. | | | 3 | | | | 147 | |
| Greene County Bancorp, Inc. | | | 4 | | | | 147 | |
| Parke Bancorp, Inc. | | | 7 | | | | 146 | |
| Provident Financial Holdings, Inc. | | | 8 | | | | 145 | |
| Trinity Place Holdings, Inc.* | | | 22 | | | | 143 | |
| Hallmark Financial Services, Inc.* | | | 16 | | | | 143 | |
| DNB Financial Corp. | | | 4 | | | | 143 | |
| Silvercrest Asset Management Group, Inc. — Class A | | | 9 | | | | 137 | |
| Provident Bancorp, Inc.* | | | 5 | | | | 133 | |
| First Guaranty Bancshares, Inc. | | | 5 | | | | 130 | |
| Atlas Financial Holdings, Inc.* | | | 12 | | | | 124 | |
| GAMCO Investors, Inc. — Class A | | | 5 | | | | 124 | |
| Ellington Residential Mortgage REIT | | | 11 | | | | 121 | |
| Crawford & Co. — Class B | | | 14 | | | | 115 | |
| Old Point Financial Corp. | | | 4 | | | | 106 | |
| RBB Bancorp | | | 4 | | | | 105 | |
| PacWest Bancorp | | | 2 | | | | 99 | |
| Impac Mortgage Holdings, Inc.* | | | 12 | | | | 95 | |
| Maui Land & Pineapple Company, Inc.* | | | 8 | | | | 93 | |
| Blue Capital Reinsurance Holdings Ltd. | | | 7 | | | | 85 | |
| Transcontinental Realty Investors, Inc.* | | | 2 | | | | 81 | |
| Guaranty Bancshares, Inc. | | | 2 | | | | 67 | |
| Rafael Holdings, Inc. — Class B* | | | 11 | | | | 51 | |
| Ominto, Inc.* | | | 16 | | | | 46 | |
| Griffin Industrial Realty, Inc. | | | 1 | | | | 38 | |
| Medley Management, Inc. — Class A | | | 6 | | | | 34 | |
| Oconee Federal Financial Corp. | | | 1 | | | | 29 | |
| RAIT Financial Trust REIT | | | 110 | | | | 18 | |
| Fifth Street Asset Management, Inc. | | | 2 | | | | 3 | |
| Total Financial | | | | | | | 597,904 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 5.8% |
| Nektar Therapeutics* | | | 177 | | | | 18,808 | |
| Bluebird Bio, Inc.* | | | 59 | | | | 10,074 | |
| Encompass Health Corp. | | | 118 | | | | 6,746 | |
| Sage Therapeutics, Inc.* | | | 41 | | | | 6,604 | |
| Catalent, Inc.* | | | 160 | | | | 6,570 | |
| Insulet Corp.* | | | 70 | | | | 6,068 | |
| Grand Canyon Education, Inc.* | | | 56 | | | | 5,876 | |
| Exact Sciences Corp.* | | | 141 | | | | 5,687 | |
| Sarepta Therapeutics, Inc.* | | | 73 | | | | 5,409 | |
| Chemed Corp. | | | 19 | | | | 5,184 | |
| LivaNova plc* | | | 58 | | | | 5,133 | |
| On Assignment, Inc.* | | | 60 | | | | 4,913 | |
| Cantel Medical Corp. | | | 44 | | | | 4,902 | |
| PRA Health Sciences, Inc.* | | | 59 | | | | 4,895 | |
| Masimo Corp.* | | | 54 | | | | 4,749 | |
| Haemonetics Corp.* | | | 64 | | | | 4,682 | |
| Blueprint Medicines Corp.* | | | 51 | | | | 4,677 | |
| Cimpress N.V.* | | | 30 | | | | 4,641 | |
| ICU Medical, Inc.* | | | 18 | | | | 4,543 | |
| Molina Healthcare, Inc.* | | | 53 | | | | 4,303 | |
| Deluxe Corp. | | | 58 | | | | 4,293 | |
| Globus Medical, Inc. — Class A* | | | 85 | | | | 4,235 | |
| Integra LifeSciences Holdings Corp.* | | | 76 | | | | 4,206 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 25 | | | | 4,129 | |
| Avexis, Inc.* | | | 33 | | | | 4,078 | |
| Avis Budget Group, Inc.*,1 | | | 87 | | | | 4,075 | |
| Penumbra, Inc.* | | | 35 | | | | 4,048 | |
| Neogen Corp.* | | | 59 | | | | 3,952 | |
| Brink’s Co. | | | 55 | | | | 3,924 | |
| Array BioPharma, Inc.* | | | 237 | | | | 3,868 | |
| FibroGen, Inc.* | | | 83 | | | | 3,835 | |
| Healthcare Services Group, Inc. | | | 85 | | | | 3,696 | |
| HealthEquity, Inc.* | | | 60 | | | | 3,632 | |
| Aaron’s, Inc. | | | 76 | | | | 3,542 | |
| 94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Green Dot Corp. — Class A* | | | 55 | | | $ | 3,529 | |
| Adtalem Global Education, Inc.* | | | 72 | | | | 3,424 | |
| Darling Ingredients, Inc.* | | | 197 | | | | 3,408 | |
| AMN Healthcare Services, Inc.* | | | 57 | | | | 3,235 | |
| Performance Food Group Co.* | | | 108 | | | | 3,224 | |
| Korn/Ferry International | | | 62 | | | | 3,199 | |
| NuVasive, Inc.* | | | 61 | | | | 3,185 | |
| Magellan Health, Inc.* | | | 29 | | | | 3,106 | |
| Loxo Oncology, Inc.* | | | 26 | | | | 3,000 | |
| Amicus Therapeutics, Inc.* | | | 199 | | | | 2,993 | |
| Insperity, Inc. | | | 43 | | | | 2,991 | |
| Helen of Troy Ltd.* | | | 33 | | | | 2,871 | |
| Nevro Corp.* | | | 33 | | | | 2,860 | |
| Sanderson Farms, Inc. | | | 24 | | | | 2,856 | |
| Lancaster Colony Corp. | | | 23 | | | | 2,832 | |
| Halozyme Therapeutics, Inc.* | | | 143 | | | | 2,801 | |
| Clovis Oncology, Inc.* | | | 53 | | | | 2,798 | |
| Horizon Pharma plc* | | | 196 | | | | 2,783 | |
| Medicines Co.* | | | 83 | | | | 2,734 | |
| Supernus Pharmaceuticals, Inc.* | | | 58 | | | | 2,656 | |
| Merit Medical Systems, Inc.* | | | 58 | | | | 2,630 | |
| United Natural Foods, Inc.* | | | 61 | | | | 2,619 | |
| Halyard Health, Inc.* | | | 56 | | | | 2,580 | |
| Teladoc, Inc.* | | | 64 | | | | 2,579 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 161 | | | | 2,484 | |
| Wright Medical Group N.V.* | | | 125 | | | | 2,480 | |
| J&J Snack Foods Corp. | | | 18 | | | | 2,458 | |
| Inogen, Inc.* | | | 20 | | | | 2,457 | |
| Travelport Worldwide Ltd. | | | 149 | | | | 2,435 | |
| Vector Group Ltd.1 | | | 118 | | | | 2,406 | |
| Ultragenyx Pharmaceutical, Inc.* | | | 47 | | | | 2,397 | |
| Sotheby’s* | | | 46 | | | | 2,360 | |
| Tenet Healthcare Corp.* | | | 97 | | | | 2,352 | |
| TriNet Group, Inc.* | | | 50 | | | | 2,316 | |
| Puma Biotechnology, Inc.* | | | 34 | | | | 2,314 | |
| Syneos Health, Inc.* | | | 65 | | | | 2,308 | |
| LendingTree, Inc.* | | | 7 | | | | 2,297 | |
| Myriad Genetics, Inc.* | | | 77 | | | | 2,275 | |
| ABM Industries, Inc. | | | 67 | | | | 2,243 | |
| WD-40 Co. | | | 17 | | | | 2,239 | |
| Select Medical Holdings Corp.* | | | 129 | | | | 2,225 | |
| Spark Therapeutics, Inc.* | | | 33 | | | | 2,197 | |
| Portola Pharmaceuticals, Inc.* | | | 67 | | | | 2,188 | |
| AnaptysBio, Inc.* | | | 21 | | | | 2,186 | |
| FTI Consulting, Inc.* | | | 45 | | | | 2,178 | |
| Aerie Pharmaceuticals, Inc.* | | | 40 | | | | 2,170 | |
| Weight Watchers International, Inc.* | | | 34 | | | | 2,166 | |
| Prestige Brands Holdings, Inc.* | | | 64 | | | | 2,158 | |
| Global Blood Therapeutics, Inc.* | | | 44 | | | | 2,125 | |
| Emergent BioSolutions, Inc.* | | | 40 | | | | 2,106 | |
| Integer Holdings Corp.* | | | 37 | | | | 2,092 | |
| CONMED Corp. | | | 33 | | | | 2,090 | |
| Insmed, Inc.* | | | 92 | | | | 2,072 | |
| Amedisys, Inc.* | | | 34 | | | | 2,052 | |
| Cambrex Corp.* | | | 39 | | | | 2,040 | |
| Monro, Inc. | | | 38 | | | | 2,037 | |
| NxStage Medical, Inc.* | | | 78 | | | | 1,939 | |
| Sangamo Therapeutics, Inc.* | | | 100 | | | | 1,900 | |
| Boston Beer Company, Inc. — Class A* | | | 10 | | | | 1,891 | |
| Herc Holdings, Inc.* | | | 29 | | | | 1,884 | |
| B&G Foods, Inc.1 | | | 79 | | | | 1,872 | |
| Matthews International Corp. — Class A | | | 37 | | | | 1,872 | |
| Arena Pharmaceuticals, Inc.* | | | 47 | | | | 1,856 | |
| Abaxis, Inc. | | | 26 | | | | 1,836 | |
| Corcept Therapeutics, Inc.* | | | 109 | | | | 1,793 | |
| Immunomedics, Inc.* | | | 122 | | | | 1,782 | |
| Fresh Del Monte Produce, Inc. | | | 39 | | | | 1,764 | |
| Quidel Corp.* | | | 34 | | | | 1,762 | |
| Acceleron Pharma, Inc.* | | | 45 | | | | 1,759 | |
| Calavo Growers, Inc.1 | | | 19 | | | | 1,752 | |
| Tivity Health, Inc.* | | | 44 | | | | 1,745 | |
| Impax Laboratories, Inc.* | | | 88 | | | | 1,712 | |
| Prothena Corporation plc* | | | 46 | | | | 1,689 | |
| HMS Holdings Corp.* | | | 100 | | | | 1,684 | |
| Central Garden & Pet Co. — Class A* | | | 42 | | | | 1,664 | |
| Spectrum Pharmaceuticals, Inc.* | | | 103 | | | | 1,657 | |
| Radius Health, Inc.*,1 | | | 46 | | | | 1,653 | |
| Momenta Pharmaceuticals, Inc.* | | | 91 | | | | 1,652 | |
| Repligen Corp.* | | | 45 | | | | 1,628 | |
| Varex Imaging Corp.* | | | 45 | | | | 1,610 | |
| Zogenix, Inc.* | | | 40 | | | | 1,602 | |
| Paylocity Holding Corp.* | | | 31 | | | | 1,588 | |
| ACCO Brands Corp. | | | 126 | | | | 1,581 | |
| Enanta Pharmaceuticals, Inc.* | | | 19 | | | | 1,537 | |
| Ensign Group, Inc. | | | 58 | | | | 1,525 | |
| Novocure Ltd.* | | | 69 | | | | 1,504 | |
| McGrath RentCorp | | | 28 | | | | 1,503 | |
| Innoviva, Inc.* | | | 90 | | | | 1,500 | |
| Heron Therapeutics, Inc.* | | | 54 | | | | 1,490 | |
| Cal-Maine Foods, Inc.* | | | 34 | | | | 1,486 | |
| Universal Corp. | | | 30 | | | | 1,455 | |
| Dynavax Technologies Corp.* | | | 73 | | | | 1,449 | |
| Esperion Therapeutics, Inc.* | | | 20 | | | | 1,447 | |
| Analogic Corp. | | | 15 | | | | 1,439 | |
| Hostess Brands, Inc.* | | | 96 | | | | 1,420 | |
| Xencor, Inc.* | | | 46 | | | | 1,379 | |
| Pacira Pharmaceuticals, Inc.* | | | 44 | | | | 1,371 | |
| Editas Medicine, Inc.* | | | 41 | | | | 1,359 | |
| MGP Ingredients, Inc.1 | | | 15 | | | | 1,344 | |
| Foundation Medicine, Inc.* | | | 17 | | | | 1,339 | |
| Aimmune Therapeutics, Inc.* | | | 42 | | | | 1,337 | |
| Strayer Education, Inc. | | | 13 | | | | 1,314 | |
| Hertz Global Holdings, Inc.*,1 | | | 66 | | | | 1,310 | |
| PTC Therapeutics, Inc.* | | | 47 | | | | 1,272 | |
| TrueBlue, Inc.* | | | 49 | | | | 1,269 | |
| ImmunoGen, Inc.* | | | 120 | | | | 1,262 | |
| Viad Corp. | | | 24 | | | | 1,259 | |
| Iovance Biotherapeutics, Inc.* | | | 74 | | | | 1,251 | |
| Atara Biotherapeutics, Inc.* | | | 32 | | | | 1,248 | |
| National Beverage Corp. | | | 14 | | | | 1,246 | |
| Natus Medical, Inc.* | | | 37 | | | | 1,245 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Orthofix International N.V.* | | | 21 | | | $ | 1,234 | |
| Acorda Therapeutics, Inc.* | | | 52 | | | | 1,230 | |
| ICF International, Inc. | | | 21 | | | | 1,227 | |
| Cardtronics plc — Class A* | | | 55 | | | | 1,227 | |
| Capella Education Co. | | | 14 | | | | 1,223 | |
| Intersect ENT, Inc.* | | | 31 | | | | 1,218 | |
| Theravance Biopharma, Inc.* | | | 50 | | | | 1,212 | |
| USANA Health Sciences, Inc.* | | | 14 | | | | 1,203 | |
| BioTelemetry, Inc.* | | | 38 | | | | 1,180 | |
| EVERTEC, Inc. | | | 72 | | | | 1,177 | |
| MyoKardia, Inc.* | | | 24 | | | | 1,171 | |
| LHC Group, Inc.* | | | 19 | | | | 1,170 | |
| Diplomat Pharmacy, Inc.* | | | 58 | | | | 1,169 | |
| AxoGen, Inc.* | | | 32 | | | | 1,168 | |
| OraSure Technologies, Inc.* | | | 68 | | | | 1,149 | |
| Owens & Minor, Inc. | | | 73 | | | | 1,135 | |
| Medifast, Inc. | | | 12 | | | | 1,121 | |
| CBIZ, Inc.* | | | 61 | | | | 1,113 | |
| Kelly Services, Inc. — Class A | | | 37 | | | | 1,074 | |
| Intra-Cellular Therapies, Inc.* | | | 51 | | | | 1,073 | |
| Career Education Corp.* | | | 81 | | | | 1,064 | |
| Andersons, Inc. | | | 32 | | | | 1,059 | |
| Navigant Consulting, Inc.* | | | 55 | | | | 1,058 | |
| US Physical Therapy, Inc. | | | 13 | | | | 1,057 | |
| Glaukos Corp.* | | | 34 | | | | 1,048 | |
| Coca-Cola Bottling Company Consolidated | | | 6 | | | | 1,036 | |
| Luminex Corp. | | | 49 | | | | 1,032 | |
| MacroGenics, Inc.* | | | 41 | | | | 1,032 | |
| Epizyme, Inc.* | | | 58 | | | | 1,029 | |
| Retrophin, Inc.* | | | 46 | | | | 1,029 | |
| iRhythm Technologies, Inc.* | | | 16 | | | | 1,007 | |
| CytomX Therapeutics, Inc.* | | | 35 | | | | 996 | |
| Huron Consulting Group, Inc.* | | | 26 | | | | 991 | |
| Inter Parfums, Inc. | | | 21 | | | | 990 | |
| REGENXBIO, Inc.* | | | 33 | | | | 985 | |
| NutriSystem, Inc. | | | 36 | | | | 970 | |
| Providence Service Corp.* | | | 14 | | | | 968 | |
| Alder Biopharmaceuticals, Inc.* | | | 76 | | | | 965 | |
| TherapeuticsMD, Inc.* | | | 198 | | | | 964 | |
| Quad/Graphics, Inc. | | | 38 | | | | 963 | |
| Phibro Animal Health Corp. — Class A | | | 24 | | | | 953 | |
| Dean Foods Co. | | | 109 | | | | 940 | |
| Assembly Biosciences, Inc.* | | | 19 | | | | 934 | |
| Kindred Healthcare, Inc.* | | | 102 | | | | 933 | |
| K2M Group Holdings, Inc.* | | | 49 | | | | 929 | |
| Alarm.com Holdings, Inc.* | | | 24 | | | | 906 | |
| Laureate Education, Inc. — Class A* | | | 65 | | | | 894 | |
| Vanda Pharmaceuticals, Inc.* | | | 53 | | | | 893 | |
| Cardiovascular Systems, Inc.* | | | 40 | | | | 877 | |
| Flexion Therapeutics, Inc.*,1 | | | 39 | | | | 874 | |
| TG Therapeutics, Inc.* | | | 61 | | | | 866 | |
| MiMedx Group, Inc.*,1 | | | 124 | | | | 864 | |
| AMAG Pharmaceuticals, Inc.*,1 | | | 42 | | | | 846 | |
| Anika Therapeutics, Inc.* | | | 17 | | | | 845 | |
| Almost Family, Inc.* | | | 15 | | | | 840 | |
| Revance Therapeutics, Inc.* | | | 27 | | | | 832 | |
| American Public Education, Inc.* | | | 19 | | | | 817 | |
| Amphastar Pharmaceuticals, Inc.* | | | 43 | | | | 806 | |
| Cutera, Inc.* | | | 16 | | | | 804 | |
| Novavax, Inc.* | | | 372 | | | | 781 | |
| AtriCure, Inc.* | | | 38 | | | | 780 | |
| National Healthcare Corp. | | | 13 | | | | 775 | |
| Collegium Pharmaceutical, Inc.* | | | 30 | | | | 766 | |
| CryoLife, Inc.* | | | 38 | | | | 762 | |
| AngioDynamics, Inc.* | | | 44 | | | | 759 | |
| Kforce, Inc. | | | 28 | | | | 757 | |
| SpartanNash Co. | | | 44 | | | | 757 | |
| Geron Corp.*,1 | | | 178 | | | | 756 | |
| Genomic Health, Inc.* | | | 24 | | | | 751 | |
| SP Plus Corp.* | | | 21 | | | | 748 | |
| Cerus Corp.* | | | 135 | | | | 740 | |
| RR Donnelley & Sons Co. | | | 84 | | | | 733 | |
| STAAR Surgical Co.* | | | 49 | | | | 725 | |
| LSC Communications, Inc. | | | 41 | | | | 715 | |
| Meridian Bioscience, Inc. | | | 50 | | | | 710 | |
| Accelerate Diagnostics, Inc.* | | | 31 | | | | 708 | |
| Triple-S Management Corp. — Class B* | | | 27 | | | | 706 | |
| SUPERVALU, Inc.* | | | 46 | | | | 701 | |
| Heidrick & Struggles International, Inc. | | | 22 | | | | 688 | |
| Invacare Corp. | | | 39 | | | | 679 | |
| Barrett Business Services, Inc. | | | 8 | | | | 663 | |
| K12, Inc.* | | | 46 | | | | 652 | |
| LeMaitre Vascular, Inc. | | | 18 | | | | 652 | |
| Progenics Pharmaceuticals, Inc.* | | | 85 | | | | 634 | |
| RadNet, Inc.* | | | 44 | | | | 634 | |
| Heska Corp.* | | | 8 | | | | 633 | |
| Atrion Corp. | | | 1 | | | | 631 | |
| Rigel Pharmaceuticals, Inc.* | | | 177 | | | | 627 | |
| ZIOPHARM Oncology, Inc.* | | | 157 | | | | 615 | |
| Tootsie Roll Industries, Inc. | | | 21 | | | | 607 | |
| Omeros Corp.* | | | 54 | | | | 603 | |
| La Jolla Pharmaceutical Co.* | | | 20 | | | | 596 | |
| Ennis, Inc. | | | 30 | | | | 591 | |
| Lantheus Holdings, Inc.* | | | 37 | | | | 588 | |
| RPX Corp. | | | 55 | | | | 588 | |
| Madrigal Pharmaceuticals, Inc.* | | | 5 | | | | 584 | |
| ANI Pharmaceuticals, Inc.* | | | 10 | | | | 582 | |
| John B Sanfilippo & Son, Inc. | | | 10 | | | | 579 | |
| Ingles Markets, Inc. — Class A | | | 17 | | | | 575 | |
| PDL BioPharma, Inc.* | | | 195 | | | | 573 | |
| Audentes Therapeutics, Inc.* | | | 19 | | | | 571 | |
| Surmodics, Inc.* | | | 15 | | | | 571 | |
| Resources Connection, Inc. | | | 35 | | | | 567 | |
| Five Prime Therapeutics, Inc.* | | | 33 | | | | 567 | |
| WaVe Life Sciences Ltd.* | | | 14 | | | | 561 | |
| Textainer Group Holdings Ltd.* | | | 33 | | | | 559 | |
| Central Garden & Pet Co.* | | | 13 | | | | 559 | |
| BioCryst Pharmaceuticals, Inc.* | | | 117 | | | | 558 | |
| CorVel Corp.* | | | 11 | | | | 556 | |
| NeoGenomics, Inc.* | | | 68 | | | | 555 | |
| Lannett Company, Inc.*,1 | | | 34 | | | | 546 | |
| Synergy Pharmaceuticals, Inc.* | | | 296 | | | | 542 | |
| 96 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Karyopharm Therapeutics, Inc.* | | | 40 | | | $ | 537 | |
| Achaogen, Inc.* | | | 41 | | | | 531 | |
| Chefs’ Warehouse, Inc.* | | | 23 | | | | 529 | |
| Eagle Pharmaceuticals, Inc.* | | | 10 | | | | 527 | |
| CRA International, Inc. | | | 10 | | | | 523 | |
| Achillion Pharmaceuticals, Inc.* | | | 140 | | | | 519 | |
| Akebia Therapeutics, Inc.* | | | 54 | | | | 515 | |
| Everi Holdings, Inc.* | | | 78 | | | | 512 | |
| Tejon Ranch Co.* | | | 22 | | | | 508 | |
| Coherus Biosciences, Inc.* | | | 46 | | | | 508 | |
| Carriage Services, Inc. — Class A | | | 18 | | | | 498 | |
| Forrester Research, Inc. | | | 12 | | | | 497 | |
| Aduro Biotech, Inc.* | | | 53 | | | | 493 | |
| Accuray, Inc.* | | | 98 | | | | 490 | |
| Abeona Therapeutics, Inc.* | | | 34 | | | | 488 | |
| e.l.f. Beauty, Inc.* | | | 25 | | | | 484 | |
| Vectrus, Inc.* | | | 13 | | | | 484 | |
| Concert Pharmaceuticals, Inc.* | | | 21 | | | | 481 | |
| Aclaris Therapeutics, Inc.* | | | 27 | | | | 473 | |
| Team, Inc.*,1 | | | 34 | | | | 468 | |
| Cross Country Healthcare, Inc.* | | | 42 | | | | 467 | |
| Inovio Pharmaceuticals, Inc.* | | | 98 | | | | 462 | |
| Akcea Therapeutics, Inc.* | | | 18 | | | | 461 | |
| Depomed, Inc.* | | | 69 | | | | 455 | |
| Community Health Systems, Inc.*,1 | | | 114 | | | | 451 | |
| Weis Markets, Inc. | | | 11 | | | | 451 | |
| Kura Oncology, Inc.* | | | 24 | | | | 450 | |
| Hackett Group, Inc. | | | 28 | | | | 450 | |
| Fate Therapeutics, Inc.* | | | 46 | | | | 449 | |
| Lexicon Pharmaceuticals, Inc.* | | | 52 | | | | 446 | |
| Tactile Systems Technology, Inc.* | | | 14 | | | | 445 | |
| Rent-A-Center, Inc. | | | 51 | | | | 440 | |
| Addus HomeCare Corp.* | | | 9 | | | | 438 | |
| Keryx Biopharmaceuticals, Inc.* | | | 107 | | | | 438 | |
| Agenus, Inc.* | | | 90 | | | | 424 | |
| Intellia Therapeutics, Inc.* | | | 20 | | | | 422 | |
| MediciNova, Inc.* | | | 41 | | | | 419 | |
| Endologix, Inc.* | | | 99 | | | | 419 | |
| Stemline Therapeutics, Inc.* | | | 27 | | | | 413 | |
| Emerald Expositions Events, Inc. | | | 21 | | | | 409 | |
| ChemoCentryx, Inc.* | | | 30 | | | | 408 | |
| Adamas Pharmaceuticals, Inc.* | | | 17 | | | | 406 | |
| CAI International, Inc.* | | | 19 | | | | 404 | |
| Cara Therapeutics, Inc.*,1 | | | 32 | | | | 396 | |
| Utah Medical Products, Inc. | | | 4 | | | | 395 | |
| Surgery Partners, Inc.* | | | 23 | | | | 394 | |
| Jounce Therapeutics, Inc.* | | | 17 | | | | 380 | |
| Antares Pharma, Inc.* | | | 172 | | | | 378 | |
| Paratek Pharmaceuticals, Inc.* | | | 29 | | | | 377 | |
| Voyager Therapeutics, Inc.* | | | 20 | | | | 376 | |
| Oxford Immunotec Global plc* | | | 30 | | | | 374 | |
| Minerva Neurosciences, Inc.* | | | 59 | | | | 369 | |
| Celldex Therapeutics, Inc.* | | | 158 | | | | 368 | |
| Durect Corp.* | | | 172 | | | | 368 | |
| Dermira, Inc.* | | | 46 | | | | 368 | |
| SEACOR Marine Holdings, Inc.* | | | 19 | | | | 361 | |
| Cytokinetics, Inc.* | | | 50 | | | | 360 | |
| Natera, Inc.* | | | 38 | | | | 352 | |
| Primo Water Corp.* | | | 30 | | | | 351 | |
| Cadiz, Inc.* | | | 26 | | | | 351 | |
| ServiceSource International, Inc.* | | | 92 | | | | 351 | |
| Corbus Pharmaceuticals Holdings, Inc.*,1 | | | 57 | | | | 348 | |
| BioScrip, Inc.* | | | 139 | | | | 342 | |
| Biohaven Pharmaceutical Holding Company Ltd.* | | | 13 | | | | 335 | |
| G1 Therapeutics, Inc.* | | | 9 | | | | 333 | |
| Limoneira Co. | | | 14 | | | | 332 | |
| GenMark Diagnostics, Inc.* | | | 60 | | | | 326 | |
| National Research Corp. — Class A | | | 11 | | | | 322 | |
| Corium International, Inc.* | | | 28 | | | | 321 | |
| Kala Pharmaceuticals, Inc.* | | | 20 | | | | 317 | |
| Medpace Holdings, Inc.* | | | 9 | | | | 314 | |
| Great Lakes Dredge & Dock Corp.* | | | 68 | | | | 313 | |
| Capital Senior Living Corp.* | | | 29 | | | | 312 | |
| Idera Pharmaceuticals, Inc.* | | | 169 | | | | 311 | |
| BioSpecifics Technologies Corp.* | | | 7 | | | | 310 | |
| Farmer Brothers Co.* | | | 10 | | | | 302 | |
| MoneyGram International, Inc.* | | | 35 | | | | 302 | |
| RTI Surgical, Inc.* | | | 65 | | | | 299 | |
| Rockwell Medical, Inc.* | | | 57 | | | | 297 | |
| Franklin Covey Co.* | | | 11 | | | | 296 | |
| Pieris Pharmaceuticals, Inc.* | | | 43 | | | | 293 | |
| Civitas Solutions, Inc.* | | | 19 | | | | 293 | |
| Chimerix, Inc.* | | | 56 | | | | 291 | |
| Revlon, Inc. — Class A* | | | 14 | | | | 289 | |
| Reata Pharmaceuticals, Inc. — Class A* | | | 14 | | | | 287 | |
| BioTime, Inc.* | | | 104 | | | | 280 | |
| Craft Brew Alliance, Inc.* | | | 15 | | | | 279 | |
| Enzo Biochem, Inc.* | | | 49 | | | | 269 | |
| Clearside Biomedical, Inc.* | | | 25 | | | | 268 | |
| Care.com, Inc.* | | | 16 | | | | 260 | |
| Kindred Biosciences, Inc.* | | | 30 | | | | 259 | |
| Strongbridge Biopharma plc* | | | 29 | | | | 257 | |
| Pacific Biosciences of California, Inc.* | | | 124 | | | | 254 | |
| NewLink Genetics Corp.* | | | 35 | | | | 254 | |
| Neos Therapeutics, Inc.* | | | 30 | | | | 249 | |
| ViewRay, Inc.* | | | 37 | | | | 238 | |
| Village Super Market, Inc. — Class A | | | 9 | | | | 237 | |
| Reis, Inc. | | | 11 | | | | 236 | |
| Invitae Corp.* | | | 50 | | | | 234 | |
| Calithera Biosciences, Inc.* | | | 37 | | | | 233 | |
| Willdan Group, Inc.* | | | 8 | | | | 227 | |
| American Renal Associates Holdings, Inc.* | | | 12 | | | | 226 | |
| Athersys, Inc.* | | | 122 | | | | 223 | |
| Seneca Foods Corp. — Class A* | | | 8 | | | | 222 | |
| Aratana Therapeutics, Inc.* | | | 50 | | | | 220 | |
| Bellicum Pharmaceuticals, Inc.* | | | 33 | | | | 216 | |
| FONAR Corp.* | | | 7 | | | | 209 | |
| Acacia Research Corp.* | | | 59 | | | | 207 | |
| Catalyst Pharmaceuticals, Inc.* | | | 86 | | | | 205 | |
| Ardelyx, Inc.* | | | 40 | | | | 202 | |
| Syndax Pharmaceuticals, Inc.* | | | 14 | | | | 199 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 97 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Syros Pharmaceuticals, Inc.* | | | 15 | | | $ | 195 | |
| CSS Industries, Inc. | | | 11 | | | | 192 | |
| Cambium Learning Group, Inc.* | | | 17 | | | | 190 | |
| Tocagen, Inc.* | | | 16 | | | | 190 | |
| NanoString Technologies, Inc.* | | | 25 | | | | 188 | |
| Tetraphase Pharmaceuticals, Inc.* | | | 61 | | | | 187 | |
| Conatus Pharmaceuticals, Inc.* | | | 31 | | | | 182 | |
| Fortress Biotech, Inc.* | | | 39 | | | | 177 | |
| Recro Pharma, Inc.* | | | 16 | | | | 176 | |
| Seres Therapeutics, Inc.* | | | 24 | | | | 176 | |
| Ocular Therapeutix, Inc.* | | | 27 | | | | 176 | |
| Selecta Biosciences, Inc.* | | | 17 | | | | 173 | |
| Natural Health Trends Corp. | | | 9 | | | | 171 | |
| Insys Therapeutics, Inc.*,1 | | | 28 | | | | 169 | |
| Teligent, Inc.* | | | 49 | | | | 165 | |
| Sientra, Inc.* | | | 17 | | | | 164 | |
| Information Services Group, Inc.* | | | 39 | | | | 163 | |
| Dova Pharmaceuticals, Inc.* | | | 6 | | | | 163 | |
| Aileron Therapeutics, Inc.* | | | 20 | | | | 163 | |
| Nymox Pharmaceutical Corp.* | | | 38 | | | | 161 | |
| AAC Holdings, Inc.* | | | 14 | | | | 161 | |
| Veracyte, Inc.* | | | 28 | | | | 156 | |
| BG Staffing, Inc. | | | 8 | | | | 152 | |
| Quotient Ltd.* | | | 32 | | | | 151 | |
| Smart & Final Stores, Inc.* | | | 27 | | | | 150 | |
| Pulse Biosciences, Inc.* | | | 11 | | | | 149 | |
| Bridgepoint Education, Inc.* | | | 22 | | | | 148 | |
| Nature’s Sunshine Products, Inc.* | | | 13 | | | | 143 | |
| Otonomy, Inc.* | | | 34 | | | | 143 | |
| Collectors Universe, Inc. | | | 9 | | | | 141 | |
| NantKwest, Inc.* | | | 35 | | | | 136 | |
| Athenex, Inc.* | | | 8 | | | | 136 | |
| Calyxt, Inc.* | | | 10 | | | | 131 | |
| Anavex Life Sciences Corp.* | | | 45 | | | | 124 | |
| Organovo Holdings, Inc.* | | | 120 | | | | 124 | |
| XBiotech, Inc.* | | | 23 | | | | 123 | |
| Zynerba Pharmaceuticals, Inc.* | | | 14 | | | | 122 | |
| Merrimack Pharmaceuticals, Inc. | | | 15 | | | | 121 | |
| Protagonist Therapeutics, Inc.* | | | 14 | | | | 120 | |
| Turning Point Brands, Inc. | | | 6 | | | | 117 | |
| Corvus Pharmaceuticals, Inc.* | | | 10 | | | | 115 | |
| Sienna Biopharmaceuticals, Inc.* | | | 6 | | | | 113 | |
| VBI Vaccines, Inc.* | | | 32 | | | | 112 | |
| Trevena, Inc.* | | | 67 | | | | 110 | |
| Alico, Inc. | | | 4 | | | | 109 | |
| ARC Document Solutions, Inc.* | | | 48 | | | | 106 | |
| Miragen Therapeutics, Inc.* | | | 15 | | | | 105 | |
| Curis, Inc.* | | | 157 | | | | 103 | |
| Immune Design Corp.* | | | 30 | | | | 99 | |
| Mersana Therapeutics, Inc.* | | | 6 | | | | 95 | |
| Melinta Therapeutics, Inc.* | | | 11 | | | | 81 | |
| Liberty Tax, Inc. | | | 8 | | | | 81 | |
| Genesis Healthcare, Inc.* | | | 53 | | | | 80 | |
| Natural Grocers by Vitamin Cottage, Inc.* | | | 11 | | | | 79 | |
| Advaxis, Inc.* | | | 45 | | | | 76 | |
| Ra Pharmaceuticals, Inc.* | | | 14 | | | | 74 | |
| ConforMIS, Inc.* | | | 50 | | | | 73 | |
| Versartis, Inc.* | | | 40 | | | | 66 | |
| Viveve Medical, Inc.* | | | 18 | | | | 66 | |
| Novelion Therapeutics, Inc.* | | | 18 | | | | 63 | |
| Matinas BioPharma Holdings, Inc.* | | | 78 | | | | 60 | |
| Axovant Sciences Ltd.* | | | 39 | | | | 52 | |
| Asterias Biotherapeutics, Inc.* | | | 35 | | | | 51 | |
| Ascent Capital Group, Inc. — Class A* | | | 13 | | | | 48 | |
| Ovid therapeutics, Inc.* | | | 6 | | | | 42 | |
| Genocea Biosciences, Inc.* | | | 34 | | | | 36 | |
| Obalon Therapeutics, Inc.* | | | 10 | | | | 34 | |
| vTv Therapeutics, Inc. — Class A* | | | 8 | | | | 33 | |
| Lifeway Foods, Inc.* | | | 5 | | | | 30 | |
| Edge Therapeutics, Inc.* | | | 24 | | | | 28 | |
| CPI Card Group, Inc.* | | | 4 | | | | 12 | |
| Oncocyte Corp.* | | | 4 | | | | 8 | |
| Total Consumer, Non-cyclical | | | | | | | 552,164 | |
| | | | | | | | | |
| Industrial - 3.8% |
| Curtiss-Wright Corp. | | | 53 | | | | 7,159 | |
| Knight-Swift Transportation Holdings, Inc. | | | 150 | | | | 6,901 | |
| Littelfuse, Inc. | | | 29 | | | | 6,037 | |
| EMCOR Group, Inc. | | | 71 | | | | 5,533 | |
| Louisiana-Pacific Corp. | | | 174 | | | | 5,006 | |
| Cree, Inc.* | | | 117 | | | | 4,716 | |
| Woodward, Inc. | | | 64 | | | | 4,586 | |
| KLX, Inc.* | | | 62 | | | | 4,406 | |
| John Bean Technologies Corp. | | | 38 | | | | 4,309 | |
| SYNNEX Corp. | | | 35 | | | | 4,144 | |
| Summit Materials, Inc. — Class A* | | | 133 | | | | 4,027 | |
| Trinseo S.A. | | | 53 | | | | 3,925 | |
| Dycom Industries, Inc.* | | | 36 | | | | 3,875 | |
| Kennametal, Inc. | | | 96 | | | | 3,855 | |
| Trex Company, Inc.* | | | 35 | | | | 3,807 | |
| MasTec, Inc.* | | | 80 | | | | 3,764 | |
| Rexnord Corp.* | | | 125 | | | | 3,710 | |
| EnerSys | | | 52 | | | | 3,607 | |
| Barnes Group, Inc. | | | 60 | | | | 3,593 | |
| Tech Data Corp.* | | | 42 | | | | 3,575 | |
| KapStone Paper and Packaging Corp. | | | 104 | | | | 3,568 | |
| Proto Labs, Inc.* | | | 30 | | | | 3,527 | |
| Hillenbrand, Inc. | | | 76 | | | | 3,488 | |
| RBC Bearings, Inc.* | | | 28 | | | | 3,477 | |
| Belden, Inc. | | | 50 | | | | 3,447 | |
| Applied Industrial Technologies, Inc. | | | 46 | | | | 3,353 | |
| Generac Holdings, Inc.* | | | 73 | | | | 3,351 | |
| MSA Safety, Inc. | | | 40 | | | | 3,330 | |
| Tetra Tech, Inc. | | | 67 | | | | 3,280 | |
| TopBuild Corp.* | | | 42 | | | | 3,214 | |
| GATX Corp. | | | 46 | | | | 3,151 | |
| Golar LNG Ltd. | | | 115 | | | | 3,146 | |
| Moog, Inc. — Class A | | | 38 | | | | 3,131 | |
| Advanced Energy Industries, Inc.* | | | 48 | | | | 3,067 | |
| II-VI, Inc.* | | | 73 | | | | 2,986 | |
| Vishay Intertechnology, Inc. | | | 159 | | | | 2,957 | |
| Itron, Inc.* | | | 41 | | | | 2,934 | |
| Simpson Manufacturing Company, Inc. | | | 49 | | | | 2,822 | |
| 98 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| KBR, Inc. | | | 169 | | | $ | 2,736 | |
| Granite Construction, Inc. | | | 48 | | | | 2,681 | |
| Rogers Corp.* | | | 22 | | | | 2,630 | |
| Builders FirstSource, Inc.* | | | 132 | | | | 2,619 | |
| Watts Water Technologies, Inc. — Class A | | | 33 | | | | 2,564 | |
| SPX FLOW, Inc.* | | | 50 | | | | 2,460 | |
| JELD-WEN Holding, Inc.* | | | 80 | | | | 2,450 | |
| Exponent, Inc. | | | 31 | | | | 2,438 | |
| Axon Enterprise, Inc.* | | | 62 | | | | 2,437 | |
| Plexus Corp.* | | | 40 | | | | 2,389 | |
| Universal Forest Products, Inc. | | | 72 | | | | 2,336 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 83 | | | | 2,321 | |
| Franklin Electric Company, Inc. | | | 56 | | | | 2,282 | |
| Worthington Industries, Inc. | | | 53 | | | | 2,275 | |
| Esterline Technologies Corp.* | | | 31 | | | | 2,268 | |
| Saia, Inc.* | | | 30 | | | | 2,254 | |
| Sanmina Corp.* | | | 86 | | | | 2,249 | |
| Chart Industries, Inc.* | | | 37 | | | | 2,184 | |
| Albany International Corp. — Class A | | | 34 | | | | 2,132 | |
| Masonite International Corp.* | | | 34 | | | | 2,086 | |
| Werner Enterprises, Inc. | | | 57 | | | | 2,081 | |
| Brady Corp. — Class A | | | 56 | | | | 2,080 | |
| Kaman Corp. | | | 33 | | | | 2,050 | |
| Covanta Holding Corp. | | | 140 | | | | 2,030 | |
| Mueller Water Products, Inc. — Class A | | | 185 | | | | 2,011 | |
| Harsco Corp.* | | | 96 | | | | 1,982 | |
| Novanta, Inc.* | | | 38 | | | | 1,982 | |
| AAON, Inc. | | | 50 | | | | 1,950 | |
| EnPro Industries, Inc. | | | 25 | | | | 1,935 | |
| Cubic Corp. | | | 30 | | | | 1,908 | |
| Forward Air Corp. | | | 35 | | | | 1,850 | |
| ESCO Technologies, Inc. | | | 31 | | | | 1,815 | |
| Comfort Systems USA, Inc. | | | 44 | | | | 1,815 | |
| Patrick Industries, Inc.* | | | 29 | | | | 1,794 | |
| Benchmark Electronics, Inc. | | | 60 | | | | 1,791 | |
| Mueller Industries, Inc. | | | 68 | | | | 1,779 | |
| Boise Cascade Co. | | | 46 | | | | 1,776 | |
| General Cable Corp. | | | 59 | | | | 1,746 | |
| Chicago Bridge & Iron Company N.V. | | | 121 | | | | 1,742 | |
| AAR Corp. | | | 39 | | | | 1,720 | |
| TTM Technologies, Inc.* | | | 111 | | | | 1,697 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 28 | | | | 1,693 | |
| Methode Electronics, Inc. | | | 43 | | | | 1,681 | |
| Greenbrier Companies, Inc. | | | 33 | | | | 1,658 | |
| SPX Corp.* | | | 51 | | | | 1,657 | |
| Actuant Corp. — Class A | | | 71 | | | | 1,651 | |
| Air Transport Services Group, Inc.* | | | 70 | | | | 1,632 | |
| Hub Group, Inc. — Class A* | | | 39 | | | | 1,632 | |
| Greif, Inc. — Class A | | | 31 | | | | 1,620 | |
| American Woodmark Corp.* | | | 16 | | | | 1,575 | |
| Federal Signal Corp. | | | 71 | | | | 1,563 | |
| Altra Industrial Motion Corp.1 | | | 34 | | | | 1,562 | |
| Badger Meter, Inc. | | | 33 | | | | 1,556 | |
| Raven Industries, Inc. | | | 43 | | | | 1,507 | |
| Sun Hydraulics Corp. | | | 28 | | | | 1,500 | |
| Triumph Group, Inc. | | | 59 | | | | 1,487 | |
| Apogee Enterprises, Inc. | | | 34 | | | | 1,474 | |
| Matson, Inc. | | | 51 | | | | 1,461 | |
| TriMas Corp.* | | | 55 | | | | 1,444 | |
| Astec Industries, Inc. | | | 26 | | | | 1,435 | |
| Tennant Co. | | | 21 | | | | 1,422 | |
| US Ecology, Inc. | | | 26 | | | | 1,386 | |
| OSI Systems, Inc.* | | | 21 | | | | 1,371 | |
| Encore Wire Corp. | | | 24 | | | | 1,361 | |
| AZZ, Inc. | | | 31 | | | | 1,355 | |
| Fabrinet* | | | 43 | | | | 1,349 | |
| Standex International Corp. | | | 14 | | | | 1,335 | |
| Knowles Corp.* | | | 106 | | | | 1,335 | |
| Continental Building Products, Inc.* | | | 46 | | | | 1,313 | |
| Milacron Holdings Corp.* | | | 65 | | | | 1,309 | |
| Gibraltar Industries, Inc.* | | | 38 | | | | 1,286 | |
| Schneider National, Inc. — Class B | | | 49 | | | | 1,277 | |
| Kadant, Inc. | | | 13 | | | | 1,229 | |
| Alamo Group, Inc. | | | 11 | | | | 1,209 | |
| KEMET Corp.* | | | 66 | | | | 1,197 | |
| Lindsay Corp. | | | 13 | | | | 1,189 | |
| Fitbit, Inc. — Class A* | | | 231 | | | | 1,178 | |
| Primoris Services Corp. | | | 47 | | | | 1,174 | |
| FARO Technologies, Inc.* | | | 20 | | | | 1,168 | |
| Advanced Disposal Services, Inc.* | | | 52 | | | | 1,159 | |
| US Concrete, Inc.* | | | 19 | | | | 1,148 | |
| Aerovironment, Inc.* | | | 25 | | | | 1,138 | |
| Casella Waste Systems, Inc. — Class A* | | | 47 | | | | 1,099 | |
| Advanced Drainage Systems, Inc. | | | 42 | | | | 1,088 | |
| PGT Innovations, Inc.* | | | 58 | | | | 1,082 | |
| Manitowoc Company, Inc.* | | | 38 | | | | 1,081 | |
| Marten Transport Ltd. | | | 47 | | | | 1,072 | |
| Briggs & Stratton Corp. | | | 50 | | | | 1,071 | |
| Kratos Defense & Security Solutions, Inc.* | | | 103 | | | | 1,060 | |
| Multi-Color Corp. | | | 16 | | | | 1,057 | |
| Sturm Ruger & Company, Inc. | | | 20 | | | | 1,050 | |
| Chase Corp. | | | 9 | | | | 1,048 | |
| CTS Corp. | | | 38 | | | | 1,034 | |
| Ship Finance International Ltd. | | | 72 | | | | 1,030 | |
| Heartland Express, Inc. | | | 57 | | | | 1,025 | |
| ArcBest Corp. | | | 31 | | | | 994 | |
| Tutor Perini Corp.* | | | 45 | | | | 992 | |
| Astronics Corp.* | | | 26 | | | | 970 | |
| Lydall, Inc.* | | | 20 | | | | 965 | |
| Columbus McKinnon Corp. | | | 26 | | | | 932 | |
| AVX Corp. | | | 55 | | | | 910 | |
| Aegion Corp. — Class A* | | | 39 | | | | 894 | |
| Echo Global Logistics, Inc.* | | | 32 | | | | 883 | |
| Stoneridge, Inc.* | | | 32 | | | | 883 | |
| Global Brass & Copper Holdings, Inc. | | | 26 | | | | 870 | |
| CIRCOR International, Inc. | | | 20 | | | | 853 | |
| NCI Building Systems, Inc.* | | | 48 | | | | 850 | |
| Hyster-Yale Materials Handling, Inc. | | | 12 | | | | 839 | |
| Evoqua Water Technologies Corp.* | | | 39 | | | | 830 | |
| GasLog Ltd. | | | 49 | | | | 806 | |
| Atkore International Group, Inc.* | | | 40 | | | | 794 | |
| NN, Inc. | | | 32 | | | | 768 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 99 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| DXP Enterprises, Inc.* | | | 19 | | | $ | 740 | |
| Electro Scientific Industries, Inc.* | | | 38 | | | | 734 | |
| Argan, Inc. | | | 17 | | | | 730 | |
| TimkenSteel Corp.* | | | 47 | | | | 714 | |
| Quanex Building Products Corp. | | | 41 | | | | 713 | |
| American Outdoor Brands Corp.* | | | 64 | | | | 661 | |
| Control4 Corp.* | | | 30 | | | | 644 | |
| Griffon Corp. | | | 35 | | | | 639 | |
| GoPro, Inc. — Class A*,1 | | | 131 | | | | 627 | |
| International Seaways, Inc.* | | | 35 | | | | 616 | |
| Gorman-Rupp Co. | | | 21 | | | | 614 | |
| Insteel Industries, Inc. | | | 22 | | | | 608 | |
| Mesa Laboratories, Inc. | | | 4 | | | | 594 | |
| Myers Industries, Inc. | | | 28 | | | | 592 | |
| MYR Group, Inc.* | | | 19 | | | | 586 | |
| Ply Gem Holdings, Inc.* | | | 27 | | | | 583 | |
| Vicor Corp.* | | | 20 | | | | 571 | |
| National Presto Industries, Inc. | | | 6 | | | | 562 | |
| Scorpio Tankers, Inc. | | | 285 | | | | 559 | |
| NV5 Global, Inc.* | | | 10 | | | | 558 | |
| Haynes International, Inc. | | | 15 | | | | 557 | |
| Tredegar Corp. | | | 31 | | | | 556 | |
| Applied Optoelectronics, Inc.*,1 | | | 22 | | | | 551 | |
| Armstrong Flooring, Inc.* | | | 40 | | | | 543 | |
| SunPower Corp. — Class A*,1 | | | 67 | | | | 535 | |
| Caesarstone Ltd. | | | 27 | | | | 530 | |
| Teekay Corp.1 | | | 65 | | | | 526 | |
| VSE Corp. | | | 10 | | | | 517 | |
| Kimball Electronics, Inc.* | | | 32 | | | | 517 | |
| Ichor Holdings Ltd.* | | | 21 | | | | 508 | |
| NVE Corp. | | | 6 | | | | 499 | |
| Scorpio Bulkers, Inc. | | | 70 | | | | 494 | |
| DMC Global, Inc. | | | 16 | | | | 428 | |
| Park-Ohio Holdings Corp. | | | 11 | | | | 427 | |
| Covenant Transportation Group, Inc. — Class A* | | | 14 | | | | 418 | |
| Greif, Inc. — Class B | | | 7 | | | | 408 | |
| Frontline Ltd.1 | | | 92 | | | | 408 | |
| ZAGG, Inc.* | | | 33 | | | | 403 | |
| Heritage-Crystal Clean, Inc.* | | | 17 | | | | 400 | |
| Mistras Group, Inc.* | | | 21 | | | | 398 | |
| Ducommun, Inc.* | | | 13 | | | | 395 | |
| Park Electrochemical Corp. | | | 23 | | | | 387 | |
| Advanced Emissions Solutions, Inc. | | | 33 | | | | 377 | |
| Costamare, Inc. | | | 60 | | | | 374 | |
| Vishay Precision Group, Inc.* | | | 12 | | | | 374 | |
| Sterling Construction Company, Inc.* | | | 31 | | | | 355 | |
| Energy Recovery, Inc.* | | | 43 | | | | 353 | |
| Energous Corp.*,1 | | | 22 | | | | 353 | |
| DHT Holdings, Inc. | | | 102 | | | | 347 | |
| YRC Worldwide, Inc.* | | | 39 | | | | 344 | |
| GP Strategies Corp.* | | | 15 | | | | 340 | |
| American Railcar Industries, Inc. | | | 9 | | | | 337 | |
| Layne Christensen Co.* | | | 22 | | | | 328 | |
| Gener8 Maritime, Inc.* | | | 57 | | | | 322 | |
| Hurco Companies, Inc. | | | 7 | | | | 321 | |
| Allied Motion Technologies, Inc. | | | 8 | | | | 318 | |
| Powell Industries, Inc. | | | 11 | | | | 295 | |
| Daseke, Inc.* | | | 29 | | | | 284 | |
| Fluidigm Corp.* | | | 46 | | | | 269 | |
| Ardmore Shipping Corp.* | | | 34 | | | | 258 | |
| Hardinge, Inc. | | | 14 | | | | 257 | |
| UFP Technologies, Inc.* | | | 8 | | | | 236 | |
| Graham Corp. | | | 11 | | | | 236 | |
| LB Foster Co. — Class A* | | | 10 | | | | 235 | |
| LSI Industries, Inc. | | | 29 | | | | 235 | |
| Hill International, Inc.* | | | 41 | | | | 234 | |
| Nordic American Tankers Ltd. | | | 120 | | | | 233 | |
| Babcock & Wilcox Enterprises, Inc.* | | | 53 | | | | 231 | |
| Eagle Bulk Shipping, Inc.* | | | 46 | | | | 228 | |
| Teekay Tankers Ltd. — Class A1 | | | 191 | | | | 227 | |
| Olympic Steel, Inc. | | | 11 | | | | 226 | |
| Orion Group Holdings, Inc.* | | | 33 | | | | 217 | |
| Twin Disc, Inc.* | | | 10 | | | | 217 | |
| Hudson Technologies, Inc.* | | | 44 | | | | 217 | |
| Universal Logistics Holdings, Inc. | | | 10 | | | | 211 | |
| Sparton Corp.* | | | 12 | | | | 209 | |
| Bel Fuse, Inc. — Class B | | | 11 | | | | 208 | |
| Dorian LPG Ltd.* | | | 27 | | | | 202 | |
| Lawson Products, Inc.* | | | 8 | | | | 202 | |
| FreightCar America, Inc. | | | 15 | | | | 201 | |
| Eastern Co. | | | 7 | | | | 199 | |
| Omega Flex, Inc. | | | 3 | | | | 195 | |
| Northwest Pipe Co.* | | | 11 | | | | 190 | |
| Pure Cycle Corp.* | | | 20 | | | | 189 | |
| Safe Bulkers, Inc.* | | | 59 | | | | 187 | |
| Forterra, Inc.* | | | 22 | | | | 183 | |
| Radiant Logistics, Inc.* | | | 45 | | | | 174 | |
| AquaVenture Holdings Ltd.* | | | 14 | | | | 174 | |
| Intevac, Inc.* | | | 24 | | | | 166 | |
| Napco Security Technologies, Inc.* | | | 14 | | | | 164 | |
| Gencor Industries, Inc.* | | | 10 | | | | 161 | |
| Core Molding Technologies, Inc. | | | 9 | | | | 160 | |
| CECO Environmental Corp. | | | 36 | | | | 160 | |
| Overseas Shipholding Group, Inc. — Class A* | | | 54 | | | | 153 | |
| LSB Industries, Inc.* | | | 25 | | | | 153 | |
| IES Holdings, Inc.* | | | 10 | | | | 152 | |
| CyberOptics Corp.* | | | 8 | | | | 144 | |
| Iteris, Inc.* | | | 28 | | | | 139 | |
| Willis Lease Finance Corp.* | | | 4 | | | | 137 | |
| Genco Shipping & Trading Ltd.* | | | 9 | | | | 128 | |
| MicroVision, Inc.* | | | 94 | | | | 106 | |
| Navios Maritime Holdings, Inc.* | | | 110 | | | | 99 | |
| Roadrunner Transportation Systems, Inc.* | | | 37 | | | | 94 | |
| Ampco-Pittsburgh Corp.* | | | 10 | | | | 89 | |
| Navios Maritime Acquisition Corp. | | | 99 | | | | 83 | |
| Akoustis Technologies, Inc.* | | | 14 | | | | 82 | |
| NL Industries, Inc.* | | | 10 | | | | 79 | |
| Aqua Metals, Inc.* | | | 20 | | | | 52 | |
| Revolution Lighting Technologies, Inc.* | | | 15 | | | | 51 | |
| 100 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Willbros Group, Inc.* | | | 53 | | | $ | 29 | |
| Total Industrial | | | | | | | 360,128 | |
| | | | | | | | | |
| Consumer, Cyclical - 3.0% |
| Five Below, Inc.* | | | 65 | | | | 4,767 | |
| Texas Roadhouse, Inc. — Class A | | | 80 | | | | 4,622 | |
| FirstCash, Inc. | | | 56 | | | | 4,550 | |
| Dana, Inc. | | | 174 | | | | 4,482 | |
| Beacon Roofing Supply, Inc.* | | | 80 | | | | 4,246 | |
| ILG, Inc. | | | 127 | | | | 3,951 | |
| Planet Fitness, Inc. — Class A* | | | 104 | | | | 3,928 | |
| Churchill Downs, Inc. | | | 16 | | | | 3,905 | |
| American Eagle Outfitters, Inc. | | | 194 | | | | 3,866 | |
| Cracker Barrel Old Country Store, Inc. | | | 23 | | | | 3,662 | |
| Ollie’s Bargain Outlet Holdings, Inc.* | | | 57 | | | | 3,437 | |
| Deckers Outdoor Corp.* | | | 38 | | | | 3,421 | |
| Tenneco, Inc. | | | 61 | | | | 3,347 | |
| Marriott Vacations Worldwide Corp. | | | 25 | | | | 3,330 | |
| SkyWest, Inc. | | | 61 | | | | 3,318 | |
| Wolverine World Wide, Inc. | | | 113 | | | | 3,266 | |
| Boyd Gaming Corp. | | | 100 | | | | 3,186 | |
| SiteOne Landscape Supply, Inc.* | | | 41 | | | | 3,159 | |
| Steven Madden Ltd. | | | 71 | | | | 3,117 | |
| Taylor Morrison Home Corp. — Class A* | | | 133 | | | | 3,096 | |
| LCI Industries | | | 29 | | | | 3,020 | |
| Jack in the Box, Inc. | | | 35 | | | | 2,987 | |
| TRI Pointe Group, Inc.* | | | 180 | | | | 2,957 | |
| UniFirst Corp. | | | 18 | | | | 2,910 | |
| KB Home | | | 101 | | | | 2,874 | |
| Children’s Place, Inc. | | | 21 | | | | 2,840 | |
| Lithia Motors, Inc. — Class A | | | 27 | | | | 2,714 | |
| Bloomin’ Brands, Inc. | | | 111 | | | | 2,695 | |
| Penn National Gaming, Inc.* | | | 102 | | | | 2,679 | |
| Columbia Sportswear Co. | | | 35 | | | | 2,675 | |
| Scientific Games Corp. — Class A* | | | 64 | | | | 2,662 | |
| Anixter International, Inc.* | | | 35 | | | | 2,651 | |
| Allegiant Travel Co. — Class A | | | 15 | | | | 2,588 | |
| Cooper-Standard Holdings, Inc.* | | | 21 | | | | 2,579 | |
| Cheesecake Factory, Inc.1 | | | 51 | | | | 2,459 | |
| Red Rock Resorts, Inc. — Class A | | | 83 | | | | 2,430 | |
| Hawaiian Holdings, Inc. | | | 62 | | | | 2,400 | |
| Mobile Mini, Inc. | | | 53 | | | | 2,305 | |
| Herman Miller, Inc. | | | 72 | | | | 2,300 | |
| RH*,1 | | | 24 | | | | 2,287 | |
| Big Lots, Inc. | | | 51 | | | | 2,220 | |
| PriceSmart, Inc. | | | 26 | | | | 2,172 | |
| Dorman Products, Inc.* | | | 32 | | | | 2,119 | |
| Navistar International Corp.* | | | 60 | | | | 2,098 | |
| Dave & Buster’s Entertainment, Inc.* | | | 50 | | | | 2,087 | |
| Meritage Homes Corp.* | | | 46 | | | | 2,082 | |
| Meritor, Inc.* | | | 100 | | | | 2,056 | |
| Brinker International, Inc.1 | | | 56 | | | | 2,022 | |
| iRobot Corp.* | | | 31 | | | | 1,990 | |
| Abercrombie & Fitch Co. — Class A | | | 82 | | | | 1,985 | |
| G-III Apparel Group Ltd.* | | | 52 | | | | 1,959 | |
| Pinnacle Entertainment, Inc.* | | | 63 | | | | 1,899 | |
| HNI Corp. | | | 52 | | | | 1,877 | |
| La Quinta Holdings, Inc.* | | | 98 | | | | 1,853 | |
| Caesars Entertainment Corp.* | | | 164 | | | | 1,845 | |
| Callaway Golf Co. | | | 112 | | | | 1,832 | |
| Cooper Tire & Rubber Co. | | | 62 | | | | 1,817 | |
| Eldorado Resorts, Inc.* | | | 55 | | | | 1,815 | |
| Interface, Inc. — Class A | | | 72 | | | | 1,814 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 118 | | | | 1,796 | |
| Papa John’s International, Inc. | | | 31 | | | | 1,776 | |
| DSW, Inc. — Class A | | | 79 | | | | 1,774 | |
| Cavco Industries, Inc.* | | | 10 | | | | 1,738 | |
| La-Z-Boy, Inc. | | | 58 | | | | 1,737 | |
| Triton International Ltd. | | | 56 | | | | 1,714 | |
| Caleres, Inc. | | | 50 | | | | 1,680 | |
| Wingstop, Inc. | | | 35 | | | | 1,653 | |
| Sleep Number Corp.* | | | 47 | | | | 1,652 | |
| Group 1 Automotive, Inc. | | | 24 | | | | 1,568 | |
| Rush Enterprises, Inc. — Class A* | | | 36 | | | | 1,530 | |
| BMC Stock Holdings, Inc.* | | | 78 | | | | 1,525 | |
| MDC Holdings, Inc. | | | 54 | | | | 1,508 | |
| Installed Building Products, Inc.* | | | 25 | | | | 1,501 | |
| Gentherm, Inc.* | | | 44 | | | | 1,494 | |
| Guess?, Inc. | | | 72 | | | | 1,493 | |
| Oxford Industries, Inc. | | | 20 | | | | 1,491 | |
| Asbury Automotive Group, Inc.* | | | 22 | | | | 1,485 | |
| LGI Homes, Inc.* | | | 21 | | | | 1,482 | |
| Tailored Brands, Inc. | | | 59 | | | | 1,479 | |
| Fox Factory Holding Corp.* | | | 42 | | | | 1,466 | |
| H&E Equipment Services, Inc. | | | 38 | | | | 1,463 | |
| Wabash National Corp. | | | 70 | | | | 1,457 | |
| Winnebago Industries, Inc. | | | 38 | | | | 1,429 | |
| Chico’s FAS, Inc. | | | 154 | | | | 1,392 | |
| Dine Brands Global, Inc. | | | 21 | | | | 1,377 | |
| Steelcase, Inc. — Class A | | | 101 | | | | 1,374 | |
| Crocs, Inc.* | | | 83 | | | | 1,349 | |
| Office Depot, Inc. | | | 613 | | | | 1,318 | |
| IMAX Corp.* | | | 67 | | | | 1,286 | |
| Dillard’s, Inc. — Class A1 | | | 16 | | | | 1,285 | |
| International Speedway Corp. — Class A | | | 29 | | | | 1,279 | |
| Modine Manufacturing Co.* | | | 59 | | | | 1,248 | |
| Standard Motor Products, Inc. | | | 26 | | | | 1,237 | |
| Camping World Holdings, Inc. — Class A | | | 38 | | | | 1,226 | |
| SeaWorld Entertainment, Inc.*,1 | | | 82 | | | | 1,216 | |
| Belmond Ltd. — Class A* | | | 107 | | | | 1,193 | |
| Denny’s Corp.* | | | 77 | | | | 1,188 | |
| Sonic Corp. | | | 47 | | | | 1,186 | |
| Knoll, Inc. | | | 58 | | | | 1,171 | |
| Core-Mark Holding Company, Inc. | | | 55 | | | | 1,169 | |
| Douglas Dynamics, Inc. | | | 26 | | | | 1,127 | |
| Vista Outdoor, Inc.* | | | 69 | | | | 1,126 | |
| J.C. Penney Company, Inc.*,1 | | | 371 | | | | 1,120 | |
| Shake Shack, Inc. — Class A* | | | 26 | | | | 1,082 | |
| BJ’s Restaurants, Inc. | | | 24 | | | | 1,078 | |
| ScanSource, Inc.* | | | 30 | | | | 1,066 | |
| M/I Homes, Inc.* | | | 32 | | | | 1,019 | |
| GMS, Inc.* | | | 33 | | | | 1,009 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 101 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| PetMed Express, Inc. | | | 24 | | | $ | 1,002 | |
| Liberty TripAdvisor Holdings, Inc. — Class A* | | | 87 | | | | 935 | |
| Genesco, Inc.* | | | 23 | | | | 934 | |
| William Lyon Homes — Class A* | | | 33 | | | | 907 | |
| AMC Entertainment Holdings, Inc. — Class A | | | 64 | | | | 899 | |
| Universal Electronics, Inc.* | | | 17 | | | | 885 | |
| Acushnet Holdings Corp. | | | 38 | | | | 877 | |
| Red Robin Gourmet Burgers, Inc.* | | | 15 | | | | 870 | |
| Ruth’s Hospitality Group, Inc. | | | 35 | | | | 856 | |
| Lumber Liquidators Holdings, Inc.*,1 | | | 34 | | | | 813 | |
| Malibu Boats, Inc. — Class A* | | | 24 | | | | 797 | |
| EZCORP, Inc. — Class A* | | | 60 | | | | 792 | |
| Titan International, Inc. | | | 60 | | | | 757 | |
| Buckle, Inc. | | | 34 | | | | 753 | |
| Kimball International, Inc. — Class B | | | 44 | | | | 750 | |
| Conn’s, Inc.* | | | 22 | | | | 748 | |
| Spartan Motors, Inc. | | | 41 | | | | 705 | |
| Movado Group, Inc. | | | 18 | | | | 691 | |
| Century Communities, Inc.* | | | 23 | | | | 689 | |
| Wesco Aircraft Holdings, Inc.* | | | 67 | | | | 687 | |
| National Vision Holdings, Inc.* | | | 21 | | | | 679 | |
| Fossil Group, Inc.* | | | 53 | | | | 673 | |
| Marcus Corp. | | | 22 | | | | 668 | |
| Ethan Allen Interiors, Inc. | | | 29 | | | | 665 | |
| Express, Inc.* | | | 92 | | | | 659 | |
| Unifi, Inc.* | | | 18 | | | | 652 | |
| Regis Corp.* | | | 43 | | | | 651 | |
| Finish Line, Inc. — Class A | | | 48 | | | | 650 | |
| Tower International, Inc. | | | 23 | | | | 638 | |
| Hibbett Sports, Inc.* | | | 25 | | | | 599 | |
| Beazer Homes USA, Inc.* | | | 37 | | | | 590 | |
| Fiesta Restaurant Group, Inc.* | | | 31 | | | | 574 | |
| Sonic Automotive, Inc. — Class A | | | 30 | | | | 569 | |
| MCBC Holdings, Inc.* | | | 22 | | | | 554 | |
| Monarch Casino & Resort, Inc.* | | | 13 | | | | 550 | |
| Veritiv Corp.* | | | 14 | | | | 549 | |
| REV Group, Inc. | | | 26 | | | | 540 | |
| Zumiez, Inc.* | | | 22 | | | | 526 | |
| MarineMax, Inc.* | | | 27 | | | | 525 | |
| Chuy’s Holdings, Inc.* | | | 20 | | | | 524 | |
| Titan Machinery, Inc.* | | | 22 | | | | 518 | |
| Party City Holdco, Inc.* | | | 33 | | | | 515 | |
| Hooker Furniture Corp. | | | 14 | | | | 514 | |
| Citi Trends, Inc. | | | 16 | | | | 495 | |
| Nautilus, Inc.* | | | 36 | | | | 484 | |
| Freshpet, Inc.* | | | 29 | | | | 477 | |
| Motorcar Parts of America, Inc.* | | | 22 | | | | 471 | |
| Haverty Furniture Companies, Inc. | | | 23 | | | | 463 | |
| Carrols Restaurant Group, Inc.* | | | 41 | | | | 459 | |
| America’s Car-Mart, Inc.* | | | 9 | | | | 454 | |
| Hamilton Beach Brands Holding Co. — Class A | | | 21 | | | | 446 | |
| Ascena Retail Group, Inc.* | | | 207 | | | | 416 | |
| Del Taco Restaurants, Inc.* | | | 40 | | | | 414 | |
| Cato Corp. — Class A | | | 28 | | | | 413 | |
| Biglari Holdings, Inc.* | | | 1 | | | | 408 | |
| Systemax, Inc. | | | 14 | | | | 400 | |
| Superior Industries International, Inc. | | | 30 | | | | 399 | |
| Culp, Inc. | | | 13 | | | | 397 | |
| Winmark Corp. | | | 3 | | | | 392 | |
| Perry Ellis International, Inc.* | | | 15 | | | | 387 | |
| National CineMedia, Inc. | | | 74 | | | | 384 | |
| Del Frisco’s Restaurant Group, Inc.* | | | 25 | | | | 381 | |
| Daktronics, Inc. | | | 43 | | | | 379 | |
| Johnson Outdoors, Inc. — Class A | | | 6 | | | | 372 | |
| Bassett Furniture Industries, Inc. | | | 12 | | | | 364 | |
| Flexsteel Industries, Inc. | | | 9 | | | | 356 | |
| Drive Shack, Inc.* | | | 74 | | | | 354 | |
| Barnes & Noble, Inc. | | | 71 | | | | 352 | |
| Essendant, Inc. | | | 45 | | | | 351 | |
| PC Connection, Inc. | | | 14 | | | | 350 | |
| Shoe Carnival, Inc. | | | 14 | | | | 333 | |
| Reading International, Inc. — Class A* | | | 20 | | | | 333 | |
| Zoe’s Kitchen, Inc.* | | | 23 | | | | 332 | |
| Nexeo Solutions, Inc.* | | | 31 | | | | 332 | |
| Eros International plc* | | | 30 | | | | 327 | |
| Potbelly Corp.* | | | 27 | | | | 325 | |
| Miller Industries, Inc. | | | 13 | | | | 325 | |
| Barnes & Noble Education, Inc.* | | | 46 | | | | 317 | |
| GNC Holdings, Inc. — Class A*,1 | | | 81 | | | | 313 | |
| RCI Hospitality Holdings, Inc. | | | 11 | | | | 312 | |
| PICO Holdings, Inc.* | | | 27 | | | | 309 | |
| Pier 1 Imports, Inc. | | | 96 | | | | 309 | |
| Green Brick Partners, Inc.* | | | 28 | | | | 305 | |
| Golden Entertainment, Inc.*,1 | | | 13 | | | | 302 | |
| Bojangles’, Inc.* | | | 21 | | | | 291 | |
| Tile Shop Holdings, Inc. | | | 47 | | | | 282 | |
| AV Homes, Inc.* | | | 15 | | | | 278 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 148 | | | | 271 | |
| Boot Barn Holdings, Inc.* | | | 15 | | | | 266 | |
| Superior Uniform Group, Inc. | | | 10 | | | | 263 | |
| Vera Bradley, Inc.* | | | 24 | | | | 255 | |
| Foundation Building Materials, Inc.* | | | 17 | | | | 254 | |
| Speedway Motorsports, Inc. | | | 14 | | | | 250 | |
| Horizon Global Corp.* | | | 30 | | | | 247 | |
| Lindblad Expeditions Holdings, Inc.* | | | 24 | | | | 247 | |
| Rush Enterprises, Inc. — Class B* | | | 6 | | | | 242 | |
| PetIQ, Inc.* | | | 9 | | | | 239 | |
| Weyco Group, Inc. | | | 7 | | | | 235 | |
| Commercial Vehicle Group, Inc.* | | | 30 | | | | 232 | |
| El Pollo Loco Holdings, Inc.* | | | 24 | | | | 228 | |
| Duluth Holdings, Inc. — Class B* | | | 12 | | | | 225 | |
| Nathan’s Famous, Inc. | | | 3 | | | | 222 | |
| Blue Bird Corp.* | | | 9 | | | | 213 | |
| Francesca’s Holdings Corp.* | | | 44 | | | | 211 | |
| Habit Restaurants, Inc. — Class A* | | | 24 | | | | 211 | |
| Red Lion Hotels Corp.* | | | 20 | | | | 195 | |
| At Home Group, Inc.*,1 | | | 6 | | | | 192 | |
| Century Casinos, Inc.* | | | 25 | | | | 186 | |
| Tilly’s, Inc. — Class A | | | 16 | | | | 181 | |
| 102 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Escalade, Inc. | | | 13 | | | $ | 178 | |
| Sportsman’s Warehouse Holdings, Inc.* | | | 43 | | | | 175 | |
| Kirkland’s, Inc.* | | | 18 | | | | 174 | |
| Big 5 Sporting Goods Corp.1 | | | 24 | | | | 174 | |
| Fogo De Chao, Inc.* | | | 11 | | | | 173 | |
| J Alexander’s Holdings, Inc.* | | | 15 | | | | 172 | |
| Clarus Corp.* | | | 25 | | | | 169 | |
| New Home Company, Inc.* | | | 15 | | | | 166 | |
| EnviroStar, Inc.1 | | | 4 | | | | 157 | |
| Gaia, Inc.* | | | 10 | | | | 155 | |
| Huttig Building Products, Inc.* | | | 29 | | | | 152 | |
| Delta Apparel, Inc.* | | | 8 | | | | 144 | |
| Build-A-Bear Workshop, Inc. — Class A* | | | 15 | | | | 137 | |
| Lifetime Brands, Inc. | | | 11 | | | | 137 | |
| Castle Brands, Inc.*,1 | | | 106 | | | | 131 | |
| Fred’s, Inc. — Class A1 | | | 43 | | | | 129 | |
| Libbey, Inc. | | | 26 | | | | 127 | |
| Marine Products Corp. | | | 9 | | | | 126 | |
| PCM, Inc.* | | | 14 | | | | 116 | |
| VOXX International Corp. — Class A* | | | 23 | | | | 114 | |
| Vitamin Shoppe, Inc.* | | | 25 | | | | 109 | |
| Noodles & Co.* | | | 14 | | | | 106 | |
| Container Store Group, Inc.* | | | 19 | | | | 103 | |
| Sequential Brands Group, Inc.* | | | 48 | | | | 100 | |
| Empire Resorts, Inc.* | | | 4 | | | | 69 | |
| Iconix Brand Group, Inc.*,1 | | | 60 | | | | 67 | |
| J. Jill, Inc.* | | | 14 | | | | 62 | |
| Sears Holdings Corp.* | | | 14 | | | | 37 | |
| CompX International, Inc. | | | 2 | | | | 28 | |
| Inspired Entertainment, Inc.* | | | 5 | | | | 28 | |
| Total Consumer, Cyclical | | | | | | | 288,274 | |
| | | | | | | | | |
| Technology - 2.8% |
| MKS Instruments, Inc. | | | 65 | | | | 7,517 | |
| Aspen Technology, Inc.* | | | 88 | | | | 6,942 | |
| EPAM Systems, Inc.* | | | 60 | | | | 6,871 | |
| Paycom Software, Inc.* | | | 59 | | | | 6,336 | |
| Nutanix, Inc. — Class A* | | | 127 | | | | 6,237 | |
| Fair Isaac Corp.* | | | 36 | | | | 6,097 | |
| Entegris, Inc. | | | 170 | | | | 5,916 | |
| Blackbaud, Inc. | | | 57 | | | | 5,803 | |
| Monolithic Power Systems, Inc. | | | 48 | | | | 5,557 | |
| MAXIMUS, Inc. | | | 77 | | | | 5,139 | |
| Integrated Device Technology, Inc.* | | | 161 | | | | 4,920 | |
| 2U, Inc.* | | | 58 | | | | 4,874 | |
| Lumentum Holdings, Inc.* | | | 74 | | | | 4,721 | |
| Silicon Laboratories, Inc.* | | | 50 | | | | 4,495 | |
| HubSpot, Inc.*,1 | | | 41 | | | | 4,440 | |
| j2 Global, Inc. | | | 56 | | | | 4,419 | |
| CACI International, Inc. — Class A* | | | 29 | | | | 4,389 | |
| Medidata Solutions, Inc.* | | | 68 | | | | 4,271 | |
| Science Applications International Corp. | | | 52 | | | | 4,098 | |
| RealPage, Inc.* | | | 70 | | | | 3,605 | |
| ACI Worldwide, Inc.* | | | 140 | | | | 3,321 | |
| Cabot Microelectronics Corp. | | | 30 | | | | 3,213 | |
| Verint Systems, Inc.* | | | 75 | | | | 3,195 | |
| Cirrus Logic, Inc.* | | | 77 | | | | 3,128 | |
| Semtech Corp.* | | | 78 | | | | 3,046 | |
| Envestnet, Inc.* | | | 52 | | | | 2,980 | |
| Callidus Software, Inc.* | | | 81 | | | | 2,912 | |
| Twilio, Inc. — Class A* | | | 74 | | | | 2,825 | |
| Qualys, Inc.* | | | 38 | | | | 2,764 | |
| CommVault Systems, Inc.* | | | 48 | | | | 2,746 | |
| New Relic, Inc.* | | | 37 | | | | 2,742 | |
| Mercury Systems, Inc.* | | | 56 | | | | 2,706 | |
| Allscripts Healthcare Solutions, Inc.* | | | 218 | | | | 2,692 | |
| Pegasystems, Inc. | | | 44 | | | | 2,669 | |
| NetScout Systems, Inc.* | | | 101 | | | | 2,661 | |
| Convergys Corp. | | | 113 | | | | 2,556 | |
| Cloudera, Inc.* | | | 117 | | | | 2,525 | |
| Cornerstone OnDemand, Inc.* | | | 64 | | | | 2,503 | |
| Power Integrations, Inc. | | | 34 | | | | 2,324 | |
| Pure Storage, Inc. — Class A* | | | 116 | | | | 2,314 | |
| Brooks Automation, Inc. | | | 82 | | | | 2,220 | |
| Progress Software Corp. | | | 57 | | | | 2,192 | |
| ExlService Holdings, Inc.* | | | 39 | | | | 2,175 | |
| Ebix, Inc. | | | 29 | | | | 2,160 | |
| Acxiom Corp.* | | | 95 | | | | 2,157 | |
| VeriFone Systems, Inc.* | | | 133 | | | | 2,046 | |
| Box, Inc. — Class A* | | | 97 | | | | 1,993 | |
| MINDBODY, Inc. — Class A* | | | 51 | | | | 1,984 | |
| Omnicell, Inc.* | | | 45 | | | | 1,953 | |
| Ambarella, Inc.*,1 | | | 39 | | | | 1,911 | |
| Five9, Inc.* | | | 64 | | | | 1,907 | |
| Synaptics, Inc.* | | | 41 | | | | 1,875 | |
| Bottomline Technologies de, Inc.* | | | 48 | | | | 1,860 | |
| CSG Systems International, Inc. | | | 40 | | | | 1,812 | |
| Rambus, Inc.* | | | 130 | | | | 1,746 | |
| Coupa Software, Inc.* | | | 38 | | | | 1,733 | |
| ManTech International Corp. — Class A | | | 31 | | | | 1,720 | |
| MaxLinear, Inc. — Class A*,1 | | | 73 | | | | 1,661 | |
| Virtusa Corp.* | | | 32 | | | | 1,551 | |
| 3D Systems Corp.*,1 | | | 131 | | | | 1,518 | |
| Cotiviti Holdings, Inc.* | | | 44 | | | | 1,515 | |
| Inphi Corp.* | | | 50 | | | | 1,505 | |
| Electronics for Imaging, Inc.* | | | 55 | | | | 1,503 | |
| Insight Enterprises, Inc.* | | | 43 | | | | 1,502 | |
| MicroStrategy, Inc. — Class A* | | | 11 | | | | 1,419 | |
| Diebold Nixdorf, Inc.1 | | | 91 | | | | 1,401 | |
| Diodes, Inc.* | | | 46 | | | | 1,401 | |
| Varonis Systems, Inc.* | | | 23 | | | | 1,392 | |
| Sykes Enterprises, Inc.* | | | 47 | | | | 1,360 | |
| SPS Commerce, Inc.* | | | 20 | | | | 1,281 | |
| MuleSoft, Inc. — Class A* | | | 29 | | | | 1,275 | |
| XPERI CORP. | | | 59 | | | | 1,248 | |
| Amkor Technology, Inc.* | | | 122 | | | | 1,236 | |
| Hortonworks, Inc.* | | | 60 | | | | 1,222 | |
| Stratasys Ltd.* | | | 60 | | | | 1,211 | |
| FormFactor, Inc.* | | | 86 | | | | 1,174 | |
| Monotype Imaging Holdings, Inc. | | | 50 | | | | 1,122 | |
| LivePerson, Inc.* | | | 65 | | | | 1,063 | |
| PROS Holdings, Inc.* | | | 32 | | | | 1,056 | |
| Instructure, Inc.* | | | 25 | | | | 1,054 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 103 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MTS Systems Corp. | | | 20 | | | $ | 1,033 | |
| Evolent Health, Inc. — Class A* | | | 72 | | | | 1,026 | |
| Rudolph Technologies, Inc.* | | | 37 | | | | 1,025 | |
| Syntel, Inc.* | | | 40 | | | | 1,021 | |
| Cray, Inc.* | | | 48 | | | | 994 | |
| Veeco Instruments, Inc.* | | | 57 | | | | 969 | |
| CEVA, Inc.* | | | 26 | | | | 941 | |
| Axcelis Technologies, Inc.* | | | 36 | | | | 886 | |
| Quality Systems, Inc.* | | | 64 | | | | 874 | |
| Carbonite, Inc.* | | | 30 | | | | 864 | |
| Vocera Communications, Inc.* | | | 35 | | | | 820 | |
| Lattice Semiconductor Corp.* | | | 147 | | | | 819 | |
| MACOM Technology Solutions Holdings, Inc.* | | | 49 | | | | 813 | |
| Inovalon Holdings, Inc. — Class A* | | | 76 | | | | 806 | |
| Super Micro Computer, Inc.* | | | 47 | | | | 799 | |
| Apptio, Inc. — Class A* | | | 28 | | | | 793 | |
| CommerceHub, Inc.* | | | 35 | | | | 787 | |
| Nanometrics, Inc.* | | | 29 | | | | 780 | |
| Everbridge, Inc.* | | | 21 | | | | 769 | |
| Cohu, Inc. | | | 33 | | | | 753 | |
| Alteryx, Inc. — Class A* | | | 22 | | | | 751 | |
| Ultra Clean Holdings, Inc.* | | | 39 | | | | 751 | |
| Xcerra Corp.* | | | 64 | | | | 746 | |
| Blackline, Inc.* | | | 19 | | | | 745 | |
| Workiva, Inc.* | | | 31 | | | | 735 | |
| Donnelley Financial Solutions, Inc.* | | | 40 | | | | 687 | |
| Photronics, Inc.* | | | 80 | | | | 660 | |
| Unisys Corp.* | | | 60 | | | | 645 | |
| Synchronoss Technologies, Inc.* | | | 52 | | | | 549 | |
| USA Technologies, Inc.* | | | 58 | | | | 522 | |
| TTEC Holdings, Inc. | | | 17 | | | | 522 | |
| Engility Holdings, Inc.* | | | 21 | | | | 512 | |
| Model N, Inc.* | | | 28 | | | | 505 | |
| QAD, Inc. — Class A | | | 12 | | | | 500 | |
| InnerWorkings, Inc.* | | | 54 | | | | 489 | |
| Glu Mobile, Inc.* | | | 126 | | | | 475 | |
| VASCO Data Security International, Inc.* | | | 36 | | | | 466 | |
| Tabula Rasa HealthCare, Inc.* | | | 12 | | | | 466 | |
| Benefitfocus, Inc.* | | | 19 | | | | 464 | |
| KeyW Holding Corp.* | | | 58 | | | | 456 | |
| Immersion Corp.* | | | 35 | | | | 418 | |
| American Software, Inc. — Class A | | | 32 | | | | 416 | |
| Computer Programs & Systems, Inc. | | | 14 | | | | 409 | |
| Appfolio, Inc. — Class A* | | | 10 | | | | 408 | |
| Presidio, Inc.* | | | 26 | | | | 407 | |
| PDF Solutions, Inc.* | | | 33 | | | | 385 | |
| Alpha & Omega Semiconductor Ltd.* | | | 24 | | | | 371 | |
| CommerceHub, Inc.* | | | 16 | | | | 360 | |
| SMART Global Holdings, Inc.* | | | 7 | | | | 349 | |
| MobileIron, Inc.* | | | 68 | | | | 337 | |
| pdvWireless, Inc.* | | | 11 | | | | 328 | |
| AXT, Inc.* | | | 45 | | | | 326 | |
| Digi International, Inc.* | | | 31 | | | | 319 | |
| DSP Group, Inc.* | | | 26 | | | | 307 | |
| Ribbon Communications, Inc.* | | | 57 | | | | 291 | |
| Upland Software, Inc.* | | | 10 | | | | 288 | |
| Digimarc Corp.* | | | 12 | | | | 287 | |
| Impinj, Inc.*,1 | | | 22 | | | | 286 | |
| Brightcove, Inc.* | | | 41 | | | | 285 | |
| Castlight Health, Inc. — Class B* | | | 77 | | | | 281 | |
| Sigma Designs, Inc.* | | | 45 | | | | 279 | |
| Mitek Systems, Inc.* | | | 37 | | | | 274 | |
| Rosetta Stone, Inc.* | | | 20 | | | | 263 | |
| Maxwell Technologies, Inc.* | | | 43 | | | | 255 | |
| Kopin Corp.*,1 | | | 74 | | | | 231 | |
| Agilysys, Inc.* | | | 18 | | | | 215 | |
| Amber Road, Inc.* | | | 24 | | | | 214 | |
| Simulations Plus, Inc. | | | 13 | | | | 192 | |
| Avid Technology, Inc.* | | | 40 | | | | 182 | |
| EMCORE Corp.* | | | 31 | | | | 177 | |
| NantHealth, Inc.* | | | 47 | | | | 143 | |
| Park City Group, Inc.* | | | 16 | | | | 140 | |
| GSI Technology, Inc.* | | | 18 | | | | 133 | |
| Pixelworks, Inc.* | | | 34 | | | | 131 | |
| Quantum Corp.* | | | 34 | | | | 124 | |
| StarTek, Inc.* | | | 12 | | | | 117 | |
| Eastman Kodak Co.* | | | 20 | | | | 107 | |
| ExOne Co.* | | | 13 | | | | 95 | |
| SecureWorks Corp. — Class A* | | | 10 | | | | 81 | |
| Cogint, Inc.* | | | 24 | | | | 60 | |
| Veritone, Inc.* | | | 3 | | | | 42 | |
| Majesco* | | | 7 | | | | 35 | |
| Radisys Corp.* | | | 44 | | | | 28 | |
| Red Violet, Inc.* | | | 3 | | | | 19 | |
| Tintri, Inc.* | | | 11 | | | | 19 | |
| Total Technology | | | | | | | 266,215 | |
| | | | | | | | | |
| Communications - 1.6% |
| GrubHub, Inc.* | | | 103 | | | | 10,451 | |
| Proofpoint, Inc.* | | | 52 | | | | 5,910 | |
| Zendesk, Inc.* | | | 118 | | | | 5,649 | |
| RingCentral, Inc. — Class A* | | | 78 | | | | 4,953 | |
| Ciena Corp.* | | | 169 | | | | 4,377 | |
| ViaSat, Inc.*,1 | | | 64 | | | | 4,206 | |
| Etsy, Inc.* | | | 144 | | | | 4,041 | |
| Stamps.com, Inc.* | | | 20 | | | | 4,021 | |
| Yelp, Inc. — Class A* | | | 95 | | | | 3,966 | |
| New York Times Co. — Class A | | | 150 | | | | 3,615 | |
| Nexstar Media Group, Inc. — Class A | | | 53 | | | | 3,524 | |
| Shutterfly, Inc.* | | | 40 | | | | 3,250 | |
| InterDigital, Inc. | | | 41 | | | | 3,018 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 86 | | | | 2,692 | |
| Viavi Solutions, Inc.* | | | 273 | | | | 2,654 | |
| Vonage Holdings Corp.* | | | 245 | | | | 2,609 | |
| Meredith Corp. | | | 47 | | | | 2,529 | |
| Cars.com, Inc.* | | | 86 | | | | 2,436 | |
| Chegg, Inc.* | | | 114 | | | | 2,355 | |
| Plantronics, Inc. | | | 39 | | | | 2,354 | |
| Cogent Communications Holdings, Inc. | | | 50 | | | | 2,170 | |
| Finisar Corp.* | | | 137 | | | | 2,166 | |
| NETGEAR, Inc.* | | | 37 | | | | 2,116 | |
| GTT Communications, Inc.* | | | 37 | | | | 2,098 | |
| 104 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Shenandoah Telecommunications Co. | | | 56 | | | $ | 2,016 | |
| 8x8, Inc.* | | | 106 | | | | 1,977 | |
| TiVo Corp. | | | 144 | | | | 1,951 | |
| Infinera Corp.* | | | 176 | | | | 1,911 | |
| Oclaro, Inc.* | | | 198 | | | | 1,893 | |
| Ubiquiti Networks, Inc.*,1 | | | 27 | | | | 1,858 | |
| Imperva, Inc.* | | | 41 | | | | 1,775 | |
| Groupon, Inc. — Class A* | | | 406 | | | | 1,762 | |
| Q2 Holdings, Inc.* | | | 38 | | | | 1,731 | |
| World Wrestling Entertainment, Inc. — Class A | | | 47 | | | | 1,692 | |
| MSG Networks, Inc. — Class A* | | | 72 | | | | 1,627 | |
| Extreme Networks, Inc.* | | | 133 | | | | 1,472 | |
| Entercom Communications Corp. — Class A | | | 152 | | | | 1,467 | |
| Trade Desk, Inc. — Class A* | | | 28 | | | | 1,389 | |
| Gannett Company, Inc. | | | 135 | | | | 1,347 | |
| Scholastic Corp. | | | 34 | | | | 1,321 | |
| Blucora, Inc.* | | | 53 | | | | 1,304 | |
| ePlus, Inc.* | | | 16 | | | | 1,243 | |
| Quotient Technology, Inc.* | | | 91 | | | | 1,192 | |
| Boingo Wireless, Inc.* | | | 46 | | | | 1,139 | |
| Iridium Communications, Inc.* | | | 100 | | | | 1,125 | |
| Shutterstock, Inc.* | | | 22 | | | | 1,059 | |
| New Media Investment Group, Inc. | | | 61 | | | | 1,045 | |
| NIC, Inc. | | | 77 | | | | 1,024 | |
| Gray Television, Inc.* | | | 77 | | | | 978 | |
| Perficient, Inc.* | | | 41 | | | | 940 | |
| CalAmp Corp.* | | | 41 | | | | 938 | |
| Liberty Media Corporation-Liberty Braves — Class C* | | | 41 | | | | 936 | |
| Okta, Inc.* | | | 23 | | | | 917 | |
| ADTRAN, Inc. | | | 58 | | | | 902 | |
| Houghton Mifflin Harcourt Co.* | | | 124 | | | | 862 | |
| Consolidated Communications Holdings, Inc. | | | 78 | | | | 855 | |
| Acacia Communications, Inc.* | | | 22 | | | | 846 | |
| Comtech Telecommunications Corp. | | | 28 | | | | 837 | |
| Web.com Group, Inc.* | | | 46 | | | | 833 | |
| EW Scripps Co. — Class A | | | 69 | | | | 827 | |
| TrueCar, Inc.* | | | 84 | | | | 795 | |
| ATN International, Inc. | | | 13 | | | | 775 | |
| HealthStream, Inc. | | | 31 | | | | 770 | |
| ORBCOMM, Inc.* | | | 81 | | | | 759 | |
| Overstock.com, Inc.*,1 | | | 20 | | | | 725 | |
| Frontier Communications Corp.1 | | | 94 | | | | 697 | |
| Cincinnati Bell, Inc.* | | | 50 | | | | 692 | |
| Rapid7, Inc.* | | | 25 | | | | 639 | |
| Loral Space & Communications, Inc.* | | | 15 | | | | 625 | |
| Tucows, Inc. — Class A* | | | 11 | | | | 616 | |
| XO Group, Inc.* | | | 29 | | | | 602 | |
| Gogo, Inc.*,1 | | | 68 | | | | 587 | |
| QuinStreet, Inc.* | | | 44 | | | | 562 | |
| Endurance International Group Holdings, Inc.* | | | 69 | | | | 511 | |
| MDC Partners, Inc. — Class A* | | | 68 | | | | 490 | |
| TechTarget, Inc.* | | | 24 | | | | 477 | |
| Globalstar, Inc.* | | | 678 | | | | 466 | |
| Central European Media Enterprises Ltd. — Class A* | | | 99 | | | | 416 | |
| Carvana Co.* | | | 17 | | | | 390 | |
| tronc, Inc.* | | | 23 | | | | 378 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 32 | | | | 378 | |
| Lands’ End, Inc.* | | | 16 | | | | 374 | |
| Entravision Communications Corp. — Class A | | | 79 | | | | 371 | |
| Limelight Networks, Inc.* | | | 90 | | | | 370 | |
| Harmonic, Inc.* | | | 95 | | | | 361 | |
| Spok Holdings, Inc. | | | 24 | | | | 359 | |
| Quantenna Communications, Inc.* | | | 26 | | | | 356 | |
| Calix, Inc.* | | | 51 | | | | 349 | |
| A10 Networks, Inc.* | | | 60 | | | | 349 | |
| Windstream Holdings, Inc. | | | 230 | | | | 324 | |
| Hemisphere Media Group, Inc.* | | | 27 | | | | 304 | |
| Yext, Inc.* | | | 22 | | | | 278 | |
| Zix Corp.* | | | 64 | | | | 273 | |
| ChannelAdvisor Corp.* | | | 30 | | | | 273 | |
| Liberty Media Corporation-Liberty Braves — Class A* | | | 12 | | | | 273 | |
| NeoPhotonics Corp.*,1 | | | 39 | | | | 267 | |
| HC2 Holdings, Inc.* | | | 50 | | | | 263 | |
| Preformed Line Products Co. | | | 4 | | | | 260 | |
| Internap Corp.* | | | 23 | | | | 253 | |
| Telenav, Inc.* | | | 46 | | | | 248 | |
| VirnetX Holding Corp.* | | | 61 | | | | 241 | |
| Daily Journal Corp.* | | | 1 | | | | 228 | |
| Ooma, Inc.* | | | 20 | | | | 218 | |
| RigNet, Inc.* | | | 16 | | | | 218 | |
| Clear Channel Outdoor Holdings, Inc. — Class A | | | 44 | | | | 216 | |
| Liquidity Services, Inc.* | | | 31 | | | | 201 | |
| KVH Industries, Inc.* | | | 19 | | | | 197 | |
| Hawaiian Telcom Holdco, Inc.* | | | 7 | | | | 187 | |
| Saga Communications, Inc. — Class A | | | 5 | | | | 186 | |
| Maxar Technologies Ltd. | | | 4 | | | | 185 | |
| Clearfield, Inc.* | | | 14 | | | | 181 | |
| WideOpenWest, Inc.* | | | 25 | | | | 179 | |
| Meet Group, Inc.* | | | 80 | | | | 167 | |
| Corindus Vascular Robotics, Inc.* | | | 122 | | | | 167 | |
| Intelsat S.A.* | | | 43 | | | | 162 | |
| Aerohive Networks, Inc.* | | | 38 | | | | 154 | |
| IDT Corp. — Class B* | | | 21 | | | | 132 | |
| ANGI Homeservices, Inc. — Class A* | | | 9 | | | | 122 | |
| Leaf Group Ltd.* | | | 15 | | | | 106 | |
| Rubicon Project, Inc.* | | | 53 | | | | 95 | |
| DHI Group, Inc.* | | | 58 | | | | 93 | |
| Global Eagle Entertainment, Inc.* | | | 61 | | | | 90 | |
| RealNetworks, Inc.* | | | 29 | | | | 89 | |
| Townsquare Media, Inc. — Class A | | | 11 | | | | 87 | |
| FTD Companies, Inc.* | | | 20 | | | | 73 | |
| Beasley Broadcast Group, Inc. — Class A | | | 6 | | | | 68 | |
| Salem Media Group, Inc. — Class A | | | 14 | | | | 50 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 105 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Value Line, Inc. | | | 1 | | | $ | 18 | |
| Total Communications | | | | | | | 156,516 | |
| | | | | | | | | |
| Energy - 0.9% |
| PDC Energy, Inc.* | | | 79 | | | | 3,873 | |
| Delek US Holdings, Inc. | | | 93 | | | | 3,785 | |
| Matador Resources Co.* | | | 115 | | | | 3,440 | |
| Callon Petroleum Co.* | | | 241 | | | | 3,191 | |
| Peabody Energy Corp. | | | 80 | | | | 2,920 | |
| SRC Energy, Inc.* | | | 282 | | | | 2,659 | |
| Oasis Petroleum, Inc.* | | | 318 | | | | 2,576 | |
| Ensco plc — Class A1 | | | 511 | | | | 2,243 | |
| Arch Coal, Inc. — Class A | | | 23 | | | | 2,113 | |
| McDermott International, Inc.* | | | 338 | | | | 2,058 | |
| Dril-Quip, Inc.* | | | 45 | | | | 2,016 | |
| MRC Global, Inc.* | | | 107 | | | | 1,759 | |
| SemGroup Corp. — Class A | | | 80 | | | | 1,712 | |
| Pattern Energy Group, Inc. — Class A1 | | | 94 | | | | 1,625 | |
| Rowan Companies plc — Class A* | | | 140 | | | | 1,616 | |
| Oil States International, Inc.* | | | 61 | | | | 1,598 | |
| Superior Energy Services, Inc.* | | | 182 | | | | 1,534 | |
| Carrizo Oil & Gas, Inc.* | | | 93 | | | | 1,488 | |
| C&J Energy Services, Inc.* | | | 56 | | | | 1,446 | |
| NOW, Inc.* | | | 128 | | | | 1,308 | |
| Denbury Resources, Inc.* | | | 475 | | | | 1,302 | |
| Unit Corp.* | | | 62 | | | | 1,225 | |
| Diamond Offshore Drilling, Inc.*,1 | | | 78 | | | | 1,144 | |
| Noble Corporation plc* | | | 292 | | | | 1,083 | |
| Forum Energy Technologies, Inc.* | | | 97 | | | | 1,067 | |
| Warrior Met Coal, Inc.1 | | | 37 | | | | 1,036 | |
| ProPetro Holding Corp.* | | | 64 | | | | 1,017 | |
| Exterran Corp.* | | | 38 | | | | 1,015 | |
| Helix Energy Solutions Group, Inc.* | | | 169 | | | | 978 | |
| Ultra Petroleum Corp.* | | | 234 | | | | 976 | |
| Jagged Peak Energy, Inc.* | | | 69 | | | | 975 | |
| WildHorse Resource Development Corp.*,1 | | | 51 | | | | 974 | |
| SEACOR Holdings, Inc.* | | | 19 | | | | 971 | |
| Sunrun, Inc.* | | | 102 | | | | 911 | |
| Resolute Energy Corp.* | | | 26 | | | | 901 | |
| California Resources Corp.* | | | 51 | | | | 875 | |
| Thermon Group Holdings, Inc.* | | | 39 | | | | 874 | |
| Ring Energy, Inc.* | | | 60 | | | | 861 | |
| Stone Energy Corp.* | | | 23 | | | | 853 | |
| SunCoke Energy, Inc.* | | | 77 | | | | 829 | |
| Newpark Resources, Inc.* | | | 101 | | | | 818 | |
| Green Plains, Inc. | | | 47 | | | | 790 | |
| Halcon Resources Corp.* | | | 155 | | | | 755 | |
| Archrock, Inc. | | | 84 | | | | 735 | |
| Keane Group, Inc.* | | | 47 | | | | 696 | |
| Bonanza Creek Energy, Inc.* | | | 24 | | | | 665 | |
| Par Pacific Holdings, Inc.* | | | 38 | | | | 652 | |
| SandRidge Energy, Inc.* | | | 42 | | | | 609 | |
| Penn Virginia Corp.* | | | 17 | | | | 596 | |
| Renewable Energy Group, Inc.* | | | 46 | | | | 589 | |
| TerraForm Power, Inc. — Class A | | | 54 | | | | 579 | |
| CVR Energy, Inc.1 | | | 19 | | | | 574 | |
| Plug Power, Inc.* | | | 272 | | | | 514 | |
| TETRA Technologies, Inc.* | | | 137 | | | | 514 | |
| REX American Resources Corp.* | | | 7 | | | | 510 | |
| Bristow Group, Inc. | | | 39 | | | | 507 | |
| Tellurian, Inc.* | | | 69 | | | | 497 | |
| W&T Offshore, Inc.* | | | 112 | | | | 496 | |
| HighPoint Resources Corp.* | | | 90 | | | | 457 | |
| Matrix Service Co.* | | | 31 | | | | 425 | |
| Abraxas Petroleum Corp.* | | | 183 | | | | 406 | |
| Flotek Industries, Inc.* | | | 66 | | | | 403 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 19 | | | | 367 | |
| FutureFuel Corp. | | | 30 | | | | 360 | |
| Natural Gas Services Group, Inc.* | | | 15 | | | | 358 | |
| Trecora Resources* | | | 24 | | | | 326 | |
| Frank’s International N.V. | | | 60 | | | | 326 | |
| Mammoth Energy Services, Inc.* | | | 10 | | | | 321 | |
| Select Energy Services, Inc. — Class A* | | | 25 | | | | 315 | |
| Basic Energy Services, Inc.* | | | 21 | | | | 303 | |
| TPI Composites, Inc.* | | | 13 | | | | 292 | |
| Earthstone Energy, Inc. — Class A* | | | 28 | | | | 283 | |
| Clean Energy Fuels Corp.* | | | 164 | | | | 270 | |
| Sanchez Energy Corp.* | | | 86 | | | | 269 | |
| Solaris Oilfield Infrastructure, Inc. — Class A* | | | 16 | | | | 265 | |
| Cloud Peak Energy, Inc.* | | | 89 | | | | 259 | |
| Pioneer Energy Services Corp.* | | | 91 | | | | 246 | |
| Evolution Petroleum Corp. | | | 30 | | | | 242 | |
| SilverBow Resources, Inc.* | | | 8 | | | | 233 | |
| Era Group, Inc.* | | | 24 | | | | 224 | |
| CARBO Ceramics, Inc.* | | | 28 | | | | 203 | |
| Lilis Energy, Inc.* | | | 51 | | | | 203 | |
| NCS Multistage Holdings, Inc.* | | | 13 | | | | 195 | |
| Midstates Petroleum Company, Inc.* | | | 13 | | | | 173 | |
| NACCO Industries, Inc. — Class A | | | 5 | | | | 164 | |
| Geospace Technologies Corp.* | | | 16 | | | | 158 | |
| Pacific Ethanol, Inc.* | | | 52 | | | | 156 | |
| Independence Contract Drilling, Inc.* | | | 41 | | | | 155 | |
| Eclipse Resources Corp.* | | | 105 | | | | 151 | |
| Gastar Exploration, Inc.* | | | 216 | | | | 147 | |
| PHI, Inc.* | | | 14 | | | | 143 | |
| Key Energy Services, Inc.* | | | 12 | | | | 141 | |
| Approach Resources, Inc.* | | | 52 | | | | 136 | |
| Energy XXI Gulf Coast, Inc.* | | | 35 | | | | 134 | |
| Hallador Energy Co. | | | 19 | | | | 131 | |
| Vivint Solar, Inc.* | | | 32 | | | | 117 | |
| Gulf Island Fabrication, Inc. | | | 15 | | | | 106 | |
| Isramco, Inc.* | | | 1 | | | | 104 | |
| Parker Drilling Co.* | | | 161 | | | | 102 | |
| Contango Oil & Gas Co.* | | | 28 | | | | 99 | |
| Adams Resources & Energy, Inc. | | | 2 | | | | 87 | |
| EP Energy Corp. — Class A* | | | 46 | | | | 62 | |
| Ranger Energy Services, Inc.* | | | 7 | | | | 57 | |
| Ramaco Resources, Inc.* | | | 7 | | | | 50 | |
| Jones Energy, Inc. — Class A* | | | 60 | | | | 48 | |
| Nabors Industries Ltd. | | | 6 | | | | 42 | |
| Rosehill Resources, Inc.* | | | 3 | | | | 18 | |
| 106 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Westmoreland Coal Co.* | | | 22 | | | $ | 9 | |
| Total Energy | | | | | | | 86,164 | |
| | | | | | | | | |
| Basic Materials - 0.9% |
| PolyOne Corp. | | | 96 | | | | 4,082 | |
| Ingevity Corp.* | | | 51 | | | | 3,758 | |
| Sensient Technologies Corp. | | | 53 | | | | 3,741 | |
| Allegheny Technologies, Inc.* | | | 151 | | | | 3,575 | |
| Balchem Corp. | | | 38 | | | | 3,106 | |
| HB Fuller Co. | | | 60 | | | | 2,984 | |
| Commercial Metals Co. | | | 139 | | | | 2,844 | |
| Minerals Technologies, Inc. | | | 42 | | | | 2,812 | |
| U.S. Silica Holdings, Inc. | | | 98 | | | | 2,501 | |
| GCP Applied Technologies, Inc.* | | | 86 | | | | 2,498 | |
| Cleveland-Cliffs, Inc.* | | | 356 | | | | 2,474 | |
| Compass Minerals International, Inc.1 | | | 41 | | | | 2,472 | |
| Carpenter Technology Corp. | | | 56 | | | | 2,471 | |
| Quaker Chemical Corp. | | | 16 | | | | 2,370 | |
| Ferro Corp.* | | | 100 | | | | 2,322 | |
| Kaiser Aluminum Corp. | | | 20 | | | | 2,018 | |
| Stepan Co. | | | 24 | | | | 1,996 | |
| Tronox Ltd. — Class A | | | 108 | | | | 1,992 | |
| Innospec, Inc. | | | 29 | | | | 1,989 | |
| Coeur Mining, Inc.* | | | 220 | | | | 1,760 | |
| Hecla Mining Co. | | | 471 | | | | 1,729 | |
| Kraton Corp.* | | | 36 | | | | 1,718 | |
| AK Steel Holding Corp.*,1 | | | 377 | | | | 1,708 | |
| Neenah Paper, Inc. | | | 20 | | | | 1,568 | |
| A. Schulman, Inc. | | | 34 | | | | 1,462 | |
| Schweitzer-Mauduit International, Inc. | | | 36 | | | | 1,409 | |
| AdvanSix, Inc.* | | | 36 | | | | 1,252 | |
| Materion Corp. | | | 24 | | | | 1,225 | |
| Rayonier Advanced Materials, Inc. | | | 51 | | | | 1,095 | |
| PH Glatfelter Co. | | | 52 | | | | 1,068 | |
| Koppers Holdings, Inc.* | | | 25 | | | | 1,027 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 31 | | | | 1,003 | |
| Century Aluminum Co.* | | | 60 | | | | 992 | |
| KMG Chemicals, Inc. | | | 16 | | | | 959 | |
| Innophos Holdings, Inc. | | | 23 | | | | 925 | |
| Fairmount Santrol Holdings, Inc.* | | | 186 | | | | 791 | |
| CSW Industrials, Inc.* | | | 17 | | | | 766 | |
| Clearwater Paper Corp.* | | | 19 | | | | 743 | |
| Verso Corp. — Class A* | | | 41 | | | | 690 | |
| American Vanguard Corp. | | | 34 | | | | 687 | |
| Kronos Worldwide, Inc. | | | 27 | | | | 610 | |
| OMNOVA Solutions, Inc.* | | | 52 | | | | 546 | |
| Codexis, Inc.* | | | 49 | | | | 539 | |
| Klondex Mines Ltd.* | | | 213 | | | | 501 | |
| PQ Group Holdings, Inc.* | | | 35 | | | | 489 | |
| Hawkins, Inc. | | | 12 | | | | 422 | |
| Landec Corp.* | | | 32 | | | | 418 | |
| Intrepid Potash, Inc.* | | | 113 | | | | 411 | |
| Gold Resource Corp. | | | 63 | | | | 284 | |
| Aceto Corp. | | | 36 | | | | 274 | |
| Uranium Energy Corp.* | | | 164 | | | | 215 | |
| Oil-Dri Corporation of America | | | 5 | | | | 201 | |
| AgroFresh Solutions, Inc.* | | | 26 | | | | 191 | |
| Valhi, Inc. | | | 30 | | | | 182 | |
| Ryerson Holding Corp.* | | | 19 | | | | 155 | |
| Smart Sand, Inc.* | | | 26 | | | | 151 | |
| Shiloh Industries, Inc.* | | | 17 | | | | 148 | |
| United States Lime & Minerals, Inc. | | | 2 | | | | 146 | |
| Orchids Paper Products Co.*,1 | | | 11 | | | | 90 | |
| Total Basic Materials | | | | | | | 82,555 | |
| | | | | | | | | |
| Utilities - 0.8% |
| IDACORP, Inc. | | | 61 | | | | 5,384 | |
| WGL Holdings, Inc. | | | 61 | | | | 5,103 | |
| ALLETE, Inc. | | | 61 | | | | 4,407 | |
| Portland General Electric Co. | | | 107 | | | | 4,335 | |
| ONE Gas, Inc. | | | 63 | | | | 4,159 | |
| New Jersey Resources Corp. | | | 103 | | | | 4,130 | |
| Spire, Inc. | | | 57 | | | | 4,121 | |
| Avista Corp. | | | 77 | | | | 3,946 | |
| Southwest Gas Holdings, Inc. | | | 57 | | | | 3,855 | |
| PNM Resources, Inc. | | | 96 | | | | 3,672 | |
| Black Hills Corp. | | | 64 | | | | 3,475 | |
| NorthWestern Corp. | | | 58 | | | | 3,120 | |
| South Jersey Industries, Inc. | | | 96 | | | | 2,704 | |
| Ormat Technologies, Inc. | | | 47 | | | | 2,650 | |
| El Paso Electric Co. | | | 48 | | | | 2,448 | |
| MGE Energy, Inc. | | | 42 | | | | 2,356 | |
| American States Water Co. | | | 44 | | | | 2,335 | |
| California Water Service Group | | | 58 | | | | 2,161 | |
| Otter Tail Corp. | | | 47 | | | | 2,037 | |
| Northwest Natural Gas Co. | | | 34 | | | | 1,960 | |
| Dynegy, Inc.* | | | 132 | | | | 1,785 | |
| Chesapeake Utilities Corp. | | | 19 | | | | 1,337 | |
| NRG Yield, Inc. — Class C | | | 78 | | | | 1,326 | |
| SJW Group | | | 20 | | | | 1,054 | |
| Connecticut Water Service, Inc. | | | 14 | | | | 847 | |
| Unitil Corp. | | | 17 | | | | 789 | |
| Middlesex Water Co. | | | 19 | | | | 697 | |
| NRG Yield, Inc. — Class A | | | 42 | | | | 691 | |
| York Water Co. | | | 15 | | | | 465 | |
| Artesian Resources Corp. — Class A | | | 9 | | | | 328 | |
| Atlantic Power Corp.* | | | 137 | | | | 288 | |
| Ameresco, Inc. — Class A* | | | 22 | | | | 286 | |
| Consolidated Water Company Ltd. | | | 18 | | | | 262 | |
| RGC Resources, Inc. | | | 8 | | | | 203 | |
| Spark Energy, Inc. — Class A | | | 14 | | | | 166 | |
| Global Water Resources, Inc. | | | 12 | | | | 108 | |
| Genie Energy Ltd. — Class B | | | 16 | | | | 80 | |
| Total Utilities | | | | | | | 79,070 | |
| | | | | | | | | |
| Diversified - 0.0% |
| HRG Group, Inc.* | | | 143 | | | | 2,358 | |
| | | | | | | | | |
| Government - 0.0% |
| Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 36 | | | | 1,026 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,318,770) | | | | | | | 2,472,374 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 107 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| WARRANTS††† - 0.0% |
| Imperial Holdings, Inc. | | | | | | |
| $10.75, 10/06/19 | | | 4 | | | $ | — | |
| Total Warrants | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | | | | | | | |
| RIGHTS††- 0.0% |
| Babcock & Wilcox Enterprises, Inc. | | | | | | | | |
| Expires 04/10/18* | | | 53 | | | | 102 | |
| Omthera Pharmaceuticals, Inc.†††,*,2 | | | 57 | | | | — | |
| Tobira Therapeutics, Inc.†††,*,2 | | | 14 | | | | — | |
| Dyax Corp. †††,*,2 | | | 714 | | | | — | |
| Nexstar Media Group, Inc.†††,*,2 | | | 85 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $85) | | | | | | | 102 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 53.4% |
| Guggenheim Strategy Fund II3 | | | 124,509 | | | | 3,113,965 | |
| Guggenheim Strategy Fund I3 | | | 80,313 | | | | 2,011,830 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $5,124,760) | | | | | | | 5,125,795 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,4 - 14.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/185 | | $ | 1,019,160 | | | | 1,019,160 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/185 | | | 333,496 | | | | 333,496 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,352,656) | | | | | | | 1,352,656 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,6 - 0.6% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%7 | | | 58,130 | | | | 58,130 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $58,130) | | | | | | | 58,130 | |
| | | | | | | | | |
| Total Investments - 93.9% | | | | | | | | |
| (Cost $8,854,401) | | | | | | $ | 9,009,057 | |
| Other Assets & Liabilities, net - 6.1% | | | | | | | 586,136 | |
| Total Net Assets - 100.0% | | | | | | $ | 9,595,193 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Equity Futures Contracts Purchased† |
| Russell 2000 Index Mini Futures Contracts | | | 10 | | | Jun 2018 | | $ | 764,950 | | | $ | 6,810 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | Russell 2000 Index | | | 1.74 | % | | At Maturity | | 04/30/18 | | | 6,152 | | | $ | 9,408,810 | | | $ | 100,867 | |
| BNP Paribas | | Russell 2000 Index | | | 1.89 | % | | At Maturity | | 04/30/18 | | | 532 | | | | 812,912 | | | | 8,431 | |
| Goldman Sachs International | | Russell 2000 Index | | | 1.74 | % | | At Maturity | | 04/27/18 | | | 631 | | | | 964,647 | | | | (9,013 | ) |
| | | | | | | | | | | | | | | | | $ | 11,186,369 | | | $ | 100,285 | |
| 108 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
| ††† | | Value determined based on Level 3 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 2 | | Security was fair valued by the Valuation Committee at March 29, 2018. 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 March 29, 2018. |
| 6 | | Securities lending collateral — See Note 7. |
| 7 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 2,472,374 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,472,374 | |
| Equity Futures Contracts | | | — | | | | 6,810 | | | | — | | | | — | | | | — | | | | 6,810 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 109,298 | | | | — | | | | 109,298 | |
| Mutual Funds | | | 5,125,795 | | | | — | | | | — | | | | — | | | | — | | | | 5,125,795 | |
| Repurchase Agreements | | | — | | | | — | | | | 1,352,656 | | | | — | | | | — | | | | 1,352,656 | |
| Rights | | | — | | | | — | | | | 102 | | | | — | | | | — | ** | | | 102 | |
| Securities Lending Collateral | | | 58,130 | | | | — | | | | — | | | | — | | | | — | | | | 58,130 | |
| Warrants | | | — | | | | — | | | | — | | | | — | | | | — | ** | | | — | |
| Total Assets | | $ | 7,656,299 | | | $ | 6,810 | | | $ | 1,352,758 | | | $ | 109,298 | | | $ | — | | �� | $ | 9,125,165 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 9,013 | | | $ | — | | | $ | 9,013 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 109 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 3,064,195 | | | $ | 7,300,001 | | | $ | (8,350,000 | ) | | $ | 3,771 | | | $ | (6,137 | ) | | $ | 2,011,830 | | | | 80,313 | | | $ | 60,488 | | | $ | 1,390 | |
| Guggenheim Strategy Fund II | | | 3,364,931 | | | | 4,200,000 | | | | (4,450,000 | ) | | | 4,709 | | | | (5,675 | ) | | | 3,113,965 | | | | 124,509 | | | | 75,898 | | | | 1,824 | |
| | | $ | 6,429,126 | | | $ | 11,500,001 | | | $ | (12,800,000 | ) | | $ | 8,480 | | | $ | (11,812 | ) | | $ | 5,125,795 | | | | | | | $ | 136,386 | | | $ | 3,214 | |
| 110 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value - including $56,529 of securities loaned (cost $2,376,985) | | $ | 2,530,606 | |
| Investments in affiliated issuers, at value (cost $5,124,760) | | | 5,125,795 | |
| Repurchase agreements, at value (cost $1,352,656) | | | 1,352,656 | |
| Cash | | | 450 | |
| Segregated cash with broker | | | 795,000 | |
| Unrealized appreciation on swap agreements | | | 109,298 | |
| Receivables: |
| Dividends | | | 13,351 | |
| Variation margin | | | 6,250 | |
| Fund shares sold | | | 5,300 | |
| Interest | | | 202 | |
| Securities lending income | | | 137 | |
| Total assets | | | 9,939,045 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 9,013 | |
| Payable for: |
| Fund shares redeemed | | | 225,431 | |
| Return of securities loaned | | | 58,130 | |
| Swap settlement | | | 25,406 | |
| Management fees | | | 9,322 | |
| Distribution and service fees | | | 3,277 | |
| Transfer agent and administrative fees | | | 2,590 | |
| Portfolio accounting fees | | | 1,036 | |
| Trustees’ fees* | | | 262 | |
| Miscellaneous | | | 9,385 | |
| Total liabilities | | | 343,852 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 9,595,193 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 10,411,624 | |
| Accumulated net investment loss | | | (62,716 | ) |
| Accumulated net realized loss on investments | | | (1,015,466 | ) |
| Net unrealized appreciation on investments | | | 261,751 | |
| Net assets | | $ | 9,595,193 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,399,635 | |
| Capital shares outstanding | | | 21,702 | |
| Net asset value per share | | $ | 64.49 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 67.71 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,017,356 | |
| Capital shares outstanding | | | 18,450 | |
| Net asset value per share | | $ | 55.14 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 7,178,202 | |
| Capital shares outstanding | | | 111,772 | |
| Net asset value per share | | $ | 64.22 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $15) | | $ | 49,599 | |
| Dividends from securities of affiliated issuers | | | 136,386 | |
| Interest | | | 89,809 | |
| Income from securities lending, net | | | 2,606 | |
| Total investment income | | | 278,400 | |
| | | | | |
| Expenses: |
| Management fees | | | 159,920 | |
| Distribution and service fees: | | | | |
| A-Class | | | 3,367 | |
| C-Class | | | 13,245 | |
| H-Class | | | 37,744 | |
| Transfer agent and administrative fees | | | 44,422 | |
| Registration fees | | | 26,704 | |
| Portfolio accounting fees | | | 17,769 | |
| Custodian fees | | | 3,125 | |
| Trustees’ fees* | | | 2,839 | |
| Line of credit fees | | | 54 | |
| Miscellaneous | | | 6,491 | |
| Total expenses | | | 315,680 | |
| Net investment loss | | | (37,280 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 269,002 | |
| Investments in affiliated issuers | | | 8,480 | |
| Distributions received from affiliated investment company shares | | | 3,214 | |
| Swap agreements | | | 1,023,601 | |
| Futures contracts | | | 720,735 | |
| Net realized gain | | | 2,025,032 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (125,758 | ) |
| Investments in affiliated issuers | | | (11,812 | ) |
| Swap agreements | | | (99,909 | ) |
| Futures contracts | | | (34,755 | ) |
| Net change in unrealized appreciation (depreciation) | | | (272,234 | ) |
| Net realized and unrealized gain | | | 1,752,798 | |
| Net increase in net assets resulting from operations | | $ | 1,715,518 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 111 |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (37,280 | ) | | $ | (250,197 | ) |
| Net realized gain (loss) on investments | | | 2,025,032 | | | | (1,534,818 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (272,234 | ) | | | (242,307 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 1,715,518 | | | | (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 | | | 754,961 | | | | 1,237,997 | |
| C-Class | | | 383,509 | | | | 155,476 | |
| H-Class | | | 385,816,278 | | | | 656,240,773 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | — | | | | 83,282 | |
| C-Class | | | — | | | | 159,867 | |
| H-Class | | | — | | | | 795,517 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (687,090 | ) | | | (832,386 | ) |
| C-Class | | | (1,056,980 | ) | | | (442,235 | ) |
| H-Class | | | (388,443,745 | ) | | | (653,076,024 | ) |
| Net increase (decrease) from capital share transactions | | | (3,233,067 | ) | | | 4,322,267 | |
| Net increase (decrease) in net assets | | | (1,517,549 | ) | | | 1,243,980 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 11,112,742 | | | | 9,868,762 | |
| End of year | | $ | 9,595,193 | | | $ | 11,112,742 | |
| Accumulated net investment loss at end of year | | $ | (62,716 | ) | | $ | (30,945 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 11,945 | | | | 24,980 | |
| C-Class | | | 6,741 | | | | 3,593 | |
| H-Class | | | 6,315,966 | | | | 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 | | | (11,172 | ) | | | (16,769 | ) |
| C-Class | | | (19,256 | ) | | | (9,755 | ) |
| H-Class | | | (6,355,420 | ) | | | (12,897,361 | ) |
| Net decrease in shares | | | (51,196 | ) | | | (21,394 | ) |
| 112 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| RUSSELL 2000® 1.5x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.99 | | | $ | 44.78 | | | $ | 58.05 | | | $ | 53.23 | | | $ | 39.32 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .02 | | | | (.32 | ) | | | (.43 | ) | | | (.39 | ) | | | (.37 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.48 | | | | 16.87 | | | | (9.03 | ) | | | 5.41 | | | | 14.28 | |
| Total from investment operations | | | 8.50 | | | | 16.55 | | | | (9.46 | ) | | | 5.02 | | | | 13.91 | |
| Less distributions from: |
| Net realized gains | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 64.49 | | | $ | 55.99 | | | $ | 44.78 | | | $ | 58.05 | | | $ | 53.23 | |
| |
| Total Returnb | | | 15.18 | % | | | 38.01 | % | | | (16.75 | %) | | | 9.48 | % | | | 35.38 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,400 | | | $ | 1,172 | | | $ | 497 | | | $ | 627 | | | $ | 614 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.03 | % | | | (0.62 | %) | | | (0.85 | %) | | | (0.74 | %) | | | (0.78 | %) |
| Total expensesc | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % | | | 1.70 | % | | | 1.72 | % |
| Portfolio turnover rate | | | 580 | % | | | 1,315 | % | | | 971 | % | | | 830 | % | | | 472 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.24 | | | $ | 39.44 | | | $ | 52.01 | | | $ | 48.08 | | | $ | 35.78 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.40 | ) | | | (.63 | ) | | | (.73 | ) | | | (.70 | ) | | | (.65 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.30 | | | | 14.77 | | | | (8.03 | ) | | | 4.83 | | | | 12.95 | |
| Total from investment operations | | | 6.90 | | | | 14.14 | | | | (8.76 | ) | | | 4.13 | | | | 12.30 | |
| Less distributions from: |
| Net realized gains | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 55.14 | | | $ | 48.24 | | | $ | 39.44 | | | $ | 52.01 | | | $ | 48.08 | |
| |
| Total Returnb | | | 14.30 | % | | | 36.98 | % | | | (17.36 | %) | | | 8.64 | % | | | 34.38 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,017 | | | $ | 1,494 | | | $ | 1,322 | | | $ | 1,800 | | | $ | 1,864 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.78 | %) | | | (1.41 | %) | | | (1.62 | %) | | | (1.49 | %) | | | (1.55 | %) |
| Total expensesc | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % | | | 2.45 | % | | | 2.47 | % |
| Portfolio turnover rate | | | 580 | % | | | 1,315 | % | | | 971 | % | | | 830 | % | | | 472 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 113 |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 55.86 | | | $ | 44.75 | | | $ | 57.94 | | | $ | 53.13 | | | $ | 39.24 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.11 | ) | | | (.51 | ) | | | (.51 | ) | | | (.40 | ) | | | (.37 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.47 | | | | 16.96 | | | | (8.87 | ) | | | 5.41 | | | | 14.26 | |
| Total from investment operations | | | 8.36 | | | | 16.45 | | | | (9.38 | ) | | | 5.01 | | | | 13.89 | |
| Less distributions from: |
| Net realized gains | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Total distributions | | | — | | | | (5.34 | ) | | | (3.81 | ) | | | (.20 | ) | | | — | |
| Net asset value, end of period | | $ | 64.22 | | | $ | 55.86 | | | $ | 44.75 | | | $ | 57.94 | | | $ | 53.13 | |
| |
| Total Returnb | | | 14.97 | % | | | 37.80 | % | | | (16.63 | %) | | | 9.48 | % | | | 35.40 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 7,178 | | | $ | 8,447 | | | $ | 8,049 | | | $ | 18,596 | | | $ | 19,056 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.18 | %) | | | (0.98 | %) | | | (1.01 | %) | | | (0.76 | %) | | | (0.81 | %) |
| Total expensesc | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % | | | 1.70 | % | | | 1.72 | % |
| Portfolio turnover rate | | | 580 | % | | | 1,315 | % | | | 971 | % | | | 830 | % | | | 472 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| 114 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
RUSSELL 2000® FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000® Index (the “underlying index”).
Russell 2000® Fund H-Class turned in a 10.03% performance for the one-year period ended March 29, 2018. Its benchmark, the Russell 2000 Index, returned 11.79% for the period. Russell 2000® Fund maintained a daily correlation of over 99% to its benchmark of the daily price movement of the Russell 2000 Index.
The sectors contributing the most to the performance of the underlying index for the period were Health Care and Consumer Discretionary. Energy was the only detractor. The Consumer Staples sector contributed the least.
Nektar Therapeutics, GrubHub, Inc., and Kite Pharma, Inc. were the holdings contributing the most to the performance of the underlying index for the year. U.S. Silica Holdings, Inc., Oasis Petroleum, Inc., and MACOM Technology Solutions Holdings, Inc. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | May 31, 2006 |
| C-Class | May 31, 2006 |
| H-Class | May 31, 2006 |
| Ten Largest Holdings (% of Total Net Assets) |
| Nektar Therapeutics | 0.4% |
| GrubHub, Inc. | 0.2% |
| Bluebird Bio, Inc. | 0.2% |
| Sage Therapeutics, Inc. | 0.2% |
| MKS Instruments, Inc. | 0.2% |
| Curtiss-Wright Corp. | 0.2% |
| Knight-Swift Transportation Holdings, Inc. | 0.2% |
| Aspen Technology, Inc. | 0.2% |
| EPAM Systems, Inc. | 0.2% |
| Encompass Health Corp. | 0.2% |
| Top Ten Total | 2.2% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 115 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 10.03% | 9.57% | 8.01% |
| A-Class Shares with sales charge‡ | 4.81% | 8.51% | 7.49% |
| C-Class Shares | 9.21% | 8.73% | 7.14% |
| C-Class Shares with CDSC§ | 8.21% | 8.73% | 7.14% |
| H-Class Shares | 10.03% | 9.53% | 7.99% |
| Russell 2000 Index | 11.79% | 14.45% | 11.81% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 116 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 50.9% |
| | | | | | | |
| Financial - 12.4% |
| MGIC Investment Corp.* | | | 4,281 | | | $ | 55,653 | |
| Sterling Bancorp | | | 2,457 | | | | 55,405 | |
| Wintrust Financial Corp. | | | 638 | | | | 54,900 | |
| Umpqua Holdings Corp. | | | 2,551 | | | | 54,617 | |
| Texas Capital Bancshares, Inc.* | | | 576 | | | | 51,782 | |
| Hancock Holding Co. | | | 969 | | | | 50,097 | |
| Primerica, Inc. | | | 513 | | | | 49,556 | |
| Radian Group, Inc. | | | 2,505 | | | | 47,695 | |
| Stifel Financial Corp. | | | 771 | | | | 45,666 | |
| IBERIABANK Corp. | | | 581 | | | | 45,318 | |
| Chemical Financial Corp. | | | 817 | | | | 44,674 | |
| CNO Financial Group, Inc. | | | 1,960 | | | | 42,473 | |
| Cousins Properties, Inc. REIT | | | 4,834 | | | | 41,959 | |
| Home BancShares, Inc. | | | 1,810 | | | | 41,286 | |
| Investors Bancorp, Inc. | | | 2,994 | | | | 40,838 | |
| United Bankshares, Inc. | | | 1,150 | | | | 40,538 | |
| Selective Insurance Group, Inc. | | | 666 | | | | 40,426 | |
| First Industrial Realty Trust, Inc. REIT | | | 1,376 | | | | 40,220 | |
| Gramercy Property Trust REIT | | | 1,850 | | | | 40,201 | |
| Sunstone Hotel Investors, Inc. REIT | | | 2,632 | | | | 40,059 | |
| Essent Group Ltd.* | | | 941 | | | | 40,049 | |
| Ryman Hospitality Properties, Inc. REIT | | | 514 | | | | 39,809 | |
| Healthcare Realty Trust, Inc. REIT | | | 1,418 | | | | 39,293 | |
| Evercore, Inc. — Class A | | | 445 | | | | 38,804 | |
| LaSalle Hotel Properties REIT | | | 1,316 | | | | 38,177 | |
| RLJ Lodging Trust REIT | | | 1,961 | | | | 38,122 | |
| MB Financial, Inc. | | | 937 | | | | 37,930 | |
| UMB Financial Corp. | | | 521 | | | | 37,715 | |
| Valley National Bancorp | | | 2,969 | | | | 36,994 | |
| PotlatchDeltic Corp. REIT | | | 699 | | | | 36,383 | |
| Sabra Health Care REIT, Inc. | | | 2,051 | | | | 36,200 | |
| Ellie Mae, Inc.* | | | 392 | | | | 36,040 | |
| South State Corp. | | | 417 | | | | 35,570 | |
| First Citizens BancShares, Inc. — Class A | | | 85 | | | | 35,125 | |
| Cathay General Bancorp | | | 876 | | | | 35,023 | |
| Washington Federal, Inc. | | | 1,012 | | | | 35,015 | |
| Fulton Financial Corp. | | | 1,971 | | | | 34,985 | |
| Columbia Banking System, Inc. | | | 832 | | | | 34,902 | |
| Glacier Bancorp, Inc. | | | 900 | | | | 34,542 | |
| First Financial Bankshares, Inc. | | | 729 | | | | 33,753 | |
| EastGroup Properties, Inc. REIT | | | 397 | | | | 32,816 | |
| Physicians Realty Trust REIT | | | 2,082 | | | | 32,417 | |
| National Health Investors, Inc. REIT | | | 464 | | | | 31,223 | |
| BancorpSouth Bank | | | 978 | | | | 31,100 | |
| Community Bank System, Inc. | | | 569 | | | | 30,476 | |
| American Equity Investment Life Holding Co. | | | 1,000 | | | | 29,360 | |
| GEO Group, Inc. REIT | | | 1,414 | | | | 28,945 | |
| First Midwest Bancorp, Inc. | | | 1,173 | | | | 28,844 | |
| Education Realty Trust, Inc. REIT | | | 879 | | | | 28,787 | |
| Blackhawk Network Holdings, Inc.* | | | 633 | | | | 28,295 | |
| RLI Corp. | | | 446 | | | | 28,272 | |
| BofI Holding, Inc.*,1 | | | 696 | | | | 28,209 | |
| Pebblebrook Hotel Trust REIT | | | 814 | | | | 27,961 | |
| Bank of NT Butterfield & Son Ltd. | | | 623 | | | | 27,960 | |
| Great Western Bancorp, Inc. | | | 685 | | | | 27,585 | |
| Hope Bancorp, Inc. | | | 1,496 | | | | 27,212 | |
| Enstar Group Ltd.* | | | 129 | | | | 27,122 | |
| Simmons First National Corp. — Class A | | | 952 | | | | 27,084 | |
| CVB Financial Corp. | | | 1,190 | | | | 26,942 | |
| United Community Banks, Inc. | | | 841 | | | | 26,618 | |
| STAG Industrial, Inc. REIT | | | 1,094 | | | | 26,168 | |
| Kemper Corp. | | | 459 | | | | 26,163 | |
| Old National Bancorp | | | 1,544 | | | | 26,094 | |
| PS Business Parks, Inc. REIT | | | 229 | | | | 25,886 | |
| Rexford Industrial Realty, Inc. REIT | | | 893 | | | | 25,709 | |
| Urban Edge Properties REIT | | | 1,195 | | | | 25,513 | |
| Washington Real Estate Investment Trust REIT | | | 921 | | | | 25,143 | |
| Xenia Hotels & Resorts, Inc. REIT | | | 1,274 | | | | 25,123 | |
| International Bancshares Corp. | | | 629 | | | | 24,468 | |
| Kennedy-Wilson Holdings, Inc. | | | 1,399 | | | | 24,343 | |
| Trustmark Corp. | | | 776 | | | | 24,180 | |
| DiamondRock Hospitality Co. REIT | | | 2,312 | | | | 24,137 | |
| Acadia Realty Trust REIT | | | 981 | | | | 24,133 | |
| Financial Engines, Inc. | | | 677 | | | | 23,695 | |
| Union Bankshares Corp. | | | 643 | | | | 23,605 | |
| LegacyTexas Financial Group, Inc. | | | 547 | | | | 23,423 | |
| Apollo Commercial Real Estate Finance, Inc. REIT | | | 1,270 | | | | 22,835 | |
| Retail Opportunity Investments Corp. REIT | | | 1,289 | | | | 22,777 | |
| Independent Bank Corp. | | | 312 | | | | 22,324 | |
| Renasant Corp. | | | 524 | | | | 22,301 | |
| Ameris Bancorp | | | 420 | | | | 22,218 | |
| Argo Group International Holdings Ltd. | | | 385 | | | | 22,099 | |
| ServisFirst Bancshares, Inc. | | | 535 | | | | 21,839 | |
| Eagle Bancorp, Inc.* | | | 362 | | | | 21,666 | |
| FCB Financial Holdings, Inc. — Class A* | | | 421 | | | | 21,513 | |
| Terreno Realty Corp. REIT | | | 623 | | | | 21,500 | |
| Invesco Mortgage Capital, Inc. REIT | | | 1,300 | | | | 21,294 | |
| Quality Care Properties, Inc. REIT* | | | 1,093 | | | | 21,237 | |
| HFF, Inc. — Class A | | | 426 | | | | 21,172 | |
| TowneBank | | | 738 | | | | 21,107 | |
| First Financial Bancorp | | | 712 | | | | 20,897 | |
| WageWorks, Inc.* | | | 460 | | | | 20,792 | |
| Banner Corp. | | | 374 | | | | 20,753 | |
| QTS Realty Trust, Inc. — Class A REIT | | | 571 | | | | 20,682 | |
| WesBanco, Inc. | | | 487 | | | | 20,600 | |
| Horace Mann Educators Corp. | | | 473 | | | | 20,221 | |
| Hilltop Holdings, Inc. | | | 848 | | | | 19,894 | |
| Lexington Realty Trust REIT | | | 2,503 | | | | 19,699 | |
| First Merchants Corp. | | | 472 | | | | 19,682 | |
| PRA Group, Inc.* | | | 517 | | | | 19,646 | |
| Waddell & Reed Financial, Inc. — Class A | | | 942 | | | | 19,038 | |
| Chesapeake Lodging Trust REIT | | | 684 | | | | 19,022 | |
| Walker & Dunlop, Inc. | | | 320 | | | | 19,014 | |
| CenterState Bank Corp. | | | 699 | | | | 18,544 | |
| Moelis & Co. — Class A | | | 361 | | | | 18,357 | |
| Capitol Federal Financial, Inc. | | | 1,485 | | | | 18,340 | |
| Provident Financial Services, Inc. | | | 714 | | | | 18,271 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 117 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Alexander & Baldwin, Inc. REIT | | | 788 | | | $ | 18,226 | |
| Pacific Premier Bancorp, Inc.* | | | 453 | | | | 18,211 | |
| Northwest Bancshares, Inc. | | | 1,094 | | | | 18,117 | |
| Berkshire Hills Bancorp, Inc. | | | 463 | | | | 17,571 | |
| NBT Bancorp, Inc. | | | 494 | | | | 17,527 | |
| Mack-Cali Realty Corp. REIT | | | 1,047 | | | | 17,495 | |
| Artisan Partners Asset Management, Inc. — Class A | | | 525 | | | | 17,483 | |
| LTC Properties, Inc. REIT | | | 455 | | | | 17,290 | |
| Westamerica Bancorporation | | | 294 | | | | 17,076 | |
| WSFS Financial Corp. | | | 349 | | | | 16,717 | |
| Summit Hotel Properties, Inc. REIT | | | 1,214 | | | | 16,523 | |
| Four Corners Property Trust, Inc. REIT | | | 714 | | | | 16,486 | |
| Genworth Financial, Inc. — Class A* | | | 5,812 | | | | 16,448 | |
| Park National Corp. | | | 154 | | | | 15,979 | |
| S&T Bancorp, Inc. | | | 398 | | | | 15,896 | |
| First Commonwealth Financial Corp. | | | 1,118 | | | | 15,797 | |
| Agree Realty Corp. REIT | | | 327 | | | | 15,709 | |
| American Assets Trust, Inc. REIT | | | 467 | | | | 15,602 | |
| Independent Bank Group, Inc. | | | 217 | | | | 15,342 | |
| Government Properties Income Trust REIT | | | 1,120 | | | | 15,299 | |
| Heartland Financial USA, Inc. | | | 286 | | | | 15,172 | |
| OceanFirst Financial Corp. | | | 558 | | | | 14,926 | |
| Employers Holdings, Inc. | | | 369 | | | | 14,926 | |
| Third Point Reinsurance Ltd.* | | | 1,062 | | | | 14,815 | |
| Washington Prime Group, Inc. REIT | | | 2,217 | | | | 14,787 | |
| Kite Realty Group Trust REIT | | | 968 | | | | 14,743 | |
| Infinity Property & Casualty Corp. | | | 123 | | | | 14,563 | |
| Boston Private Financial Holdings, Inc. | | | 964 | | | | 14,508 | |
| Sandy Spring Bancorp, Inc. | | | 373 | | | | 14,458 | |
| Select Income REIT | | | 732 | | | | 14,259 | |
| Brookline Bancorp, Inc. | | | 868 | | | | 14,062 | |
| First Busey Corp. | | | 471 | | | | 13,998 | |
| National General Holdings Corp. | | | 568 | | | | 13,808 | |
| Piper Jaffray Cos. | | | 166 | | | | 13,786 | |
| Houlihan Lokey, Inc. | | | 309 | | | | 13,781 | |
| Navigators Group, Inc. | | | 239 | | | | 13,778 | |
| PennyMac Mortgage Investment Trust REIT | | | 764 | | | | 13,775 | |
| Ladder Capital Corp. — Class A REIT | | | 912 | | | | 13,753 | |
| BrightSphere Investment Group plc | | | 871 | | | | 13,727 | |
| Redwood Trust, Inc. REIT | | | 885 | | | | 13,691 | |
| National Storage Affiliates Trust REIT | | | 543 | | | | 13,618 | |
| Cannae Holdings, Inc.* | | | 715 | | | | 13,485 | |
| First BanCorp* | | | 2,220 | | | | 13,364 | |
| LendingClub Corp.* | | | 3,777 | | | | 13,220 | |
| Global Net Lease, Inc. REIT | | | 783 | | | | 13,217 | |
| Seacoast Banking Corporation of Florida* | | | 494 | | | | 13,076 | |
| Safety Insurance Group, Inc. | | | 170 | | | | 13,065 | |
| State Bank Financial Corp. | | | 433 | | | | 12,994 | |
| Lakeland Financial Corp. | | | 279 | | | | 12,898 | |
| Tompkins Financial Corp. | | | 169 | | | | 12,803 | |
| Monmouth Real Estate Investment Corp. REIT | | | 849 | | | | 12,769 | |
| Encore Capital Group, Inc.* | | | 277 | | | | 12,520 | |
| Beneficial Bancorp, Inc. | | | 805 | | | | 12,518 | |
| RE/MAX Holdings, Inc. — Class A | | | 206 | | | | 12,453 | |
| WisdomTree Investments, Inc. | | | 1,333 | | | | 12,224 | |
| AMERISAFE, Inc. | | | 220 | | | | 12,155 | |
| AmTrust Financial Services, Inc. | | | 986 | | | | 12,138 | |
| Kearny Financial Corp. | | | 929 | | | | 12,077 | |
| CYS Investments, Inc. REIT | | | 1,789 | | | | 12,022 | |
| Enterprise Financial Services Corp. | | | 256 | | | | 12,006 | |
| MBIA, Inc.* | | | 1,295 | | | | 11,992 | |
| City Holding Co. | | | 174 | | | | 11,929 | |
| United Fire Group, Inc. | | | 248 | | | | 11,869 | |
| CareTrust REIT, Inc. | | | 884 | | | | 11,846 | |
| First Interstate BancSystem, Inc. — Class A | | | 296 | | | | 11,707 | |
| MainSource Financial Group, Inc. | | | 286 | | | | 11,626 | |
| First Bancorp | | | 325 | | | | 11,586 | |
| Meta Financial Group, Inc. | | | 106 | | | | 11,575 | |
| Nelnet, Inc. — Class A | | | 220 | | | | 11,530 | |
| Universal Insurance Holdings, Inc. | | | 360 | | | | 11,484 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | | | 586 | | | | 11,427 | |
| Ramco-Gershenson Properties Trust REIT | | | 909 | | | | 11,235 | |
| ARMOUR Residential REIT, Inc. | | | 481 | | | | 11,198 | |
| Hanmi Financial Corp. | | | 364 | | | | 11,193 | |
| Meridian Bancorp, Inc. | | | 555 | | | | 11,183 | |
| Southside Bancshares, Inc. | | | 320 | | | | 11,117 | |
| Aircastle Ltd. | | | 551 | | | | 10,943 | |
| NMI Holdings, Inc. — Class A* | | | 659 | | | | 10,907 | |
| Stewart Information Services Corp. | | | 243 | | | | 10,677 | |
| Seritage Growth Properties REIT1 | | | 295 | | | | 10,487 | |
| PJT Partners, Inc. — Class A | | | 209 | | | | 10,471 | |
| Heritage Financial Corp. | | | 342 | | | | 10,465 | |
| James River Group Holdings Ltd. | | | 295 | | | | 10,464 | |
| Lakeland Bancorp, Inc. | | | 520 | | | | 10,322 | |
| BancFirst Corp. | | | 194 | | | | 10,301 | |
| Tier REIT, Inc. | | | 551 | | | | 10,182 | |
| Franklin Street Properties Corp. REIT | | | 1,208 | | | | 10,159 | |
| Cohen & Steers, Inc. | | | 248 | | | | 10,084 | |
| ConnectOne Bancorp, Inc. | | | 349 | | | | 10,051 | |
| Easterly Government Properties, Inc. REIT | | | 488 | | | | 9,955 | |
| Chatham Lodging Trust REIT | | | 517 | | | | 9,901 | |
| Preferred Bank/Los Angeles CA | | | 154 | | | | 9,887 | |
| Central Pacific Financial Corp. | | | 347 | | | | 9,876 | |
| Virtus Investment Partners, Inc. | | | 79 | | | | 9,780 | |
| St. Joe Co.* | | | 513 | | | | 9,670 | |
| Customers Bancorp, Inc.* | | | 331 | | | | 9,649 | |
| Banc of California, Inc.1 | | | 499 | | | | 9,631 | |
| Virtu Financial, Inc. — Class A | | | 291 | | | | 9,603 | |
| Bryn Mawr Bank Corp. | | | 218 | | | | 9,581 | |
| National Bank Holdings Corp. — Class A | | | 287 | | | | 9,543 | |
| Capstead Mortgage Corp. REIT | | | 1,103 | | | | 9,541 | |
| Alexander’s, Inc. REIT | | | 25 | | | | 9,531 | |
| InfraREIT, Inc. | | | 490 | | | | 9,521 | |
| MTGE Investment Corp. REIT | | | 530 | | | | 9,487 | |
| United Financial Bancorp, Inc. | | | 585 | | | | 9,477 | |
| 1st Source Corp. | | | 187 | | | | 9,466 | |
| Washington Trust Bancorp, Inc. | | | 174 | | | | 9,353 | |
| Getty Realty Corp. REIT | | | 358 | | | | 9,029 | |
| TrustCo Bank Corp. NY | | | 1,068 | | | | 9,025 | |
| 118 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| HomeStreet, Inc.* | | | 312 | | | $ | 8,939 | |
| Independence Realty Trust, Inc. REIT | | | 969 | | | | 8,895 | |
| Stock Yards Bancorp, Inc. | | | 253 | | | | 8,880 | |
| Federal Agricultural Mortgage Corp. — Class C | | | 102 | | | | 8,876 | |
| TriCo Bancshares | | | 238 | | | | 8,858 | |
| Univest Corporation of Pennsylvania | | | 317 | | | | 8,781 | |
| Universal Health Realty Income Trust REIT | | | 146 | | | | 8,775 | |
| CoBiz Financial, Inc. | | | 445 | | | | 8,722 | |
| Flagstar Bancorp, Inc.* | | | 246 | | | | 8,708 | |
| Flushing Financial Corp. | | | 322 | | | | 8,681 | |
| Kinsale Capital Group, Inc. | | | 168 | | | | 8,623 | |
| Carolina Financial Corp. | | | 218 | | | | 8,563 | |
| Enova International, Inc.* | | | 381 | | | | 8,401 | |
| Triumph Bancorp, Inc.* | | | 202 | | | | 8,322 | |
| R1 RCM, Inc.* | | | 1,160 | | | | 8,282 | |
| Ambac Financial Group, Inc.* | | | 525 | | | | 8,232 | |
| Cass Information Systems, Inc. | | | 138 | | | | 8,212 | |
| NorthStar Realty Europe Corp. REIT | | | 629 | | | | 8,190 | |
| Granite Point Mortgage Trust, Inc. REIT | | | 494 | | | | 8,171 | |
| German American Bancorp, Inc. | | | 245 | | | | 8,171 | |
| CBL & Associates Properties, Inc. REIT1 | | | 1,949 | | | | 8,127 | |
| Hersha Hospitality Trust REIT | | | 449 | | | | 8,037 | |
| Community Trust Bancorp, Inc. | | | 177 | | | | 8,000 | |
| Guaranty Bancorp | | | 282 | | | | 7,995 | |
| FBL Financial Group, Inc. — Class A | | | 115 | | | | 7,975 | |
| National Western Life Group, Inc. — Class A | | | 26 | | | | 7,927 | |
| Horizon Bancorp | | | 264 | | | | 7,923 | |
| Camden National Corp. | | | 178 | | | | 7,921 | |
| Trupanion, Inc.* | | | 261 | | | | 7,801 | |
| Northfield Bancorp, Inc. | | | 499 | | | | 7,789 | |
| New Senior Investment Group, Inc. REIT | | | 948 | | | | 7,755 | |
| iStar, Inc. REIT* | | | 762 | | | | 7,750 | |
| Pennsylvania Real Estate Investment Trust REIT | | | 792 | | | | 7,643 | |
| New York Mortgage Trust, Inc. REIT1 | | | 1,287 | | | | 7,632 | |
| First of Long Island Corp. | | | 275 | | | | 7,549 | |
| Investment Technology Group, Inc. | | | 380 | | | | 7,501 | |
| Live Oak Bancshares, Inc. | | | 268 | | | | 7,450 | |
| Diamond Hill Investment Group, Inc. | | | 36 | | | | 7,436 | |
| INTL FCStone, Inc.* | | | 174 | | | | 7,426 | |
| Bridge Bancorp, Inc. | | | 218 | | | | 7,314 | |
| World Acceptance Corp.*,1 | | | 69 | | | | 7,266 | |
| Investors Real Estate Trust REIT | | | 1,394 | | | | 7,235 | |
| Armada Hoffler Properties, Inc. REIT | | | 517 | | | | 7,078 | |
| Oritani Financial Corp. | | | 458 | | | | 7,030 | |
| Associated Banc-Corp. | | | 280 | | | | 6,958 | |
| Heritage Commerce Corp. | | | 418 | | | | 6,889 | |
| Peapack Gladstone Financial Corp. | | | 203 | | | | 6,778 | |
| Peoples Bancorp, Inc. | | | 191 | | | | 6,771 | |
| Dime Community Bancshares, Inc. | | | 366 | | | | 6,734 | |
| Marcus & Millichap, Inc.* | | | 186 | | | | 6,707 | |
| Saul Centers, Inc. REIT | | | 130 | | | | 6,626 | |
| Urstadt Biddle Properties, Inc. — Class A REIT | | | 342 | | | | 6,601 | |
| Cadence BanCorp | | | 241 | | | | 6,562 | |
| First Defiance Financial Corp. | | | 114 | | | | 6,534 | |
| Opus Bank | | | 232 | | | | 6,496 | |
| PHH Corp.* | | | 611 | | | | 6,391 | |
| First Foundation, Inc.* | | | 344 | | | | 6,378 | |
| CatchMark Timber Trust, Inc. — Class A REIT | | | 501 | | | | 6,247 | |
| Great Southern Bancorp, Inc. | | | 125 | | | | 6,244 | |
| QCR Holdings, Inc. | | | 139 | | | | 6,234 | |
| Mercantile Bank Corp. | | | 187 | | | | 6,218 | |
| Preferred Apartment Communities, Inc. — Class A REIT | | | 438 | | | | 6,215 | |
| Bancorp, Inc.* | | | 568 | | | | 6,134 | |
| FB Financial Corp.* | | | 151 | | | | 6,129 | |
| Nationstar Mortgage Holdings, Inc.* | | | 338 | | | | 6,070 | |
| Hamilton Lane, Inc. — Class A | | | 163 | | | | 6,069 | |
| National Commerce Corp.* | | | 139 | | | | 6,053 | |
| TriState Capital Holdings, Inc.* | | | 258 | | | | 5,999 | |
| Fidelity Southern Corp. | | | 256 | | | | 5,906 | |
| Green Bancorp, Inc.* | | | 261 | | | | 5,807 | |
| Front Yard Residential Corp. REIT | | | 574 | | | | 5,769 | |
| Ashford Hospitality Trust, Inc. REIT | | | 889 | | | | 5,743 | |
| Blue Hills Bancorp, Inc. | | | 275 | | | | 5,734 | |
| First Community Bancshares, Inc. | | | 191 | | | | 5,701 | |
| RMR Group, Inc. — Class A | | | 81 | | | | 5,666 | |
| AG Mortgage Investment Trust, Inc. REIT | | | 324 | | | | 5,628 | |
| Midland States Bancorp, Inc. | | | 178 | | | | 5,618 | |
| Nicolet Bankshares, Inc.* | | | 102 | | | | 5,617 | |
| Greenlight Capital Re Ltd. — Class A* | | | 349 | | | | 5,602 | |
| United Community Financial Corp. | | | 567 | | | | 5,591 | |
| Gladstone Commercial Corp. REIT | | | 322 | | | | 5,583 | |
| Anworth Mortgage Asset Corp. REIT | | | 1,123 | | | | 5,390 | |
| Independent Bank Corp. | | | 235 | | | | 5,382 | |
| Bank of Marin Bancorp | | | 78 | | | | 5,378 | |
| Westwood Holdings Group, Inc. | | | 95 | | | | 5,367 | |
| Maiden Holdings Ltd. | | | 810 | | | | 5,265 | |
| Allegiance Bancshares, Inc.* | | | 134 | | | | 5,246 | |
| Greenhill & Company, Inc. | | | 283 | | | | 5,236 | |
| State Auto Financial Corp. | | | 183 | | | | 5,228 | |
| OFG Bancorp1 | | | 499 | | | | 5,215 | |
| Veritex Holdings, Inc.* | | | 187 | | | | 5,174 | |
| People’s Utah Bancorp | | | 160 | | | | 5,168 | |
| CorEnergy Infrastructure Trust, Inc. REIT | | | 137 | | | | 5,143 | |
| Waterstone Financial, Inc. | | | 296 | | | | 5,121 | |
| First Financial Corp. | | | 123 | | | | 5,117 | |
| Community Healthcare Trust, Inc. REIT | | | 198 | | | | 5,096 | |
| Ocwen Financial Corp.* | | | 1,236 | | | | 5,092 | |
| Financial Institutions, Inc. | | | 171 | | | | 5,062 | |
| HomeTrust Bancshares, Inc.* | | | 192 | | | | 5,002 | |
| CNB Financial Corp. | | | 170 | | | | 4,945 | |
| NexPoint Residential Trust, Inc. REIT | | | 199 | | | | 4,943 | |
| Access National Corp. | | | 172 | | | | 4,907 | |
| Republic First Bancorp, Inc.* | | | 563 | | | | 4,898 | |
| Equity Bancshares, Inc. — Class A* | | | 125 | | | | 4,895 | |
| UMH Properties, Inc. REIT | | | 359 | | | | 4,814 | |
| Bar Harbor Bankshares | | | 173 | | | | 4,796 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 119 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| West Bancorporation, Inc. | | | 183 | | | $ | 4,685 | |
| B. Riley Financial, Inc. | | | 240 | | | | 4,680 | |
| Arrow Financial Corp. | | | 137 | | | | 4,651 | |
| Old Second Bancorp, Inc. | | | 334 | | | | 4,643 | |
| Western Asset Mortgage Capital Corp. REIT | | | 473 | | | | 4,583 | |
| United Insurance Holdings Corp. | | | 238 | | | | 4,555 | |
| Franklin Financial Network, Inc.* | | | 137 | | | | 4,466 | |
| Whitestone REIT — Class B | | | 429 | | | | 4,457 | |
| Atlantic Capital Bancshares, Inc.* | | | 242 | | | | 4,380 | |
| PCSB Financial Corp.* | | | 208 | | | | 4,364 | |
| MidWestOne Financial Group, Inc. | | | 130 | | | | 4,328 | |
| First Mid-Illinois Bancshares, Inc. | | | 117 | | | | 4,265 | |
| FRP Holdings, Inc.* | | | 76 | | | | 4,256 | |
| Republic Bancorp, Inc. — Class A | | | 111 | | | | 4,251 | |
| City Office REIT, Inc. | | | 362 | | | | 4,185 | |
| Sierra Bancorp | | | 157 | | | | 4,182 | |
| First Connecticut Bancorp, Inc. | | | 163 | | | | 4,173 | |
| PennyMac Financial Services, Inc. — Class A* | | | 184 | | | | 4,168 | |
| Farmers & Merchants Bancorp, Inc. | | | 102 | | | | 4,118 | |
| Farmers National Banc Corp. | | | 295 | | | | 4,086 | |
| Cedar Realty Trust, Inc. REIT | | | 1,019 | | | | 4,015 | |
| Orchid Island Capital, Inc. REIT | | | 539 | | | | 3,972 | |
| Health Insurance Innovations, Inc. — Class A* | | | 137 | | | | 3,959 | |
| Dynex Capital, Inc. REIT | | | 596 | | | | 3,951 | |
| Cowen, Inc. — Class A* | | | 299 | | | | 3,947 | |
| Citizens, Inc.*,1 | | | 538 | | | | 3,938 | |
| Southern National Bancorp of Virginia, Inc. | | | 247 | | | | 3,912 | |
| Ladenburg Thalmann Financial Services, Inc. | | | 1,190 | | | | 3,891 | |
| Enterprise Bancorp, Inc. | | | 110 | | | | 3,882 | |
| First Bancshares, Inc. | | | 120 | | | | 3,870 | |
| Ares Commercial Real Estate Corp. REIT | | | 310 | | | | 3,828 | |
| Heritage Insurance Holdings, Inc.1 | | | 250 | | | | 3,790 | |
| Regional Management Corp.* | | | 118 | | | | 3,757 | |
| One Liberty Properties, Inc. REIT | | | 168 | | | | 3,713 | |
| American National Bankshares, Inc. | | | 96 | | | | 3,610 | |
| Peoples Financial Services Corp. | | | 79 | | | | 3,606 | |
| Clifton Bancorp, Inc. | | | 227 | | | | 3,553 | |
| National Bankshares, Inc. | | | 78 | | | | 3,514 | |
| Arlington Asset Investment Corp. — Class A | | | 317 | | | | 3,500 | |
| MedEquities Realty Trust, Inc. REIT | | | 331 | | | | 3,479 | |
| HCI Group, Inc. | | | 91 | | | | 3,473 | |
| Western New England Bancorp, Inc. | | | 320 | | | | 3,408 | |
| First Internet Bancorp | | | 92 | | | | 3,404 | |
| Investors Title Co. | | | 17 | | | | 3,398 | |
| Farmers Capital Bank Corp. | | | 85 | | | | 3,396 | |
| Southern First Bancshares, Inc.* | | | 76 | | | | 3,382 | |
| Altisource Portfolio Solutions S.A.* | | | 126 | | | | 3,347 | |
| Resource Capital Corp. REIT | | | 349 | | | | 3,319 | |
| First Bancorp, Inc. | | | 118 | | | | 3,302 | |
| Global Indemnity Ltd | | | 95 | | | | 3,279 | |
| Old Line Bancshares, Inc. | | | 98 | | | | 3,234 | |
| On Deck Capital, Inc.* | | | 575 | | | | 3,214 | |
| WMIH Corp.* | | | 2,238 | | | | 3,178 | |
| Capital City Bank Group, Inc. | | | 128 | | | | 3,168 | |
| Citizens & Northern Corp. | | | 137 | | | | 3,163 | |
| Redfin Corp.*,1 | | | 137 | | | | 3,128 | |
| Summit Financial Group, Inc. | | | 125 | | | | 3,126 | |
| Home Bancorp, Inc. | | | 72 | | | | 3,108 | |
| Sutherland Asset Management Corp. REIT | | | 204 | | | | 3,091 | |
| Hingham Institution for Savings | | | 15 | | | | 3,090 | |
| Farmland Partners, Inc. REIT | | | 369 | | | | 3,081 | |
| Macatawa Bank Corp. | | | 300 | | | | 3,081 | |
| Ashford Hospitality Prime, Inc. REIT | | | 307 | | | | 2,984 | |
| BSB Bancorp, Inc.* | | | 96 | | | | 2,938 | |
| Oppenheimer Holdings, Inc. — Class A | | | 114 | | | | 2,936 | |
| Charter Financial Corp. | | | 143 | | | | 2,916 | |
| Safeguard Scientifics, Inc.* | | | 234 | | | | 2,866 | |
| Marlin Business Services Corp. | | | 101 | | | | 2,863 | |
| Southern Missouri Bancorp, Inc. | | | 78 | | | | 2,855 | |
| Consolidated-Tomoka Land Co. | | | 45 | | | | 2,828 | |
| BankFinancial Corp. | | | 166 | | | | 2,819 | |
| Codorus Valley Bancorp, Inc. | | | 98 | | | | 2,756 | |
| Jernigan Capital, Inc. REIT | | | 152 | | | | 2,751 | |
| EMC Insurance Group, Inc. | | | 101 | | | | 2,735 | |
| Ames National Corp. | | | 99 | | | | 2,723 | |
| Shore Bancshares, Inc. | | | 144 | | | | 2,716 | |
| TPG RE Finance Trust, Inc. REIT | | | 136 | | | | 2,705 | |
| Northrim BanCorp, Inc. | | | 78 | | | | 2,695 | |
| Forestar Group, Inc.*,1 | | | 127 | | | | 2,686 | |
| HarborOne Bancorp, Inc.* | | | 152 | | | | 2,684 | |
| GAIN Capital Holdings, Inc. | | | 396 | | | | 2,673 | |
| Territorial Bancorp, Inc. | | | 89 | | | | 2,640 | |
| KKR Real Estate Finance Trust, Inc. | | | 131 | | | | 2,628 | |
| Century Bancorp, Inc. — Class A | | | 33 | | | | 2,620 | |
| Civista Bancshares, Inc. | | | 114 | | | | 2,606 | |
| eHealth, Inc.* | | | 180 | | | | 2,576 | |
| MutualFirst Financial, Inc. | | | 71 | | | | 2,574 | |
| Independence Holding Co. | | | 70 | | | | 2,496 | |
| Great Ajax Corp. REIT | | | 184 | | | | 2,493 | |
| Investar Holding Corp. | | | 96 | | | | 2,482 | |
| Bear State Financial, Inc. | | | 240 | | | | 2,460 | |
| Evans Bancorp, Inc. | | | 53 | | | | 2,398 | |
| Baldwin & Lyons, Inc. — Class B | | | 109 | | | | 2,398 | |
| First Business Financial Services, Inc. | | | 95 | | | | 2,390 | |
| Cherry Hill Mortgage Investment Corp. REIT | | | 135 | | | | 2,368 | |
| ACNB Corp. | | | 80 | | | | 2,340 | |
| Riverview Bancorp, Inc. | | | 247 | | | | 2,307 | |
| Union Bankshares, Inc. | | | 45 | | | | 2,286 | |
| BCB Bancorp, Inc. | | | 146 | | | | 2,285 | |
| Bluerock Residential Growth REIT, Inc. | | | 265 | | | | 2,253 | |
| FNB Bancorp | | | 61 | | | | 2,244 | |
| Penns Woods Bancorp, Inc. | | | 53 | | | | 2,242 | |
| Entegra Financial Corp.* | | | 77 | | | | 2,233 | |
| Central Valley Community Bancorp | | | 114 | | | | 2,230 | |
| Bankwell Financial Group, Inc. | | | 69 | | | | 2,227 | |
| Community Bankers Trust Corp.* | | | 247 | | | | 2,223 | |
| 120 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MBT Financial Corp. | | | 206 | | | $ | 2,215 | |
| Timberland Bancorp, Inc. | | | 72 | | | | 2,189 | |
| Federated National Holding Co. | | | 138 | | | | 2,176 | |
| Pzena Investment Management, Inc. — Class A | | | 195 | | | | 2,170 | |
| MidSouth Bancorp, Inc. | | | 168 | | | | 2,125 | |
| Bank of Commerce Holdings | | | 179 | | | | 2,085 | |
| Orrstown Financial Services, Inc. | | | 86 | | | | 2,077 | |
| Stratus Properties, Inc.* | | | 68 | | | | 2,054 | |
| Premier Financial Bancorp, Inc. | | | 110 | | | | 2,047 | |
| Associated Capital Group, Inc. — Class A | | | 54 | | | | 2,022 | |
| Howard Bancorp, Inc.* | | | 102 | | | | 2,020 | |
| C&F Financial Corp. | | | 38 | | | | 1,999 | |
| Norwood Financial Corp. | | | 66 | | | | 1,986 | |
| Unity Bancorp, Inc. | | | 89 | | | | 1,958 | |
| SmartFinancial, Inc.* | | | 83 | | | | 1,955 | |
| Malvern Bancorp, Inc.* | | | 75 | | | | 1,950 | |
| LCNB Corp. | | | 102 | | | | 1,938 | |
| NI Holdings, Inc.* | | | 116 | | | | 1,937 | |
| First Northwest Bancorp* | | | 114 | | | | 1,925 | |
| Ohio Valley Banc Corp. | | | 46 | | | | 1,925 | |
| Capstar Financial Holdings, Inc.* | | | 102 | | | | 1,921 | |
| Safety Income & Growth, Inc. REIT | | | 120 | | | | 1,919 | |
| SI Financial Group, Inc. | | | 130 | | | | 1,872 | |
| Tiptree, Inc. — Class A | | | 294 | | | | 1,867 | |
| Byline Bancorp, Inc.* | | | 81 | | | | 1,857 | |
| Reliant Bancorp, Inc. | | | 80 | | | | 1,823 | |
| Kingstone Companies, Inc. | | | 105 | | | | 1,764 | |
| Northeast Bancorp | | | 85 | | | | 1,743 | |
| Prudential Bancorp, Inc. | | | 95 | | | | 1,723 | |
| Chemung Financial Corp. | | | 37 | | | | 1,719 | |
| Pacific Mercantile Bancorp* | | | 178 | | | | 1,700 | |
| Community Financial Corp. | | | 45 | | | | 1,675 | |
| Owens Realty Mortgage, Inc. REIT | | | 113 | | | | 1,648 | |
| Peoples Bancorp of North Carolina, Inc. | | | 53 | | | | 1,628 | |
| First Financial Northwest, Inc. | | | 97 | | | | 1,625 | |
| United Security Bancshares | | | 151 | | | | 1,623 | |
| Donegal Group, Inc. — Class A | | | 102 | | | | 1,612 | |
| County Bancorp, Inc. | | | 53 | | | | 1,548 | |
| Clipper Realty, Inc. REIT | | | 182 | | | | 1,542 | |
| Two River Bancorp | | | 83 | | | | 1,498 | |
| ESSA Bancorp, Inc. | | | 102 | | | | 1,496 | |
| Middlefield Banc Corp. | | | 30 | | | | 1,473 | |
| Global Medical REIT, Inc. | | | 209 | | | | 1,453 | |
| Elevate Credit, Inc.* | | | 199 | | | | 1,409 | |
| Parke Bancorp, Inc. | | | 67 | | | | 1,394 | |
| GAMCO Investors, Inc. — Class A | | | 56 | | | | 1,390 | |
| Hallmark Financial Services, Inc.* | | | 155 | | | | 1,383 | |
| Trinity Place Holdings, Inc.* | | | 209 | | | | 1,358 | |
| Provident Bancorp, Inc.* | | | 50 | | | | 1,328 | |
| First Guaranty Bancshares, Inc. | | | 51 | | | | 1,326 | |
| Greene County Bancorp, Inc. | | | 35 | | | | 1,284 | |
| DNB Financial Corp. | | | 36 | | | | 1,283 | |
| Atlas Financial Holdings, Inc.* | | | 121 | | | | 1,252 | |
| Silvercrest Asset Management Group, Inc. — Class A | | | 82 | | | | 1,246 | |
| RBB Bancorp | | | 46 | | | | 1,213 | |
| Provident Financial Holdings, Inc. | | | 65 | | | | 1,176 | |
| Ellington Residential Mortgage REIT | | | 105 | | | | 1,151 | |
| Crawford & Co. — Class B | | | 138 | | | | 1,134 | |
| Old Point Financial Corp. | | | 42 | | | | 1,108 | |
| Maui Land & Pineapple Company, Inc.* | | | 78 | | | | 909 | |
| Impac Mortgage Holdings, Inc.* | | | 113 | | | | 893 | |
| Guaranty Bancshares, Inc. | | | 25 | | | | 833 | |
| Blue Capital Reinsurance Holdings Ltd. | | | 68 | | | | 830 | |
| Transcontinental Realty Investors, Inc.* | | | 19 | | | | 772 | |
| California First National Bancorp | | | 42 | | | | 664 | |
| Rafael Holdings, Inc. — Class B* | | | 101 | | | | 488 | |
| Ominto, Inc.* | | | 160 | | | | 459 | |
| Oconee Federal Financial Corp. | | | 15 | | | | 432 | |
| Medley Management, Inc. — Class A | | | 61 | | | | 348 | |
| Griffin Industrial Realty, Inc. | | | 8 | | | | 300 | |
| Fifth Street Asset Management, Inc. | | | 133 | | | | 174 | |
| RAIT Financial Trust REIT | | | 1,061 | | | | 171 | |
| Total Financial | | | | | | | 5,823,962 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 11.4% |
| Nektar Therapeutics* | | | 1,725 | | | | 183,298 | |
| Bluebird Bio, Inc.* | | | 565 | | | | 96,474 | |
| Sage Therapeutics, Inc.* | | | 483 | | | | 77,797 | |
| Encompass Health Corp. | | | 1,139 | | | | 65,117 | |
| Catalent, Inc.* | | | 1,546 | | | | 63,479 | |
| Insulet Corp.* | | | 673 | | | | 58,336 | |
| Grand Canyon Education, Inc.* | | | 543 | | | | 56,972 | |
| Exact Sciences Corp.* | | | 1,359 | | | | 54,808 | |
| Sarepta Therapeutics, Inc.* | | | 707 | | | | 52,382 | |
| LivaNova plc* | | | 562 | | | | 49,737 | |
| Chemed Corp. | | | 181 | | | | 49,388 | |
| PRA Health Sciences, Inc.* | | | 573 | | | | 47,536 | |
| On Assignment, Inc.* | | | 580 | | | | 47,490 | |
| Cantel Medical Corp. | | | 419 | | | | 46,681 | |
| Masimo Corp.* | | | 520 | | | | 45,734 | |
| Haemonetics Corp.* | | | 618 | | | | 45,213 | |
| Blueprint Medicines Corp.* | | | 491 | | | | 45,025 | |
| Cimpress N.V.* | | | 290 | | | | 44,863 | |
| ICU Medical, Inc.* | | | 175 | | | | 44,170 | |
| Molina Healthcare, Inc.* | | | 527 | | | | 42,782 | |
| Deluxe Corp. | | | 562 | | | | 41,594 | |
| Integra LifeSciences Holdings Corp.* | | | 736 | | | | 40,730 | |
| Globus Medical, Inc. — Class A* | | | 815 | | | | 40,603 | |
| Avexis, Inc.* | | | 322 | | | | 39,793 | |
| Penumbra, Inc.* | | | 339 | | | | 39,205 | |
| Avis Budget Group, Inc.*,1 | | | 837 | | | | 39,205 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 237 | | | | 39,143 | |
| Neogen Corp.* | | | 575 | | | | 38,519 | |
| Brink’s Co. | | | 531 | | | | 37,887 | |
| Array BioPharma, Inc.* | | | 2,300 | | | | 37,536 | |
| FibroGen, Inc.* | | | 805 | | | | 37,191 | |
| Healthcare Services Group, Inc. | | | 824 | | | | 35,827 | |
| HealthEquity, Inc.* | | | 579 | | | | 35,053 | |
| Green Dot Corp. — Class A* | | | 537 | | | | 34,454 | |
| Aaron’s, Inc. | | | 733 | | | | 34,158 | |
| Adtalem Global Education, Inc.* | | | 697 | | | | 33,142 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 121 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Performance Food Group Co.* | | | 1,106 | | | $ | 33,014 | |
| Darling Ingredients, Inc.* | | | 1,898 | | | | 32,835 | |
| Korn/Ferry International | | | 608 | | | | 31,367 | |
| AMN Healthcare Services, Inc.* | | | 546 | | | | 30,985 | |
| Amicus Therapeutics, Inc.* | | | 2,043 | | | | 30,727 | |
| NuVasive, Inc.* | | | 587 | | | | 30,647 | |
| Loxo Oncology, Inc.* | | | 264 | | | | 30,458 | |
| Magellan Health, Inc.* | | | 278 | | | | 29,774 | |
| Insperity, Inc. | | | 419 | | | | 29,141 | |
| Nevro Corp.* | | | 321 | | | | 27,821 | |
| Sanderson Farms, Inc. | | | 233 | | | | 27,732 | |
| Helen of Troy Ltd.* | | | 315 | | | | 27,405 | |
| Halozyme Therapeutics, Inc.* | | | 1,378 | | | | 26,995 | |
| Clovis Oncology, Inc.* | | | 508 | | | | 26,822 | |
| Horizon Pharma plc* | | | 1,887 | | | | 26,795 | |
| Lancaster Colony Corp. | | | 217 | | | | 26,721 | |
| Teladoc, Inc.* | | | 659 | | | | 26,558 | |
| Medicines Co.*,1 | | | 800 | | | | 26,352 | |
| Merit Medical Systems, Inc.* | | | 563 | | | | 25,532 | |
| Supernus Pharmaceuticals, Inc.* | | | 556 | | | | 25,465 | |
| United Natural Foods, Inc.* | | | 586 | | | | 25,163 | |
| Halyard Health, Inc.* | | | 542 | | | | 24,975 | |
| Ultragenyx Pharmaceutical, Inc.* | | | 484 | | | | 24,679 | |
| Inogen, Inc.* | | | 198 | | | | 24,322 | |
| LendingTree, Inc.* | | | 74 | | | | 24,283 | |
| Wright Medical Group N.V.* | | | 1,216 | | | | 24,125 | |
| Ironwood Pharmaceuticals, Inc. — Class A* | | | 1,557 | | | | 24,025 | |
| J&J Snack Foods Corp. | | | 174 | | | | 23,761 | |
| Travelport Worldwide Ltd.1 | | | 1,435 | | | | 23,448 | |
| Vector Group Ltd.1 | | | 1,135 | | | | 23,143 | |
| Puma Biotechnology, Inc.* | | | 335 | | | | 22,797 | |
| Tenet Healthcare Corp.* | | | 940 | | | | 22,795 | |
| Sotheby’s* | | | 441 | | | | 22,628 | |
| Syneos Health, Inc.* | | | 631 | | | | 22,400 | |
| Myriad Genetics, Inc.* | | | 755 | | | | 22,310 | |
| TriNet Group, Inc.* | | | 479 | | | | 22,187 | |
| ABM Industries, Inc. | | | 647 | | | | 21,662 | |
| Portola Pharmaceuticals, Inc.* | | | 657 | | | | 21,458 | |
| Global Blood Therapeutics, Inc.* | | | 444 | | | | 21,445 | |
| Select Medical Holdings Corp.* | | | 1,242 | | | | 21,424 | |
| AnaptysBio, Inc.*,1 | | | 205 | | | | 21,336 | |
| Spark Therapeutics, Inc.* | | | 320 | | | | 21,309 | |
| FTI Consulting, Inc.* | | | 438 | | | | 21,204 | |
| Aerie Pharmaceuticals, Inc.* | | | 389 | | | | 21,103 | |
| WD-40 Co. | | | 160 | | | | 21,072 | |
| Prestige Brands Holdings, Inc.* | | | 617 | | | | 20,805 | |
| Weight Watchers International, Inc.* | | | 323 | | | | 20,582 | |
| Integer Holdings Corp.* | | | 360 | | | | 20,358 | |
| Emergent BioSolutions, Inc.* | | | 386 | | | | 20,323 | |
| CONMED Corp. | | | 317 | | | | 20,076 | |
| Amedisys, Inc.* | | | 331 | | | | 19,973 | |
| Insmed, Inc.* | | | 884 | | | | 19,908 | |
| Monro, Inc. | | | 368 | | | | 19,725 | |
| Cambrex Corp.* | | | 376 | | | | 19,665 | |
| Arena Pharmaceuticals, Inc.* | | | 481 | | | | 19,000 | |
| NxStage Medical, Inc.* | | | 751 | | | | 18,670 | |
| Sangamo Therapeutics, Inc.* | | | 969 | | | | 18,411 | |
| Matthews International Corp. — Class A | | | 361 | | | | 18,267 | |
| Herc Holdings, Inc.* | | | 281 | | | | 18,251 | |
| Boston Beer Company, Inc. — Class A* | | | 96 | | | | 18,149 | |
| B&G Foods, Inc.1 | | | 759 | | | | 17,988 | |
| Abaxis, Inc. | | | 254 | | | | 17,938 | |
| Corcept Therapeutics, Inc.* | | | 1,053 | | | | 17,322 | |
| Immunomedics, Inc.* | | | 1,181 | | | | 17,254 | |
| Calavo Growers, Inc.1 | | | 185 | | | | 17,057 | |
| Quidel Corp.* | | | 329 | | | | 17,046 | |
| Fresh Del Monte Produce, Inc. | | | 375 | | | | 16,965 | |
| Acceleron Pharma, Inc.* | | | 433 | | | | 16,930 | |
| Tivity Health, Inc.* | | | 424 | | | | 16,812 | |
| Impax Laboratories, Inc.* | | | 848 | | | | 16,494 | |
| Prothena Corporation plc* | | | 445 | | | | 16,336 | |
| HMS Holdings Corp.* | | | 969 | | | | 16,318 | |
| Central Garden & Pet Co. — Class A* | | | 408 | | | | 16,161 | |
| Spectrum Pharmaceuticals, Inc.* | | | 1,004 | | | | 16,154 | |
| Momenta Pharmaceuticals, Inc.* | | | 874 | | | | 15,863 | |
| Radius Health, Inc.* | | | 441 | | | | 15,850 | |
| Zogenix, Inc.* | | | 395 | | | | 15,820 | |
| Paylocity Holding Corp.* | | | 306 | | | | 15,676 | |
| Repligen Corp.* | | | 433 | | | | 15,666 | |
| Varex Imaging Corp.* | | | 437 | | | | 15,636 | |
| Heron Therapeutics, Inc.* | | | 556 | | | | 15,346 | |
| ACCO Brands Corp. | | | 1,216 | | | | 15,261 | |
| Ensign Group, Inc. | | | 561 | | | | 14,754 | |
| Novocure Ltd.* | | | 672 | | | | 14,650 | |
| Cal-Maine Foods, Inc.* | | | 334 | | | | 14,596 | |
| McGrath RentCorp | | | 270 | | | | 14,496 | |
| Enanta Pharmaceuticals, Inc.* | | | 179 | | | | 14,483 | |
| Innoviva, Inc.* | | | 866 | | | | 14,436 | |
| Esperion Therapeutics, Inc.* | | | 198 | | | | 14,321 | |
| Pacira Pharmaceuticals, Inc.* | | | 459 | | | | 14,298 | |
| Analogic Corp. | | | 146 | | | | 14,001 | |
| Editas Medicine, Inc.* | | | 421 | | | | 13,956 | |
| Dynavax Technologies Corp.* | | | 703 | | | | 13,955 | |
| Universal Corp. | | | 287 | | | | 13,919 | |
| Hostess Brands, Inc.* | | | 925 | | | | 13,681 | |
| MGP Ingredients, Inc.1 | | | 149 | | | | 13,349 | |
| Foundation Medicine, Inc.* | | | 168 | | | | 13,230 | |
| Xencor, Inc.* | | | 440 | | | | 13,191 | |
| Aimmune Therapeutics, Inc.* | | | 408 | | | | 12,987 | |
| Atara Biotherapeutics, Inc.* | | | 327 | | | | 12,753 | |
| Iovance Biotherapeutics, Inc.* | | | 753 | | | | 12,726 | |
| Hertz Global Holdings, Inc.* | | | 633 | | | | 12,565 | |
| PTC Therapeutics, Inc.* | | | 463 | | | | 12,529 | |
| Strayer Education, Inc. | | | 122 | | | | 12,328 | |
| TrueBlue, Inc.* | | | 473 | | | | 12,251 | |
| Viad Corp. | | | 233 | | | | 12,221 | |
| ImmunoGen, Inc.* | | | 1,153 | | | | 12,130 | |
| National Beverage Corp. | | | 136 | | | | 12,107 | |
| ICF International, Inc. | | | 207 | | | | 12,099 | |
| Intersect ENT, Inc.* | | | 307 | | | | 12,065 | |
| Natus Medical, Inc.* | | | 353 | | | | 11,878 | |
| 122 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Acorda Therapeutics, Inc.* | | | 501 | | | $ | 11,849 | |
| Theravance Biopharma, Inc.* | | | 486 | | | | 11,786 | |
| Cardtronics plc — Class A* | | | 528 | | | | 11,780 | |
| Orthofix International N.V.* | | | 200 | | | | 11,756 | |
| AxoGen, Inc.* | | | 322 | | | | 11,753 | |
| Capella Education Co. | | | 134 | | | | 11,705 | |
| Medifast, Inc. | | | 123 | | | | 11,494 | |
| US Physical Therapy, Inc. | | | 141 | | | | 11,463 | |
| EVERTEC, Inc. | | | 699 | | | | 11,429 | |
| BioTelemetry, Inc.* | | | 367 | | | | 11,395 | |
| Diplomat Pharmacy, Inc.* | | | 562 | | | | 11,324 | |
| USANA Health Sciences, Inc.* | | | 131 | | | | 11,253 | |
| LHC Group, Inc.* | | | 181 | | | | 11,142 | |
| OraSure Technologies, Inc.* | | | 655 | | | | 11,063 | |
| MyoKardia, Inc.* | | | 226 | | | | 11,029 | |
| Owens & Minor, Inc. | | | 703 | | | | 10,932 | |
| CBIZ, Inc.* | | | 591 | | | | 10,786 | |
| Andersons, Inc. | | | 312 | | | | 10,327 | |
| iRhythm Technologies, Inc.* | | | 164 | | | | 10,324 | |
| Intra-Cellular Therapies, Inc.* | | | 490 | | | | 10,314 | |
| Career Education Corp.* | | | 783 | | | | 10,289 | |
| Glaukos Corp.* | | | 332 | | | | 10,236 | |
| Kelly Services, Inc. — Class A | | | 352 | | | | 10,222 | |
| Navigant Consulting, Inc.* | | | 531 | | | | 10,216 | |
| Atrion Corp. | | | 16 | | | | 10,101 | |
| Retrophin, Inc.* | | | 451 | | | | 10,084 | |
| Epizyme, Inc.* | | | 567 | | | | 10,064 | |
| Luminex Corp. | | | 474 | | | | 9,987 | |
| MacroGenics, Inc.* | | | 391 | | | | 9,838 | |
| Huron Consulting Group, Inc.* | | | 254 | | | | 9,677 | |
| CytomX Therapeutics, Inc.* | | | 337 | | | | 9,588 | |
| REGENXBIO, Inc.* | | | 319 | | | | 9,522 | |
| Inter Parfums, Inc. | | | 199 | | | | 9,383 | |
| Coca-Cola Bottling Company Consolidated | | | 54 | | | | 9,324 | |
| TherapeuticsMD, Inc.* | | | 1,914 | | | | 9,321 | |
| Alder Biopharmaceuticals, Inc.* | | | 733 | | | | 9,309 | |
| NutriSystem, Inc. | | | 343 | | | | 9,244 | |
| Quad/Graphics, Inc. | | | 363 | | | | 9,202 | |
| Assembly Biosciences, Inc.* | | | 186 | | | | 9,140 | |
| Dean Foods Co. | | | 1,051 | | | | 9,060 | |
| Phibro Animal Health Corp. — Class A | | | 228 | | | | 9,052 | |
| K2M Group Holdings, Inc.* | | | 477 | | | | 9,039 | |
| Kindred Healthcare, Inc.* | | | 984 | | | | 9,004 | |
| Providence Service Corp.*,1 | | | 130 | | | | 8,988 | |
| Alarm.com Holdings, Inc.* | | | 237 | | | | 8,944 | |
| Laureate Education, Inc. — Class A* | | | 640 | | | | 8,800 | |
| Revance Therapeutics, Inc.* | | | 280 | | | | 8,624 | |
| Vanda Pharmaceuticals, Inc.* | | | 510 | | | | 8,593 | |
| Cardiovascular Systems, Inc.* | | | 388 | | | | 8,509 | |
| Flexion Therapeutics, Inc.*,1 | | | 378 | | | | 8,471 | |
| TG Therapeutics, Inc.* | | | 593 | | | | 8,421 | |
| MiMedx Group, Inc.*,1 | | | 1,198 | | | | 8,350 | |
| Anika Therapeutics, Inc.* | | | 166 | | | | 8,254 | |
| Almost Family, Inc.* | | | 147 | | | | 8,232 | |
| AMAG Pharmaceuticals, Inc.*,1 | | | 406 | | | | 8,181 | |
| Amphastar Pharmaceuticals, Inc.* | | | 421 | | | | 7,894 | |
| American Public Education, Inc.* | | | 182 | | | | 7,826 | |
| National Healthcare Corp. | | | 129 | | | | 7,692 | |
| Cutera, Inc.* | | | 153 | | | | 7,688 | |
| AtriCure, Inc.* | | | 372 | | | | 7,633 | |
| Cerus Corp.* | | | 1,385 | | | | 7,590 | |
| Novavax, Inc.* | | | 3,611 | | | | 7,583 | |
| CryoLife, Inc.* | | | 372 | | | | 7,459 | |
| Kforce, Inc. | | | 273 | | | | 7,385 | |
| Collegium Pharmaceutical, Inc.* | | | 289 | | | | 7,384 | |
| SpartanNash Co. | | | 425 | | | | 7,314 | |
| Geron Corp.*,1 | | | 1,719 | | | | 7,306 | |
| AngioDynamics, Inc.* | | | 422 | | | | 7,280 | |
| Genomic Health, Inc.* | | | 230 | | | | 7,197 | |
| SP Plus Corp.* | | | 200 | | | | 7,120 | |
| RR Donnelley & Sons Co. | | | 811 | | | | 7,080 | |
| STAAR Surgical Co.* | | | 473 | | | | 7,000 | |
| LSC Communications, Inc. | | | 397 | | | | 6,928 | |
| Triple-S Management Corp. — Class B* | | | 265 | | | | 6,927 | |
| Accelerate Diagnostics, Inc.* | | | 302 | | | | 6,901 | |
| Meridian Bioscience, Inc. | | | 482 | | | | 6,844 | |
| Barrett Business Services, Inc. | | | 82 | | | | 6,796 | |
| SUPERVALU, Inc.* | | | 443 | | | | 6,747 | |
| Heidrick & Struggles International, Inc. | | | 214 | | | | 6,687 | |
| Invacare Corp. | | | 376 | | | | 6,542 | |
| LeMaitre Vascular, Inc. | | | 174 | | | | 6,304 | |
| K12, Inc.* | | | 444 | | | | 6,296 | |
| RadNet, Inc.* | | | 428 | | | | 6,163 | |
| Progenics Pharmaceuticals, Inc.* | | | 817 | | | | 6,095 | |
| Rigel Pharmaceuticals, Inc.* | | | 1,710 | | | | 6,053 | |
| La Jolla Pharmaceutical Co.* | | | 203 | | | | 6,045 | |
| Audentes Therapeutics, Inc.* | | | 201 | | | | 6,040 | |
| Heska Corp.* | | | 76 | | | | 6,009 | |
| Madrigal Pharmaceuticals, Inc.* | | | 51 | | | | 5,956 | |
| ZIOPHARM Oncology, Inc.* | | | 1,519 | | | | 5,954 | |
| Tootsie Roll Industries, Inc. | | | 201 | | | | 5,926 | |
| Omeros Corp.* | | | 526 | | | | 5,875 | |
| John B Sanfilippo & Son, Inc. | | | 99 | | | | 5,729 | |
| Five Prime Therapeutics, Inc.* | | | 332 | | | | 5,704 | |
| Ennis, Inc. | | | 289 | | | | 5,693 | |
| RPX Corp. | | | 532 | | | | 5,687 | |
| Surmodics, Inc.* | | | 149 | | | | 5,669 | |
| Resources Connection, Inc. | | | 346 | | | | 5,605 | |
| Lantheus Holdings, Inc.* | | | 352 | | | | 5,597 | |
| Chefs’ Warehouse, Inc.* | | | 241 | | | | 5,543 | |
| WaVe Life Sciences Ltd.* | | | 137 | | | | 5,494 | |
| Ingles Markets, Inc. — Class A | | | 162 | | | | 5,484 | |
| CorVel Corp.* | | | 108 | | | | 5,459 | |
| Karyopharm Therapeutics, Inc.* | | | 406 | | | | 5,449 | |
| BioCryst Pharmaceuticals, Inc.* | | | 1,131 | | | | 5,395 | |
| ANI Pharmaceuticals, Inc.* | | | 92 | | | | 5,356 | |
| NeoGenomics, Inc.* | | | 655 | | | | 5,345 | |
| Achillion Pharmaceuticals, Inc.* | | | 1,431 | | | | 5,309 | |
| Textainer Group Holdings Ltd.* | | | 313 | | | | 5,305 | |
| Lannett Company, Inc.*,1 | | | 329 | | | | 5,280 | |
| Synergy Pharmaceuticals, Inc.*,1 | | | 2,874 | | | | 5,259 | |
| Central Garden & Pet Co.* | | | 121 | | | | 5,203 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 123 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| PDL BioPharma, Inc.* | | | 1,765 | | | $ | 5,189 | |
| Achaogen, Inc.* | | | 396 | | | | 5,128 | |
| Coherus Biosciences, Inc.* | | | 453 | | | | 5,006 | |
| Akebia Therapeutics, Inc.* | | | 517 | | | | 4,927 | |
| Everi Holdings, Inc.* | | | 749 | | | | 4,921 | |
| Eagle Pharmaceuticals, Inc.* | | | 93 | | | | 4,900 | |
| Tejon Ranch Co.* | | | 212 | | | | 4,899 | |
| Forrester Research, Inc. | | | 117 | | | | 4,850 | |
| Aduro Biotech, Inc.* | | | 520 | | | | 4,836 | |
| CRA International, Inc. | | | 92 | | | | 4,811 | |
| Vectrus, Inc.* | | | 129 | | | | 4,804 | |
| Accuray, Inc.* | | | 958 | | | | 4,790 | |
| Carriage Services, Inc. — Class A | | | 172 | | | | 4,757 | |
| Concert Pharmaceuticals, Inc.* | | | 207 | | | | 4,740 | |
| Tactile Systems Technology, Inc.* | | | 149 | | | | 4,738 | |
| Aclaris Therapeutics, Inc.* | | | 268 | | | | 4,695 | |
| e.l.f. Beauty, Inc.* | | | 241 | | | | 4,668 | |
| Abeona Therapeutics, Inc.* | | | 325 | | | | 4,664 | |
| Team, Inc.*,1 | | | 339 | | | | 4,661 | |
| Kura Oncology, Inc.* | | | 245 | | | | 4,594 | |
| Cross Country Healthcare, Inc.* | | | 411 | | | | 4,566 | |
| Weis Markets, Inc. | | | 111 | | | | 4,549 | |
| Fate Therapeutics, Inc.* | | | 466 | | | | 4,548 | |
| Akcea Therapeutics, Inc.* | | | 174 | | | | 4,456 | |
| Inovio Pharmaceuticals, Inc.* | | | 941 | | | | 4,432 | |
| Depomed, Inc.* | | | 666 | | | | 4,389 | |
| Hackett Group, Inc. | | | 272 | | | | 4,368 | |
| Community Health Systems, Inc.*,1 | | | 1,100 | | | | 4,356 | |
| Adamas Pharmaceuticals, Inc.*,1 | | | 182 | | | | 4,350 | |
| Lexicon Pharmaceuticals, Inc.*,1 | | | 499 | | | | 4,276 | |
| MediciNova, Inc.* | | | 418 | | | | 4,272 | |
| Rent-A-Center, Inc.1 | | | 495 | | | | 4,272 | |
| Addus HomeCare Corp.* | | | 87 | | | | 4,233 | |
| Keryx Biopharmaceuticals, Inc.* | | | 1,034 | | | | 4,229 | |
| Stemline Therapeutics, Inc.* | | | 276 | | | | 4,223 | |
| Agenus, Inc.* | | | 872 | | | | 4,107 | |
| Emerald Expositions Events, Inc. | | | 209 | | | | 4,071 | |
| Intellia Therapeutics, Inc.* | | | 192 | | | | 4,049 | |
| Endologix, Inc.* | | | 950 | | | | 4,019 | |
| CAI International, Inc.* | | | 186 | | | | 3,954 | |
| Utah Medical Products, Inc. | | | 40 | | | | 3,954 | |
| ChemoCentryx, Inc.* | | | 285 | | | | 3,876 | |
| Cara Therapeutics, Inc.* | | | 309 | | | | 3,825 | |
| Paratek Pharmaceuticals, Inc.* | | | 291 | | | | 3,783 | |
| Jounce Therapeutics, Inc.* | | | 168 | | | | 3,755 | |
| Surgery Partners, Inc.* | | | 218 | | | | 3,739 | |
| Voyager Therapeutics, Inc.* | | | 196 | | | | 3,683 | |
| Antares Pharma, Inc.* | | | 1,660 | | | | 3,652 | |
| Oxford Immunotec Global plc* | | | 292 | | | | 3,635 | |
| G1 Therapeutics, Inc.* | | | 96 | | | | 3,557 | |
| SEACOR Marine Holdings, Inc.* | | | 187 | | | | 3,557 | |
| Durect Corp.* | | | 1,658 | | | | 3,548 | |
| Celldex Therapeutics, Inc.* | | | 1,520 | | | | 3,542 | |
| Dermira, Inc.* | | | 441 | | | | 3,524 | |
| Cytokinetics, Inc.* | | | 480 | | | | 3,456 | |
| Corbus Pharmaceuticals Holdings, Inc.*,1 | | | 563 | | | | 3,434 | |
| Primo Water Corp.* | | | 293 | | | | 3,431 | |
| Natera, Inc.* | | | 369 | | | | 3,421 | |
| ServiceSource International, Inc.* | | | 890 | | | | 3,391 | |
| Corium International, Inc.* | | | 295 | | | | 3,384 | |
| Limoneira Co. | | | 141 | | | | 3,346 | |
| Cadiz, Inc.* | | | 246 | | | | 3,321 | |
| BioScrip, Inc.* | | | 1,343 | | | | 3,304 | |
| Biohaven Pharmaceutical Holding Company Ltd.* | | | 128 | | | | 3,297 | |
| National Research Corp. — Class A | | | 110 | | | | 3,217 | |
| GenMark Diagnostics, Inc.* | | | 589 | | | | 3,204 | |
| Capital Senior Living Corp.* | | | 285 | | | | 3,064 | |
| Franklin Covey Co.* | | | 113 | | | | 3,040 | |
| Great Lakes Dredge & Dock Corp.* | | | 657 | | | | 3,022 | |
| Farmer Brothers Co.* | | | 100 | | | | 3,020 | |
| Idera Pharmaceuticals, Inc.* | | | 1,630 | | | | 2,999 | |
| Pieris Pharmaceuticals, Inc.* | | | 437 | | | | 2,980 | |
| RTI Surgical, Inc.* | | | 632 | | | | 2,907 | |
| MoneyGram International, Inc.* | | | 337 | | | | 2,905 | |
| Medpace Holdings, Inc.* | | | 83 | | | | 2,898 | |
| Rockwell Medical, Inc.* | | | 555 | | | | 2,892 | |
| BioSpecifics Technologies Corp.* | | | 65 | | | | 2,882 | |
| Civitas Solutions, Inc.* | | | 186 | | | | 2,864 | |
| Revlon, Inc. — Class A* | | | 137 | | | | 2,822 | |
| Chimerix, Inc.* | | | 540 | | | | 2,808 | |
| Enzo Biochem, Inc.* | | | 501 | | | | 2,745 | |
| Craft Brew Alliance, Inc.* | | | 146 | | | | 2,715 | |
| BioTime, Inc.* | | | 1,000 | | | | 2,690 | |
| Reata Pharmaceuticals, Inc. — Class A* | | | 131 | | | | 2,687 | |
| Strongbridge Biopharma plc* | | | 303 | | | | 2,682 | |
| Pacific Biosciences of California, Inc.* | | | 1,267 | | | | 2,597 | |
| Care.com, Inc.* | | | 159 | | | | 2,587 | |
| Clearside Biomedical, Inc.* | | | 239 | | | | 2,564 | |
| Kindred Biosciences, Inc.* | | | 292 | | | | 2,526 | |
| Willdan Group, Inc.* | | | 88 | | | | 2,495 | |
| NewLink Genetics Corp.* | | | 335 | | | | 2,429 | |
| Village Super Market, Inc. — Class A | | | 92 | | | | 2,426 | |
| Neos Therapeutics, Inc.* | | | 285 | | | | 2,365 | |
| Invitae Corp.* | | | 492 | | | | 2,307 | |
| ViewRay, Inc.* | | | 355 | | | | 2,283 | |
| Reis, Inc. | | | 105 | | | | 2,252 | |
| Seneca Foods Corp. — Class A* | | | 81 | | | | 2,244 | |
| Calithera Biosciences, Inc.* | | | 355 | | | | 2,236 | |
| Athersys, Inc.* | | | 1,179 | | | | 2,158 | |
| American Renal Associates Holdings, Inc.* | | | 113 | | | | 2,130 | |
| FONAR Corp.* | | | 71 | | | | 2,116 | |
| Aratana Therapeutics, Inc.* | | | 478 | | | | 2,108 | |
| Catalyst Pharmaceuticals, Inc.* | | | 876 | | | | 2,094 | |
| Bellicum Pharmaceuticals, Inc.* | | | 314 | | | | 2,060 | |
| Tocagen, Inc.* | | | 173 | | | | 2,050 | |
| Acacia Research Corp.* | | | 572 | | | | 2,002 | |
| Syros Pharmaceuticals, Inc.* | | | 153 | | | | 1,986 | |
| Ardelyx, Inc.* | | | 385 | | | | 1,944 | |
| Syndax Pharmaceuticals, Inc.* | | | 136 | | | | 1,935 | |
| Minerva Neurosciences, Inc.* | | | 307 | | | | 1,919 | |
| Tetraphase Pharmaceuticals, Inc.* | | | 590 | | | | 1,811 | |
| 124 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Ocular Therapeutix, Inc.* | | | 277 | | | $ | 1,803 | |
| CSS Industries, Inc. | | | 103 | | | | 1,802 | |
| Cambium Learning Group, Inc.* | | | 160 | | | | 1,792 | |
| NanoString Technologies, Inc.* | | | 238 | | | | 1,787 | |
| Conatus Pharmaceuticals, Inc.* | | | 304 | | | | 1,784 | |
| Seres Therapeutics, Inc.* | | | 238 | | | | 1,747 | |
| Fortress Biotech, Inc.* | | | 381 | | | | 1,734 | |
| Recro Pharma, Inc.* | | | 156 | | | | 1,718 | |
| Dova Pharmaceuticals, Inc.* | | | 63 | | | | 1,709 | |
| Insys Therapeutics, Inc.*,1 | | | 280 | | | | 1,691 | |
| Selecta Biosciences, Inc.* | | | 161 | | | | 1,641 | |
| Sientra, Inc.* | | | 168 | | | | 1,623 | |
| Natural Health Trends Corp. | | | 85 | | | | 1,616 | |
| Teligent, Inc.* | | | 475 | | | | 1,596 | |
| Information Services Group, Inc.* | | | 376 | | | | 1,572 | |
| Nymox Pharmaceutical Corp.* | | | 364 | | | | 1,540 | |
| AAC Holdings, Inc.* | | | 134 | | | | 1,538 | |
| Bridgepoint Education, Inc.* | | | 228 | | | | 1,537 | |
| BG Staffing, Inc. | | | 80 | | | | 1,519 | |
| Veracyte, Inc.* | | | 273 | | | | 1,518 | |
| Athenex, Inc.* | | | 87 | | | | 1,480 | |
| Smart & Final Stores, Inc.* | | | 264 | | | | 1,465 | |
| Quotient Ltd.* | | | 309 | | | | 1,455 | |
| Kala Pharmaceuticals, Inc.* | | | 90 | | | | 1,425 | |
| Pulse Biosciences, Inc.*,1 | | | 105 | | | | 1,421 | |
| VBI Vaccines, Inc.* | | | 396 | | | | 1,386 | |
| Otonomy, Inc.* | | | 326 | | | | 1,369 | |
| Collectors Universe, Inc. | | | 87 | | | | 1,367 | |
| Nature’s Sunshine Products, Inc.* | | | 124 | | | | 1,364 | |
| NantKwest, Inc.* | | | 342 | | | | 1,330 | |
| Calyxt, Inc.* | | | 101 | | | | 1,325 | |
| Pendrell Corp. | | | 2 | | | | 1,290 | |
| Anavex Life Sciences Corp.* | | | 450 | | | | 1,242 | |
| Organovo Holdings, Inc.* | | | 1,196 | | | | 1,232 | |
| XBiotech, Inc.* | | | 223 | | | | 1,193 | |
| Merrimack Pharmaceuticals, Inc. | | | 148 | | | | 1,191 | |
| Zynerba Pharmaceuticals, Inc.* | | | 134 | | | | 1,164 | |
| Sienna Biopharmaceuticals, Inc.* | | | 62 | | | | 1,164 | |
| Immune Design Corp.* | | | 350 | | | | 1,155 | |
| Turning Point Brands, Inc. | | | 59 | | | | 1,147 | |
| Protagonist Therapeutics, Inc.* | | | 132 | | | | 1,134 | |
| Miragen Therapeutics, Inc.* | | | 161 | | | | 1,129 | |
| Corvus Pharmaceuticals, Inc.* | | | 97 | | | | 1,118 | |
| Trevena, Inc.* | | | 669 | | | | 1,097 | |
| Alico, Inc. | | | 38 | | | | 1,034 | |
| ARC Document Solutions, Inc.* | | | 463 | | | | 1,019 | |
| Curis, Inc.* | | | 1,528 | | | | 998 | |
| Mersana Therapeutics, Inc.* | | | 62 | | | | 978 | |
| Melinta Therapeutics, Inc.* | | | 118 | | | | 873 | |
| Liberty Tax, Inc. | | | 79 | | | | 798 | |
| Genesis Healthcare, Inc.* | | | 525 | | | | 793 | |
| Ra Pharmaceuticals, Inc.* | | | 144 | | | | 765 | |
| Natural Grocers by Vitamin Cottage, Inc.* | | | 104 | | | | 745 | |
| ConforMIS, Inc.* | | | 506 | | | | 734 | |
| Advaxis, Inc.* | | | 432 | | | | 730 | |
| Viveve Medical, Inc.* | | | 183 | | | | 670 | |
| Versartis, Inc.* | | | 381 | | | | 629 | |
| Novelion Therapeutics, Inc.* | | | 174 | | | | 609 | |
| Matinas BioPharma Holdings, Inc.* | | | 755 | | | | 577 | |
| Axovant Sciences Ltd.* | | | 375 | | | | 499 | |
| Asterias Biotherapeutics, Inc.* | | | 342 | | | | 496 | |
| Ascent Capital Group, Inc. — Class A* | | | 127 | | | | 467 | |
| Ovid therapeutics, Inc.* | | | 62 | | | | 438 | |
| Aileron Therapeutics, Inc.* | | | 48 | | | | 390 | |
| Genocea Biosciences, Inc.* | | | 351 | | | | 369 | |
| Obalon Therapeutics, Inc.* | | | 103 | | | | 353 | |
| vTv Therapeutics, Inc. — Class A* | | | 82 | | | | 334 | |
| Lifeway Foods, Inc.* | | | 54 | | | | 323 | |
| Edge Therapeutics, Inc.* | | | 230 | | | | 271 | |
| CPI Card Group, Inc.* | | | 47 | | | | 142 | |
| Oncocyte Corp.* | | | 44 | | | | 92 | |
| Total Consumer, Non-cyclical | | | | | | | 5,381,205 | |
| | | | | | | | | |
| Industrial - 7.4% |
| Curtiss-Wright Corp. | | | 511 | | | | 69,021 | |
| Knight-Swift Transportation Holdings, Inc. | | | 1,450 | | | | 66,714 | |
| Littelfuse, Inc. | | | 278 | | | | 57,874 | |
| EMCOR Group, Inc. | | | 682 | | | | 53,148 | |
| Louisiana-Pacific Corp. | | | 1,681 | | | | 48,362 | |
| Cree, Inc.* | | | 1,129 | | | | 45,510 | |
| Woodward, Inc. | | | 616 | | | | 44,143 | |
| KLX, Inc.* | | | 603 | | | | 42,849 | |
| John Bean Technologies Corp. | | | 363 | | | | 41,164 | |
| SYNNEX Corp. | | | 335 | | | | 39,664 | |
| Summit Materials, Inc. — Class A* | | | 1,278 | | | | 38,698 | |
| Trinseo S.A. | | | 513 | | | | 37,988 | |
| Dycom Industries, Inc.* | | | 349 | | | | 37,563 | |
| Kennametal, Inc. | | | 933 | | | | 37,469 | |
| Trex Company, Inc.* | | | 342 | | | | 37,199 | |
| MasTec, Inc.* | | | 770 | | | | 36,228 | |
| Rexnord Corp.* | | | 1,204 | | | | 35,735 | |
| EnerSys | | | 510 | | | | 35,379 | |
| Barnes Group, Inc. | | | 581 | | | | 34,796 | |
| Tech Data Corp.* | | | 406 | | | | 34,563 | |
| KapStone Paper and Packaging Corp. | | | 1,005 | | | | 34,482 | |
| Proto Labs, Inc.* | | | 287 | | | | 33,737 | |
| Hillenbrand, Inc. | | | 732 | | | | 33,599 | |
| RBC Bearings, Inc.* | | | 270 | | | | 33,534 | |
| Belden, Inc. | | | 486 | | | | 33,505 | |
| Applied Industrial Technologies, Inc. | | | 444 | | | | 32,368 | |
| Generac Holdings, Inc.* | | | 703 | | | | 32,275 | |
| MSA Safety, Inc. | | | 385 | | | | 32,047 | |
| Tetra Tech, Inc. | | | 646 | | | | 31,622 | |
| TopBuild Corp.* | | | 410 | | | | 31,373 | |
| Moog, Inc. — Class A | | | 369 | | | | 30,409 | |
| Golar LNG Ltd. | | | 1,111 | | | | 30,397 | |
| GATX Corp. | | | 443 | | | | 30,341 | |
| Advanced Energy Industries, Inc.* | | | 459 | | | | 29,330 | |
| II-VI, Inc.* | | | 704 | | | | 28,794 | |
| Vishay Intertechnology, Inc. | | | 1,532 | | | | 28,495 | |
| Itron, Inc.* | | | 395 | | | | 28,262 | |
| Simpson Manufacturing Company, Inc. | | | 477 | | | | 27,470 | |
| KBR, Inc. | | | 1,625 | | | | 26,309 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 125 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Granite Construction, Inc. | | | 459 | | | $ | 25,640 | |
| Builders FirstSource, Inc.* | | | 1,276 | | | | 25,316 | |
| Watts Water Technologies, Inc. — Class A | | | 322 | | | | 25,019 | |
| Rogers Corp.* | | | 209 | | | | 24,984 | |
| JELD-WEN Holding, Inc.* | | | 779 | | | | 23,853 | |
| Axon Enterprise, Inc.* | | | 603 | | | | 23,704 | |
| SPX FLOW, Inc.* | | | 479 | | | | 23,562 | |
| Plexus Corp.* | | | 390 | | | | 23,295 | |
| Exponent, Inc. | | | 295 | | | | 23,202 | |
| Universal Forest Products, Inc. | | | 694 | | | | 22,520 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 800 | | | | 22,376 | |
| Worthington Industries, Inc. | | | 519 | | | | 22,275 | |
| Esterline Technologies Corp.* | | | 303 | | | | 22,165 | |
| Saia, Inc.* | | | 293 | | | | 22,019 | |
| Franklin Electric Company, Inc. | | | 536 | | | | 21,842 | |
| Sanmina Corp.* | | | 830 | | | | 21,704 | |
| Chart Industries, Inc.* | | | 355 | | | | 20,956 | |
| Albany International Corp. — Class A | | | 333 | | | | 20,879 | |
| Masonite International Corp.* | | | 329 | | | | 20,184 | |
| Werner Enterprises, Inc. | | | 551 | | | | 20,111 | |
| Brady Corp. — Class A | | | 538 | | | | 19,987 | |
| Kaman Corp. | | | 321 | | | | 19,941 | |
| Covanta Holding Corp. | | | 1,355 | | | | 19,648 | |
| Mueller Water Products, Inc. — Class A | | | 1,781 | | | | 19,359 | |
| Novanta, Inc.* | | | 371 | | | | 19,348 | |
| Harsco Corp.* | | | 930 | | | | 19,204 | |
| EnPro Industries, Inc. | | | 244 | | | | 18,881 | |
| AAON, Inc. | | | 479 | | | | 18,681 | |
| Cubic Corp. | | | 292 | | | | 18,571 | |
| Forward Air Corp. | | | 343 | | | | 18,131 | |
| Comfort Systems USA, Inc. | | | 427 | | | | 17,614 | |
| Patrick Industries, Inc.* | | | 282 | | | | 17,442 | |
| Benchmark Electronics, Inc. | | | 579 | | | | 17,283 | |
| Boise Cascade Co. | | | 447 | | | | 17,254 | |
| ESCO Technologies, Inc. | | | 294 | | | | 17,214 | |
| Mueller Industries, Inc. | | | 658 | | | | 17,213 | |
| General Cable Corp. | | | 576 | | | | 17,049 | |
| Chicago Bridge & Iron Company N.V. | | | 1,165 | | | | 16,776 | |
| AAR Corp. | | | 374 | | | | 16,497 | |
| TTM Technologies, Inc.* | | | 1,068 | | | | 16,330 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 269 | | | | 16,261 | |
| Methode Electronics, Inc. | | | 414 | | | | 16,187 | |
| American Woodmark Corp.* | | | 163 | | | | 16,047 | |
| SPX Corp.* | | | 494 | | | | 16,045 | |
| Actuant Corp. — Class A | | | 689 | | | | 16,019 | |
| Greenbrier Companies, Inc.1 | | | 317 | | | | 15,929 | |
| Air Transport Services Group, Inc.* | | | 680 | | | | 15,858 | |
| Hub Group, Inc. — Class A* | | | 377 | | | | 15,777 | |
| Sun Hydraulics Corp. | | | 289 | | | | 15,479 | |
| Greif, Inc. — Class A | | | 295 | | | | 15,414 | |
| Badger Meter, Inc. | | | 325 | | | | 15,324 | |
| Altra Industrial Motion Corp.1 | | | 332 | | | | 15,255 | |
| Federal Signal Corp. | | | 682 | | | | 15,018 | |
| Raven Industries, Inc. | | | 417 | | | | 14,616 | |
| Triumph Group, Inc. | | | 565 | | | | 14,238 | |
| Apogee Enterprises, Inc. | | | 328 | | | | 14,219 | |
| Standex International Corp. | | | 147 | | | | 14,016 | |
| Matson, Inc. | | | 488 | | | | 13,976 | |
| TriMas Corp.* | | | 528 | | | | 13,860 | |
| Tennant Co. | | | 204 | | | | 13,811 | |
| Astec Industries, Inc. | | | 247 | | | | 13,629 | |
| US Ecology, Inc. | | | 253 | | | | 13,485 | |
| Milacron Holdings Corp.* | | | 666 | | | | 13,413 | |
| OSI Systems, Inc.* | | | 204 | | | | 13,315 | |
| Encore Wire Corp. | | | 234 | | | | 13,268 | |
| Fabrinet* | | | 421 | | | | 13,211 | |
| AZZ, Inc. | | | 300 | | | | 13,110 | |
| Knowles Corp.* | | | 1,019 | | | | 12,829 | |
| Schneider National, Inc. — Class B | | | 484 | | | | 12,613 | |
| Continental Building Products, Inc.* | | | 439 | | | | 12,534 | |
| Gibraltar Industries, Inc.* | | | 368 | | | | 12,457 | |
| Alamo Group, Inc. | | | 110 | | | | 12,089 | |
| Advanced Disposal Services, Inc.* | | | 535 | | | | 11,920 | |
| Kadant, Inc. | | | 125 | | | | 11,812 | |
| KEMET Corp.* | | | 641 | | | | 11,621 | |
| Fitbit, Inc. — Class A* | | | 2,240 | | | | 11,424 | |
| Primoris Services Corp. | | | 456 | | | | 11,391 | |
| FARO Technologies, Inc.* | | | 192 | | | | 11,213 | |
| Lindsay Corp. | | | 121 | | | | 11,064 | |
| Aerovironment, Inc.* | | | 243 | | | | 11,059 | |
| US Concrete, Inc.* | | | 183 | | | | 11,053 | |
| Advanced Drainage Systems, Inc. | | | 414 | | | | 10,723 | |
| Casella Waste Systems, Inc. — Class A* | | | 452 | | | | 10,568 | |
| Manitowoc Company, Inc.* | | | 369 | | | | 10,502 | |
| Multi-Color Corp. | | | 158 | | | | 10,436 | |
| PGT Innovations, Inc.* | | | 559 | | | | 10,425 | |
| Briggs & Stratton Corp. | | | 482 | | | | 10,320 | |
| Marten Transport Ltd. | | | 452 | | | | 10,306 | |
| Sturm Ruger & Company, Inc. | | | 195 | | | | 10,237 | |
| Kratos Defense & Security Solutions, Inc.* | | | 990 | | | | 10,187 | |
| CTS Corp. | | | 370 | | | | 10,064 | |
| Ship Finance International Ltd. | | | 692 | | | | 9,896 | |
| Heartland Express, Inc. | | | 547 | | | | 9,841 | |
| ArcBest Corp. | | | 299 | | | | 9,583 | |
| Chase Corp. | | | 82 | | | | 9,549 | |
| Tutor Perini Corp.* | | | 433 | | | | 9,548 | |
| Lydall, Inc.* | | | 193 | | | | 9,312 | |
| Astronics Corp.* | | | 249 | | | | 9,288 | |
| Columbus McKinnon Corp. | | | 254 | | | | 9,103 | |
| AVX Corp. | | | 534 | | | | 8,838 | |
| NCI Building Systems, Inc.* | | | 487 | | | | 8,620 | |
| Stoneridge, Inc.* | | | 311 | | | | 8,584 | |
| Aegion Corp. — Class A* | | | 374 | | | | 8,568 | |
| Echo Global Logistics, Inc.* | | | 306 | | | | 8,446 | |
| Evoqua Water Technologies Corp.* | | | 394 | | | | 8,388 | |
| Global Brass & Copper Holdings, Inc. | | | 249 | | | | 8,329 | |
| Hyster-Yale Materials Handling, Inc. | | | 119 | | | | 8,322 | |
| CIRCOR International, Inc. | | | 191 | | | | 8,148 | |
| GasLog Ltd. | | | 472 | | | | 7,764 | |
| Atkore International Group, Inc.* | | | 382 | | | | 7,583 | |
| NN, Inc. | | | 312 | | | | 7,488 | |
| Argan, Inc. | | | 169 | | | | 7,258 | |
| 126 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
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| | | | | | | |
| Electro Scientific Industries, Inc.* | | | 372 | | | $ | 7,191 | |
| DXP Enterprises, Inc.* | | | 182 | | | | 7,089 | |
| Quanex Building Products Corp. | | | 401 | | | | 6,977 | |
| TimkenSteel Corp.* | | | 459 | | | | 6,972 | |
| Control4 Corp.* | | | 297 | | | | 6,380 | |
| American Outdoor Brands Corp.* | | | 618 | | | | 6,378 | |
| Griffon Corp. | | | 339 | | | | 6,187 | |
| GoPro, Inc. — Class A*,1 | | | 1,260 | | | | 6,035 | |
| International Seaways, Inc.* | | | 341 | | | | 6,002 | |
| Gorman-Rupp Co. | | | 205 | | | | 5,996 | |
| Insteel Industries, Inc. | | | 211 | | | | 5,830 | |
| Scorpio Tankers, Inc. | | | 2,927 | | | | 5,737 | |
| MYR Group, Inc.* | | | 185 | | | | 5,702 | |
| Myers Industries, Inc. | | | 268 | | | | 5,668 | |
| SunPower Corp. — Class A*,1 | | | 698 | | | | 5,570 | |
| Ply Gem Holdings, Inc.* | | | 256 | | | | 5,530 | |
| Vicor Corp.* | | | 193 | | | | 5,510 | |
| Mesa Laboratories, Inc. | | | 37 | | | | 5,492 | |
| Applied Optoelectronics, Inc.*,1 | | | 216 | | | | 5,413 | |
| Tredegar Corp. | | | 300 | | | | 5,385 | |
| Teekay Corp.1 | | | 661 | | | | 5,347 | |
| Haynes International, Inc. | | | 144 | | | | 5,344 | |
| National Presto Industries, Inc. | | | 57 | | | | 5,344 | |
| NV5 Global, Inc.* | | | 93 | | | | 5,185 | |
| Ichor Holdings Ltd.* | | | 214 | | | | 5,181 | |
| Caesarstone Ltd. | | | 263 | | | | 5,168 | |
| VSE Corp. | | | 99 | | | | 5,120 | |
| Kimball Electronics, Inc.* | | | 308 | | | | 4,974 | |
| Scorpio Bulkers, Inc. | | | 689 | | | | 4,857 | |
| NVE Corp. | | | 55 | | | | 4,571 | |
| DMC Global, Inc. | | | 163 | | | | 4,360 | |
| Covenant Transportation Group, Inc. — Class A* | | | 137 | | | | 4,087 | |
| Park-Ohio Holdings Corp. | | | 102 | | | | 3,963 | |
| Frontline Ltd.1 | | | 889 | | | | 3,938 | |
| Heritage-Crystal Clean, Inc.* | | | 166 | | | | 3,909 | |
| ZAGG, Inc.* | | | 314 | | | | 3,831 | |
| Mistras Group, Inc.* | | | 200 | | | | 3,788 | |
| Greif, Inc. — Class B | | | 65 | | | | 3,786 | |
| Park Electrochemical Corp. | | | 222 | | | | 3,738 | |
| Ducommun, Inc.* | | | 122 | | | | 3,706 | |
| Vishay Precision Group, Inc.* | | | 117 | | | | 3,645 | |
| Costamare, Inc. | | | 583 | | | | 3,638 | |
| Energous Corp.*,1 | | | 217 | | | | 3,478 | |
| Energy Recovery, Inc.* | | | 420 | | | | 3,452 | |
| Sterling Construction Company, Inc.* | | | 300 | | | | 3,438 | |
| Armstrong Flooring, Inc.* | | | 251 | | | | 3,406 | |
| YRC Worldwide, Inc.* | | | 382 | | | | 3,373 | |
| DHT Holdings, Inc. | | | 988 | | | | 3,359 | |
| GP Strategies Corp.* | | | 145 | | | | 3,284 | |
| Hurco Companies, Inc. | | | 71 | | | | 3,259 | |
| American Railcar Industries, Inc. | | | 84 | | | | 3,142 | |
| Layne Christensen Co.* | | | 209 | | | | 3,118 | |
| Gener8 Maritime, Inc.* | | | 546 | | | | 3,085 | |
| Allied Motion Technologies, Inc. | | | 77 | | | | 3,061 | |
| Daseke, Inc.* | | | 295 | | | | 2,888 | |
| Teekay Tankers Ltd. — Class A1 | | | 2,332 | | | | 2,775 | |
| Powell Industries, Inc. | | | 102 | | | | 2,738 | |
| Advanced Emissions Solutions, Inc. | | | 231 | | | | 2,638 | |
| Ardmore Shipping Corp.* | | | 344 | | | | 2,614 | |
| Fluidigm Corp.* | | | 447 | | | | 2,610 | |
| Hardinge, Inc. | | | 134 | | | | 2,455 | |
| Graham Corp. | | | 111 | | | | 2,378 | |
| Nordic American Tankers Ltd. | | | 1,223 | | | | 2,373 | |
| LSI Industries, Inc. | | | 285 | | | | 2,311 | |
| LB Foster Co. — Class A* | | | 96 | | | | 2,261 | |
| Hill International, Inc.* | | | 394 | | | | 2,246 | |
| Babcock & Wilcox Enterprises, Inc.* | | | 511 | | | | 2,233 | |
| UFP Technologies, Inc.* | | | 75 | | | | 2,212 | |
| Eagle Bulk Shipping, Inc.* | | | 444 | | | | 2,198 | |
| Olympic Steel, Inc. | | | 106 | | | | 2,174 | |
| Omega Flex, Inc. | | | 33 | | | | 2,148 | |
| Twin Disc, Inc.* | | | 98 | | | | 2,130 | |
| Hudson Technologies, Inc.* | | | 426 | | | | 2,104 | |
| Bel Fuse, Inc. — Class B | | | 111 | | | | 2,098 | |
| Orion Group Holdings, Inc.* | | | 317 | | | | 2,089 | |
| Universal Logistics Holdings, Inc. | | | 96 | | | | 2,030 | |
| Sparton Corp.* | | | 112 | | | | 1,950 | |
| Dorian LPG Ltd.* | | | 260 | | | | 1,947 | |
| Northwest Pipe Co.* | | | 110 | | | | 1,903 | |
| Pure Cycle Corp.* | | | 199 | | | | 1,881 | |
| Lawson Products, Inc.* | | | 74 | | | | 1,869 | |
| FreightCar America, Inc. | | | 139 | | | | 1,863 | |
| Eastern Co. | | | 64 | | | | 1,824 | |
| Forterra, Inc.* | | | 217 | | | | 1,806 | |
| Safe Bulkers, Inc.* | | | 569 | | | | 1,804 | |
| Radiant Logistics, Inc.* | | | 433 | | | | 1,676 | |
| AquaVenture Holdings Ltd.* | | | 134 | | | | 1,664 | |
| Napco Security Technologies, Inc.* | | | 138 | | | | 1,615 | |
| Gencor Industries, Inc.* | | | 100 | | | | 1,610 | |
| Intevac, Inc.* | | | 230 | | | | 1,587 | |
| LSB Industries, Inc.* | | | 253 | | | | 1,551 | |
| CECO Environmental Corp. | | | 346 | | | | 1,540 | |
| Core Molding Technologies, Inc. | | | 85 | | | | 1,516 | |
| IES Holdings, Inc.* | | | 100 | | | | 1,515 | |
| Overseas Shipholding Group, Inc. — Class A* | | | 524 | | | | 1,488 | |
| Iteris, Inc.* | | | 290 | | | | 1,438 | |
| CyberOptics Corp.* | | | 79 | | | | 1,422 | |
| Willis Lease Finance Corp.* | | | 40 | | | | 1,371 | |
| Genco Shipping & Trading Ltd.* | | | 89 | | | | 1,266 | |
| MicroVision, Inc.* | | | 910 | | | | 1,028 | |
| Navios Maritime Holdings, Inc.* | | | 1,059 | | | | 951 | |
| Roadrunner Transportation Systems, Inc.* | | | 355 | | | | 902 | |
| Ampco-Pittsburgh Corp.* | | | 100 | | | | 890 | |
| Akoustis Technologies, Inc.* | | | 139 | | | | 810 | |
| Navios Maritime Acquisition Corp. | | | 953 | | | | 801 | |
| NL Industries, Inc.* | | | 96 | | | | 754 | |
| Aqua Metals, Inc.* | | | 206 | | | | 534 | |
| Revolution Lighting Technologies, Inc.* | | | 143 | | | | 490 | |
| Willbros Group, Inc.* | | | 507 | | | | 280 | |
| Total Industrial | | | | | | | 3,483,756 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 127 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Consumer, Cyclical - 5.9% |
| Five Below, Inc.* | | | 625 | | | $ | 45,838 | |
| Texas Roadhouse, Inc. — Class A | | | 774 | | | | 44,722 | |
| FirstCash, Inc. | | | 537 | | | | 43,631 | |
| Dana, Inc. | | | 1,681 | | | | 43,303 | |
| Beacon Roofing Supply, Inc.* | | | 782 | | | | 41,501 | |
| Churchill Downs, Inc. | | | 158 | | | | 38,560 | |
| ILG, Inc. | | | 1,229 | | | | 38,234 | |
| Planet Fitness, Inc. — Class A* | | | 1,001 | | | | 37,808 | |
| American Eagle Outfitters, Inc. | | | 1,876 | | | | 37,389 | |
| Cracker Barrel Old Country Store, Inc.1 | | | 223 | | | | 35,502 | |
| Ollie’s Bargain Outlet Holdings, Inc.* | | | 551 | | | | 33,225 | |
| Marriott Vacations Worldwide Corp. | | | 247 | | | | 32,900 | |
| Deckers Outdoor Corp.* | | | 365 | | | | 32,861 | |
| Tenneco, Inc. | | | 590 | | | | 32,373 | |
| SkyWest, Inc. | | | 586 | | | | 31,879 | |
| Wolverine World Wide, Inc. | | | 1,095 | | | | 31,645 | |
| Boyd Gaming Corp.1 | | | 961 | | | | 30,617 | |
| SiteOne Landscape Supply, Inc.* | | | 392 | | | | 30,200 | |
| Steven Madden Ltd. | | | 684 | | | | 30,028 | |
| Taylor Morrison Home Corp. — Class A* | | | 1,285 | | | | 29,915 | |
| LCI Industries | | | 282 | | | | 29,370 | |
| Jack in the Box, Inc. | | | 342 | | | | 29,183 | |
| UniFirst Corp. | | | 177 | | | | 28,612 | |
| TRI Pointe Group, Inc.* | | | 1,734 | | | | 28,490 | |
| KB Home | | | 983 | | | | 27,966 | |
| Lithia Motors, Inc. — Class A | | | 273 | | | | 27,442 | |
| Children’s Place, Inc. | | | 199 | | | | 26,915 | |
| Bloomin’ Brands, Inc. | | | 1,078 | | | | 26,174 | |
| Columbia Sportswear Co. | | | 338 | | | | 25,833 | |
| Penn National Gaming, Inc.* | | | 979 | | | | 25,708 | |
| Scientific Games Corp. — Class A* | | | 617 | | | | 25,667 | |
| Anixter International, Inc.* | | | 337 | | | | 25,528 | |
| Allegiant Travel Co. — Class A | | | 146 | | | | 25,192 | |
| Cooper-Standard Holdings, Inc.* | | | 198 | | | | 24,316 | |
| Cheesecake Factory, Inc.1 | | | 497 | | | | 23,965 | |
| Red Rock Resorts, Inc. — Class A | | | 797 | | | | 23,336 | |
| Hawaiian Holdings, Inc. | | | 603 | | | | 23,336 | |
| RH*,1 | | | 233 | | | | 22,200 | |
| Mobile Mini, Inc. | | | 509 | | | | 22,142 | |
| Herman Miller, Inc. | | | 689 | | | | 22,014 | |
| Big Lots, Inc. | | | 493 | | | | 21,460 | |
| PriceSmart, Inc. | | | 255 | | | | 21,305 | |
| Dorman Products, Inc.* | | | 312 | | | | 20,658 | |
| Meritage Homes Corp.* | | | 446 | | | | 20,182 | |
| Dave & Buster’s Entertainment, Inc.* | | | 483 | | | | 20,160 | |
| Navistar International Corp.* | | | 576 | | | | 20,143 | |
| Meritor, Inc.* | | | 969 | | | | 19,923 | |
| iRobot Corp.* | | | 308 | | | | 19,771 | |
| Brinker International, Inc.1 | | | 538 | | | | 19,422 | |
| Abercrombie & Fitch Co. — Class A | | | 789 | | | | 19,102 | |
| G-III Apparel Group Ltd.* | | | 501 | | | | 18,878 | |
| Pinnacle Entertainment, Inc.* | | | 612 | | | | 18,452 | |
| HNI Corp. | | | 501 | | | | 18,081 | |
| Eldorado Resorts, Inc.* | | | 541 | | | | 17,853 | |
| La Quinta Holdings, Inc.* | | | 943 | | | | 17,832 | |
| Caesars Entertainment Corp.* | | | 1,578 | | | | 17,753 | |
| Callaway Golf Co. | | | 1,081 | | | | 17,685 | |
| Cooper Tire & Rubber Co. | | | 595 | | | | 17,434 | |
| Interface, Inc. — Class A | | | 690 | | | | 17,388 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 1,142 | | | | 17,381 | |
| Papa John’s International, Inc. | | | 300 | | | | 17,190 | |
| DSW, Inc. — Class A | | | 759 | | | | 17,047 | |
| Cavco Industries, Inc.* | | | 98 | | | | 17,027 | |
| La-Z-Boy, Inc. | | | 563 | | | | 16,862 | |
| Triton International Ltd. | | | 545 | | | | 16,677 | |
| Caleres, Inc. | | | 487 | | | | 16,363 | |
| Sleep Number Corp.* | | | 454 | | | | 15,958 | |
| Wingstop, Inc. | | | 337 | | | | 15,917 | |
| Group 1 Automotive, Inc. | | | 230 | | | | 15,028 | |
| Installed Building Products, Inc.* | | | 250 | | | | 15,013 | |
| Rush Enterprises, Inc. — Class A* | | | 352 | | | | 14,956 | |
| BMC Stock Holdings, Inc.* | | | 757 | | | | 14,799 | |
| MDC Holdings, Inc. | | | 520 | | | | 14,518 | |
| Asbury Automotive Group, Inc.* | | | 215 | | | | 14,512 | |
| Gentherm, Inc.* | | | 424 | | | | 14,395 | |
| Guess?, Inc. | | | 693 | | | | 14,373 | |
| Oxford Industries, Inc. | | | 191 | | | | 14,241 | |
| Tailored Brands, Inc. | | | 568 | | | | 14,234 | |
| Fox Factory Holding Corp.* | | | 406 | | | | 14,169 | |
| Wabash National Corp. | | | 676 | | | | 14,068 | |
| H&E Equipment Services, Inc. | | | 365 | | | | 14,049 | |
| LGI Homes, Inc.* | | | 199 | | | | 14,043 | |
| Winnebago Industries, Inc. | | | 365 | | | | 13,724 | |
| Chico’s FAS, Inc. | | | 1,491 | | | | 13,479 | |
| Steelcase, Inc. — Class A | | | 975 | | | | 13,260 | |
| Crocs, Inc.* | | | 805 | | | | 13,081 | |
| Dine Brands Global, Inc. | | | 199 | | | | 13,050 | |
| Dillard’s, Inc. — Class A1 | | | 162 | | | | 13,015 | |
| Office Depot, Inc. | | | 5,920 | | | | 12,728 | |
| IMAX Corp.* | | | 648 | | | | 12,442 | |
| International Speedway Corp. — Class A | | | 281 | | | | 12,392 | |
| Modine Manufacturing Co.* | | | 572 | | | | 12,098 | |
| Camping World Holdings, Inc. — Class A | | | 367 | | | | 11,836 | |
| Standard Motor Products, Inc. | | | 248 | | | | 11,797 | |
| SeaWorld Entertainment, Inc.*,1 | | | 791 | | | | 11,730 | |
| Belmond Ltd. — Class A* | | | 1,035 | | | | 11,540 | |
| Sonic Corp. | | | 456 | | | | 11,505 | |
| Denny’s Corp.* | | | 742 | | | | 11,449 | |
| Knoll, Inc. | | | 559 | | | | 11,286 | |
| Core-Mark Holding Company, Inc. | | | 528 | | | | 11,225 | |
| Douglas Dynamics, Inc. | | | 255 | | | | 11,054 | |
| J.C. Penney Company, Inc.* | | | 3,586 | | | | 10,830 | |
| Vista Outdoor, Inc.* | | | 662 | | | | 10,804 | |
| Shake Shack, Inc. — Class A* | | | 258 | | | | 10,741 | |
| BJ’s Restaurants, Inc. | | | 233 | | | | 10,462 | |
| GMS, Inc.* | | | 337 | | | | 10,299 | |
| ScanSource, Inc.* | | | 287 | | | | 10,203 | |
| M/I Homes, Inc.* | | | 306 | | | | 9,746 | |
| PetMed Express, Inc. | | | 228 | | | | 9,519 | |
| William Lyon Homes — Class A* | | | 332 | | | | 9,127 | |
| 128 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Genesco, Inc.* | | | 224 | | | $ | 9,094 | |
| Liberty TripAdvisor Holdings, Inc. — Class A* | | | 840 | | | | 9,030 | |
| AMC Entertainment Holdings, Inc. — Class A | | | 617 | | | | 8,669 | |
| Red Robin Gourmet Burgers, Inc.* | | | 148 | | | | 8,584 | |
| Universal Electronics, Inc.* | | | 163 | | | | 8,484 | |
| Acushnet Holdings Corp. | | | 364 | | | | 8,405 | |
| Ruth’s Hospitality Group, Inc. | | | 343 | | | | 8,386 | |
| Malibu Boats, Inc. — Class A* | | | 237 | | | | 7,871 | |
| Lumber Liquidators Holdings, Inc.*,1 | | | 325 | | | | 7,774 | |
| EZCORP, Inc. — Class A* | | | 577 | | | | 7,616 | |
| Buckle, Inc.1 | | | 334 | | | | 7,398 | |
| Conn’s, Inc.* | | | 216 | | | | 7,344 | |
| National Vision Holdings, Inc.* | | | 225 | | | | 7,270 | |
| Titan International, Inc. | | | 576 | | | | 7,263 | |
| Kimball International, Inc. — Class B | | | 421 | | | | 7,174 | |
| Century Communities, Inc.* | | | 233 | | | | 6,978 | |
| Spartan Motors, Inc. | | | 396 | | | | 6,811 | |
| Movado Group, Inc. | | | 175 | | | | 6,720 | |
| Wesco Aircraft Holdings, Inc.* | | | 645 | | | | 6,611 | |
| Ethan Allen Interiors, Inc. | | | 287 | | | | 6,587 | |
| Marcus Corp. | | | 217 | | | | 6,586 | |
| Fossil Group, Inc.* | | | 512 | | | | 6,502 | |
| Unifi, Inc.* | | | 178 | | | | 6,452 | |
| Express, Inc.* | | | 892 | | | | 6,387 | |
| Tower International, Inc. | | | 230 | | | | 6,383 | |
| Finish Line, Inc. — Class A | | | 460 | | | | 6,228 | |
| Regis Corp.* | | | 410 | | | | 6,203 | |
| Hibbett Sports, Inc.* | | | 244 | | | | 5,844 | |
| REV Group, Inc. | | | 278 | | | | 5,771 | |
| Beazer Homes USA, Inc.* | | | 360 | | | | 5,742 | |
| Sonic Automotive, Inc. — Class A | | | 292 | | | | 5,533 | |
| Fiesta Restaurant Group, Inc.* | | | 299 | | | | 5,532 | |
| MCBC Holdings, Inc.* | | | 212 | | | | 5,343 | |
| Monarch Casino & Resort, Inc.* | | | 126 | | | | 5,329 | |
| Biglari Holdings, Inc.* | | | 13 | | | | 5,309 | |
| MarineMax, Inc.* | | | 271 | | | | 5,271 | |
| Veritiv Corp.* | | | 134 | | | | 5,253 | |
| Party City Holdco, Inc.* | | | 336 | | | | 5,242 | |
| Zumiez, Inc.* | | | 213 | | | | 5,091 | |
| Titan Machinery, Inc.* | | | 216 | | | | 5,089 | |
| Chuy’s Holdings, Inc.* | | | 193 | | | | 5,057 | |
| Hooker Furniture Corp. | | | 132 | | | | 4,844 | |
| Citi Trends, Inc. | | | 153 | | | | 4,729 | |
| Freshpet, Inc.* | | | 287 | | | | 4,721 | |
| Nautilus, Inc.* | | | 349 | | | | 4,694 | |
| Motorcar Parts of America, Inc.* | | | 219 | | | | 4,693 | |
| Carrols Restaurant Group, Inc.* | | | 399 | | | | 4,469 | |
| Haverty Furniture Companies, Inc. | | | 217 | | | | 4,373 | |
| America’s Car-Mart, Inc.* | | | 83 | | | | 4,187 | |
| Ascena Retail Group, Inc.* | | | 1,995 | | | | 4,010 | |
| Cato Corp. — Class A | | | 269 | | | | 3,965 | |
| Del Taco Restaurants, Inc.* | | | 382 | | | | 3,958 | |
| Culp, Inc. | | | 126 | | | | 3,849 | |
| Systemax, Inc. | | | 134 | | | | 3,826 | |
| Superior Industries International, Inc. | | | 287 | | | | 3,817 | |
| Perry Ellis International, Inc.* | | | 147 | | | | 3,793 | |
| Del Frisco’s Restaurant Group, Inc.* | | | 244 | | | | 3,721 | |
| National CineMedia, Inc. | | | 715 | | | | 3,711 | |
| Daktronics, Inc. | | | 411 | | | | 3,621 | |
| Bassett Furniture Industries, Inc. | | | 117 | | | | 3,551 | |
| Flexsteel Industries, Inc. | | | 89 | | | | 3,523 | |
| Johnson Outdoors, Inc. — Class A | | | 56 | | | | 3,472 | |
| Drive Shack, Inc.* | | | 719 | | | | 3,437 | |
| Barnes & Noble, Inc. | | | 688 | | | | 3,406 | |
| Winmark Corp. | | | 26 | | | | 3,401 | |
| Essendant, Inc. | | | 433 | | | | 3,377 | |
| PC Connection, Inc. | | | 134 | | | | 3,350 | |
| Eros International plc* | | | 307 | | | | 3,346 | |
| Reading International, Inc. — Class A* | | | 195 | | | | 3,247 | |
| Nexeo Solutions, Inc.* | | | 303 | | | | 3,242 | |
| Shoe Carnival, Inc. | | | 134 | | | | 3,189 | |
| Potbelly Corp.* | | | 264 | | | | 3,181 | |
| Zoe’s Kitchen, Inc.* | | | 220 | | | | 3,177 | |
| Miller Industries, Inc. | | | 127 | | | | 3,175 | |
| Barnes & Noble Education, Inc.* | | | 443 | | | | 3,052 | |
| GNC Holdings, Inc. — Class A*,1 | | | 784 | | | | 3,026 | |
| Golden Entertainment, Inc.* | | | 129 | | | | 2,997 | |
| Green Brick Partners, Inc.* | | | 274 | | | | 2,987 | |
| RCI Hospitality Holdings, Inc. | | | 105 | | | | 2,981 | |
| Pier 1 Imports, Inc. | | | 925 | | | | 2,979 | |
| PICO Holdings, Inc.* | | | 257 | | | | 2,943 | |
| Bojangles’, Inc.* | | | 203 | | | | 2,812 | |
| Tile Shop Holdings, Inc. | | | 462 | | | | 2,772 | |
| Boot Barn Holdings, Inc.* | | | 150 | | | | 2,659 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 1,428 | | | | 2,613 | |
| AV Homes, Inc.* | | | 140 | | | | 2,597 | |
| Superior Uniform Group, Inc. | | | 98 | | | | 2,574 | |
| Foundation Building Materials, Inc.* | | | 171 | | | | 2,550 | |
| Vera Bradley, Inc.* | | | 234 | | | | 2,483 | |
| Nathan’s Famous, Inc. | | | 33 | | | | 2,439 | |
| Speedway Motorsports, Inc. | | | 135 | | | | 2,406 | |
| Lindblad Expeditions Holdings, Inc.* | | | 233 | | | | 2,393 | |
| Weyco Group, Inc. | | | 71 | | | | 2,386 | |
| Rush Enterprises, Inc. — Class B* | | | 59 | | | | 2,382 | |
| PetIQ, Inc.* | | | 89 | | | | 2,367 | |
| Horizon Global Corp.* | | | 287 | | | | 2,365 | |
| Commercial Vehicle Group, Inc.* | | | 291 | | | | 2,255 | |
| El Pollo Loco Holdings, Inc.* | | | 235 | | | | 2,232 | |
| Blue Bird Corp.* | | | 92 | | | | 2,180 | |
| Francesca’s Holdings Corp.* | | | 430 | | | | 2,064 | |
| Duluth Holdings, Inc. — Class B* | | | 110 | | | | 2,060 | |
| Habit Restaurants, Inc. — Class A* | | | 233 | | | | 2,050 | |
| At Home Group, Inc.*,1 | | | 62 | | | | 1,986 | |
| Century Casinos, Inc.* | | | 259 | | | | 1,932 | |
| Red Lion Hotels Corp.* | | | 193 | | | | 1,882 | |
| Kirkland’s, Inc.* | | | 177 | | | | 1,715 | |
| Tilly’s, Inc. — Class A | | | 151 | | | | 1,706 | |
| J Alexander’s Holdings, Inc.* | | | 149 | | | | 1,706 | |
| Sportsman’s Warehouse Holdings, Inc.* | | | 418 | | | | 1,705 | |
| Big 5 Sporting Goods Corp.1 | | | 235 | | | | 1,704 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 129 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
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| | | | | | | |
| Fogo De Chao, Inc.* | | | 108 | | | $ | 1,701 | |
| Escalade, Inc. | | | 122 | | | | 1,671 | |
| EnviroStar, Inc.1 | | | 42 | | | | 1,648 | |
| Clarus Corp.* | | | 239 | | | | 1,613 | |
| New Home Company, Inc.* | | | 143 | | | | 1,584 | |
| Gaia, Inc.* | | | 101 | | | | 1,566 | |
| Huttig Building Products, Inc.* | | | 276 | | | | 1,443 | |
| Delta Apparel, Inc.* | | | 80 | | | | 1,442 | |
| Build-A-Bear Workshop, Inc. — Class A* | | | 157 | | | | 1,437 | |
| Lifetime Brands, Inc. | | | 114 | | | | 1,414 | |
| Marine Products Corp. | | | 91 | | | | 1,275 | |
| Castle Brands, Inc.*,1 | | | 1,028 | | | | 1,275 | |
| Fred’s, Inc. — Class A | | | 417 | | | | 1,247 | |
| Libbey, Inc. | | | 254 | | | | 1,242 | |
| VOXX International Corp. — Class A* | | | 233 | | | | 1,153 | |
| Vitamin Shoppe, Inc.* | | | 247 | | | | 1,074 | |
| Noodles & Co.* | | | 135 | | | | 1,019 | |
| Container Store Group, Inc.* | | | 186 | | | | 1,012 | |
| Hamilton Beach Brands Holding Co. — Class A | | | 47 | | | | 997 | |
| Sequential Brands Group, Inc.* | | | 460 | | | | 959 | |
| PCM, Inc.* | | | 109 | | | | 905 | |
| Empire Resorts, Inc.* | | | 40 | | | | 690 | |
| Iconix Brand Group, Inc.*,1 | | | 579 | | | | 643 | |
| J. Jill, Inc.* | | | 144 | | | | 636 | |
| Sears Holdings Corp.* | | | 137 | | | | 366 | |
| Inspired Entertainment, Inc.* | | | 48 | | | | 264 | |
| CompX International, Inc. | | | 19 | | | | 262 | |
| Total Consumer, Cyclical | | | | | | | 2,791,993 | |
| | | | | | | | | |
| Technology - 5.5% |
| MKS Instruments, Inc. | | | 624 | | | | 72,166 | |
| Aspen Technology, Inc.* | | | 845 | | | | 66,662 | |
| EPAM Systems, Inc.* | | | 575 | | | | 65,849 | |
| Nutanix, Inc. — Class A* | | | 1,257 | | | | 61,731 | |
| Paycom Software, Inc.* | | | 571 | | | | 61,320 | |
| Fair Isaac Corp.* | | | 346 | | | | 58,602 | |
| Entegris, Inc. | | | 1,643 | | | | 57,176 | |
| Blackbaud, Inc. | | | 551 | | | | 56,097 | |
| Monolithic Power Systems, Inc. | | | 462 | | | | 53,486 | |
| MAXIMUS, Inc. | | | 742 | | | | 49,521 | |
| Integrated Device Technology, Inc.* | | | 1,550 | | | | 47,368 | |
| 2U, Inc.* | | | 556 | | | | 46,721 | |
| Lumentum Holdings, Inc.* | | | 714 | | | | 45,553 | |
| Silicon Laboratories, Inc.* | | | 486 | | | | 43,691 | |
| HubSpot, Inc.*,1 | | | 399 | | | | 43,212 | |
| CACI International, Inc. — Class A* | | | 283 | | | | 42,832 | |
| j2 Global, Inc. | | | 538 | | | | 42,459 | |
| Medidata Solutions, Inc.* | | | 651 | | | | 40,889 | |
| Science Applications International Corp. | | | 503 | | | | 39,636 | |
| RealPage, Inc.* | | | 679 | | | | 34,968 | |
| ACI Worldwide, Inc.* | | | 1,347 | | | | 31,951 | |
| Verint Systems, Inc.* | | | 736 | | | | 31,354 | |
| Cabot Microelectronics Corp. | | | 290 | | | | 31,062 | |
| Cirrus Logic, Inc.* | | | 749 | | | | 30,432 | |
| Semtech Corp.* | | | 752 | | | | 29,366 | |
| Envestnet, Inc.* | | | 500 | | | | 28,650 | |
| Callidus Software, Inc.* | | | 783 | | | | 28,149 | |
| Twilio, Inc. — Class A* | | | 719 | | | | 27,451 | |
| Qualys, Inc.* | | | 371 | | | | 26,990 | |
| CommVault Systems, Inc.* | | | 464 | | | | 26,541 | |
| New Relic, Inc.* | | | 354 | | | | 26,238 | |
| Mercury Systems, Inc.* | | | 542 | | | | 26,189 | |
| Allscripts Healthcare Solutions, Inc.* | | | 2,100 | | | | 25,935 | |
| NetScout Systems, Inc.* | | | 976 | | | | 25,718 | |
| Pegasystems, Inc. | | | 424 | | | | 25,716 | |
| Convergys Corp. | | | 1,092 | | | | 24,701 | |
| Cloudera, Inc.* | | | 1,135 | | | | 24,493 | |
| Cornerstone OnDemand, Inc.* | | | 613 | | | | 23,974 | |
| Power Integrations, Inc. | | | 333 | | | | 22,761 | |
| Pure Storage, Inc. — Class A* | | | 1,121 | | | | 22,364 | |
| Brooks Automation, Inc. | | | 798 | | | | 21,610 | |
| Progress Software Corp.1 | | | 556 | | | | 21,378 | |
| ExlService Holdings, Inc.* | | | 379 | | | | 21,137 | |
| Acxiom Corp.* | | | 917 | | | | 20,825 | |
| Ebix, Inc. | | | 278 | | | | 20,711 | |
| VeriFone Systems, Inc.* | | | 1,292 | | | | 19,871 | |
| MINDBODY, Inc. — Class A* | | | 496 | | | | 19,294 | |
| Box, Inc. — Class A* | | | 935 | | | | 19,214 | |
| Omnicell, Inc.* | | | 433 | | | | 18,792 | |
| Ambarella, Inc.*,1 | | | 376 | | | | 18,420 | |
| Five9, Inc.* | | | 616 | | | | 18,351 | |
| Synaptics, Inc.* | | | 400 | | | | 18,292 | |
| Bottomline Technologies de, Inc.* | | | 461 | | | | 17,864 | |
| CSG Systems International, Inc. | | | 386 | | | | 17,482 | |
| Coupa Software, Inc.* | | | 370 | | | | 16,879 | |
| Rambus, Inc.* | | | 1,253 | | | | 16,828 | |
| ManTech International Corp. — Class A | | | 299 | | | | 16,586 | |
| MaxLinear, Inc. — Class A*,1 | | | 711 | | | | 16,175 | |
| Virtusa Corp.* | | | 313 | | | | 15,168 | |
| Electronics for Imaging, Inc.* | | | 539 | | | | 14,731 | |
| 3D Systems Corp.*,1 | | | 1,263 | | | | 14,638 | |
| Cotiviti Holdings, Inc.* | | | 425 | | | | 14,637 | |
| Inphi Corp.*,1 | | | 485 | | | | 14,598 | |
| Insight Enterprises, Inc.* | | | 412 | | | | 14,391 | |
| MicroStrategy, Inc. — Class A* | | | 111 | | | | 14,318 | |
| Diodes, Inc.* | | | 451 | | | | 13,737 | |
| Varonis Systems, Inc.* | | | 227 | | | | 13,734 | |
| Diebold Nixdorf, Inc.1 | | | 874 | | | | 13,460 | |
| Sykes Enterprises, Inc.* | | | 453 | | | | 13,110 | |
| SPS Commerce, Inc.* | | | 195 | | | | 12,494 | |
| MuleSoft, Inc. — Class A* | | | 281 | | | | 12,358 | |
| Hortonworks, Inc.* | | | 591 | | | | 12,039 | |
| Xperi Corp. | | | 566 | | | | 11,971 | |
| Amkor Technology, Inc.* | | | 1,177 | | | | 11,923 | |
| Stratasys Ltd.* | | | 579 | | | | 11,684 | |
| FormFactor, Inc.* | | | 832 | | | | 11,357 | |
| Monotype Imaging Holdings, Inc. | | | 480 | | | | 10,776 | |
| Instructure, Inc.* | | | 253 | | | | 10,664 | |
| MTS Systems Corp. | | | 204 | | | | 10,537 | |
| LivePerson, Inc.* | | | 638 | | | | 10,431 | |
| PROS Holdings, Inc.* | | | 308 | | | | 10,167 | |
| Rudolph Technologies, Inc.* | | | 361 | | | | 10,000 | |
| 130 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
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| Evolent Health, Inc. — Class A* | | | 690 | | | $ | 9,832 | |
| Syntel, Inc.* | | | 381 | | | | 9,727 | |
| Cray, Inc.* | | | 463 | | | | 9,584 | |
| Veeco Instruments, Inc.* | | | 546 | | | | 9,282 | |
| Alteryx, Inc. — Class A* | | | 269 | | | | 9,184 | |
| CEVA, Inc.* | | | 252 | | | | 9,122 | |
| Axcelis Technologies, Inc.* | | | 351 | | | | 8,635 | |
| Quality Systems, Inc.* | | | 615 | | | | 8,395 | |
| Carbonite, Inc.* | | | 290 | | | | 8,352 | |
| Lattice Semiconductor Corp.* | | | 1,419 | | | | 7,904 | |
| Inovalon Holdings, Inc. — Class A* | | | 741 | | | | 7,855 | |
| Vocera Communications, Inc.* | | | 334 | | | | 7,822 | |
| MACOM Technology Solutions Holdings, Inc.* | | | 468 | | | | 7,769 | |
| Ultra Clean Holdings, Inc.* | | | 403 | | | | 7,758 | |
| Super Micro Computer, Inc.* | | | 451 | | | | 7,667 | |
| Apptio, Inc. — Class A* | | | 269 | | | | 7,623 | |
| Blackline, Inc.* | | | 194 | | | | 7,607 | |
| CommerceHub, Inc.* | | | 336 | | | | 7,557 | |
| Nanometrics, Inc.* | | | 280 | | | | 7,532 | |
| Everbridge, Inc.* | | | 199 | | | | 7,283 | |
| Cohu, Inc. | | | 319 | | | | 7,276 | |
| Xcerra Corp.* | | | 622 | | | | 7,246 | |
| Workiva, Inc.* | | | 295 | | | | 6,992 | |
| Donnelley Financial Solutions, Inc.* | | | 386 | | | | 6,628 | |
| Photronics, Inc.* | | | 772 | | | | 6,369 | |
| Unisys Corp.* | | | 582 | | | | 6,256 | |
| Synchronoss Technologies, Inc.* | | | 508 | | | | 5,359 | |
| Engility Holdings, Inc.* | | | 210 | | | | 5,124 | |
| USA Technologies, Inc.* | | | 560 | | | | 5,040 | |
| Model N, Inc.* | | | 274 | | | | 4,946 | |
| TTEC Holdings, Inc. | | | 161 | | | | 4,943 | |
| QAD, Inc. — Class A | | | 116 | | | | 4,831 | |
| InnerWorkings, Inc.* | | | 532 | | | | 4,815 | |
| Glu Mobile, Inc.* | | | 1,221 | | | | 4,603 | |
| Tabula Rasa HealthCare, Inc.* | | | 118 | | | | 4,578 | |
| VASCO Data Security International, Inc.* | | | 351 | | | | 4,545 | |
| Benefitfocus, Inc.* | | | 183 | | | | 4,465 | |
| Appfolio, Inc. — Class A* | | | 109 | | | | 4,453 | |
| KeyW Holding Corp.* | | | 558 | | | | 4,386 | |
| Presidio, Inc.* | | | 268 | | | | 4,192 | |
| American Software, Inc. — Class A | | | 314 | | | | 4,082 | |
| Immersion Corp.* | | | 337 | | | | 4,027 | |
| Computer Programs & Systems, Inc. | | | 131 | | | | 3,825 | |
| SMART Global Holdings, Inc.* | | | 76 | | | | 3,788 | |
| PDF Solutions, Inc.* | | | 323 | | | | 3,766 | |
| CommerceHub, Inc.* | | | 159 | | | | 3,577 | |
| Alpha & Omega Semiconductor Ltd.* | | | 230 | | | | 3,554 | |
| MobileIron, Inc.* | | | 660 | | | | 3,267 | |
| pdvWireless, Inc.* | | | 109 | | | | 3,254 | |
| Digi International, Inc.* | | | 309 | | | | 3,183 | |
| AXT, Inc.* | | | 431 | | | | 3,125 | |
| DSP Group, Inc.* | | | 252 | | | | 2,974 | |
| Digimarc Corp.* | | | 120 | | | | 2,874 | |
| Ribbon Communications, Inc.* | | | 549 | | | | 2,800 | |
| Brightcove, Inc.* | | | 395 | | | | 2,745 | |
| Upland Software, Inc.* | | | 95 | | | | 2,735 | |
| Impinj, Inc.*,1 | | | 210 | | | | 2,734 | |
| Mitek Systems, Inc.* | | | 368 | | | | 2,723 | |
| Sigma Designs, Inc.* | | | 437 | | | | 2,709 | |
| Castlight Health, Inc. — Class B* | | | 740 | | | | 2,701 | |
| Rosetta Stone, Inc.* | | | 195 | | | | 2,564 | |
| Maxwell Technologies, Inc.* | | | 418 | | | | 2,479 | |
| Kopin Corp.*,1 | | | 711 | | | | 2,218 | |
| Agilysys, Inc.* | | | 178 | | | | 2,122 | |
| Amber Road, Inc.* | | | 233 | | | | 2,074 | |
| Simulations Plus, Inc. | | | 126 | | | | 1,859 | |
| EMCORE Corp.* | | | 313 | | | | 1,784 | |
| Avid Technology, Inc.* | | | 385 | | | | 1,748 | |
| Park City Group, Inc.* | | | 152 | | | | 1,330 | |
| Pixelworks, Inc.* | | | 331 | | | | 1,281 | |
| GSI Technology, Inc.* | | | 171 | | | | 1,267 | |
| Quantum Corp.* | | | 330 | | | | 1,201 | |
| StarTek, Inc.* | | | 119 | | | | 1,164 | |
| Eastman Kodak Co.* | | | 191 | | | | 1,022 | |
| ExOne Co.* | | | 130 | | | | 946 | |
| SecureWorks Corp. — Class A* | | | 95 | | | | 768 | |
| Cogint, Inc.* | | | 248 | | | | 620 | |
| NantHealth, Inc.* | | | 184 | | | | 561 | |
| Veritone, Inc.* | | | 33 | | | | 459 | |
| Majesco* | | | 64 | | | | 324 | |
| Radisys Corp.* | | | 426 | | | | 273 | |
| Red Violet, Inc.* | | | 33 | | | | 202 | |
| Tintri, Inc.* | | | 117 | | | | 200 | |
| Total Technology | | | | | | | 2,579,052 | |
| | | | | | | | | |
| Communications - 3.2% |
| GrubHub, Inc.* | | | 993 | | | | 100,760 | |
| Proofpoint, Inc.* | | | 504 | | | | 57,280 | |
| Zendesk, Inc.* | | | 1,153 | | | | 55,194 | |
| RingCentral, Inc. — Class A* | | | 750 | | | | 47,625 | |
| Ciena Corp.* | | | 1,645 | | | | 42,605 | |
| ViaSat, Inc.*,1 | | | 624 | | | | 41,009 | |
| Etsy, Inc.* | | | 1,398 | | | | 39,228 | |
| Yelp, Inc. — Class A* | | | 924 | | | | 38,577 | |
| Stamps.com, Inc.* | | | 188 | | | | 37,797 | |
| New York Times Co. — Class A | | | 1,451 | | | | 34,969 | |
| Nexstar Media Group, Inc. — Class A | | | 507 | | | | 33,715 | |
| Shutterfly, Inc.* | | | 384 | | | | 31,200 | |
| InterDigital, Inc. | | | 401 | | | | 29,514 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 825 | | | | 25,823 | |
| Viavi Solutions, Inc.* | | | 2,646 | | | | 25,719 | |
| Vonage Holdings Corp.* | | | 2,378 | | | | 25,326 | |
| Meredith Corp. | | | 459 | | | | 24,694 | |
| Cars.com, Inc.* | | | 832 | | | | 23,571 | |
| Plantronics, Inc. | | | 381 | | | | 23,001 | |
| Chegg, Inc.* | | | 1,113 | | | | 22,995 | |
| Cogent Communications Holdings, Inc. | | | 483 | | | | 20,962 | |
| Finisar Corp.* | | | 1,318 | | | | 20,838 | |
| NETGEAR, Inc.* | | | 361 | | | | 20,649 | |
| GTT Communications, Inc.* | | | 358 | | | | 20,299 | |
| Shenandoah Telecommunications Co. | | | 538 | | | | 19,368 | |
| 8x8, Inc.* | | | 1,026 | | | | 19,135 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 131 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
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| | | | | | | |
| TiVo Corp. | | | 1,385 | | | $ | 18,767 | |
| Infinera Corp.* | | | 1,706 | | | | 18,527 | |
| Oclaro, Inc.* | | | 1,925 | | | | 18,403 | |
| Ubiquiti Networks, Inc.*,1 | | | 259 | | | | 17,819 | |
| World Wrestling Entertainment, Inc. — Class A | | | 476 | | | | 17,141 | |
| Groupon, Inc. — Class A*,1 | | | 3,927 | | | | 17,043 | |
| Imperva, Inc.* | | | 393 | | | | 17,017 | |
| Q2 Holdings, Inc.* | | | 365 | | | | 16,626 | |
| MSG Networks, Inc. — Class A* | | | 693 | | | | 15,662 | |
| Extreme Networks, Inc.* | | | 1,309 | | | | 14,491 | |
| Entercom Communications Corp. — Class A | | | 1,465 | | | | 14,137 | |
| Trade Desk, Inc. — Class A* | | | 279 | | | | 13,844 | |
| Gannett Company, Inc. | | | 1,300 | | | | 12,974 | |
| Scholastic Corp. | | | 327 | | | | 12,701 | |
| Blucora, Inc.* | | | 513 | | | | 12,620 | |
| ePlus, Inc.* | | | 153 | | | | 11,888 | |
| Quotient Technology, Inc.* | | | 874 | | | | 11,449 | |
| Iridium Communications, Inc.* | | | 969 | | | | 10,901 | |
| Boingo Wireless, Inc.* | | | 440 | | | | 10,899 | |
| Shutterstock, Inc.* | | | 215 | | | | 10,352 | |
| New Media Investment Group, Inc. | | | 592 | | | | 10,147 | |
| Gray Television, Inc.* | | | 783 | | | | 9,944 | |
| NIC, Inc. | | | 741 | | | | 9,855 | |
| CalAmp Corp.* | | | 400 | | | | 9,152 | |
| Perficient, Inc.* | | | 397 | | | | 9,099 | |
| Liberty Media Corporation-Liberty Braves — Class C* | | | 397 | | | | 9,060 | |
| Okta, Inc.* | | | 224 | | | | 8,926 | |
| ADTRAN, Inc. | | | 562 | | | | 8,739 | |
| Acacia Communications, Inc.* | | | 217 | | | | 8,346 | |
| Houghton Mifflin Harcourt Co.* | | | 1,195 | | | | 8,305 | |
| Consolidated Communications Holdings, Inc. | | | 755 | | | | 8,275 | |
| Web.com Group, Inc.* | | | 444 | | | | 8,036 | |
| EW Scripps Co. — Class A | | | 669 | | | | 8,021 | |
| Comtech Telecommunications Corp. | | | 265 | | | | 7,921 | |
| TrueCar, Inc.* | | | 814 | | | | 7,700 | |
| HealthStream, Inc. | | | 299 | | | | 7,424 | |
| ORBCOMM, Inc.* | | | 785 | | | | 7,355 | |
| ATN International, Inc. | | | 122 | | | | 7,274 | |
| Overstock.com, Inc.*,1 | | | 194 | | | | 7,033 | |
| Frontier Communications Corp.1 | | | 909 | | | | 6,745 | |
| Cincinnati Bell, Inc.* | | | 486 | | | | 6,731 | |
| Rapid7, Inc.* | | | 261 | | | | 6,674 | |
| Loral Space & Communications, Inc.* | | | 149 | | | | 6,206 | |
| XO Group, Inc.* | | | 285 | | | | 5,914 | |
| Tucows, Inc. — Class A* | | | 105 | | | | 5,880 | |
| Gogo, Inc.*,1 | | | 659 | | | | 5,687 | |
| QuinStreet, Inc.* | | | 427 | | | | 5,453 | |
| Endurance International Group Holdings, Inc.* | | | 674 | | | | 4,988 | |
| MDC Partners, Inc. — Class A* | | | 658 | | | | 4,738 | |
| Globalstar, Inc.* | | | 6,578 | | | | 4,522 | |
| TechTarget, Inc.* | | | 227 | | | | 4,513 | |
| Central European Media Enterprises Ltd. — Class A* | | | 953 | | | | 4,003 | |
| tronc, Inc.* | | | 231 | | | | 3,793 | |
| Limelight Networks, Inc.* | | | 921 | | | | 3,785 | |
| Carvana Co.* | | | 164 | | | | 3,761 | |
| 1-800-Flowers.com, Inc. — Class A* | | | 308 | | | | 3,634 | |
| Entravision Communications Corp. — Class A | | | 765 | | | | 3,595 | |
| Lands’ End, Inc.* | | | 153 | | | | 3,573 | |
| Harmonic, Inc.* | | | 923 | | | | 3,507 | |
| Quantenna Communications, Inc.* | | | 255 | | | | 3,493 | |
| Spok Holdings, Inc. | | | 230 | | | | 3,439 | |
| Calix, Inc.* | | | 498 | | | | 3,411 | |
| A10 Networks, Inc.* | | | 579 | | | | 3,370 | |
| Yext, Inc.* | | | 259 | | | | 3,276 | |
| Windstream Holdings, Inc. | | | 2,118 | | | | 2,986 | |
| Daily Journal Corp.* | | | 13 | | | | 2,970 | |
| ChannelAdvisor Corp.* | | | 294 | | | | 2,675 | |
| Zix Corp.* | | | 624 | | | | 2,664 | |
| Liberty Media Corporation-Liberty Braves — Class A* | | | 116 | | | | 2,637 | |
| NeoPhotonics Corp.*,1 | | | 382 | | | | 2,617 | |
| Internap Corp.* | | | 234 | | | | 2,574 | |
| HC2 Holdings, Inc.* | | | 480 | | | | 2,525 | |
| VirnetX Holding Corp.* | | | 589 | | | | 2,327 | |
| Preformed Line Products Co. | | | 35 | | | | 2,278 | |
| Ooma, Inc.* | | | 201 | | | | 2,191 | |
| RigNet, Inc.* | | | 154 | | | | 2,094 | |
| Clear Channel Outdoor Holdings, Inc. — Class A | | | 426 | | | | 2,087 | |
| Liquidity Services, Inc.* | | | 298 | | | | 1,937 | |
| Hemisphere Media Group, Inc.* | | | 170 | | | | 1,912 | |
| KVH Industries, Inc.* | | | 181 | | | | 1,873 | |
| WideOpenWest, Inc.* | | | 259 | | | | 1,852 | |
| Hawaiian Telcom Holdco, Inc.* | | | 69 | | | | 1,841 | |
| Telenav, Inc.* | | | 335 | | | | 1,809 | |
| Clearfield, Inc.* | | | 134 | | | | 1,729 | |
| Meet Group, Inc.* | | | 774 | | | | 1,618 | |
| Corindus Vascular Robotics, Inc.* | | | 1,178 | | | | 1,614 | |
| Saga Communications, Inc. — Class A | | | 43 | | | | 1,602 | |
| Intelsat S.A.* | | | 420 | | | | 1,579 | |
| Aerohive Networks, Inc.* | | | 371 | | | | 1,499 | |
| IDT Corp. — Class B* | | | 200 | | | | 1,254 | |
| Leaf Group Ltd.* | | | 149 | | | | 1,050 | |
| Rubicon Project, Inc.* | | | 513 | | | | 923 | |
| DHI Group, Inc.* | | | 561 | | | | 898 | |
| Global Eagle Entertainment, Inc.* | | | 593 | | | | 872 | |
| RealNetworks, Inc.* | | | 281 | | | | 860 | |
| Townsquare Media, Inc. — Class A | | | 102 | | | | 809 | |
| FTD Companies, Inc.* | | | 196 | | | | 713 | |
| Beasley Broadcast Group, Inc. — Class A | | | 57 | | | | 644 | |
| Salem Media Group, Inc. — Class A | | | 135 | | | | 486 | |
| Value Line, Inc. | | | 13 | | | | 238 | |
| Total Communications | | | | | | | 1,512,654 | |
| | | | | | | | | |
| 132 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Energy - 1.8% |
| Delek US Holdings, Inc. | | | 951 | | | $ | 38,706 | |
| PDC Energy, Inc.* | | | 764 | | | | 37,459 | |
| Matador Resources Co.* | | | 1,123 | | | | 33,589 | |
| Callon Petroleum Co.* | | | 2,330 | | | | 30,849 | |
| Peabody Energy Corp. | | | 772 | | | | 28,178 | |
| SRC Energy, Inc.* | | | 2,767 | | | | 26,093 | |
| Oasis Petroleum, Inc.* | | | 3,088 | | | | 25,013 | |
| Ensco plc — Class A1 | | | 4,943 | | | | 21,700 | |
| Arch Coal, Inc. — Class A | | | 223 | | | | 20,489 | |
| McDermott International, Inc.* | | | 3,274 | | | | 19,939 | |
| Dril-Quip, Inc.* | | | 438 | | | | 19,622 | |
| MRC Global, Inc.* | | | 1,033 | | | | 16,982 | |
| SemGroup Corp. — Class A | | | 767 | | | | 16,414 | |
| Pattern Energy Group, Inc. — Class A | | | 909 | | | | 15,717 | |
| Rowan Companies plc — Class A* | | | 1,348 | | | | 15,556 | |
| Oil States International, Inc.* | | | 589 | | | | 15,432 | |
| Superior Energy Services, Inc.* | | | 1,760 | | | | 14,837 | |
| C&J Energy Services, Inc.* | | | 568 | | | | 14,666 | |
| Carrizo Oil & Gas, Inc.* | | | 895 | | | | 14,320 | |
| NOW, Inc.* | | | 1,237 | | | | 12,642 | |
| Denbury Resources, Inc.* | | | 4,596 | | | | 12,593 | |
| Unit Corp.* | | | 599 | | | | 11,836 | |
| Diamond Offshore Drilling, Inc.*,1 | | | 748 | | | | 10,966 | |
| WildHorse Resource Development Corp.*,1 | | | 559 | | | | 10,671 | |
| Warrior Met Coal, Inc. | | | 380 | | | | 10,644 | |
| Noble Corporation plc* | | | 2,823 | | | | 10,473 | |
| ProPetro Holding Corp.* | | | 655 | | | | 10,408 | |
| Forum Energy Technologies, Inc.* | | | 931 | | | | 10,241 | |
| Exterran Corp.* | | | 372 | | | | 9,932 | |
| SEACOR Holdings, Inc.* | | | 190 | | | | 9,709 | |
| Helix Energy Solutions Group, Inc.* | | | 1,625 | | | | 9,409 | |
| Ultra Petroleum Corp.* | | | 2,255 | | | | 9,403 | |
| Jagged Peak Energy, Inc.* | | | 663 | | | | 9,368 | |
| Sunrun, Inc.* | | | 987 | | | | 8,814 | |
| Resolute Energy Corp.*,1 | | | 249 | | | | 8,628 | |
| California Resources Corp.* | | | 494 | | | | 8,472 | |
| Stone Energy Corp.* | | | 226 | | | | 8,385 | |
| Thermon Group Holdings, Inc.* | | | 372 | | | | 8,336 | |
| Ring Energy, Inc.* | | | 578 | | | | 8,294 | |
| SunCoke Energy, Inc.* | | | 744 | | | | 8,005 | |
| Newpark Resources, Inc.* | | | 973 | | | | 7,881 | |
| Green Plains, Inc. | | | 457 | | | | 7,677 | |
| Halcon Resources Corp.* | | | 1,568 | | | | 7,636 | |
| Keane Group, Inc.* | | | 487 | | | | 7,208 | |
| Archrock, Inc. | | | 808 | | | | 7,070 | |
| Bonanza Creek Energy, Inc.* | | | 235 | | | | 6,512 | |
| Par Pacific Holdings, Inc.* | | | 369 | | | | 6,336 | |
| SandRidge Energy, Inc.* | | | 403 | | | | 5,847 | |
| Penn Virginia Corp.* | | | 165 | | | | 5,782 | |
| Renewable Energy Group, Inc.* | | | 441 | | | | 5,645 | |
| TerraForm Power, Inc. — Class A | | | 525 | | | | 5,633 | |
| CVR Energy, Inc.1 | | | 182 | | | | 5,500 | |
| Tellurian, Inc.* | | | 699 | | | | 5,040 | |
| Plug Power, Inc.* | | | 2,641 | | | | 4,991 | |
| TETRA Technologies, Inc.* | | | 1,323 | | | | 4,961 | |
| REX American Resources Corp.* | | | 67 | | | | 4,878 | |
| Bristow Group, Inc. | | | 374 | | | | 4,862 | |
| W&T Offshore, Inc.* | | | 1,083 | | | | 4,798 | |
| HighPoint Resources Corp.* | | | 924 | | | | 4,694 | |
| Matrix Service Co.* | | | 304 | | | | 4,165 | |
| Nabors Industries Ltd. | | | 594 | | | | 4,152 | |
| Abraxas Petroleum Corp.* | | | 1,773 | | | | 3,936 | |
| Flotek Industries, Inc.* | | | 640 | | | | 3,904 | |
| Select Energy Services, Inc. — Class A* | | | 306 | | | | 3,862 | |
| Panhandle Oil and Gas, Inc. — Class A | | | 183 | | | | 3,532 | |
| Solaris Oilfield Infrastructure, Inc. — Class A* | | | 210 | | | | 3,478 | |
| FutureFuel Corp. | | | 289 | | | | 3,465 | |
| Natural Gas Services Group, Inc.* | | | 144 | | | | 3,434 | |
| Frank’s International N.V. | | | 576 | | | | 3,128 | |
| Trecora Resources* | | | 227 | | | | 3,087 | |
| Mammoth Energy Services, Inc.* | | | 93 | | | | 2,982 | |
| Basic Energy Services, Inc.* | | | 201 | | | | 2,902 | |
| Earthstone Energy, Inc. — Class A* | | | 285 | | | | 2,884 | |
| TPI Composites, Inc.* | | | 123 | | | | 2,761 | |
| Sanchez Energy Corp.* | | | 837 | | | | 2,620 | |
| Clean Energy Fuels Corp.* | | | 1,578 | | | | 2,604 | |
| Cloud Peak Energy, Inc.* | | | 855 | | | | 2,488 | |
| Pioneer Energy Services Corp.* | | | 880 | | | | 2,376 | |
| SilverBow Resources, Inc.* | | | 81 | | | | 2,357 | |
| Evolution Petroleum Corp. | | | 292 | | | | 2,351 | |
| Era Group, Inc.* | | | 229 | | | | 2,141 | |
| Lilis Energy, Inc.* | | | 494 | | | | 1,961 | |
| CARBO Ceramics, Inc.* | | | 265 | | | | 1,921 | |
| NCS Multistage Holdings, Inc.* | | | 122 | | | | 1,830 | |
| Midstates Petroleum Company, Inc.* | | | 130 | | | | 1,733 | |
| NACCO Industries, Inc. — Class A | | | 46 | | | | 1,511 | |
| Pacific Ethanol, Inc.* | | | 500 | | | | 1,500 | |
| Independence Contract Drilling, Inc.* | | | 395 | | | | 1,493 | |
| Geospace Technologies Corp.* | | | 151 | | | | 1,490 | |
| Eclipse Resources Corp.* | | | 1,010 | | | | 1,454 | |
| Gastar Exploration, Inc.* | | | 2,084 | | | | 1,423 | |
| Key Energy Services, Inc.* | | | 119 | | | | 1,395 | |
| PHI, Inc.* | | | 136 | | | | 1,393 | |
| Energy XXI Gulf Coast, Inc.* | | | 342 | | | | 1,313 | |
| Approach Resources, Inc.* | | | 498 | | | | 1,300 | |
| Hallador Energy Co. | | | 186 | | | | 1,278 | |
| Adams Resources & Energy, Inc. | | | 27 | | | | 1,175 | |
| Vivint Solar, Inc.* | | | 312 | | | | 1,139 | |
| Gulf Island Fabrication, Inc. | | | 158 | | | | 1,122 | |
| Parker Drilling Co.* | | | 1,553 | | | | 986 | |
| Contango Oil & Gas Co.* | | | 273 | | | | 969 | |
| Isramco, Inc.* | | | 9 | | | | 934 | |
| EP Energy Corp. — Class A* | | | 445 | | | | 596 | |
| Ranger Energy Services, Inc.* | | | 68 | | | | 553 | |
| Ramaco Resources, Inc.* | | | 71 | | | | 511 | |
| Jones Energy, Inc. — Class A* | | | 586 | | | | 469 | |
| Rosehill Resources, Inc.* | | | 30 | | | | 176 | |
| Westmoreland Coal Co.* | | | 214 | | | | 88 | |
| Total Energy | | | | | | | 846,063 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 133 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Basic Materials - 1.7% |
| PolyOne Corp. | | | 931 | | | $ | 39,586 | |
| Ingevity Corp.* | | | 494 | | | | 36,403 | |
| Sensient Technologies Corp. | | | 514 | | | | 36,278 | |
| Allegheny Technologies, Inc.* | | | 1,452 | | | | 34,383 | |
| Balchem Corp. | | | 366 | | | | 29,920 | |
| HB Fuller Co. | | | 584 | | | | 29,042 | |
| Commercial Metals Co. | | | 1,336 | | | | 27,335 | |
| Minerals Technologies, Inc. | | | 405 | | | | 27,115 | |
| U.S. Silica Holdings, Inc.1 | | | 945 | | | | 24,116 | |
| GCP Applied Technologies, Inc.* | | | 829 | | | | 24,082 | |
| Cleveland-Cliffs, Inc.* | | | 3,444 | | | | 23,936 | |
| Compass Minerals International, Inc.1 | | | 393 | | | | 23,698 | |
| Carpenter Technology Corp. | | | 537 | | | | 23,692 | |
| Ferro Corp.* | | | 969 | | | | 22,500 | |
| Quaker Chemical Corp. | | | 150 | | | | 22,220 | |
| Kaiser Aluminum Corp. | | | 192 | | | | 19,373 | |
| Stepan Co. | | | 231 | | | | 19,215 | |
| Tronox Ltd. — Class A | | | 1,039 | | | | 19,159 | |
| Innospec, Inc. | | | 277 | | | | 19,002 | |
| Coeur Mining, Inc.* | | | 2,142 | | | | 17,136 | |
| Hecla Mining Co. | | | 4,555 | | | | 16,717 | |
| AK Steel Holding Corp.* | | | 3,647 | | | | 16,521 | |
| Kraton Corp.* | | | 346 | | | | 16,508 | |
| Neenah Paper, Inc. | | | 191 | | | | 14,974 | |
| A. Schulman, Inc. | | | 330 | | | | 14,190 | |
| Schweitzer-Mauduit International, Inc. | | | 352 | | | | 13,781 | |
| AdvanSix, Inc.* | | | 346 | | | | 12,034 | |
| Materion Corp. | | | 230 | | | | 11,742 | |
| Rayonier Advanced Materials, Inc. | | | 526 | | | | 11,293 | |
| PH Glatfelter Co. | | | 503 | | | | 10,327 | |
| Schnitzer Steel Industries, Inc. — Class A | | | 307 | | | | 9,931 | |
| Koppers Holdings, Inc.* | | | 239 | | | | 9,823 | |
| Century Aluminum Co.* | | | 576 | | | | 9,527 | |
| KMG Chemicals, Inc. | | | 151 | | | | 9,052 | |
| Innophos Holdings, Inc. | | | 224 | | | | 9,007 | |
| Fairmount Santrol Holdings, Inc.*,1 | | | 1,793 | | | | 7,620 | |
| CSW Industrials, Inc.* | | | 168 | | | | 7,568 | |
| Clearwater Paper Corp.* | | | 187 | | | | 7,312 | |
| American Vanguard Corp. | | | 333 | | | | 6,727 | |
| Verso Corp. — Class A* | | | 399 | | | | 6,719 | |
| Kronos Worldwide, Inc. | | | 262 | | | | 5,921 | |
| OMNOVA Solutions, Inc.* | | | 499 | | | | 5,239 | |
| Codexis, Inc.* | | | 473 | | | | 5,203 | |
| Klondex Mines Ltd.* | | | 2,060 | | | | 4,841 | |
| PQ Group Holdings, Inc.* | | | 339 | | | | 4,736 | |
| Landec Corp.* | | | 311 | | | | 4,059 | |
| Intrepid Potash, Inc.* | | | 1,101 | | | | 4,008 | |
| Hawkins, Inc. | | | 111 | | | | 3,902 | |
| Gold Resource Corp. | | | 606 | | | | 2,733 | |
| Aceto Corp. | | | 346 | | | | 2,630 | |
| Oil-Dri Corporation of America | | | 58 | | | | 2,331 | |
| Uranium Energy Corp.* | | | 1,577 | | | | 2,066 | |
| AgroFresh Solutions, Inc.* | | | 254 | | | | 1,867 | |
| Valhi, Inc. | | | 291 | | | | 1,763 | |
| United States Lime & Minerals, Inc. | | | 22 | | | | 1,610 | |
| Ryerson Holding Corp.* | | | 187 | | | | 1,524 | |
| Smart Sand, Inc.* | | | 253 | | | | 1,472 | |
| Shiloh Industries, Inc.* | | | 168 | | | | 1,462 | |
| Orchids Paper Products Co.*,1 | | | 105 | | | | 856 | |
| Total Basic Materials | | | | | | | 797,787 | |
| | | | | | | | | |
| Utilities - 1.6% |
| IDACORP, Inc. | | | 585 | | | | 51,638 | |
| WGL Holdings, Inc. | | | 593 | | | | 49,604 | |
| ALLETE, Inc. | | | 593 | | | | 42,844 | |
| Portland General Electric Co. | | | 1,035 | | | | 41,928 | |
| New Jersey Resources Corp. | | | 1,000 | | | | 40,100 | |
| ONE Gas, Inc. | | | 604 | | | | 39,876 | |
| Spire, Inc. | | | 546 | | | | 39,476 | |
| Avista Corp. | | | 745 | | | | 38,181 | |
| Southwest Gas Holdings, Inc. | | | 550 | | | | 37,196 | |
| PNM Resources, Inc. | | | 923 | | | | 35,305 | |
| Black Hills Corp. | | | 619 | | | | 33,612 | |
| NorthWestern Corp. | | | 570 | | | | 30,666 | |
| Ormat Technologies, Inc. | | | 466 | | | | 26,273 | |
| South Jersey Industries, Inc. | | | 923 | | | | 25,992 | |
| El Paso Electric Co. | | | 468 | | | | 23,868 | |
| MGE Energy, Inc. | | | 405 | | | | 22,721 | |
| American States Water Co. | | | 420 | | | | 22,285 | |
| California Water Service Group | | | 555 | | | | 20,674 | |
| Otter Tail Corp. | | | 455 | | | | 19,724 | |
| Northwest Natural Gas Co. | | | 330 | | | | 19,024 | |
| Dynegy, Inc.* | | | 1,352 | | | | 18,279 | |
| NRG Yield, Inc. — Class C | | | 755 | | | | 12,835 | |
| Chesapeake Utilities Corp. | | | 182 | | | | 12,804 | |
| SJW Group | | | 189 | | | | 9,962 | |
| Connecticut Water Service, Inc. | | | 137 | | | | 8,293 | |
| Unitil Corp. | | | 166 | | | | 7,704 | |
| Middlesex Water Co. | | | 184 | | | | 6,753 | |
| NRG Yield, Inc. — Class A | | | 403 | | | | 6,625 | |
| York Water Co. | | | 148 | | | | 4,588 | |
| Artesian Resources Corp. — Class A | | | 91 | | | | 3,320 | |
| Ameresco, Inc. — Class A* | | | 217 | | | | 2,821 | |
| Atlantic Power Corp.* | | | 1,324 | | | | 2,780 | |
| Consolidated Water Company Ltd. | | | 170 | | | | 2,473 | |
| RGC Resources, Inc. | | | 77 | | | | 1,956 | |
| Spark Energy, Inc. — Class A | | | 135 | | | | 1,600 | |
| Global Water Resources, Inc. | | | 117 | | | | 1,049 | |
| Genie Energy Ltd. — Class B | | | 157 | | | | 784 | |
| Total Utilities | | | | | | | 765,613 | |
| | | | | | | | | |
| Diversified - 0.0% |
| HRG Group, Inc.* | | | 1,374 | | | | 22,657 | |
| | | | | | | | | |
| Government - 0.0% |
| Banco Latinoamericano de Comercio Exterior S.A. — Class E | | | 352 | | | | 10,032 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $19,191,063) | | | | | | | 24,014,774 | |
| 134 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| RIGHTS†† - 0.0% |
| Babcock & Wilcox Enterprises, Inc. | | | | | | |
| Expires 04/10/18* | | | 541 | | | $ | 1,037 | |
| Omthera Pharmaceuticals, Inc.†††,*,10 | | | 86 | | | | — | |
| Tobira Therapeutics, Inc.†††,*,10 | | | 141 | | | | — | |
| Dyax Corp.†††,*,10 | | | 757 | | | | — | |
| Nexstar Media Group, Inc.†††,*,10 | | | 2,530 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $590) | | | | | | | 1,037 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 18.0% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.50% due 10/26/223 | | $ | 6,000,000 | | | | 5,993,436 | |
| 1.70% due 09/13/223 | | | 2,500,000 | | | | 2,496,555 | |
| Total Federal Home Loan Bank | | | | | | | 8,489,991 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $8,495,667) | | | | | | | 8,489,991 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 17.0% |
| Farmer Mac2 | | | | | | | | |
| 1.50% due 04/02/184,5 | | | 8,000,000 | | | | 7,999,667 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $7,999,667) | | | | | | | 7,999,667 | |
| REPURCHASE AGREEMENTS††,6 - 5.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/187 | | | 1,843,787 | | | | 1,843,787 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/187 | | | 603,336 | | | | 603,337 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,447,124) | | | | | | | 2,447,124 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,8 - 1.5% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%9 | | | 705,775 | | | | 705,775 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $705,775) | | | | | | | 705,775 | |
| | | | | | | | | |
| Total Investments - 92.6% | | | | | | | | |
| (Cost $38,839,886) | | | | | | $ | 43,658,368 | |
| Other Assets & Liabilities, net - 7.4% | | | | | | | 3,495,104 | |
| Total Net Assets - 100.0% | | | | | | $ | 47,153,472 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| Russell 2000 Index Mini Futures Contracts | | | 43 | | | Jun 2018 | | $ | 3,289,285 | | | $ | (91,319 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | Russell 2000 Index | | | 1.74 | % | | At Maturity | | 04/30/18 | | | 11,424 | | | $ | 17,472,141 | | | $ | 187,310 | |
| BNP Paribas | | Russell 2000 Index | | | 1.89 | % | | At Maturity | | 04/30/18 | | | 75 | | | | 114,102 | | | | 1,183 | |
| Goldman Sachs International | | Russell 2000 Index | | | 1.74 | % | | At Maturity | | 04/27/18 | | | 1,490 | | | | 2,279,393 | | | | (2,375 | ) |
| | | | | | | | | | | | | | | | | $ | 19,865,636 | | | $ | 186,118 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 135 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| RUSSELL 2000® FUND | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
| ††† | | Value determined based on Level 3 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 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 | | Rate indicated is the effective yield at the time of purchase. |
| 5 | | Zero coupon rate security. |
| 6 | | Repurchase Agreements — See Note 6. |
| 7 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 8 | | Securities lending collateral — See Note 7. |
| 9 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 10 | | Security was fair valued by the Valuation Committee at March 29, 2018. The total market value of fair valued securities amounts to $0 (cost $0) or 0.0% of total net assets. |
| | | 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 March 29, 2018 (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 | | $ | 24,014,774 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 24,014,774 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 188,493 | | | | — | | | | 188,493 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 7,999,667 | | | | — | | | | — | | | | 7,999,667 | |
| Federal Agency Notes | | | — | | | | — | | | | 8,489,991 | | | | — | | | | — | | | | 8,489,991 | |
| Repurchase Agreements | | | — | | | | — | | | | 2,447,124 | | | | — | | | | — | | | | 2,447,124 | |
| Rights | | | — | | | | — | | | | 1,037 | | | | — | | | | — | ** | | | 1,037 | |
| Securities Lending Collateral | | | 705,775 | | | | — | | | | — | | | | — | | | | — | | | | 705,775 | |
| Total Assets | | $ | 24,720,549 | | | $ | — | | | $ | 18,937,819 | | | $ | 188,493 | | | $ | — | | | $ | 43,846,861 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 91,319 | | | $ | — | | | $ | — | | | $ | — | | | $ | 91,319 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 2,375 | | | | — | | | | 2,375 | |
| Total Liabilities | | $ | — | | | $ | 91,319 | | | $ | — | | | $ | 2,375 | | | $ | — | | | $ | 93,694 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 136 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $686,182 of securities loaned (cost $36,392,762) | | $ | 41,211,244 | |
| Repurchase agreements, at value (cost $2,447,124) | | | 2,447,124 | |
| Cash | | | 4,600 | |
| Segregated cash with broker | | | 2,180,500 | |
| Unrealized appreciation on swap agreements | | | 188,493 | |
| Receivables: |
| Fund shares sold | | | 1,865,089 | |
| Variation margin | | | 26,875 | |
| Dividends | | | 25,902 | |
| Interest | | | 18,741 | |
| Securities lending income | | | 1,624 | |
| Total assets | | | 47,970,192 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 2,375 | |
| Payable for: |
| Return of securities loaned | | | 705,775 | |
| Fund shares redeemed | | | 31,859 | |
| Management fees | | | 25,589 | |
| Distribution and service fees | | | 12,019 | |
| Transfer agent and administrative fees | | | 8,530 | |
| Portfolio accounting fees | | | 5,118 | |
| Swap settlement | | | 1,574 | |
| Trustees’ fees* | | | 986 | |
| Miscellaneous | | | 22,895 | |
| Total liabilities | | | 816,720 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 47,153,472 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 44,048,256 | |
| Accumulated net investment loss | | | (258 | ) |
| Accumulated net realized loss on investments | | | (1,807,807 | ) |
| Net unrealized appreciation on investments | | | 4,913,281 | |
| Net assets | | $ | 47,153,472 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 17,163,024 | |
| Capital shares outstanding | | | 392,984 | |
| Net asset value per share | | $ | 43.67 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 45.85 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 5,277,475 | |
| Capital shares outstanding | | | 134,417 | |
| Net asset value per share | | $ | 39.26 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 24,712,973 | |
| Capital shares outstanding | | | 567,265 | |
| Net asset value per share | | $ | 43.57 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $168) | | $ | 403,063 | |
| Interest | | | 107,238 | |
| Income from securities lending, net | | | 33,514 | |
| Total investment income | | | 543,815 | |
| | | | | |
| Expenses: |
| Management fees | | | 337,551 | |
| Distribution and service fees: |
| A-Class | | | 39,296 | |
| C-Class | | | 56,373 | |
| H-Class | | | 59,132 | |
| Transfer agent and administrative fees | | | 112,518 | |
| Portfolio accounting fees | | | 67,512 | |
| Registration fees | | | 42,958 | |
| Custodian fees | | | 6,249 | |
| Trustees’ fees* | | | 4,056 | |
| Line of credit fees | | | 27 | |
| Miscellaneous | | | 48,381 | |
| Total expenses | | | 774,053 | |
| Net investment loss | | | (230,238 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 4,635,404 | |
| Swap agreements | | | 569,052 | |
| Futures contracts | | | 258,442 | |
| Net realized gain | | | 5,462,898 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (1,346,734 | ) |
| Swap agreements | | | 67,725 | |
| Futures contracts | | | (112,234 | ) |
| Foreign currency translations | | | 4 | |
| Net change in unrealized appreciation (depreciation) | | | (1,391,239 | ) |
| Net realized and unrealized gain | | | 4,071,659 | |
| Net increase in net assets resulting from operations | | $ | 3,841,421 | |
| * | | 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 ANNUAL REPORT | 137 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (230,238 | ) | | $ | (278,568 | ) |
| Net realized gain on investments | | | 5,462,898 | | | | 3,527,181 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,391,239 | ) | | | 4,922,762 | |
| Net increase in net assets resulting from operations | | | 3,841,421 | | | | 8,171,375 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (742,378 | ) | | | — | |
| C-Class | | | (285,936 | ) | | | — | |
| H-Class | | | (1,288,340 | ) | | | — | |
| Total distributions to shareholders | | | (2,316,654 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 16,782,975 | | | | 42,192,221 | |
| C-Class | | | 3,621,330 | | | | 10,426,608 | |
| H-Class | | | 139,938,149 | | | | 227,391,879 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 733,345 | | | | — | |
| C-Class | | | 262,189 | | | | — | |
| H-Class | | | 1,279,527 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (15,743,379 | ) | | | (42,966,394 | ) |
| C-Class | | | (4,648,768 | ) | | | (8,128,543 | ) |
| H-Class | | | (146,554,542 | ) | | | (248,133,883 | ) |
| Net decrease from capital share transactions | | | (4,329,174 | ) | | | (19,218,112 | ) |
| Net decrease in net assets | | | (2,804,407 | ) | | | (11,046,737 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 49,957,879 | | | | 61,004,616 | |
| End of year | | $ | 47,153,472 | | | $ | 49,957,879 | |
| Accumulated net investment loss at end of year | | $ | (258 | ) | | $ | (7,428 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 386,274 | | | | 1,104,167 | |
| C-Class | | | 91,299 | | | | 303,834 | |
| H-Class | | | 3,211,930 | | | | 6,113,347 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 16,694 | | | | — | |
| C-Class | | | 6,624 | | | | — | |
| H-Class | | | 29,200 | | | | — | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (362,101 | ) | | | (1,109,403 | ) |
| C-Class | | | (117,728 | ) | | | (239,296 | ) |
| H-Class | | | (3,383,789 | ) | | | (6,784,978 | ) |
| Net decrease in shares | | | (121,597 | ) | | | (612,329 | ) |
| 138 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.61 | | | $ | 33.56 | | | $ | 38.88 | | | $ | 37.80 | | | $ | 32.26 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.21 | ) | | | (.29 | ) | | | (.25 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.34 | | | | 8.26 | | | | (4.12 | ) | | | 2.61 | | | | 7.54 | |
| Total from investment operations | | | 4.17 | | | | 8.05 | | | | (4.41 | ) | | | 2.36 | | | | 7.27 | |
| Less distributions from: |
| Net realized gains | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Total distributions | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Net asset value, end of period | | $ | 43.67 | | | $ | 41.61 | | | $ | 33.56 | | | $ | 38.88 | | | $ | 37.80 | |
| |
| Total Returnb | | | 10.03 | % | | | 23.96 | % | | | (11.43 | %) | | | 6.42 | % | | | 22.87 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 17,163 | | | $ | 14,650 | | | $ | 11,993 | | | $ | 13,920 | | | $ | 3,219 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.40 | %) | | | (0.54 | %) | | | (0.83 | %) | | | (0.67 | %) | | | (0.77 | %) |
| Total expenses | | | 1.63 | % | | | 1.62 | % | | | 1.59 | % | | | 1.57 | % | | | 1.60 | % |
| Portfolio turnover rate | | | 167 | % | | | 203 | % | | | 442 | % | | | 947 | % | | | 267 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 37.87 | | | $ | 30.78 | | | $ | 36.00 | | | $ | 35.36 | | | $ | 30.54 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.45 | ) | | | (.44 | ) | | | (.51 | ) | | | (.60 | ) | | | (.48 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 3.95 | | | | 7.53 | | | | (3.80 | ) | | | 2.52 | | | | 7.03 | |
| Total from investment operations | | | 3.50 | | | | 7.09 | | | | (4.31 | ) | | | 1.92 | | | | 6.55 | |
| Less distributions from: |
| Net realized gains | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Total distributions | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Net asset value, end of period | | $ | 39.26 | | | $ | 37.87 | | | $ | 30.78 | | | $ | 36.00 | | | $ | 35.36 | |
| |
| Total Returnb | | | 9.21 | % | | | 23.03 | % | | | (12.07 | %) | | | 5.61 | % | | | 21.78 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 5,277 | | | $ | 5,841 | | | $ | 2,760 | | | $ | 4,259 | | | $ | 3,245 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.16 | %) | | | (1.27 | %) | | | (1.56 | %) | | | (1.77 | %) | | | (1.47 | %) |
| Total expenses | | | 2.38 | % | | | 2.38 | % | | | 2.35 | % | | | 2.57 | % | | | 2.37 | % |
| Portfolio turnover rate | | | 167 | % | | | 203 | % | | | 442 | % | | | 947 | % | | | 267 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 139 |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 41.51 | | | $ | 33.48 | | | $ | 38.79 | | | $ | 37.73 | | | $ | 32.25 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.19 | ) | | | (.21 | ) | | | (.35 | ) | | | (.28 | ) | | | (.27 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 4.36 | | | | 8.24 | | | | (4.05 | ) | | | 2.62 | | | | 7.48 | |
| Total from investment operations | | | 4.17 | | | | 8.03 | | | | (4.40 | ) | | | 2.34 | | | | 7.21 | |
| Less distributions from: |
| Net realized gains | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Total distributions | | | (2.11 | ) | | | — | | | | (.91 | ) | | | (1.28 | ) | | | (1.73 | ) |
| Net asset value, end of period | | $ | 43.57 | | | $ | 41.51 | | | $ | 33.48 | | | $ | 38.79 | | | $ | 37.73 | |
| |
| Total Returnb | | | 10.03 | % | | | 23.95 | % | | | (11.43 | %) | | | 6.37 | % | | | 22.69 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 24,713 | | | $ | 29,466 | | | $ | 46,251 | | | $ | 27,902 | | | $ | 44,185 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.43 | %) | | | (0.54 | %) | | | (0.97 | %) | | | (0.77 | %) | | | (0.78 | %) |
| Total expenses | | | 1.63 | % | | | 1.63 | % | | | 1.60 | % | | | 1.58 | % | | | 1.59 | % |
| Portfolio turnover rate | | | 167 | % | | | 203 | % | | | 442 | % | | | 947 | % | | | 267 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| 140 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Inverse Russell 2000® Strategy Fund maintained a daily correlation of over 99% to its benchmark of -100% of the daily price movement of the Russell 2000 Index. Inverse Russell 2000® Strategy Fund H-Class returned -11.52% while the Russell 2000 Index returned 11.79% over the same time period.
The sectors contributing the most to the performance of the underlying index for the period were Health Care and Consumer Discretionary. Energy was the only detractor. The Consumer Staples sector contributed the least.
Nektar Therapeutics, GrubHub, Inc., and Kite Pharma, Inc. were the holdings contributing the most to the performance of the underlying index for the year. U.S. Silica Holdings, Inc., Oasis Petroleum, Inc., and MACOM Technology Solutions Holdings, Inc. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS ANNUAL REPORT | 141 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 13.7% |
| Guggenheim Strategy Fund I | 11.6% |
| Total | 25.3% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | (11.52%) | (13.52%) | (15.77%) |
| A-Class Shares with sales charge‡ | (15.73%) | (14.36%) | (16.18%) |
| C-Class Shares | (12.24%) | (14.15%) | (16.39%) |
| C-Class Shares with CDSC§ | (13.11%) | (14.15%) | (16.39%) |
| H-Class Shares | (11.52%) | (13.49%) | (15.75%) |
| Russell 2000 Index | 11.79% | 14.45% | 11.81% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 142 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 25.3% |
| Guggenheim Strategy Fund II1 | | | 24,220 | | | $ | 605,734 | |
| Guggenheim Strategy Fund I1 | | | 20,395 | | | | 510,892 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $1,106,206) | | | | | | | 1,116,626 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 31.7% |
| Federal Farm Credit Bank2 | | | | | | | | |
| 1.92% (U.S. Prime Rate - 2.83%) due 09/12/183 | | $ | 1,000,000 | | | | 1,001,114 | |
| 1.79% (U.S. Prime Rate - 2.96%) due 06/01/183 | | | 400,000 | | | | 400,027 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $1,399,961) | | | | | | | 1,401,141 | �� |
| REPURCHASE AGREEMENTS††,4 - 42.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/185 | | $ | 1,401,749 | | | $ | 1,401,749 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/185 | | | 458,689 | | | | 458,689 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $1,860,438) | | | | | | | 1,860,438 | |
| | | | | | | | | |
| Total Investments - 99.2% | | | | | | | | |
| (Cost $4,366,605) | | | | | | $ | 4,378,205 | |
| Other Assets & Liabilities, net - 0.8% | | | | | | | 33,842 | |
| Total Net Assets - 100.0% | | | | | | $ | 4,412,047 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Equity Futures Contracts Sold Short† |
| Russell 2000 Index Mini Futures Contracts | | | 6 | | | Jun 2018 | | $ | 458,970 | | | $ | 22,799 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| OTC Equity Index Swap Agreements Sold Short†† |
| Goldman Sachs International | | Russell 2000 Index | | | (1.29 | %) | | At Maturity | | 04/27/18 | | | 2,208 | | | $ | 3,376,243 | | | $ | 23,512 | |
| BNP Paribas | | Russell 2000 Index | | | (1.39 | %) | | At Maturity | | 04/30/18 | | | 76 | | | | 115,655 | | | | (1,199 | ) |
| Barclays Bank plc | | Russell 2000 Index | | | (1.24 | %) | | At Maturity | | 04/30/18 | | | 265 | | | | 405,602 | | | | (4,348 | ) |
| | | | | | | | | | | | | | | | | $ | 3,897,500 | | | $ | 17,965 | |
| † | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 4 | | Repurchase Agreements — See Note 6. |
| 5 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 143 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | |
| Equity Futures Contracts | | $ | — | | | $ | 22,799 | | | $ | — | | | $ | — | | | $ | — | | | $ | 22,799 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 23,512 | | | | — | | | | 23,512 | |
| Federal Agency Notes | | | — | | | | — | | | | 1,401,141 | | | | — | | | | — | | | | 1,401,141 | |
| Mutual Funds | | | 1,116,626 | | | | — | | | | — | | | | — | | | | — | | | | 1,116,626 | |
| Repurchase Agreements | | | — | | | | — | | | | 1,860,438 | | | | — | | | | — | | | | 1,860,438 | |
| Total Assets | | $ | 1,116,626 | | | $ | 22,799 | | | $ | 3,261,579 | | | $ | 23,512 | | | $ | — | | | $ | 4,424,516 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 5,547 | | | $ | — | | | $ | 5,547 | |
| * | | 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 year ended March 29, 2018, 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 the 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 certain of the underlying series of Guggenheim Strategy Funds Trust including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 610,653 | | | $ | — | | | $ | (100,000 | ) | | $ | 1,235 | | | $ | (996 | ) | | $ | 510,892 | | | | 20,395 | | | $ | 11,986 | | | $ | 194 | |
| Guggenheim Strategy Fund II | | | 605,492 | | | | — | | | | — | | | | — | | | | 242 | | | | 605,734 | | | | 24,220 | | | | 14,806 | | | | 324 | |
| | | $ | 1,216,145 | | | $ | — | | | $ | (100,000 | ) | | $ | 1,235 | | | $ | (754 | ) | | $ | 1,116,626 | | | | | | | $ | 26,792 | | | $ | 518 | |
| 144 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: | | | |
| Investments in unaffiliated issuers (cost $1,399,961) | | $ | 1,401,141 | |
| Investments in affiliated issuers, at value (cost $1,106,206) | | | 1,116,626 | |
| Repurchase agreements, at value (cost $1,860,438) | | | 1,860,438 | |
| Segregated cash with broker | | | 81,000 | |
| Unrealized appreciation on swap agreements | | | 23,512 | |
| Receivables: |
| Dividends | | | 2,376 | |
| Interest | | | 1,824 | |
| Total assets | | | 4,486,917 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 5,547 | |
| Payable for: |
| Fund shares redeemed | | | 50,833 | |
| Management fees | | | 4,262 | |
| Swap settlement | | | 3,806 | |
| Variation margin | | | 3,750 | |
| Distribution and service fees | | | 1,616 | |
| Transfer agent and administrative fees | | | 1,184 | |
| Portfolio accounting fees | | | 473 | |
| Trustees’ fees* | | | 143 | |
| Miscellaneous | | | 3,256 | |
| Total liabilities | | | 74,870 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 4,412,047 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 40,899,314 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (36,539,631 | ) |
| Net unrealized appreciation on investments | | | 52,364 | |
| Net assets | | $ | 4,412,047 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 261,594 | |
| Capital shares outstanding | | | 12,516 | |
| Net asset value per share | | $ | 20.90 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 21.94 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 607,471 | |
| Capital shares outstanding | | | 32,324 | |
| Net asset value per share | | $ | 18.79 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 3,542,982 | |
| Capital shares outstanding | | | 169,068 | |
| Net asset value per share | | $ | 20.96 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 26,792 | |
| Interest | | | 71,987 | |
| Total investment income | | | 98,779 | |
| | | | | |
| Expenses: |
| Management fees | | | 73,563 | |
| Distribution and service fees: |
| A-Class | | | 6,717 | |
| C-Class | | | 8,200 | |
| H-Class | | | 11,667 | |
| Transfer agent and administrative fees | | | 20,434 | |
| Portfolio accounting fees | | | 8,174 | |
| Custodian fees | | | 1,117 | |
| Trustees’ fees* | | | 617 | |
| Line of credit fees | | | 10 | |
| Miscellaneous | | | 16,770 | |
| Total expenses | | | 147,269 | |
| Net investment loss | | | (48,490 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 156 | |
| Investments in affiliated issuers | | | 1,235 | |
| Distributions received from affiliated investment company shares | | | 518 | |
| Swap agreements | | | (1,415,654 | ) |
| Futures contracts | | | (313,912 | ) |
| Net realized loss | | | (1,727,657 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 191 | |
| Investments in affiliated issuers | | | (754 | ) |
| Swap agreements | | | 118,138 | |
| Futures contracts | | | 190,563 | |
| Net change in unrealized appreciation (depreciation) | | | 308,138 | |
| Net realized and unrealized loss | | | (1,419,519 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,468,009 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 145 |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (48,490 | ) | | $ | (131,930 | ) |
| Net realized loss on investments | | | (1,727,657 | ) | | | (3,303,482 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 308,138 | | | | 93,420 | |
| Net decrease in net assets resulting from operations | | | (1,468,009 | ) | | | (3,341,992 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 535,672 | | | | 14,626,343 | |
| C-Class | | | 1,861,101 | | | | 4,936,900 | |
| H-Class | | | 52,064,526 | | | | 89,823,769 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (8,516,644 | ) | | | (8,349,515 | ) |
| C-Class | | | (2,163,557 | ) | | | (5,311,313 | ) |
| H-Class | | | (53,351,313 | ) | | | (118,171,227 | ) |
| Net decrease from capital share transactions | | | (9,570,215 | ) | | | (22,445,043 | ) |
| Net decrease in net assets | | | (11,038,224 | ) | | | (25,787,035 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 15,450,271 | | | | 41,237,306 | |
| End of year | | $ | 4,412,047 | | | $ | 15,450,271 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (11,033 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 23,638 | | | | 565,644 | |
| C-Class | | | 97,121 | | | | 224,964 | |
| H-Class | | | 2,374,656 | | | | 3,300,396 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (377,095 | ) | | | (290,537 | ) |
| C-Class | | | (112,797 | ) | | | (238,561 | ) |
| H-Class | | | (2,449,418 | ) | | | (4,247,427 | ) |
| Net decrease in shares | | | (443,895 | ) | | | (685,521 | ) |
| 146 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.62 | | | $ | 30.76 | | | $ | 29.22 | | | $ | 33.01 | | | $ | 43.21 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.18 | ) | | | (.31 | ) | | | (.39 | ) | | | (.46 | ) | | | (.61 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.54 | ) | | | (6.83 | ) | | | 1.93 | | | | (3.33 | ) | | | (9.59 | ) |
| Total from investment operations | | | (2.72 | ) | | | (7.14 | ) | | | 1.54 | | | | (3.79 | ) | | | (10.20 | ) |
| Net asset value, end of period | | $ | 20.90 | | | $ | 23.62 | | | $ | 30.76 | | | $ | 29.22 | | | $ | 33.01 | |
| |
| Total Returnb | | | (11.52 | %) | | | (23.21 | )% | | | 5.27 | % | | | (11.48 | %) | | | (23.59 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 262 | | | $ | 8,645 | | | $ | 2,795 | | | $ | 894 | | | $ | 7,302 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.76 | %) | | | (1.11 | %) | | | (1.23 | %) | | | (1.40 | %) | | | (1.69 | %) |
| Total expensesc | | | 1.74 | % | | | 1.71 | % | | | 1.70 | % | | | 1.71 | % | | | 1.72 | % |
| Portfolio turnover rate | | | — | | | | 58 | % | | | 584 | % | | | 189 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 21.41 | | | $ | 28.07 | | | $ | 26.86 | | | $ | 30.59 | | | $ | 40.30 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.25 | ) | | | (.45 | ) | | | (.58 | ) | | | (.63 | ) | | | (.83 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.37 | ) | | | (6.21 | ) | | | 1.79 | | | | (3.10 | ) | | | (8.88 | ) |
| Total from investment operations | | | (2.62 | ) | | | (6.66 | ) | | | 1.21 | | | | (3.73 | ) | | | (9.71 | ) |
| Net asset value, end of period | | $ | 18.79 | | | $ | 21.41 | | | $ | 28.07 | | | $ | 26.86 | | | $ | 30.59 | |
| |
| Total Returnb | | | (12.24 | %) | | | (23.73 | %) | | | 4.50 | % | | | (12.19 | %) | | | (24.08 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 607 | | | $ | 1,028 | | | $ | 1,729 | | | $ | 1,680 | | | $ | 568 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.22 | %) | | | 1.83 | % | | | (2.08 | %) | | | (2.13 | %) | | | (2.45 | %) |
| Total expensesc | | | 2.48 | % | | | 2.47 | % | | | 2.45 | % | | | 2.45 | % | | | 2.47 | % |
| Portfolio turnover rate | | | — | | | | 58 | % | | | 584 | % | | | 189 | % | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 147 |
| INVERSE RUSSELL 2000® STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.69 | | | $ | 30.83 | | | $ | 29.30 | | | $ | 33.11 | | | $ | 43.26 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.09 | ) | | | (.32 | ) | | | (.41 | ) | | | (.46 | ) | | | (.65 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (2.64 | ) | | | (6.82 | ) | | | 1.94 | | | | (3.35 | ) | | | (9.50 | ) |
| Total from investment operations | | | (2.73 | ) | | | (7.14 | ) | | | 1.53 | | | | (3.81 | ) | | | (10.15 | ) |
| Net asset value, end of period | | $ | 20.96 | | | $ | 23.69 | | | $ | 30.83 | | | $ | 29.30 | | | $ | 33.11 | |
| |
| Total Returnb | | | (11.52 | %) | | | (23.16 | %) | | | 5.22 | % | | | (11.51 | %) | | | (23.46 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,543 | | | $ | 5,777 | | | $ | 36,713 | | | $ | 5,775 | | | $ | 11,691 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.39 | %) | | | (1.14 | %) | | | (1.28 | %) | | | (1.41 | %) | | | (1.69 | %) |
| Total expensesc | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % | | | 1.70 | % | | | 1.72 | % |
| Portfolio turnover rate | | | — | | | | 58 | % | | | 584 | % | | | 189 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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. |
| 148 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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”).
For the one-year period ended March 29, 2018, Dow Jones Industrial Average® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the Dow Jones Industrial Average. Dow Jones Industrial Average Fund H-Class returned 17.54% while the Dow Jones Industrial Average returned 19.39% over the same period.
The sectors contributing the most to the performance of the underlying index for the period were Industrials and Financials. Communications was the only detractor. The Energy sector contributed the least.
Boeing Co., Caterpillar, Inc., and UnitedHealth Group, Inc. were the holdings contributing the most to the performance of the underlying index for the period. International Business Machines Corp., General Electric Co., and Walt Disney Co. detracted the most.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS ANNUAL REPORT | 149 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| A-Class | December 1, 2015 |
| C-Class | December 1, 2015 |
| H-Class | December 1, 2015 |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Boeing Co. | 7.6% |
| Goldman Sachs Group, Inc. | 5.8% |
| 3M Co. | 5.1% |
| UnitedHealth Group, Inc. | 4.9% |
| Guggenheim Strategy Fund II | 4.9% |
| Home Depot, Inc. | 4.1% |
| Apple, Inc. | 3.9% |
| McDonald's Corp. | 3.6% |
| International Business Machines Corp. | 3.5% |
| Caterpillar, Inc. | 3.4% |
| Top Ten Total | 46.8% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | | 1 Year | Since Inception
(12/01/15) |
| A-Class Shares | | 17.55% | 14.71% |
| A-Class Shares with sales charge‡ | | 11.97% | 12.35% |
| C-Class Shares | | 16.66% | 13.84% |
| C-Class Shares with CDSC§ | | 15.66% | 13.84% |
| H-Class Shares | | 17.54% | 14.74% |
| Dow Jones Industrial Average Index | | 19.39% | 16.47% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 150 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| DOW JONES INDUSTRIAL AVERAGE® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 80.7% |
| | | | | | | |
| Industrial - 19.2% |
| Boeing Co. | | | 21,440 | | | $ | 7,029,747 | |
| 3M Co. | | | 21,440 | | | | 4,706,509 | |
| Caterpillar, Inc. | | | 21,440 | | | | 3,159,827 | |
| United Technologies Corp. | | | 21,440 | | | | 2,697,581 | |
| General Electric Co. | | | 21,440 | | | | 289,011 | |
| Total Industrial | | | | | | | 17,882,675 | |
| | | | | | | | | |
| Financial - 16.5% |
| Goldman Sachs Group, Inc. | | | 21,440 | | | | 5,399,878 | |
| Travelers Companies, Inc. | | | 21,440 | | | | 2,977,158 | |
| Visa, Inc. — Class A | | | 21,440 | | | | 2,564,653 | |
| JPMorgan Chase & Co. | | | 21,440 | | | | 2,357,757 | |
| American Express Co. | | | 21,440 | | | | 1,999,923 | |
| Total Financial | | | | | | | 15,299,369 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 12.8% |
| UnitedHealth Group, Inc. | | | 21,440 | | | | 4,588,160 | |
| Johnson & Johnson | | | 21,440 | | | | 2,747,536 | |
| Procter & Gamble Co. | | | 21,440 | | | | 1,699,763 | |
| Merck & Company, Inc. | | | 21,440 | | | | 1,167,837 | |
| Coca-Cola Co. | | | 21,440 | | | | 931,139 | |
| Pfizer, Inc. | | | 21,440 | | | | 760,906 | |
| Total Consumer, Non-cyclical | | | | | | | 11,895,341 | |
| | | | | | | | | |
| Consumer, Cyclical - 11.3% |
| Home Depot, Inc. | | | 21,440 | | | | 3,821,465 | |
| McDonald’s Corp. | | | 21,445 | | | | 3,353,569 | |
| Walmart, Inc. | | | 21,440 | | | | 1,907,517 | |
| Nike, Inc. — Class B | | | 21,440 | | | | 1,424,474 | |
| Total Consumer, Cyclical | | | | | | | 10,507,025 | |
| | | | | | | | | |
| Technology - 10.7% |
| Apple, Inc. | | | 21,440 | | | | 3,597,203 | |
| International Business Machines Corp. | | | 21,440 | | | | 3,289,539 | |
| Microsoft Corp. | | | 21,440 | | | | 1,956,829 | |
| Intel Corp. | | | 21,440 | | | | 1,116,595 | |
| Total Technology | | | | | | | 9,960,166 | |
| | | | | | | | | |
| Communications - 4.4% |
| Walt Disney Co. | | | 21,445 | | | | 2,153,936 | |
| Verizon Communications, Inc. | | | 21,440 | | | | 1,025,261 | |
| Cisco Systems, Inc. | | | 21,445 | | | | 919,776 | |
| Total Communications | | | | | | | 4,098,973 | |
| | | | | | | | | |
| Energy - 4.3% |
| Chevron Corp. | | | 21,440 | | | | 2,445,018 | |
| Exxon Mobil Corp. | | | 21,440 | | | | 1,599,638 | |
| Total Energy | | | | | | | 4,044,656 | |
| | | | | | | | | |
| Basic Materials - 1.5% |
| DowDuPont, Inc. | | | 21,445 | | | | 1,366,261 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $62,732,462) | | | | | | | 75,054,466 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 6.3% |
| Guggenheim Strategy Fund II1 | | | 182,353 | | | | 4,560,661 | |
| Guggenheim Strategy Fund I1 | | | 50,076 | | | | 1,254,396 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $5,785,176) | | | | | | | 5,815,057 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 0.5% |
| U.S. Treasury Bills | | | | | | | | |
| 1.61% due 05/31/182,3,4 | | $ | 500,000 | | | | 498,633 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $498,641) | | | | | | | 498,633 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 0.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/182 | | | 376,718 | | | | 376,718 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/182 | | | 123,273 | | | | 123,273 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $499,991) | | | | | | | 499,991 | |
| | | | | | | | | |
| Total Investments - 88.0% | | | | | | | | |
| (Cost $69,516,270) | | | | | | $ | 81,868,147 | |
| Other Assets & Liabilities, net - 12.0% | | | | | | | 11,144,995 | |
| Total Net Assets - 100.0% | | | | | | $ | 93,013,142 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Future Contracts Purchased† |
| Dow Jones Industrial Average Index Mini Futures Contracts | | | 47 | | | Jun 2018 | | $ | 5,670,080 | | | $ | 1,574 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 151 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| DOW JONES INDUSTRIAL AVERAGE® FUND | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | Dow Jones Industrial Average Index | | | 2.24 | % | | At Maturity | | 04/30/18 | | | 368 | | | $ | 8,861,537 | | | $ | 40,186 | |
| BNP Paribas | | Dow Jones Industrial Average Index | | | 2.39 | % | | At Maturity | | 04/30/18 | | | 147 | | | | 3,546,430 | | | | 33,059 | |
| | | | | | | | | | | | | | | | | $ | 12,407,967 | | | $ | 73,245 | |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | Affiliated issuer. |
| 2 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 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. |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 75,054,466 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 75,054,466 | |
| Equity Futures Contracts | | | — | | | | 1,574 | | | | — | | | | — | | | | — | | | | 1,574 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 73,245 | | | | — | | | | 73,245 | |
| Mutual Funds | | | 5,815,057 | | | | — | | | | — | | | | — | | | | — | | | | 5,815,057 | |
| Repurchase Agreements | | | — | | | | — | | | | 499,991 | | | | — | | | | — | | | | 499,991 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 498,633 | | | | — | | | | — | | | | 498,633 | |
| Total Assets | | $ | 80,869,523 | | | $ | 1,574 | | | $ | 998,624 | | | $ | 73,245 | | | $ | — | | | $ | 81,942,966 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 152 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| DOW JONES INDUSTRIAL AVERAGE® 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 5,547,747 | | | $ | 4,700,000 | | | $ | (9,000,000 | ) | | $ | 15,544 | | | $ | (8,895 | ) | | $ | 1,254,396 | | | | 50,076 | | | $ | 102,355 | | | $ | 1,615 | |
| Guggenheim Strategy Fund II | | | 5,558,437 | | | | 1,000,000 | | | | (2,000,000 | ) | | | 4,798 | | | | (2,574 | ) | | | 4,560,661 | | | | 182,353 | | | | 133,756 | | | | 2,971 | |
| | | $ | 11,106,184 | | | $ | 5,700,000 | | | $ | (11,000,000 | ) | | $ | 20,342 | | | $ | (11,469 | ) | | $ | 5,815,057 | | | | | | | $ | 236,111 | | | $ | 4,586 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 153 |
| DOW JONES INDUSTRIAL AVERAGE® FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $63,231,103) | | $ | 75,553,099 | |
| Investments in affiliated issuers, at value (cost $5,785,176) | | | 5,815,057 | |
| Repurchase agreements, at value (cost $499,991) | | | 499,991 | |
| Cash | | | 35,677 | |
| Segregated cash with broker | | | 430,600 | |
| Unrealized appreciation on swap agreements | | | 73,245 | |
| Receivables: |
| Fund shares sold | | | 13,385,387 | |
| Dividends | | | 53,518 | |
| Interest | | | 75 | |
| Total assets | | | 95,846,649 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 1,972,649 | |
| Fund shares redeemed | | | 704,888 | |
| Management fees | | | 59,201 | |
| Distribution and service fees | | | 21,851 | |
| Transfer agent and administrative fees | | | 19,734 | |
| Portfolio accounting fees | | | 7,894 | |
| Swap settlement | | | 2,930 | |
| Trustees’ fees* | | | 2,821 | |
| Variation margin | | | 2,388 | |
| Miscellaneous | | | 39,151 | |
| Total liabilities | | | 2,833,507 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 93,013,142 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 83,023,824 | |
| Undistributed net investment income | | | 170,869 | |
| Accumulated net realized loss on investments | | | (2,608,247 | ) |
| Net unrealized appreciation on investments | | | 12,426,696 | |
| Net assets | | $ | 93,013,142 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 20,952,587 | |
| Capital shares outstanding | | | 317,466 | |
| Net asset value per share | | $ | 66.00 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 69.29 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 3,294,057 | |
| Capital shares outstanding | | | 50,828 | |
| Net asset value per share | | $ | 64.81 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 68,766,498 | |
| Capital shares outstanding | | | 1,041,309 | |
| Net asset value per share | | $ | 66.04 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of unaffiliated issuers | | $ | 1,536,404 | |
| Dividends from securities of affiliated issuers | | | 236,111 | |
| Interest | | | 87,797 | |
| Income from securities lending, net | | | 243 | |
| Total investment income | | | 1,860,555 | |
| | | | | |
| Expenses: |
| Management fees | | | 651,583 | |
| Distribution and service fees: |
| A-Class | | | 56,706 | |
| C-Class | | | 24,886 | |
| H-Class | | | 154,267 | |
| Transfer agent and administrative fees | | | 217,194 | |
| Portfolio accounting fees | | | 86,877 | |
| Custodian fees | | | 11,701 | |
| Trustees’ fees* | | | 7,153 | |
| Line of credit fees | | | 828 | |
| Miscellaneous | | | 157,137 | |
| Total expenses | | | 1,368,332 | |
| Net investment income | | | 492,223 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 794,190 | |
| Investments in affiliated issuers | | | 20,342 | |
| Distributions received from affiliated investment company shares | | | 4,586 | |
| Swap agreements | | | 2,081,359 | |
| Futures contracts | | | 909,860 | |
| Net realized gain | | | 3,810,337 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 8,226,261 | |
| Investments in affiliated issuers | | | (11,469 | ) |
| Swap agreements | | | 78,681 | |
| Futures contracts | | | 47,862 | |
| Net change in unrealized appreciation (depreciation) | | | 8,341,335 | |
| Net realized and unrealized gain | | | 12,151,672 | |
| Net increase in net assets resulting from operations | | $ | 12,643,895 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 154 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| DOW JONES INDUSTRIAL AVERAGE® FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 492,223 | | | $ | 219,805 | |
| Net realized gain on investments | | | 3,810,337 | | | | 4,537,566 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 8,341,335 | | | | 3,128,777 | |
| Net increase in net assets resulting from operations | | | 12,643,895 | | | | 7,886,148 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (101,137 | ) | | | (3,923 | ) |
| C-Class | | | (12,519 | ) | | | (619 | ) |
| H-Class | | | (380,379 | ) | | | (28,476 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (611,820 | ) | | | (53,197 | ) |
| C-Class | | | (75,731 | ) | | | (8,391 | ) |
| H-Class | | | (2,301,060 | ) | | | (386,186 | ) |
| Total distributions to shareholders | | | (3,482,646 | ) | | | (480,792 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 75,731,245 | | | | 37,739,580 | |
| C-Class | | | 3,717,620 | | | | 1,702,969 | |
| H-Class | | | 363,797,720 | | | | 461,245,485 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 643,578 | | | | 57,061 | |
| C-Class | | | 87,895 | | | | 8,981 | |
| H-Class | | | 2,680,374 | | | | 414,467 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (77,735,070 | ) | | | (63,683,914 | ) |
| C-Class | | | (2,868,035 | ) | | | (522,595 | ) |
| H-Class | | | (346,366,339 | ) | | | (444,210,303 | ) |
| Net increase (decrease) from capital share transactions | | | 19,688,988 | | | | (7,248,269 | ) |
| Net increase in net assets | | | 28,850,237 | | | | 157,087 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 64,162,905 | | | | 64,005,818 | |
| End of year | | $ | 93,013,142 | | | $ | 64,162,905 | |
| Undistributed net investment income at end of year | | $ | 170,869 | | | $ | 186,787 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,203,920 | | | | 676,602 | |
| C-Class | | | 57,539 | | | | 32,390 | |
| H-Class | | | 5,621,174 | | | | 8,685,078 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 9,598 | | | | 1,061 | |
| C-Class | | | 1,332 | | | | 168 | |
| H-Class | | | 39,952 | | | | 7,701 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,231,228 | ) | | | (1,236,579 | ) |
| C-Class | | | (45,232 | ) | | | (10,162 | ) |
| H-Class | | | (5,348,913 | ) | | | (8,345,243 | ) |
| Net increase (decrease) in shares | | | 308,142 | | | | (188,984 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 155 |
| DOW JONES INDUSTRIAL AVERAGE® 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016a | |
| Per Share Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 58.25 | | | $ | 49.60 | | | $ | 50.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss)b | | | .34 | | | | .23 | | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.91 | | | | 8.73 | | | | (.37 | ) |
| Total from investment operations | | | 10.25 | | | | 8.96 | | | | (.40 | ) |
| Less distributions from: |
| Net investment income | | | (.35 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | (2.15 | ) | | | (.29 | ) | | | — | |
| Total distributions | | | (2.50 | ) | | | (.31 | ) | | | — | |
| Net asset value, end of period | | $ | 66.00 | | | $ | 58.25 | | | $ | 49.60 | |
| |
| Total Returnc | | | 17.55 | % | | | 18.10 | % | | | (0.80 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 20,953 | | | $ | 19,523 | | | $ | 44,351 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.54 | % | | | 0.44 | % | | | (0.21 | %) |
| Total expensesd | | | 1.56 | % | | | 1.56 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 168 | % | | | 668 | % | | | 98 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016a | |
| Per Share Data | | | | | | | | | |
| Net asset value, beginning of period | | $ | 57.66 | | | $ | 49.47 | | | $ | 50.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss)b | | | (.09 | ) | | | (.11 | ) | | | (.07 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.74 | | | | 8.61 | | | | (.46 | ) |
| Total from investment operations | | | 9.65 | | | | 8.50 | | | | (.53 | ) |
| Less distributions from: |
| Net investment income | | | (.35 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | (2.15 | ) | | | (.29 | ) | | | — | |
| Total distributions | | | (2.50 | ) | | | (.31 | ) | | | — | |
| Net asset value, end of period | | $ | 64.81 | | | $ | 57.66 | | | $ | 49.47 | |
| |
| Total Returnc | | | 16.66 | % | | | 17.21 | % | | | (1.06 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,294 | | | $ | 2,144 | | | $ | 732 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.14 | %) | | | (0.21 | %) | | | (0.43 | %) |
| Total expensesd | | | 2.30 | % | | | 2.32 | % | | | 2.30 | % |
| Portfolio turnover rate | | | 168 | % | | | 668 | % | | | 98 | % |
| 156 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Period Ended
March 31,
2016a | |
| Per Share Data | | | | | | | | | |
| Net asset value, beginning of period | | $ | 58.28 | | | $ | 49.59 | | | $ | 50.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss)b | | | .39 | | | | .28 | | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.87 | | | | 8.72 | | | | (.38 | ) |
| Total from investment operations | | | 10.26 | | | | 9.00 | | | | (.41 | ) |
| Less distributions from: |
| Net investment income | | | (.35 | ) | | | (.02 | ) | | | — | |
| Net realized gains | | | (2.15 | ) | | | (.29 | ) | | | — | |
| Total distributions | | | (2.50 | ) | | | (.31 | ) | | | — | |
| Net asset value, end of period | | $ | 66.04 | | | $ | 58.28 | | | $ | 49.59 | |
| |
| Total Returnc | | | 17.54 | % | | | 18.20 | % | | | (0.82 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 68,766 | | | $ | 42,495 | | | $ | 18,923 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.61 | % | | | 0.52 | % | | | (0.17 | %) |
| Total expensesd | | | 1.55 | % | | | 1.57 | % | | | 1.55 | % |
| Portfolio turnover rate | | | 168 | % | | | 668 | % | | | 98 | % |
| a | | Since commencement of operations: December 1, 2015. 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. |
| d | | Does not include expenses of the underlying funds in which the Fund invests. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 157 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, the Government Long Bond 1.2x Strategy Fund Investor Class returned 3.01%. The daily price movement of the Long Treasury Bond was 1.44% for the same period. The return of a comparison index, Bloomberg Barclays U.S. Long Treasury Index, was 3.51%. The Fund maintained a daily correlation of over 95% to its benchmark.
Prices of 30-year U.S. Treasurys rose slightly over the period, as yields fell from 3.02% at the end of March 2017 to 2.97% at the end of March 2018. The yield curve flattened over the period, as the Fed hiked the short-term fed funds rate by a quarter point on three occasions during the fiscal year in the face of low inflation.
Rates at the beginning of the period were near period highs, tracking the pro-growth agenda of the new Trump administration. However, long-bond yields began falling after legislative complexities set in. The top long-bond yield for the period occurred in February 2018 (3.22%), following passage of the new tax bill, and the low was in September 2017 (2.66%). The 30-10 year Treasury spread ended the period at 0.20%, the lowest since the financial crisis and indicating at least some market skepticism about a prolonged bout of growth and inflation.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 158 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| U.S. Treasury Bond | 78.3% |
| Guggenheim Strategy Fund II | 4.4% |
| Guggenheim Strategy Fund I | 3.3% |
| Total | 86.0% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 3.01% | 3.42% | 6.37% |
| A-Class Shares | 2.78% | 3.24% | 6.18% |
| A-Class Shares with sales charge‡ | (2.10%) | 2.24% | 5.66% |
| C-Class Shares | 1.97% | 2.41% | 5.34% |
| C -Class Shares with CDSC§ | 0.97% | 2.41% | 5.34% |
| Bloomberg Barclays U.S. Long Treasury Bond Index | 3.51% | 3.29% | 5.78% |
| Daily Price Movement of Long Treasury Bond** | 1.44% | 0.16% | 1.94% |
| | | 1 Year | Since
Inception
(09/18/14) |
| H-Class Shares | | 2.74% | 4.08% |
| Bloomberg Barclays U.S. Long Treasury Bond Index | | 3.51% | 4.55% |
| Daily Price Movement of Long Treasury Bond** | | 1.44% | 1.66% |
| * | | 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. 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. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
| ** | | Does not reflect any interest. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 159 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 7.7% |
| Guggenheim Strategy Fund II1 | | | 214,716 | | | $ | 5,370,039 | |
| Guggenheim Strategy Fund I1 | | | 158,016 | | | | 3,958,308 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $9,277,589) | | | | | | | 9,328,347 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| U.S. GOVERNMENT SECURITIES†† - 78.3% |
| U.S. Treasury Bond | | | | | | | | |
| 3.00% due 02/15/48 | | $ | 93,800,000 | | | | 94,312,969 | |
| Total U.S. Government Securities | | | | | | | | |
| (Cost $91,367,129) | | | | | | | 94,312,969 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 12.5% |
| Farmer Mac2 | | | | | | | | |
| 1.50% due 04/02/183,4 | | | 15,000,000 | | | | 14,999,375 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $14,999,375) | | | | | | | 14,999,375 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 1.0% |
| U.S. Treasury Bills | | | | | | | | |
| 1.31% due 04/19/183,4,5 | | | 1,200,000 | | | | 1,198,854 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $1,199,205) | | | | | | | 1,198,854 | |
| REPURCHASE AGREEMENTS††,6 - 2.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | | 1,962,699 | | | | 1,962,699 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 642,248 | | | | 642,248 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,604,947) | | | | | | | 2,604,947 | |
| | | | | | | | | |
| Total Investments - 101.7% | | | | | | | | |
| (Cost $119,448,245) | | | | | | $ | 122,444,492 | |
| Other Assets & Liabilities, net - (1.7)% | | | | | | | (2,049,139 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 120,395,353 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Interest Rate Futures Contracts Purchased† |
| U.S. Treasury Ultra Long Bond Futures Contracts | | | 356 | | | Jun 2018 | | $ | 57,126,875 | | | $ | 1,867,130 | |
| † | | 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 | | 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 March 29, 2018. |
| 6 | | Repurchase Agreements — See Note 6. |
| | | |
| | | See Sector Classification in Other Information section. |
| 160 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | — | | | $ | 14,999,375 | | | $ | — | | | $ | 14,999,375 | |
| Interest Rate Futures Contracts | | | — | | | | 1,867,130 | | | | — | | | | — | | | | 1,867,130 | |
| Mutual Funds | | | 9,328,347 | | | | — | | | | — | | | | — | | | | 9,328,347 | |
| Repurchase Agreements | | | — | | | | — | | | | 2,604,947 | | | | — | | | | 2,604,947 | |
| U.S. Government Securities | | | — | | | | — | | | | 94,312,969 | | | | — | | | | 94,312,969 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 1,198,854 | | | | — | | | | 1,198,854 | |
| Total Assets | | $ | 9,328,347 | | | $ | 1,867,130 | | | $ | 113,116,145 | | | $ | — | | | $ | 124,311,622 | |
| * | | 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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 5,157,351 | | | $ | — | | | $ | (1,200,000 | ) | | $ | 1,952 | | | $ | (995 | ) | | $ | 3,958,308 | | | | 158,016 | | | $ | 92,448 | | | $ | 1,504 | |
| Guggenheim Strategy Fund II | | | 5,467,852 | | | | — | | | | (100,000 | ) | | | 200 | | | | 1,987 | | | | 5,370,039 | | | | 214,716 | | | | 131,797 | | | | 2,869 | |
| | | $ | 10,625,203 | | | $ | — | | | $ | (1,300,000 | ) | | $ | 2,152 | | | $ | 992 | | | $ | 9,328,347 | | | | | | | $ | 224,245 | | | $ | 4,373 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 161 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $107,565,709) | | $ | 110,511,198 | |
| Investments in affiliated issuers, at value (cost $9,277,589) | | | 9,328,347 | |
| Repurchase agreements, at value (cost $2,604,947) | | | 2,604,947 | |
| Segregated cash with broker | | | 97,434 | |
| Receivables: |
| Fund shares sold | | | 6,798,650 | |
| Securities sold | | | 5,831,719 | |
| Variation margin | | | 452,882 | |
| Interest | | | 393,909 | |
| Dividends | | | 20,216 | |
| Total assets | | | 136,039,302 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 15,516,138 | |
| Management fees | | | 43,126 | |
| Transfer agent and administrative fees | | | 17,251 | |
| Distribution and service fees | | | 15,511 | |
| Portfolio accounting fees | | | 8,625 | |
| Trustees’ fees* | | | 2,438 | |
| Miscellaneous | | | 40,860 | |
| Total liabilities | | | 15,643,949 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 120,395,353 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 125,168,816 | |
| Undistributed net investment income | | | 1,027 | |
| Accumulated net realized loss on investments | | | (9,637,867 | ) |
| Net unrealized appreciation on investments | | | 4,863,377 | |
| Net assets | | $ | 120,395,353 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 37,495,603 | |
| Capital shares outstanding | | | 732,181 | |
| Net asset value per share | | $ | 51.21 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 6,157,840 | |
| Capital shares outstanding | | | 119,299 | |
| Net asset value per share | | $ | 51.62 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 54.19 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 723,561 | |
| Capital shares outstanding | | | 14,120 | |
| Net asset value per share | | $ | 51.24 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 76,018,349 | |
| Capital shares outstanding | | | 1,472,099 | |
| Net asset value per share | | $ | 51.64 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 224,245 | |
| Interest | | | 1,836,956 | |
| Total investment income | | | 2,061,201 | |
| | | | | |
| Expenses: |
| Management fees | | | 408,213 | |
| Distribution and service fees: |
| A-Class | | | 28,207 | |
| C-Class | | | 11,221 | |
| H-Class | | | 102,403 | |
| Transfer agent and administrative fees | | | 163,287 | |
| Portfolio accounting fees | | | 81,642 | |
| Registration fees | | | 55,321 | |
| Custodian fees | | | 11,142 | |
| Trustees’ fees* | | | 7,488 | |
| Line of credit fees | | | 1,010 | |
| Miscellaneous | | | 69,690 | |
| Total expenses | | | 939,624 | |
| Net investment income | | | 1,121,577 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | (322,776 | ) |
| Investments in affiliated issuers | | | 2,152 | |
| Distributions received from affiliated investment company shares | | | 4,373 | |
| Futures contracts | | | (803,576 | ) |
| Net realized loss | | | (1,119,827 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 2,512,652 | |
| Investments in affiliated issuers | | | 992 | |
| Futures contracts | | | 1,524,715 | |
| Net change in unrealized appreciation (depreciation) | | | 4,038,359 | |
| Net realized and unrealized gain | | | 2,918,532 | |
| Net increase in net assets resulting from operations | | $ | 4,040,109 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 162 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 1,121,577 | | | $ | 1,048,160 | |
| Net realized loss on investments | | | (1,119,827 | ) | | | (5,485,314 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,038,359 | | | | (2,028,431 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 4,040,109 | | | | (6,465,585 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| Investor Class | | | (430,939 | ) | | | (609,269 | ) |
| A-Class | | | (148,653 | ) | | | (128,172 | ) |
| C-Class | | | (5,867 | ) | | | (6,597 | ) |
| H-Class | | | (537,560 | ) | | | (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 | | | (1,123,019 | ) | | | (2,708,028 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 480,561,116 | | | | 1,300,421,018 | |
| A-Class | | | 48,006,370 | | | | 46,105,383 | |
| C-Class | | | 3,110,311 | | | | 7,485,391 | |
| H-Class | | | 971,866,710 | | | | 1,635,285,193 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 423,760 | | | | 1,395,924 | |
| A-Class | | | 142,406 | | | | 218,258 | |
| C-Class | | | 5,175 | | | | 81,014 | |
| H-Class | | | 537,560 | | | | 976,087 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (460,559,815 | ) | | | (1,329,635,477 | ) |
| A-Class | | | (58,360,694 | ) | | | (39,972,613 | ) |
| C-Class | | | (4,201,020 | ) | | | (8,731,488 | ) |
| H-Class | | | (910,224,198 | ) | | | (1,677,056,978 | ) |
| Net increase (decrease) from capital share transactions | | | 71,307,681 | | | | (63,428,288 | ) |
| Net increase (decrease) in net assets | | | 74,224,771 | | | | (72,601,901 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 46,170,582 | | | | 118,772,483 | |
| End of year | | $ | 120,395,353 | | | $ | 46,170,582 | |
| Undistributed net investment income at end of year | | $ | 1,027 | | | $ | 2,469 | |
| | | | | | | | | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 163 |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 9,202,147 | | | | 22,993,824 | |
| A-Class | | | 912,601 | | | | 909,264 | |
| C-Class | | | 58,927 | | | | 131,201 | |
| H-Class | | | 18,546,801 | | | | 28,369,982 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 8,102 | | | | 26,070 | |
| A-Class | | | 2,704 | | | | 4,205 | |
| C-Class | | | 99 | | | | 1,574 | |
| H-Class | | | 10,236 | | | | 18,344 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (8,804,803 | ) | | | (23,663,874 | ) |
| A-Class | | | (1,107,132 | ) | | | (763,665 | ) |
| C-Class | | | (79,948 | ) | | | (154,091 | ) |
| H-Class | | | (17,322,145 | ) | | | (28,998,992 | ) |
| Net increase (decrease) in shares | | | 1,427,589 | | | | (1,126,158 | ) |
| 164 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| GOVERNMENT LONG BOND 1.2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.49 | | | $ | 58.12 | | | $ | 59.12 | | | $ | 45.80 | | | $ | 48.55 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .80 | | | | .70 | | | | .76 | | | | .63 | | | | .61 | |
| Net gain (loss) on investments (realized and unrealized) | | | .72 | | | | (5.50 | ) | | | (.67 | ) | | | 13.34 | | | | (2.76 | ) |
| Total from investment operations | | | 1.52 | | | | (4.80 | ) | | | .09 | | | | 13.97 | | | | (2.15 | ) |
| Less distributions from: |
| Net investment income | | | (.80 | ) | | | (.72 | ) | | | (1.09 | ) | | | (.65 | ) | | | (.60 | ) |
| Net realized gains | | | — | | | | (2.11 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.80 | ) | | | (2.83 | ) | | | (1.09 | ) | | | (.65 | ) | | | (.60 | ) |
| Net asset value, end of period | | $ | 51.21 | | | $ | 50.49 | | | $ | 58.12 | | | $ | 59.12 | | | $ | 45.80 | |
| |
| Total Returnb | | | 3.01 | % | | | (8.39 | %) | | | 0.33 | % | | | 30.66 | % | | | (4.37 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 37,496 | | | $ | 16,496 | | | $ | 56,419 | | | $ | 61,460 | | | $ | 43,573 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.52 | % | | | 1.21 | % | | | 1.39 | % | | | 1.21 | % | | | 1.22 | % |
| Total expensesc | | | 0.98 | % | | | 0.98 | % | | | 0.94 | % | | | 0.95 | % | | | 0.97 | % |
| Portfolio turnover rate | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % | | | 1,932 | % | | | 2,661 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.87 | | | $ | 58.50 | | | $ | 59.47 | | | $ | 46.07 | | | $ | 48.73 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .69 | | | | .63 | | | | .64 | | | | .51 | | | | .48 | |
| Net gain (loss) on investments (realized and unrealized) | | | .74 | | | | (5.57 | ) | | | (.65 | ) | | | 13.42 | | | | (2.65 | ) |
| Total from investment operations | | | 1.43 | | | | (4.94 | ) | | | (.01 | ) | | | 13.93 | | | | (2.17 | ) |
| Less distributions from: |
| Net investment income | | | (.68 | ) | | | (.58 | ) | | | (.96 | ) | | | (.53 | ) | | | (.49 | ) |
| Net realized gains | | | — | | | | (2.11 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.68 | ) | | | (2.69 | ) | | | (.96 | ) | | | (.53 | ) | | | (.49 | ) |
| Net asset value, end of period | | $ | 51.62 | | | $ | 50.87 | | | $ | 58.50 | | | $ | 59.47 | | | $ | 46.07 | |
| |
| Total Returnb | | | 2.78 | % | | | (8.54 | %) | | | 0.12 | % | | | 30.37 | % | | | (4.40 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,158 | | | $ | 15,827 | | | $ | 9,438 | | | $ | 3,879 | | | $ | 1,724 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.31 | % | | | 1.19 | % | | | 1.16 | % | | | 0.97 | % | | | 1.04 | % |
| Total expensesc | | | 1.23 | % | | | 1.24 | % | | | 1.20 | % | | | 1.20 | % | | | 1.22 | % |
| Portfolio turnover rate | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % | | | 1,932 | % | | | 2,661 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 165 |
| 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.
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.52 | | | $ | 58.13 | | | $ | 59.09 | | | $ | 45.79 | | | $ | 48.51 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .27 | | | | .13 | | | | .22 | | | | .13 | | | | .12 | |
| Net gain (loss) on investments (realized and unrealized) | | | .73 | | | | (5.47 | ) | | | (.64 | ) | | | 13.30 | | | | (2.71 | ) |
| Total from investment operations | | | 1.00 | | | | (5.34 | ) | | | (.42 | ) | | | 13.43 | | | | (2.59 | ) |
| Less distributions from: |
| Net investment income | | | (.28 | ) | | | (.16 | ) | | | (.54 | ) | | | (.13 | ) | | | (.13 | ) |
| Net realized gains | | | — | | | | (2.11 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.28 | ) | | | (2.27 | ) | | | (.54 | ) | | | (.13 | ) | | | (.13 | ) |
| Net asset value, end of period | | $ | 51.24 | | | $ | 50.52 | | | $ | 58.13 | | | $ | 59.09 | | | $ | 45.79 | |
| |
| Total Returnb | | | 1.97 | % | | | (9.24 | %) | | | (0.62 | %) | | | 29.37 | % | | | (5.33 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 724 | | | $ | 1,770 | | | $ | 3,276 | | | $ | 2,873 | | | $ | 3,198 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.52 | % | | | 0.22 | % | | | 0.41 | % | | | 0.26 | % | | | 0.34 | % |
| Total expensesc | | | 1.98 | % | | | 1.97 | % | | | 1.95 | % | | | 1.95 | % | | | 1.97 | % |
| Portfolio turnover rate | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % | | | 1,932 | % | | | 2,661 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015d | |
| 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)a | | | .69 | | | | .58 | | | | .61 | | | | .28 | |
| Net gain (loss) on investments (realized and unrealized) | | | .72 | | | | (5.53 | ) | | | (.54 | ) | | | 10.59 | |
| Total from investment operations | | | 1.41 | | | | (4.95 | ) | | | .07 | | | | 10.87 | |
| Less distributions from: |
| Net investment income | | | (.68 | ) | | | (.58 | ) | | | (.96 | ) | | | (.26 | ) |
| Net realized gains | | | — | | | | (2.11 | ) | | | — | | | | — | |
| Total distributions | | | (.68 | ) | | | (2.69 | ) | | | (.96 | ) | | | (.26 | ) |
| Net asset value, end of period | | $ | 51.64 | | | $ | 50.91 | | | $ | 58.55 | | | $ | 59.44 | |
| |
| Total Returnb | | | 2.74 | % | | | (8.55 | %) | | | 0.26 | % | | | 22.28 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 76,018 | | | $ | 12,077 | | | $ | 49,639 | | | $ | 78,382 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.31 | % | | | 1.00 | % | | | 1.11 | % | | | 0.89 | % |
| Total expensesc | | | 1.23 | % | | | 1.22 | % | | | 1.20 | % | | | 1.18 | % |
| Portfolio turnover rate | | | 1,468 | % | | | 2,490 | % | | | 2,699 | % | | | 1,932 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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. |
| 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. |
| 166 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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 future contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, the Inverse Government Long Bond Strategy Fund Investor Class returned -3.83%. The daily price movement of the Long Treasury Bond was 1.44% for the same period. The return of a comparison index, Bloomberg Barclays U.S. Long Treasury Index, was 3.51%. The Fund maintained a daily correlation of over 95% to its benchmark.
Prices of 30-year U.S. Treasurys rose slightly over the period, as yields fell from 3.02% at the end of March 2017 to 2.97% at the end of March 2018. The yield curve flattened over the period, as the Fed hiked the short-term fed funds rate by a quarter point on three occasions during the fiscal year in the face of low inflation.
Rates at the beginning of the period were near period highs, tracking the pro-growth agenda of the new Trump administration. However, long-bond yields began falling after legislative complexities set in. The top long-bond yield for the period occurred in February 2018 (3.22%), following passage of the new tax bill, and the low was in September 2017 (2.66%). The 30-10 year Treasury spread ended the period at 0.20%, the lowest since the financial crisis and indicating at least some market skepticism about a prolonged bout of growth and inflation.
Derivatives in the Fund are used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS ANNUAL REPORT | 167 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund I | 8.8% |
| Guggenheim Strategy Fund II | 8.7% |
| Total | 17.5% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | (3.83%) | (4.65%) | (8.48%) |
| A-Class Shares | (4.06%) | (4.87%) | (8.71%) |
| A-Class Shares with sales charge‡ | (8.62%) | (5.80%) | (9.16%) |
| C-Class Shares | (4.76%) | (5.58%) | (9.39%) |
| C-Class Shares with CDSC§ | (5.72%) | (5.58%) | (9.39%) |
| Bloomberg Barclays U.S. Long Treasury Bond Index | 3.51% | 3.29% | 5.78% |
| Daily Price Movement of Long Treasury Bond | 1.44% | 0.16% | 1.94% |
| | | 1 Year | Since
Inception
(09/18/14) |
| H-Class Shares | | (4.16%) | (6.20%) |
| Bloomberg Barclays U.S. Long Treasury Bond Index | | 3.51% | 4.55% |
| Daily Price Movement of Long Treasury Bond | | 1.44% | 1.66% |
| * | | 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. Long Treasury Bond Index and Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 168 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 17.5% |
| Guggenheim Strategy Fund I1 | | | 403,967 | | | $ | 10,119,381 | |
| Guggenheim Strategy Fund II1 | | | 404,228 | | | | 10,109,753 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $20,052,765) | | | | | | | 20,229,134 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 75.5% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.50% due 10/26/223 | | $ | 12,500,000 | | | | 12,484,037 | |
| 1.73% (1 Month USD LIBOR – 0.13%) due 11/23/184 | | | 10,000,000 | | | | 9,994,736 | |
| 1.70% due 09/13/223 | | | 10,000,000 | | | | 9,984,750 | |
| 0.87% due 10/01/18 | | | 2,500,000 | | | | 2,486,088 | |
| Total Federal Home Loan Bank | | | | | | | 34,949,611 | |
| Federal Farm Credit Bank2 | | | | | | | | |
| 1.01% due 09/20/18 | | | 10,000,000 | | | | 9,952,730 | |
| 0.78% due 07/05/18 | | | 5,000,000 | | | | 4,986,020 | |
| 1.67% (U.S. Prime Rate – 3.08%) due 03/12/194 | | | 4,500,000 | | | | 4,500,421 | |
| 1.79% (U.S. Prime Rate – 2.96%) due 06/01/184 | | | 3,800,000 | | | | 3,799,592 | |
| 1.83% (1 Month USD LIBOR – .05%) due 04/16/184 | | | 3,360,000 | | | | 3,360,396 | |
| 1.76% (1 Month USD LIBOR –.05%) due 04/09/184 | | | 2,780,000 | | | | 2,780,000 | |
| 1.97% (U.S. Prime Rate – 2.78%) due 06/12/184 | | | 1,300,000 | | | | 1,300,829 | |
| 2.00% (U.S. Prime Rate – 2.75%) due 07/18/184 | | | 1,000,000 | | | | 1,001,020 | |
| 1.79% (U.S. Prime Rate – 2.96%) due 05/11/184 | | | 1,000,000 | | | | 1,000,044 | |
| Total Federal Farm Credit Bank | | | | | | | 32,681,052 | |
| Freddie Mac5 | | | | | | | | |
| 1.40% due 10/26/223 | | | 12,500,000 | | | | 12,490,462 | |
| 1.45% due 11/02/223 | | | 2,500,000 | | | | 2,489,253 | |
| 5.00% due 12/14/18 | | | 1,855,000 | | | | 1,890,575 | |
| Total Freddie Mac | | | | | | | 16,870,290 | |
| Fannie Mae5 | | | | | | | | |
| 1.12% due 12/14/18 | | | 2,835,000 | | | | 2,815,906 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $87,393,408) | | | | | | | 87,316,859 | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 2.7% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.77% due 06/13/186,7 | | | 3,190,000 | | | | 3,178,146 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $3,178,551) | | | | | | | 3,178,146 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS†† - 97.5% |
| Individual Repurchase Agreements8 | | | | | | | | |
Barclays Capital
Issued 03/29/18 at 1.50%
due 04/02/18 (secured by U.S.
Treasury Bond, at a rate of 3.00%
and maturing 2/15/2048 as collateral,
with a value of $63,937,170) to
be repurchased at $62,709,618 | | | 62,683,500 | | | | 62,683,500 | |
Mizuho Financial Group, Inc.
Issued 03/29/18 at 1.70%
due 04/02/18 (secured by U.S.
Treasury Bond, at a rate of 3.00%
and maturing 2/15/2048 as collateral,
with a value of $42,221,603) to
be repurchased at $41,410,975 | | | 41,393,728 | | | | 41,393,728 | |
| Joint Repurchase Agreements9 | | | | | | | | |
JP Morgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | | 6,590,960 | | | | 6,590,960 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 2,156,738 | | | | 2,156,738 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $112,824,926) | | | | | | | 112,824,926 | |
| | | | | | | | | |
| Total Investments - 193.2% | | | | | | | | |
| (Cost $223,449,650) | | | | | | $ | 223,549,065 | |
| | | | | | | | | |
| U.S. Government Securities Sold Short†† - (89.3)% |
| U.S. Treasury Bond | | | | | | | | |
| 3.00% due 02/15/48 | | | 102,800,000 | | | | (103,362,187 | ) |
| Total U.S. Government Securities Sold Short | | | | | | | | |
| (Proceeds $100,339,827) | | | | | | | (103,362,187 | ) |
| Other Assets & Liabilities, net - (3.9)% | | | | | | | (4,468,656 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 115,718,222 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Interest Rate Futures Contracts Sold Short† |
| U.S. Treasury Ultra Long Bond Futures Contracts | | | 89 | | | Jun 2018 | | $ | 14,281,719 | | | $ | (401,406 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 169 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| INVERSE GOVERNMENT LONG BOND 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 | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 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 short security collateral at March 29, 2018. |
| 9 | | Repurchase Agreements — See Note 6. |
| | | LIBOR — London Interbank Offered Rate |
| | | USD — Unites States Dollar |
| | | |
| | | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | — | | | $ | 3,178,146 | | | $ | — | | | $ | 3,178,146 | |
| Federal Agency Notes | | | — | | | | — | | | | 87,316,859 | | | | — | | | | 87,316,859 | |
| Mutual Funds | | | 20,229,134 | | | | — | | | | — | | | | — | | | | 20,229,134 | |
| Repurchase Agreements | | | — | | | | — | | | | 112,824,926 | | | | — | | | | 112,824,926 | |
| Total Assets | | $ | 20,229,134 | | | $ | — | | | $ | 203,319,931 | | | $ | — | | | $ | 223,549,065 | |
| | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | 401,406 | | | $ | — | | | $ | — | | | $ | 401,406 | |
| U.S. Government Securities | | | — | | | | — | | | | 103,362,187 | | | | — | | | | 103,362,187 | |
| Total Liabilities | | $ | — | | | $ | 401,406 | | | $ | 103,362,187 | | | $ | — | | | $ | 103,763,593 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 170 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE GOVERNMENT LONG BOND 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital
Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 12,116,192 | | | $ | — | | | $ | (2,000,000 | ) | | $ | 12,424 | | | $ | (9,235 | ) | | $ | 10,119,381 | | | | 403,967 | | | $ | 235,682 | | | $ | 3,843 | |
| Guggenheim Strategy Fund II | | | 10,605,112 | | | | — | | | | (500,000 | ) | | | 3,074 | | | | 1,567 | | | | 10,109,753 | | | | 404,228 | | | | 257,880 | | | | 5,669 | |
| | | $ | 22,721,304 | | | $ | — | | | $ | (2,500,000 | ) | | $ | 15,498 | | | $ | (7,668 | ) | | $ | 20,229,134 | | | | | | | $ | 493,562 | | | $ | 9,512 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 171 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $90,571,959) | | $ | 90,495,005 | |
| Investments in affiliated issuers, at value (cost $20,052,765) | | | 20,229,134 | |
| Repurchase agreements, at value (cost $112,824,926) | | | 112,824,926 | |
| Segregated cash with broker | | | 293,700 | |
| Receivables: |
| Interest | | | 246,457 | |
| Fund shares sold | | | 140,065 | |
| Dividends | | | 44,382 | |
| Total assets | | | 224,273,669 | |
| | | | | |
| Liabilities: |
| Securities sold short, at value (proceeds $100,339,827) | | | 103,362,187 | |
| Payable for: |
| Securities purchased | | | 3,217,500 | |
| Fund shares redeemed | | | 1,283,635 | |
| Variation margin | | | 102,906 | |
| Management fees | | | 90,442 | |
| Transfer agent and administrative fees | | | 25,123 | |
| Distribution and service fees | | | 21,365 | |
| Portfolio accounting fees | | | 10,049 | |
| Trustees’ fees* | | | 3,281 | |
| Miscellaneous | | | 438,959 | |
| Total liabilities | | | 108,555,447 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 115,718,222 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 391,041,431 | |
| Accumulated net investment loss | | | (522,018 | ) |
| Accumulated net realized loss on investments | | | (271,476,840 | ) |
| Net unrealized depreciation on investments | | | (3,324,351 | ) |
| Net assets | | $ | 115,718,222 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 78,109,869 | |
| Capital shares outstanding | | | 2,254,971 | |
| Net asset value per share | | $ | 34.64 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 14,454,676 | |
| Capital shares outstanding | | | 434,095 | |
| Net asset value per share | | $ | 33.30 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 34.96 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 18,295,543 | |
| Capital shares outstanding | | | 626,846 | |
| Net asset value per share | | $ | 29.19 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 4,858,134 | |
| Capital shares outstanding | | | 145,524 | |
| Net asset value per share | | $ | 33.38 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 172 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 493,562 | |
| Interest | | | 2,118,117 | |
| Total investment income | | | 2,611,679 | |
| | | | | |
| Expenses: |
| Management fees | | | 1,129,401 | |
| Distribution and service fees: |
| A-Class | | | 33,177 | |
| C-Class | | | 194,651 | |
| H-Class | | | 38,717 | |
| Transfer agent and administrative fees | | | 313,722 | |
| Short interest expense | | | 2,878,023 | |
| Portfolio accounting fees | | | 125,488 | |
| Custodian fees | | | 16,894 | |
| Trustees’ fees* | | | 10,790 | |
| Line of credit fees | | | 237 | |
| Miscellaneous | | | 190,541 | |
| Total expenses | | | 4,931,641 | |
| Net investment loss | | | (2,319,962 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 79,411 | |
| Investments in affiliated issuers | | | 15,498 | |
| Distributions received from affiliated investment company shares | | | 9,512 | |
| Futures contracts | | | (913,457 | ) |
| Securities sold short | | | 228,776 | |
| Net realized loss | | | (580,260 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (93,604 | ) |
| Investments in affiliated issuers | | | (7,668 | ) |
| Futures contracts | | | (347,266 | ) |
| Securities sold short | | | (2,599,123 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,047,661 | ) |
| Net realized and unrealized loss | | | (3,627,921 | ) |
| Net decrease in net assets resulting from operations | | $ | (5,947,883 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 173 |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (2,319,962 | ) | | $ | (4,762,348 | ) |
| Net realized gain (loss) on investments | | | (580,260 | ) | | | 8,992,388 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,047,661 | ) | | | (348,233 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (5,947,883 | ) | | | 3,881,807 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 392,306,123 | | | | 1,461,086,838 | |
| A-Class | | | 12,549,736 | | | | 10,846,573 | |
| C-Class | | | 4,801,878 | | | | 6,375,655 | |
| H-Class | | | 910,494,247 | | | | 2,601,327,502 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (394,861,848 | ) | | | (1,471,262,255 | ) |
| A-Class | | | (16,047,733 | ) | | | (10,739,740 | ) |
| C-Class | | | (8,746,196 | ) | | | (11,684,154 | ) |
| H-Class | | | (948,757,756 | ) | | | (2,627,383,990 | ) |
| Net decrease from capital share transactions | | | (48,261,549 | ) | | | (41,433,571 | ) |
| Net decrease in net assets | | | (54,209,432 | ) | | | (37,551,764 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 169,927,654 | | | | 207,479,418 | |
| End of year | | $ | 115,718,222 | | | $ | 169,927,654 | |
| Accumulated net investment loss at end of year | | $ | (522,018 | ) | | $ | (1,212,038 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| Investor Class | | | 11,336,424 | | | | 44,231,107 | |
| A-Class | | | 374,801 | | | | 330,693 | |
| C-Class | | | 162,474 | | | | 220,928 | |
| H-Class | | | 27,088,719 | | | | 79,320,319 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (11,417,169 | ) | | | (44,494,650 | ) |
| A-Class | | | (478,816 | ) | | | (326,449 | ) |
| C-Class | | | (297,115 | ) | | | (406,484 | ) |
| H-Class | | | (28,200,385 | ) | | | (80,262,131 | ) |
| Net decrease in shares | | | (1,431,067 | ) | | | (1,386,667 | ) |
| 174 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE GOVERNMENT LONG BOND STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Investor Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 36.02 | | | $ | 34.27 | | | $ | 35.78 | | | $ | 46.01 | | | $ | 43.94 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.56 | ) | | | (.88 | ) | | | (1.15 | ) | | | (1.15 | ) | | | (1.65 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.82 | ) | | | 2.63 | | | | (.36 | ) | | | (9.08 | ) | | | 3.72 | |
| Total from investment operations | | | (1.38 | ) | | | 1.75 | | | | (1.51 | ) | | | (10.23 | ) | | | 2.07 | |
| Net asset value, end of period | | $ | 34.64 | | | $ | 36.02 | | | $ | 34.27 | | | $ | 35.78 | | | $ | 46.01 | |
| |
| Total Returnb | | | (3.83 | %) | | | 5.08 | % | | | (4.22 | %) | | | (22.23 | %) | | | 4.69 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 78,110 | | | $ | 84,123 | | | $ | 89,071 | | | $ | 105,696 | | | $ | 177,735 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.63 | %) | | | (2.59 | %) | | | (3.07 | %) | | | (2.80 | %) | | | (3.46 | %) |
| Total expensesc,f | | | 3.71 | % | | | 3.38 | % | | | 3.48 | % | | | 3.15 | % | | | 3.50 | % |
| Portfolio turnover rate | | | 908 | % | | | 1,436 | % | | | 838 | % | | | 2,190 | % | | | 1,097 | % |
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 34.71 | | | $ | 33.11 | | | $ | 34.66 | | | $ | 44.68 | | | $ | 42.77 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.63 | ) | �� | | (.94 | ) | | | (1.20 | ) | | | (1.23 | ) | | | (1.73 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.78 | ) | | | 2.54 | | | | (.35 | ) | | | (8.79 | ) | | | 3.64 | |
| Total from investment operations | | | (1.41 | ) | | | 1.60 | | | | (1.55 | ) | | | (10.02 | ) | | | 1.91 | |
| Net asset value, end of period | | $ | 33.30 | | | $ | 34.71 | | | $ | 33.11 | | | $ | 34.66 | | | $ | 44.68 | |
| |
| Total Returnb | | | (4.06 | %) | | | 4.83 | % | | | (4.47 | %) | | | (22.43 | %) | | | 4.51 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 14,455 | | | $ | 18,678 | | | $ | 17,676 | | | $ | 21,580 | | | $ | 49,859 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.90 | %) | | | (2.85 | %) | | | (3.32 | %) | | | (3.06 | %) | | | (3.73 | %) |
| Total expensesc,f | | | 3.97 | % | | | 3.67 | % | | | 3.75 | % | | | 3.40 | % | | | 3.78 | % |
| Portfolio turnover rate | | | 908 | % | | | 1,436 | % | | | 838 | % | | | 2,190 | % | | | 1,097 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 175 |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014e | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.65 | | | $ | 29.46 | | | $ | 31.07 | | | $ | 40.35 | | | $ | 38.92 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.77 | ) | | | (1.05 | ) | | | (1.31 | ) | | | (1.36 | ) | | | (1.86 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.69 | ) | | | 2.24 | | | | (.30 | ) | | | (7.92 | ) | | | 3.29 | |
| Total from investment operations | | | (1.46 | ) | | | 1.19 | | | | (1.61 | ) | | | (9.28 | ) | | | 1.43 | |
| Net asset value, end of period | | $ | 29.19 | | | $ | 30.65 | | | $ | 29.46 | | | $ | 31.07 | | | $ | 40.35 | |
| |
| Total Returnb | | | (4.76 | %) | | | 4.04 | % | | | (5.18 | %) | | | (23.00 | %) | | | 3.73 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 18,296 | | | $ | 23,343 | | | $ | 27,899 | | | $ | 35,874 | | | $ | 57,323 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (2.63 | %) | | | (3.59 | %) | | | (4.08 | %) | | | (3.78 | %) | | | (4.45 | %) |
| Total expensesc,f | | | 4.71 | % | | | 4.41 | % | | | 4.50 | % | | | 4.14 | % | | | 4.49 | % |
| Portfolio turnover rate | | | 908 | % | | | 1,436 | % | | | 838 | % | | | 2,190 | % | | | 1,097 | % |
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015d | |
| 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)a | | | (.65 | ) | | | (.92 | ) | | | (1.15 | ) | | | (.52 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (.80 | ) | | | 2.63 | | | | (.40 | ) | | | (6.66 | ) |
| Total from investment operations | | | (1.45 | ) | | | 1.71 | | | | (1.55 | ) | | | (7.18 | ) |
| Net asset value, end of period | | $ | 33.38 | | | $ | 34.83 | | | $ | 33.12 | | | $ | 34.67 | |
| |
| Total Returnb | | | (4.16 | %) | | | 5.13 | % | | | (4.47 | %) | | | (17.16 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,858 | | | $ | 43,784 | | | $ | 72,833 | | | $ | 43,800 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.94 | %) | | | (2.80 | %) | | | (3.17 | %) | | | (2.75 | %) |
| Total expensesc,f | | | 4.00 | % | | | 3.60 | % | | | 3.61 | % | | | 3.07 | % |
| Portfolio turnover rate | | | 908 | % | | | 1,436 | % | | | 838 | % | | | 2,190 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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. |
| e | | 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. |
| f | | Total expenses may include interest expense related to short sales. Excluding interest expense, the operating expense ratios would be: |
| | | 03/29/18 | 03/31/17 | 03/31/16 | 03/31/15 | 03/31/14 |
| | Investor Class | 1.43% | 1.43% | 1.40% | 1.40% | 1.41% |
| | A-Class | 1.68% | 1.63% | 1.65% | 1.65% | 1.66% |
| | C-Class | 2.43% | 2.43% | 2.40% | 2.40% | 2.41% |
| | H-Class | 1.68% | 1.68% | 1.65% | 1.60% | — |
| 176 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
High Yield Strategy Fund H-Class returned 2.08% for the one-year period ended March 29, 2018. For comparison, the Bloomberg Barclays U.S. Corporate High Yield Index returned 3.78%.
The Fund primarily invests in credit default swaps to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A buyer of credit default swaps is buying credit protection or mitigating credit risk. A seller of credit default swaps is selling credit protection or assuming credit risk. The Fund will normally be a seller of credit protection (assuming credit risk) as it seeks to gain exposure to the high yield bond market. In addition, the Fund may invest in bond futures for the purpose of managing duration risk. For cash management purposes, the Fund may invest in other fixed income securities and money market instruments. The Fund’s use of derivatives was not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
High-yield corporate bonds lost steam toward the end of the period, following a robust year of high-yield corporate bond issuance. Despite heavy volume, pricing power remains firmly in borrowers’ hands, resulting in a further relaxation in the investor protections that were prevalent after the financial crisis. This trend is compounded by tight spreads, which could offer insufficient compensation for credit and liquidity risk.
Declining default rates and improving macroeconomic conditions may be able to sustain positive returns in leveraged credit in the near term, but tight spreads and high bond prices make the sector vulnerable to volatility.
The banking and basic industry sectors contributed the most to the performance of the Bloomberg Barclays U.S. Corporate High Yield index. No sector detracted. The transportation and technology segments contributed the least.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| | THE RYDEX FUNDS ANNUAL REPORT | 177 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 28.1% |
| Guggenheim Strategy Fund III | 20.3% |
| Guggenheim Strategy Fund I | 8.0% |
| Total | 56.4% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 2.08% | 4.68% | 6.74% |
| A-Class Shares with sales charge‡ | (2.75%) | 3.67% | 6.22% |
| C-Class Shares | 1.35% | 3.86% | 5.93% |
| C-Class Shares with CDSC§ | 0.42% | 3.86% | 5.93% |
| H-Class Shares | 2.08% | 4.68% | 6.74% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| Bloomberg Barclays U.S. Corporate High Yield Index | 3.78% | 4.99% | 8.27% |
| * | | 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 178 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| HIGH YIELD STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 56.4% |
| Guggenheim Strategy Fund II1 | | | 408,399 | | | $ | 10,214,061 | |
| Guggenheim Strategy Fund III1 | | | 293,670 | | | | 7,350,556 | |
| Guggenheim Strategy Fund I1 | | | 115,809 | | | | 2,901,015 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $20,274,712) | | | | | | | 20,465,632 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 20.3% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.50% due 10/26/223 | | $ | 5,935,000 | | | | 5,927,421 | |
| Federal Farm Credit Bank2 | | | | | | | | |
| 2.14% (3 Month USD LIBOR – 0.03%) due 09/18/184 | | | 1,000,000 | | | | 1,000,846 | |
| 1.96% ( 1 Month USD LIBOR + 0.09%) ) due 05/25/184 | | | 445,000 | | | | 445,123 | |
| Total Federal Farm Credit Bank | | | | | | | 1,445,969 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $7,380,845) | | | | | | | 7,373,390 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 8.3% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.55% due 04/04/185,6 | | | 3,000,000 | | | | 2,999,613 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $2,999,613) | | | | | | | 2,999,613 | |
| U.S. TREASURY BILLS†† - 4.2% |
| U.S. Treasury Bills | | | | | | | | |
| 1.31% due 04/19/185,6,7 | | | 1,500,000 | | | | 1,498,567 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $1,499,006) | | | | | | | 1,498,567 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,8 - 8.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/189 | | | 2,303,769 | | | | 2,303,769 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/189 | | | 753,855 | | | | 753,855 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $3,057,624) | | | | | | | 3,057,624 | |
| | | | | | | | | |
| Total Investments - 97.6% | | | | | | | | |
| (Cost $35,211,800) | | | | | | $ | 35,394,826 | |
| Other Assets & Liabilities, net - 2.4% | | | | | | | 886,519 | |
| Total Net Assets - 100.0% | | | | | | $ | 36,281,345 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Interest Rate Futures Contracts Purchased† |
| U.S. Treasury 5 Year Note Futures Contracts | | | 242 | | | Jun 2018 | | $ | 27,703,328 | | | $ | 115,786 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Credit Index Swap Agreements††,10 |
| Goldman Sachs International | | iShares iBoxx High Yield Corporate Bond | | | 1.38 | % | | At Maturity | | 04/24/18 | | | 94,323 | | | $ | 8,074,992 | | | $ | 13,205 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 179 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| HIGH YIELD STRATEGY FUND | |
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS PROTECTION SOLD†† |
| Counterparty | | Exchange | | | Index | | | Protection
Premium
Rate | | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid | | | Unrealized
Loss | |
| Barclays Bank plc | | | ICE | | | | CDX.NA.HY.30 Index | | | | 5.00 | % | | Quarterly | | 06/20/23 | | $ | 10,020,000 | | | $ | 609,917 | | | $ | 612,312 | | | $ | (2,395 | ) |
| Goldman Sachs International | | | ICE | | | | CDX.NA.HY.30 Index | | | | 5.00 | % | | Quarterly | | 06/20/23 | | | 17,700,000 | | | | 1,077,400 | | | | 1,079,135 | | | | (1,735 | ) |
| | | | | | | | | | | | | | | | | | | | | | | $ | 1,687,317 | | | $ | 1,691,447 | | | $ | (4,130 | ) |
| † | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 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 futures and credit default swap collateral at March 29, 2018. |
| 8 | | Repurchase Agreements — See Note 6. |
| 9 | | All or a portion of this security is pledged as equity index swap collateral at March 29, 2018. |
| 10 | | Total return based on iShares iBoxx$ High Yield Corporate Bond ETF +/- financing at variable rate. Rate indicated is the rate effective March 29, 2018. |
| | | CDX.NA.HY.30 Index — Credit Default Swap North American High Yiled Series 30 Index |
| | | ICE — Intercontinental Exchange |
| | | LIBOR — London Interbank Offered Rate |
| | | plc — Public Limited Company |
| | | USD — United States Dollar |
| | | |
| | | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | |
| Equity Index Swap Agreements | | $ | — | | | $ | — | | | $ | — | | | $ | 13,205 | | | $ | — | | | $ | 13,205 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 2,999,613 | | | | — | | | | — | | | | 2,999,613 | |
| Federal Agency Notes | | | — | | | | — | | | | 7,373,390 | | | | — | | | | — | | | | 7,373,390 | |
| Interest Rate Futures Contracts | | | — | | | | 115,786 | | | | — | | | | — | | | | — | | | | 115,786 | |
| Mutual Funds | | | 20,465,632 | | | | — | | | | — | | | | — | | | | — | | | | 20,465,632 | |
| Repurchase Agreements | | | — | | | | — | | | | 3,057,624 | | | | — | | | | — | | | | 3,057,624 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 1,498,567 | | | | — | | | | — | | | | 1,498,567 | |
| Total Assets | | $ | 20,465,632 | | | $ | 115,786 | | | $ | 14,929,194 | | | $ | 13,205 | | | $ | — | | | $ | 35,523,817 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 4,130 | | | $ | — | | | $ | 4,130 | |
| * | | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
| 180 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| HIGH YIELD STRATEGY FUND | |
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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 12,493,038 | | | $ | 400,000 | | | $ | (10,000,000 | ) | | $ | 73,530 | | | $ | (65,553 | ) | | $ | 2,901,015 | | | | 115,809 | | | $ | 247,151 | | | $ | 4,897 | |
| Guggenheim Strategy Fund II | | | 12,008,695 | | | | 2,200,000 | | | | (4,000,000 | ) | | | 4,979 | | | | 387 | | | | 10,214,061 | | | | 408,399 | | | | 314,909 | | | | 7,593 | |
| Guggenheim Strategy Fund III | | | 6,544,723 | | | | 1,500,000 | | | | (700,000 | ) | | | 280 | | | | 5,553 | | | | 7,350,556 | | | | 293,670 | | | | 194,974 | | | | 1,963 | |
| | | $ | 31,046,456 | | | $ | 4,100,000 | | | $ | (14,700,000 | ) | | $ | 78,789 | | | $ | (59,613 | ) | | $ | 20,465,632 | | | | | | | $ | 757,034 | | | $ | 14,453 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 181 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $11,879,464) | | $ | 11,871,570 | |
| Investments in affiliated issuers, at value (cost $20,274,712) | | | 20,465,632 | |
| Repurchase agreements, at value (cost $3,057,624) | | | 3,057,624 | |
| Unamortized upfront premiums paid on credit default swaps | | | 1,691,447 | |
| Unrealized appreciation on swap agreements | | | 13,205 | |
| Receivables: |
| Variation margin on credit default swap agreements | | | 143,152 | |
| Fund shares sold | | | 95,002 | |
| Protection fees on credit default swaps | | | 46,200 | |
| Dividends | | | 41,831 | |
| Variation margin on futures contracts | | | 29,876 | |
| Interest | | | 17,537 | |
| Total assets | | | 37,473,076 | |
| | | | | |
| Liabilities: |
| Segregated cash due to broker | | | 1,090,095 | |
| Payable for: |
| Management fees | | | 22,041 | |
| Fund shares redeemed | | | 17,837 | |
| Distribution and service fees | | | 9,990 | |
| Transfer agent and administrative fees | | | 7,347 | |
| Portfolio accounting fees | | | 2,939 | |
| Trustees’ fees* | | | 955 | |
| Swap settlement | | | 251 | |
| Miscellaneous | | | 40,276 | |
| Total liabilities | | | 1,191,731 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 36,281,345 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 40,983,028 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (5,009,570 | ) |
| Net unrealized appreciation on investments | | | 307,887 | |
| Net assets | | $ | 36,281,345 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 8,427,254 | |
| Capital shares outstanding | | | 362,240 | |
| Net asset value per share | | $ | 23.26 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 24.42 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 3,993,779 | |
| Capital shares outstanding | | | 193,544 | |
| Net asset value per share | | $ | 20.63 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 23,860,312 | |
| Capital shares outstanding | | | 1,026,954 | |
| Net asset value per share | | $ | 23.23 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 757,034 | |
| Interest | | | 3,385,201 | |
| Total investment income | | | 4,142,235 | |
| | | | | |
| Expenses: |
| Management fees | | | 2,789,571 | |
| Distribution and service fees: |
| A-Class | | | 30,084 | |
| C-Class | | | 42,000 | |
| H-Class | | | 889,272 | |
| Transfer agent and administrative fees | | | 929,857 | |
| Portfolio accounting fees | | | 328,998 | |
| Custodian fees | | | 49,289 | |
| Trustees’ fees* | | | 36,648 | |
| Line of credit fees | | | 1,979 | |
| Miscellaneous | | | 593,886 | |
| Total expenses | | | 5,691,584 | |
| Net investment loss | | | (1,549,349 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | (63,285 | ) |
| Investments in affiliated issuers | | | 78,789 | |
| Distributions received from affiliated investment company shares | | | 14,453 | |
| Swap agreements | | | 14,847,371 | |
| Futures contracts | | | (1,907,409 | ) |
| Net realized gain | | | 12,969,919 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (30,086 | ) |
| Investments in affiliated issuers | | | (59,613 | ) |
| Swap agreements | | | (2,610,832 | ) |
| Futures contracts | | | (1,337,194 | ) |
| Net change in unrealized appreciation (depreciation) | | | (4,037,725 | ) |
| Net realized and unrealized gain | | | 8,932,194 | |
| Net increase in net assets resulting from operations | | $ | 7,382,845 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 182 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (1,549,349 | ) | | $ | (4,040,998 | ) |
| Net realized gain on investments | | | 12,969,919 | | | | 42,388,427 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (4,037,725 | ) | | | (11,034,501 | ) |
| Net increase in net assets resulting from operations | | | 7,382,845 | | | | 27,312,928 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (665,790 | ) | | | (285,844 | ) |
| C-Class | | | (282,920 | ) | | | (89,445 | ) |
| H-Class | | | (11,783,060 | ) | | | (10,022,903 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (142,624 | ) | | | — | |
| C-Class | | | (60,607 | ) | | | — | |
| H-Class | | | (2,524,151 | ) | | | — | |
| Total distributions to shareholders | | | (15,459,152 | ) | | | (10,398,192 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 4,132,795 | | | | 36,146,145 | |
| C-Class | | | 2,367,010 | | | | 6,852,428 | |
| H-Class | | | 758,072,990 | | | | 3,155,354,253 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 712,264 | | | | 239,394 | |
| C-Class | | | 313,558 | | | | 84,624 | |
| H-Class | | | 14,238,897 | | | | 9,965,662 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (16,256,133 | ) | | | (28,782,857 | ) |
| C-Class | | | (2,936,866 | ) | | | (4,601,608 | ) |
| H-Class | | | (1,176,443,671 | ) | | | (3,528,841,089 | ) |
| Net decrease from capital share transactions | | | (415,799,156 | ) | | | (353,583,048 | ) |
| Net decrease in net assets | | | (423,875,463 | ) | | | (336,668,312 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 460,156,808 | | | | 796,825,120 | |
| End of year | | $ | 36,281,345 | | | $ | 460,156,808 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | 6,077,252 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 165,437 | | | | 1,514,841 | |
| C-Class | | | 109,367 | | | | 314,911 | |
| H-Class | | | 30,599,728 | | | | 131,050,068 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 30,232 | | | | 10,089 | |
| C-Class | | | 14,974 | | | | 3,934 | |
| H-Class | | | 604,881 | | | | 420,925 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (653,468 | ) | | | (1,210,225 | ) |
| C-Class | | | (133,785 | ) | | | (210,907 | ) |
| H-Class | | | (47,791,096 | ) | | | (147,445,936 | ) |
| Net decrease in shares | | | (17,053,730 | ) | | | (15,552,300 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 183 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.74 | | | $ | 23.32 | | | $ | 23.84 | | | $ | 22.89 | | | $ | 25.16 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.08 | ) | | | (.20 | ) | | | (.09 | ) | | | (.15 | ) | | | (.30 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .62 | | | | 2.09 | | | | .46 | | | | 1.10 | | | | 2.13 | |
| Total from investment operations | | | .54 | | | | 1.89 | | | | .37 | | | | .95 | | | | 1.83 | |
| Less distributions from: |
| Net investment income | | | (1.66 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (1.14 | ) |
| Net realized gains | | | (.36 | ) | | | — | | | | — | | | | — | | | | (2.96 | ) |
| Total distributions | | | (2.02 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (4.10 | ) |
| Net asset value, end of period | | $ | 23.26 | | | $ | 24.74 | | | $ | 23.32 | | | $ | 23.84 | | | $ | 22.89 | |
| |
| Total Returnb | | | 2.08 | % | | | 8.24 | % | | | 1.66 | % | | | 4.06 | % | | | 7.53 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,427 | | | $ | 20,290 | | | $ | 11,787 | | | $ | 10,123 | | | $ | 12,499 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.31 | %) | | | (0.85 | %) | | | (0.40 | %) | | | (0.63 | %) | | | (1.21 | %) |
| Total expensesc | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % | | | 1.50 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 422 | % | | | 97 | % | | | 521 | % | | | 393 | % | | | 205 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 22.33 | | | $ | 21.25 | | | $ | 22.01 | | | $ | 21.29 | | | $ | 23.83 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.22 | ) | | | (.36 | ) | | | (.19 | ) | | | (.27 | ) | | | (.44 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .54 | | | | 1.91 | | | | .32 | | | | .99 | | | | 2.00 | |
| Total from investment operations | | | .32 | | | | 1.55 | | | | .13 | | | | .72 | | | | 1.56 | |
| Less distributions from: |
| Net investment income | | | (1.66 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (1.14 | ) |
| Net realized gains | | | (.36 | ) | | | — | | | | — | | | | — | | | | (2.96 | ) |
| Total distributions | | | (2.02 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (4.10 | ) |
| Net asset value, end of period | | $ | 20.63 | | | $ | 22.33 | | | $ | 21.25 | | | $ | 22.01 | | | $ | 21.29 | |
| |
| Total Returnb | | | 1.35 | % | | | 7.38 | % | | | 0.70 | % | | | 3.33 | % | | | 6.74 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,994 | | | $ | 4,533 | | | $ | 2,020 | | | $ | 3,632 | | | $ | 5,100 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.00 | %) | | | (1.65 | %) | | | (0.88 | %) | | | (1.25 | %) | | | (1.89 | %) |
| Total expensesc | | | 2.27 | % | | | 2.26 | % | | | 2.24 | % | | | 2.25 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 422 | % | | | 97 | % | | | 521 | % | | | 393 | % | | | 205 | % |
| 184 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.72 | | | $ | 23.31 | | | $ | 23.90 | | | $ | 22.94 | | | $ | 25.12 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.10 | ) | | | (.18 | ) | | | (.15 | ) | | | (.19 | ) | | | (.24 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .63 | | | | 2.06 | | | | .45 | | | | 1.15 | | | | 2.16 | |
| Total from investment operations | | | .53 | | | | 1.88 | | | | .30 | | | | .96 | | | | 1.92 | |
| Less distributions from: |
| Net investment income | | | (1.66 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (1.14 | ) |
| Net realized gains | | | (.36 | ) | | | — | | | | — | | | | — | | | | (2.96 | ) |
| Total distributions | | | (2.02 | ) | | | (.47 | ) | | | (.89 | ) | | | — | | | | (4.10 | ) |
| Net asset value, end of period | | $ | 23.23 | | | $ | 24.72 | | | $ | 23.31 | | | $ | 23.90 | | | $ | 22.94 | |
| |
| Total Returnb | | | 2.08 | % | | | 8.15 | % | | | 1.36 | % | | | 4.14 | % | | | 7.86 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 23,860 | | | $ | 435,334 | | | $ | 783,018 | | | $ | 621,455 | | | $ | 87,315 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.41 | %) | | | (0.74 | %) | | | (0.64 | %) | | | (0.81 | %) | | | (0.97 | %) |
| Total expensesc | | | 1.52 | % | | | 1.51 | % | | | 1.49 | % | | | 1.46 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 422 | % | | | 97 | % | | | 521 | % | | | 393 | % | | | 205 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 185 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that inversely correlate, before fees and expenses, to the performance of the high yield bond market.
Inverse High Yield Strategy Fund H-Class returned -2.67% for the one-year period ended March 29, 2018. For comparison, the Bloomberg Barclays U.S. Corporate High Yield Index returned 3.78%.
The Fund primarily invests in credit default swaps to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A buyer of credit default swaps is buying credit protection or mitigating credit risk. A seller of credit default swaps is selling credit protection or assuming credit risk. The Fund will normally be a seller of credit protection (assuming credit risk) as it seeks to gain exposure to the high yield bond market. In addition, the Fund may invest in bond futures for the purpose of managing duration risk. For cash management purposes, the Fund may invest in other fixed income securities and money market instruments. The Fund’s use of derivatives was not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
High-yield corporate bonds lost steam toward the end of the period, following a robust year of high-yield corporate bond issuance. Despite heavy volume, pricing power remains firmly in borrowers’ hands, resulting in a further relaxation in the investor protections that were prevalent after the financial crisis. This trend is compounded by tight spreads, which could offer insufficient compensation for credit and liquidity risk.
Declining default rates and improving macroeconomic conditions may be able to sustain positive returns in leveraged credit in the near term, but tight spreads and high bond prices make the sector vulnerable to volatility.
The banking and basic industry sectors contributed the most to the performance of the Bloomberg Barclays U.S. Corporate High Yield index. No sector detracted. The transportation and technology segments contributed the least.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 186 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund I | 5.9% |
| Guggenheim Strategy Fund II | 5.8% |
| Total | 11.7% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | (2.28%) | (7.70%) | (10.63%) |
| A-Class Shares with sales charge‡ | (6.92%) | (8.59%) | (11.07%) |
| C-Class Shares | (3.08%) | (8.26%) | (11.25%) |
| C-Class Shares with CDSC§ | (4.05%) | (8.26%) | (11.25%) |
| H-Class Shares | (2.67%) | (7.28%) | (10.43%) |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| Bloomberg Barclays U.S. Corporate High Yield Index | 3.78% | 4.99% | 8.27% |
| * | | 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 187 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE HIGH YIELD STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 11.7% |
| Guggenheim Strategy Fund I1 | | | 42,835 | | | $ | 1,073,016 | |
| Guggenheim Strategy Fund II1 | | | 42,812 | | | | 1,070,732 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $2,127,891) | | | | | | | 2,143,748 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 65.7% |
| Federal Home Loan Bank2 | | | | | | | | |
| 1.55% due 04/04/183,4 | | $ | 12,000,000 | | | | 11,998,450 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $11,998,450) | | | | | | | 11,998,450 | |
| REPURCHASE AGREEMENTS††,5 - 21.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | | 2,942,513 | | | $ | 2,942,513 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 962,869 | | | | 962,869 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $3,905,382) | | | | | | | 3,905,382 | |
| | | | | | | | | |
| Total Investments - 98.8% | | | | | | | | |
| (Cost $18,031,723) | | | | | | $ | 18,047,580 | |
| Other Assets & Liabilities, net - 1.2% | | | | | | | 222,106 | |
| Total Net Assets - 100.0% | | | | | | $ | 18,269,686 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Interest Rate Futures Contracts Sold Short† |
| U.S. Treasury 5 Year Note Futures Contracts | | | 152 | | | Jun 2018 | | $ | 17,400,438 | | | $ | (38,200 | ) |
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS PROTECTION PURCHASED†† |
| Counterparty | | Exchange | | | Index | | Protection
Premium
Rate | | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Paid (Received) | | | Unrealized
Loss | |
| Barclays Bank plc | | | ICE | | | CDX. NA.HY.30 Index | | | 5.00 | % | | Quarterly | | 06/20/23 | | $ | 17,370,000 | | | $ | 1,057,312 | | | $ | (1,033,399 | ) | | $ | (23,913 | ) |
| † | | 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 | | Rate indicated is the effective yield at the time of purchase. |
| 4 | | Zero coupon rate security. |
| 5 | | Repurchase Agreements — See Note 6. |
| | | CDX.NA.HY. 30 Index — Credit Default Swap North American High Yield Series 30 Index |
| | | ICE — Intercontinental Exchange |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| 188 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE HIGH YIELD STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 Discount Notes | | $ | — | | | $ | — | | | $ | 11,998,450 | | | $ | — | | | $ | — | | | $ | 11,998,450 | |
| Mutual Funds | | | 2,143,748 | | | | — | | | | — | | | | — | | | | — | | | | 2,143,748 | |
| Repurchase Agreements | | | — | | | | — | | | | 3,905,382 | | | | — | | | | — | | | | 3,905,382 | |
| Total Assets | | $ | 2,143,748 | | | $ | — | | | $ | 15,903,832 | | | $ | — | | | $ | — | | | $ | 18,047,580 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 23,913 | | | $ | — | | | $ | 23,913 | |
| Interest Rate Futures Contracts | | | — | | | | 38,200 | | | | — | | | | — | | | | — | | | | 38,200 | |
| Total Liabilities | | $ | — | | | $ | 38,200 | | | $ | — | | | $ | 23,913 | | | $ | — | | | $ | 62,113 | |
| * | | 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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 1,272,956 | | | $ | 500,001 | | | $ | (700,000 | ) | | $ | 2,525 | | | $ | (2,466 | ) | | $ | 1,073,016 | | | | 42,835 | | | $ | 23,554 | | | $ | 408 | |
| Guggenheim Strategy Fund II | | | 1,270,223 | | | | 400,000 | | | | (600,000 | ) | | | 3,710 | | | | (3,201 | ) | | | 1,070,732 | | | | 42,812 | | | | 26,768 | | | | 572 | |
| | | $ | 2,543,179 | | | $ | 900,001 | | | $ | (1,300,000 | ) | | $ | 6,235 | | | $ | (5,667 | ) | | $ | 2,143,748 | | | | | | | $ | 50,322 | | | $ | 980 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 189 |
| INVERSE HIGH YIELD STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: | | | |
| Investments in unaffiliated issuers, at value (cost $11,998,450) | | $ | 11,998,450 | |
| Investments in affiliated issuers, at value (cost $2,127,891) | | | 2,143,748 | |
| Repurchase agreements, at value (cost $3,905,382) | | | 3,905,382 | |
| Segregated cash with broker | | | 1,747,031 | |
| Receivables: |
| Dividends | | | 4,703 | |
| Fund shares sold | | | 2,233 | |
| Interest | | | 584 | |
| Total assets | | | 19,802,131 | |
| | | | | |
| Liabilities: |
| Unamortized upfront premiums received on credit default swaps | | | 1,033,399 | |
| Payable for: |
| Fund shares redeemed | | | 321,362 | |
| Variation margin on credit default swap agreements | | | 90,210 | |
| Protection fees payable from credit default swap | | | 28,950 | |
| Variation margin on futures contracts | | | 19,000 | |
| Swap settlement | | | 18,239 | |
| Management fees | | | 9,556 | |
| Distribution and service fees | | | 3,877 | |
| Transfer agent and administrative fees | | | 3,185 | |
| Portfolio accounting fees | | | 1,274 | |
| Trustees’ fees* | | | 283 | |
| Miscellaneous | | | 3,110 | |
| Total liabilities | | | 1,532,445 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 18,269,686 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 32,285,869 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (13,969,927 | ) |
| Net unrealized depreciation on investments | | | (46,256 | ) |
| Net assets | | $ | 18,269,686 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 8,746,137 | |
| Capital shares outstanding | | | 136,061 | |
| Net asset value per share | | $ | 64.28 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 67.49 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 768,890 | |
| Capital shares outstanding | | | 12,872 | |
| Net asset value per share | | $ | 59.73 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 8,754,659 | |
| Capital shares outstanding | | | 132,864 | |
| Net asset value per share | | $ | 65.89 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 50,322 | |
| Interest | | | 67,837 | |
| Total investment income | | | 118,159 | |
| | | | | |
| Expenses: |
| Management fees | | | 63,339 | |
| Distribution and service fees: |
| A-Class | | | 7,152 | |
| C-Class | | | 11,005 | |
| H-Class | | | 11,209 | |
| Transfer agent and administrative fees | | | 21,113 | |
| Registration fees | | | 9,543 | |
| Portfolio accounting fees | | | 8,445 | |
| Custodian fees | | | 1,232 | |
| Trustees’ fees* | | | 724 | |
| Line of credit fees | | | 4 | |
| Miscellaneous | | | 3,146 | |
| Total expenses | | | 136,912 | |
| Net investment loss | | | (18,753 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 161 | |
| Investments in affiliated issuers | | | 6,235 | |
| Distributions received from affiliated investment company shares | | | 980 | |
| Swap agreements | | | (551,626 | ) |
| Futures contracts | | | 211,939 | |
| Net realized loss | | | (332,311 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in affiliated issuers | | | (5,667 | ) |
| Swap agreements | | | (566 | ) |
| Futures contracts | | | (33,926 | ) |
| Net change in unrealized appreciation (depreciation) | | | (40,159 | ) |
| Net realized and unrealized loss | | | (372,470 | ) |
| Net decrease in net assets resulting from operations | | $ | (391,223 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 190 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE HIGH YIELD STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (18,753 | ) | | $ | (238,062 | ) |
| Net realized loss on investments | | | (332,311 | ) | | | (2,832,626 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (40,159 | ) | | | 89,837 | |
| Net decrease in net assets resulting from operations | | | (391,223 | ) | | | (2,980,851 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 71,577,701 | | | | 58,549,494 | |
| C-Class | | | 771,206 | | | | 992,897 | |
| H-Class | | | 182,822,905 | | | | 1,767,267,375 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (63,476,613 | ) | | | (59,973,315 | ) |
| C-Class | | | (1,008,057 | ) | | | (1,489,604 | ) |
| H-Class | | | (188,837,575 | ) | | | (1,752,361,839 | ) |
| Net increase from capital share transactions | | | 1,849,567 | | | | 12,985,008 | |
| Net increase in net assets | | | 1,458,344 | | | | 10,004,157 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 16,811,342 | | | | 6,807,185 | |
| End of year | | $ | 18,269,686 | | | $ | 16,811,342 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (289,105 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,105,394 | | | | 847,520 | * |
| C-Class | | | 12,783 | | | | 15,264 | * |
| H-Class | | | 2,774,508 | | | | 25,181,894 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (983,238 | ) | | | (870,463 | )* |
| C-Class | | | (16,819 | ) | | | (22,781 | )* |
| H-Class | | | (2,861,058 | ) | | | (24,997,042 | )* |
| Net increase in shares | | | 31,570 | | | | 154,392 | * |
| * | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 191 |
| INVERSE HIGH YIELD STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.78 | | | $ | 71.69 | | | $ | 76.94 | | | $ | 85.28 | | | $ | 95.91 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.07 | ) | | | (.51 | ) | | | (.80 | ) | | | (.84 | ) | | | (1.40 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.43 | ) | | | (5.40 | ) | | | (4.45 | ) | | | (7.50 | ) | | | (9.23 | ) |
| Total from investment operations | | | (1.50 | ) | | | (5.91 | ) | | | (5.25 | ) | | | (8.34 | ) | | | (10.63 | ) |
| Net asset value, end of period | | $ | 64.28 | | | $ | 65.78 | | | $ | 71.69 | | | $ | 76.94 | | | $ | 85.28 | |
| |
| Total Returnb | | | (2.28 | %) | | | (8.26 | %) | | | (6.81 | %) | | | (9.59 | %) | | | (11.30 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,746 | | | $ | 915 | | | $ | 2,642 | | | $ | 372 | | | $ | 5,155 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.12 | %) | | | (0.74 | %) | | | (1.07 | %) | | | (1.02 | %) | | | (1.52 | %) |
| Total expensesc | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % | | | 1.52 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 41 | % | | | 480 | % | | | 1,722 | % | | | 784 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 61.63 | | | $ | 67.67 | | | $ | 73.24 | | | $ | 81.11 | | | $ | 91.93 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.39 | ) | | | (.85 | ) | | | (1.16 | ) | | | (1.20 | ) | | | (2.00 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.51 | ) | | | (5.19 | ) | | | (4.41 | ) | | | (6.67 | ) | | | (8.82 | ) |
| Total from investment operations | | | (1.90 | ) | | | (6.04 | ) | | | (5.57 | ) | | | (7.87 | ) | | | (10.82 | ) |
| Net asset value, end of period | | $ | 59.73 | | | $ | 61.63 | | | $ | 67.67 | | | $ | 73.24 | | | $ | 81.11 | |
| |
| Total Returnb | | | (3.08 | %) | | | (8.97 | %) | | | (7.59 | %) | | | (9.49 | %) | | | (11.97 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 769 | | | $ | 1,042 | | | $ | 1,653 | | | $ | 734 | | | $ | 1,561 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.65 | %) | | | (1.32 | %) | | | (1.60 | %) | | | (1.53 | %) | | | (2.28 | %) |
| Total expensesc | | | 2.27 | % | | | 2.27 | % | | | 2.25 | % | | | 2.25 | % | | | 2.30 | % |
| Portfolio turnover rate | | | 41 | % | | | 480 | % | | | 1,722 | % | | | 784 | % | | | — | |
| 192 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 67.70 | | | $ | 72.70 | | | $ | 77.91 | | | $ | 85.66 | | | $ | 96.16 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.12 | ) | | | (.74 | ) | | | (.64 | ) | | | (.76 | ) | | | (1.40 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (1.69 | ) | | | (4.26 | ) | | | (4.57 | ) | | | (6.99 | ) | | | (9.10 | ) |
| Total from investment operations | | | (1.81 | ) | | | (5.00 | ) | | | (5.21 | ) | | | (7.75 | ) | | | (10.50 | ) |
| Net asset value, end of period | | $ | 65.89 | | | $ | 67.70 | | | $ | 72.70 | | | $ | 77.91 | | | $ | 85.66 | |
| |
| Total Returnb | | | (2.67 | %) | | | (6.90 | %) | | | (6.67 | %) | | | (8.84 | %) | | | (11.11 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 8,755 | | | $ | 14,855 | | | $ | 2,513 | | | $ | 2,124 | | | $ | 2,453 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.18 | %) | | | (1.06 | %) | | | (0.84 | %) | | | (0.93 | %) | | | (1.50 | %) |
| Total expensesc | | | 1.52 | % | | | 1.52 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 41 | % | | | 480 | % | | | 1,722 | % | | | 784 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| 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 4, 2016. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 193 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
For the one-year period ended March 29, 2018, U.S. Government Money Market Fund returned 0.22%.
The initial “lift-off” in December 2015 failed to take hold, as the U.S. Federal Reserve (the “Fed”) only raised rates once in the following 12 months. “Lift-off 2.0,” which began with the December 2016 rate hike, appears to have taken hold, as the U.S. economy continues to expand at a healthy clip and fears of higher interest rates stemming growth subside.
The Fed hiked rates three times in 2017, in March, June, and December, followed by another in March 2018, which was the first meeting with Jay Powell as chairman, who succeeded Janet Yellen. At the time, the Fed said “The economic outlook has strengthened in recent months.”
Fed funds futures show the market at period end was pricing in three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Guggenheim believes the Fed will raise interest rates four times this year.
Performance displayed represents past performance which is no guarantee of future results.
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Holdings Diversification (Market Exposure as % of Net Assets)
FADN – Federal Agency Discount 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 March 29, 2018
| | 1 Year | 5 Year | Since Inception
(06/18/12) |
| U.S. Government Money Market Fund | 0.22% | 0.05% | 0.04% |
| * | | 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. |
| 194 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| FEDERAL AGENCY NOTES†† - 46.2% |
| Federal Home Loan Bank1 | | | | | | |
| 1.71% (1 Month USD LIBOR - 0.14%) due 08/22/182 | | $ | 45,000,000 | | | $ | 45,000,000 | |
| 1.74% (1 Month USD LIBOR - 0.13%) due 06/25/182 | | | 37,000,000 | | | | 37,000,041 | |
| 1.72% (1 Month USD LIBOR - 0.15%) due 04/26/182 | | | 30,000,000 | | | | 29,999,917 | |
| 1.73% (1 Month USD LIBOR - 0.13%) due 11/23/182 | | | 9,000,000 | | | | 9,000,000 | |
| 1.12% due 04/25/18 | | | 2,100,000 | | | | 2,099,126 | |
| 1.12% due 09/14/18 | | | 1,605,000 | | | | 1,600,567 | |
| 1.66% (1 Month USD LIBOR - 0.15%) due 04/17/182 | | | 1,600,000 | | | | 1,599,966 | |
| 1.78% (1 Month USD LIBOR - 0.08%) due 07/23/182 | | | 1,500,000 | | | | 1,500,286 | |
| Total Federal Home Loan Bank | | | | | | | 127,799,903 | |
| Federal Farm Credit Bank1 | | | | | | | | |
| 1.67% (U.S. Prime Rate -3.08%) due 03/12/192 | | | 23,000,000 | | | | 22,970,394 | |
| 1.96% (1 Month USD LIBOR + 0.09%) due 05/25/182 | | | 16,000,000 | | | | 16,006,239 | |
| 1.68% (U.S. Prime Rate - 3.07%) due 02/20/192 | | | 15,000,000 | | | | 14,999,334 | |
| 1.90% (U.S. Prime Rate - 2.85%) due 08/10/182 | | | 13,500,000 | | | | 13,513,758 | |
| 1.83% (1 Month USD LIBOR + 0.05%) due 04/16/182 | | | 10,230,000 | | | | 10,230,488 | |
| 1.79% (U.S. Prime Rate - 2.96%) due 05/11/182 | | | 5,000,000 | | | | 5,001,079 | |
| 0.78% due 07/05/18 | | | 5,000,000 | | | | 4,989,382 | |
| 0.87% due 06/13/18 | | | 3,480,000 | | | | 3,475,352 | |
| 1.92% (1 Month USD LIBOR + 0.04%) due 05/03/182 | | | 3,250,000 | | | | 3,250,364 | |
| 1.85% (U.S. Prime Rate - 2.90%) due 05/14/182 | | | 3,000,000 | | | | 3,000,916 | |
| 2.14% (3 Month USD LIBOR - 0.03%) due 09/18/182 | | | 2,000,000 | | | | 2,001,334 | |
| 1.76% (1 Month USD LIBOR + 0.05%) due 04/09/182 | | | 1,530,000 | | | | 1,530,011 | |
| 2.58% due 06/08/18 | | | 1,460,000 | | | | 1,462,799 | |
| 0.93% due 04/13/18 | | | 1,250,000 | | | | 1,249,631 | |
| 0.93% due 09/06/18 | | | 440,000 | | | | 437,936 | |
| 5.05% due 08/01/18 | | | 100,000 | | | | 101,102 | |
| Total Federal Farm Credit Bank | | | | | | | 104,220,119 | |
| Fannie Mae3 | | | | | | | | |
| 1.87% due 09/18/18 | | | 15,000,000 | | | | 14,996,167 | |
| 0.87% due 07/27/18 | | | 650,000 | | | | 648,321 | |
| 4.60% due 06/05/18 | | | 390,000 | | | | 392,082 | |
| Total Fannie Mae | | | | | | | 16,036,570 | |
| Freddie Mac3 | | | | | | | | |
| 4.87% due 06/13/18 | | | 3,420,000 | | | | 3,442,880 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $251,499,472) | | | | | | | 251,499,472 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 26.6% |
| U.S. Treasury Bills | | | | | | | | |
| 1.62% due 08/09/184,5 | | | 67,500,000 | | | | 67,094,862 | |
| 1.61% due 05/31/184,5 | | | 20,000,000 | | | | 19,945,667 | |
| 1.62% due 06/14/184,5 | | | 20,000,000 | | | | 19,930,245 | |
| 1.70% due 06/14/184,5 | | | 20,000,000 | | | | 19,930,244 | |
| 1.70% due 08/09/184,5 | | | 18,000,000 | | | | 17,891,963 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $144,792,981) | | | | | | | 144,792,981 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 2.8% |
| Federal Home Loan Bank1 | | | | | | | | |
| 1.67% due 12/04/184,5 | | | 8,500,000 | | | | 8,402,607 | |
| 1.70% due 04/27/184,5 | | | 3,700,000 | | | | 3,695,457 | |
| 1.48% due 04/06/182,4 | | | 1,000,000 | | | | 999,997 | |
| 1.73% due 05/17/184,5 | | | 750,000 | | | | 748,342 | |
| 1.68% due 04/02/184,5 | | | 700,000 | | | | 699,967 | |
| 1.78% due 12/03/184,5 | | | 700,000 | | | | 691,486 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $15,237,856) | | | | | | | 15,237,856 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,6 - 22.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | | 90,798,628 | | | | 90,798,628 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 29,711,735 | | | | 29,711,735 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $120,510,363) | | | | | | | 120,510,363 | |
| | | | | | | | | |
| Total Investments - 97.7% | | | | | | | | |
| (Cost $532,040,672) | | | | | | $ | 532,040,672 | |
| Other Assets & Liabilities, net - 2.3% | | | | | | | 12,486,981 | |
| Total Net Assets - 100.0% | | | | | | $ | 544,527,653 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 195 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
| †† | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 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 |
| | | USD — United States Dollar |
| | | |
| | | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | 15,237,856 | | | $ | — | | | $ | 15,237,856 | |
| Federal Agency Notes | | | — | | | | 251,499,472 | | | | — | | | | 251,499,472 | |
| Repurchase Agreements | | | — | | | | 120,510,363 | | | | — | | | | 120,510,363 | |
| U.S. Treasury Bills | | | — | | | | 144,792,981 | | | | — | | | | 144,792,981 | |
| Total Assets | | $ | — | | | $ | 532,040,672 | | | $ | — | | | $ | 532,040,672 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 196 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| U.S. GOVERNMENT MONEY MARKET FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value (cost $411,530,309) | | $ | 411,530,309 | |
| Repurchase agreements, at value (cost $120,510,363) | | | 120,510,363 | |
| Receivables: |
| Fund shares sold | | | 36,983,200 | |
| Interest | | | 300,756 | |
| Total assets | | | 569,324,628 | |
| | | | | |
| Liabilities: |
| Overdraft due to custodian bank | | | 1,521 | |
| Payable for: |
| Fund shares redeemed | | | 24,285,023 | |
| Management fees | | | 231,124 | |
| Transfer agent and administrative fees | | | 92,450 | |
| Portfolio accounting fees | | | 39,028 | |
| Trustees’ fees* | | | 15,587 | |
| Miscellaneous | | | 132,242 | |
| Total liabilities | | | 24,796,975 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 544,527,653 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 544,455,620 | |
| Undistributed net investment income | | | 36,005 | |
| Accumulated net realized gain on investments | | | 36,028 | |
| Net unrealized appreciation on investments | | | — | |
| Net assets | | $ | 544,527,653 | |
| Capital shares outstanding | | | 544,437,637 | |
| Net asset value per share | | $ | 1.00 | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Interest | | $ | 5,926,321 | |
| Total investment income | | | 5,926,321 | |
| | | | | |
| Expenses: |
| Management fees | | | 2,550,483 | |
| Transfer agent and administrative fees | | | 1,020,204 | |
| Registration fees | | | 440,039 | |
| Portfolio accounting fees | | | 406,002 | |
| Custodian fees | | | 69,644 | |
| Trustees’ fees* | | | 44,565 | |
| Miscellaneous | | | 382,807 | |
| Total expenses | | | 4,913,744 | |
| Less: |
| Expenses waived by Adviser | | | (130,288 | ) |
| Net expenses | | | 4,783,456 | |
| Net investment income | | | 1,142,865 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 36,028 | |
| Net realized gain | | | 36,028 | |
| Net increase in net assets resulting from operations | | $ | 1,178,893 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 197 |
| U.S. GOVERNMENT MONEY MARKET FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 1,142,865 | | | $ | (2,447 | ) |
| Net realized gain on investments | | | 36,028 | | | | 342,140 | |
| Net change in unrealized appreciation (depreciation) on investments | | | — | | | | — | |
| Net increase in net assets resulting from operations | | | 1,178,893 | | | | 339,693 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | (1,140,517 | ) | | | (220 | ) |
| Net realized gains | | | — | | | | (39,373 | ) |
| Total distributions to shareholders | | | (1,140,517 | ) | | | (39,593 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | 6,610,194,685 | | | | 8,235,820,623 | |
| Distributions reinvested | | | 1,140,517 | | | | 37,712 | |
| Cost of shares redeemed | | | (6,694,359,755 | ) | | | (8,252,516,655 | ) |
| Net decrease from capital share transactions | | | (83,024,553 | ) | | | (16,658,320 | ) |
| Net decrease in net assets | | | (82,986,177 | ) | | | (16,358,220 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 627,513,830 | | | | 643,872,050 | |
| End of year | | $ | 544,527,653 | | | $ | 627,513,830 | |
| Undistributed net investment income at end of year | | $ | 36,005 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | 6,610,188,136 | | | | 8,235,820,662 | |
| Shares issued from reinvestment of distributions | | | 1,146,944 | | | | 39,361 | |
| Shares redeemed | | | (6,694,359,756 | ) | | | (8,252,516,656 | ) |
| Net decrease in shares | | | (83,024,676 | ) | | | (16,656,633 | ) |
| 198 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| U.S. GOVERNMENT MONEY MARKET FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| Income (loss) from investment operations: |
| Net investment income (loss) | | | — | a | | | — | a | | | — | a | | | — | a | | | — | a |
| Net gain (loss) on investments (realized and unrealized) | | | — | a | | | — | a | | | — | a | | | — | a | | | — | a |
| Total from investment operations | | | — | a | | | — | a | | | — | a | | | — | a | | | — | a |
| Less distributions from: |
| Net investment income | | | (— | )a | | | (— | )a | | | (— | )a | | | (— | )a | | | (— | )a |
| Net realized gains | | | — | | | | — | | | | — | | | | (— | )a | | | — | |
| Total Distributions | | | (— | )a | | | (— | )a | | | (— | )a | | | (— | )a | | | (— | )a |
| Net asset value, end of period | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| |
| Total Return | | | 0.22 | % | | | 0.01 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 544,528 | | | $ | 627,514 | | | $ | 643,872 | | | $ | 694,549 | | | $ | 780,135 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.22 | % | | | 0.00 | %c | | | 0.00 | %c | | | 0.00 | %c | | | 0.00 | %c |
| Total expenses | | | 0.96 | % | | | 0.95 | % | | | 0.91 | % | | | 0.92 | % | | | 0.93 | % |
| Net expensesb | | | 0.94 | % | | | 0.47 | % | | | 0.22 | % | | | 0.08 | % | | | 0.09 | % |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | | Less than $0.01 per share. |
| b | | Net expense information reflects the expense ratios after expense waivers. |
| c | | Less than 0.01%. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 199 |
| NOTES TO FINANCIAL STATEMENTS |
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 March 29, 2018, 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
March 29, 2018 represents the last day during the Funds’ annual period on which the New York Stock Exchange (“NYSE”) was open for trading. The Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ NAV calculations used for shareholder transactions.
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 a fund is calculated by dividing the market value of a 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 March 29, 2018, 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,
| 200 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 (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”) 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.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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
| | THE RYDEX FUNDS ANNUAL REPORT | 201 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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.
(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 March 29, 2018, 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 Real Estate Investment Trusts (“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.
| 202 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
(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 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 1.68% at March 29, 2018.
(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 of 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 203 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 Amount | |
| Fund | | Use | | Long | | | Short | |
| Nova Fund | | Index exposure, Leverage, Liquidity | | $ | 82,703,750 | | | $ | — | |
| S&P 500® Fund | | Index exposure, Liquidity | | | 2,750,859 | | | | — | |
| Inverse S&P 500® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 11,834,259 | |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 616,871 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 1,991,205 | |
| Mid-Cap 1.5x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 8,273,793 | | | | — | |
| Inverse Mid-Cap Strategy Fund | | Index exposure, Liquidity | | | — | | | | 493,625 | |
| Russell 2000® 1.5x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 2,746,666 | | | | — | |
| Russell 2000® Fund | | Index exposure, Liquidity | | | 3,410,578 | | | | — | |
| Inverse Russell 2000® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 507,031 | |
| Dow Jones Industrial Average® Fund | | Index exposure, Liquidity | | | 3,663,173 | | | | — | |
| Government Long Bond 1.2x Strategy Fund | | Duration, Index exposure, Leverage, Liquidity | | | 49,044,813 | | | | — | |
| Inverse Government Long Bond Strategy Fund | | Duration, Index exposure, Liquidity | | | — | | | | 26,580,922 | |
| High Yield Strategy Fund | | Duration, Index exposure, Liquidity | | | 239,788,441 | | | | — | |
| Inverse High Yield Strategy Fund | | Duration, Index exposure, Liquidity | | | — | | | | 7,242,574 | |
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. The exchange bears the risk of loss for interest rate swaps.
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. 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.
| 204 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
| | | | | Average Notional Amount | |
| Fund | | Use | | Long | | | Short | |
| Nova Fund | | Index exposure, Leverage, Liquidity | | $ | 294,075,991 | | | $ | — | |
| S&P 500® Fund | | Index exposure, Liquidity | | | 24,709,666 | | | | — | |
| Inverse S&P 500® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 57,866,545 | |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 49,789,245 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 7,859,376 | |
| Mid-Cap 1.5x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 23,534,654 | | | | — | |
| Inverse Mid-Cap Strategy Fund | | Index exposure, Liquidity | | | — | | | | 726,483 | |
| Russell 2000® 1.5x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 10,285,819 | | | | — | |
| Russell 2000® Fund | | Index exposure, Liquidity | | | 10,250,016 | | | | — | |
| Inverse Russell 2000® Strategy Fund | | Index exposure, Liquidity | | | — | | | | 7,211,662 | |
| Dow Jones Industrial Average® Fund | | Index exposure, Liquidity | | | 21,649,567 | | | | — | |
| High Yield Strategy Fund | | Duration, Index exposure, Liquidity | | | 32,631,784 | | | | — | |
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 Amount | |
| Fund | | Use | | Long | | | Short | |
| High Yield Strategy Fund | | Duration, Index exposure, Liquidity | | $ | 257,948,010 | | | $ | — | |
| Inverse High Yield Strategy Fund | | Duration, Index exposure, Liquidity | | | — | | | | 7,737,984 | |
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 ANNUAL REPORT | 205 |
| NOTES TO FINANCIAL STATEMENTS (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 March 29, 2018:
| 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 March 29, 2018:
| Asset Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk | | | Total Value at
March 29,
2018 | |
| Nova Fund | | $ | — | | | $ | 2,677,956 | | | $ | — | | | $ | — | | | $ | 2,677,956 | |
| S&P 500® Fund | | | — | | | | 185,861 | | | | — | | | | — | | | | 185,861 | |
| Inverse S&P 500® Strategy Fund | | | — | | | | 107,340 | | | | — | | | | — | | | | 107,340 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | 613,179 | | | | — | | | | — | | | | 613,179 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 187,878 | | | | — | | | | ��� | | | | 187,878 | |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | 101,996 | | | | — | | | | — | | | | 101,996 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 139 | | | | — | | | | — | | | | 139 | |
| Russell 2000® 1.5x Strategy Fund | | | 6,810 | | | | 109,298 | | | | — | | | | — | | | | 116,108 | |
| Russell 2000® Fund | | | — | | | | 188,493 | | | | — | | | | — | | | | 188,493 | |
| Inverse Russell 2000® Strategy Fund | | | 22,799 | | | | 23,512 | | | | — | | | | — | | | | 46,311 | |
| Dow Jones Industrial Average® Fund | | | 1,574 | | | | 73,245 | | | | — | | | | — | | | | 74,819 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 1,867,130 | | | | — | | | | 1,867,130 | |
| High Yield Strategy Fund | | | — | | | | — | | | | 115,786 | | | | 13,205 | | | | 128,991 | |
| Liability Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk | | | Total Value at
March 29,
2018 | |
| Nova Fund | | $ | 11,975,883 | | | $ | 1,954,391 | | | $ | — | | | $ | — | | | $ | 13,930,274 | |
| S&P 500® Fund | | | 10,568 | | | | — | | | | — | | | | — | | | | 10,568 | |
| Inverse S&P 500® Strategy Fund | | | 11,196 | | | | 512,436 | | | | — | | | | — | | | | 523,632 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 94,023 | | | | — | | | | — | | | | — | | | | 94,023 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 10,043 | | | | — | | | | — | | | | 10,043 | |
| Mid-Cap 1.5x Strategy Fund | | | 412,725 | | | | — | | | | — | | | | — | | | | 412,725 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 4,303 | | | | — | | | | — | | | | 4,303 | |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | 9,013 | | | | — | | | | — | | | | 9,013 | |
| Russell 2000® Fund | | | 91,319 | | | | 2,375 | | | | — | | | | — | | | | 93,694 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 5,547 | | | | — | | | | — | | | | 5,547 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | 401,406 | | | | — | | | | 401,406 | |
| High Yield Strategy Fund | | | — | | | | — | | | | — | | | | 4,130 | | | | 4,130 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | 38,200 | | | | 23,913 | | | | 62,113 | |
| * | | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 29, 2018:
| 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 |
| 206 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 29, 2018:
| Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
| Nova Fund | | $ | 11,779,717 | | | $ | 13,380,033 | | | $ | — | | | $ | — | | | $ | 25,159,750 | |
| S&P 500® Fund | | | 794,078 | | | | 1,699,495 | | | | — | | | | — | | | | 2,493,573 | |
| Inverse S&P 500® Strategy Fund | | | (145,657 | ) | | | (10,591,819 | ) | | | — | | | | — | | | | (10,737,476 | ) |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | | 296,505 | | | | 6,869,540 | | | | — | | | | — | | | | 7,166,045 | |
| Inverse NASDAQ-100® Strategy Fund | | | (117,906 | ) | | | (2,428,340 | ) | | | — | | | | — | | | | (2,546,246 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 4,319,690 | | | | 3,350,526 | | | | — | | | | — | | | | 7,670,216 | |
| Inverse Mid-Cap Strategy Fund | | | (38,237 | ) | | | (88,110 | ) | | | — | | | | — | | | | (126,347 | ) |
| Russell 2000® 1.5x Strategy Fund | | | 720,735 | | | | 1,023,601 | | | | — | | | | — | | | | 1,744,336 | |
| Russell 2000® Fund | | | 258,442 | | | | 569,052 | | | | — | | | | — | | | | 827,494 | |
| Inverse Russell 2000® Strategy Fund | | | (313,912 | ) | | | (1,415,654 | ) | | | — | | | | — | | | | (1,729,566 | ) |
| Dow Jones Industrial Average® Fund | | | 909,860 | | | | 2,081,359 | | | | — | | | | — | | | | 2,991,219 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | (803,576 | ) | | | — | | | | (803,576 | ) |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (913,457 | ) | | | — | | | | (913,457 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | (1,907,409 | ) | | | 14,847,371 | | | | 12,939,962 | |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | 211,939 | | | | (551,626 | ) | | | (339,687 | ) |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
| Nova Fund | | $ | (12,108,720 | ) | | $ | 737,131 | | | $ | — | | | $ | — | | | $ | (11,371,589 | ) |
| S&P 500® Fund | | | (14,304 | ) | | | 137,332 | | | | — | | | | — | | | | 123,028 | |
| Inverse S&P 500® Strategy Fund | | | (17,039 | ) | | | 187,710 | | | | — | | | | — | | | | 170,671 | |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | | (102,132 | ) | | | 497,343 | | | | — | | | | — | | | | 395,211 | |
| Inverse NASDAQ-100® Strategy Fund | | | 7,107 | | | | 241,922 | | | | — | | | | — | | | | 249,029 | |
| Mid-Cap 1.5x Strategy Fund | | | (421,028 | ) | | | (407,420 | ) | | | — | | | | — | | | | (828,448 | ) |
| Inverse Mid-Cap Strategy Fund | | | — | | | | 852 | | | | — | | | | — | | | | 852 | |
| Russell 2000® 1.5x Strategy Fund | | | (34,755 | ) | | | (99,909 | ) | | | — | | | | — | | | | (134,664 | ) |
| Russell 2000® Fund | | | (112,234 | ) | | | 67,725 | | | | — | | | | — | | | | (44,509 | ) |
| Inverse Russell 2000® Strategy Fund | | | 190,563 | | | | 118,138 | | | | — | | | | — | | | | 308,701 | |
| Dow Jones Industrial Average® Fund | | | 47,862 | | | | 78,681 | | | | — | | | | — | | | | 126,543 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | 1,524,715 | | | | — | | | | 1,524,715 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (347,266 | ) | | | — | | | | (347,266 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | (1,337,194 | ) | | | (2,610,832 | ) | | | (3,948,026 | ) |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | (33,926 | ) | | | (566 | ) | | | (34,492 | ) |
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 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 ANNUAL REPORT | 207 |
| NOTES TO FINANCIAL STATEMENTS (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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypotheticated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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 | | $ | 2,677,956 | | | $ | — | | | | 2,677,956 | | | $ | — | | | $ | — | | | $ | 2,677,956 | |
| S&P 500® Fund | | Swap equity contracts | | | 185,861 | | | | — | | | | 185,861 | | | | — | | | | — | | | | 185,861 | |
| Inverse S&P 500® Strategy Fund | | Swap equity contracts | | | 107,340 | | | | — | | | | 107,340 | | | | — | | | | — | | | | 107,340 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | Swap equity contracts | | | 613,179 | | | | — | | | | 613,179 | | | | — | | | | — | | | | 613,179 | |
| Inverse NASDAQ-100 Strategy Fund | | Swap equity contracts | | | 187,878 | | | | — | | | | 187,878 | | | | — | | | | — | | | | 187,878 | |
| Mid-Cap 1.5x Strategy Fund | | Swap equity contracts | | | 101,996 | | | | — | | | | 101,996 | | | | — | | | | — | | | | 101,996 | |
| Inverse Mid-Cap Strategy Fund | | Swap equity contracts | | | 139 | | | | — | | | | 139 | | | | — | | | | — | | | | 139 | |
| Russell 2000® 1.5x Strategy Fund | | Swap equity contracts | | | 109,298 | | | | — | | | | 109,298 | | | | — | | | | — | | | | 109,298 | |
| Russell 2000® Fund | | Swap equity contracts | | | 188,493 | | | | — | | | | 188,493 | | | | — | | | | — | | | | 188,493 | |
| Inverse Russell 2000® Strategy Fund | | Swap equity contracts | | | 23,512 | | | | — | | | | 23,512 | | | | — | | | | — | | | | 23,512 | |
| Dow Jones Industrial Average® Fund | | Swap equity contracts | | | 73,245 | | | | — | | | | 73,245 | | | | — | | | | — | | | | 73,245 | |
| High Yield Strategy Fund | | Swap credit contracts | | | 13,205 | | | | — | | | | 13,205 | | | | — | | | | — | | | | 13,205 | |
| 208 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (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 | |
| Nova Fund | | Swap equity contracts | | $ | 1,954,391 | | | $ | — | | | $ | 1,954,391 | | | $ | 1,954,391 | | | $ | — | | | $ | — | |
| Inverse S&P 500® Strategy Fund | | Swap equity contracts | | | 512,436 | | | | — | | | | 512,436 | | | | 500,993 | | | | 11,443 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | Swap equity contracts | | | 10,043 | | | | — | | | | 10,043 | | | | 8,429 | | | | — | | | | 1,614 | |
| Inverse Mid-Cap Strategy Fund | | Swap equity contracts | | | 4,303 | | | | — | | | | 4,303 | | | | 3,128 | | | | 1,175 | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | Swap equity contracts | | | 9,013 | | | | — | | | | 9,013 | | | | 9,013 | | | | — | | | | — | |
| Russell 2000® Fund | | Swap equity contracts | | | 2,375 | | | | — | | | | 2,375 | | | | 2,375 | | | | — | | | | — | |
| Inverse Russell 2000® Strategy Fund | | Swap equity contracts | | | 5,547 | | | | — | | | | 5,547 | | | | 1,199 | | | | 4,348 | | | | — | |
| 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 March 29, 2018. The derivatives tables following the Schedules 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.
| Fund | | Counterparty | | Asset Type | | Cash Pledged | | | Cash Received | |
| Nova Fund | | Barclays Bank plc | | Total Return Swap agreements | | $ | 20,836,184 | | | $ | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 8,635,718 | | | | — | |
| Nova Fund Total | | | | | | | 29,471,902 | | | | — | |
| S&P 500® Fund | | Goldman Sachs Group | | Futures contracts | | | 58,000 | | | | — | |
| S&P 500® Fund Total | | | | | | | 58,000 | | | | — | |
| Inverse S&P 500® Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 11,443 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 29,000 | | | | — | |
| Inverse S&P 500® Strategy Fund Total | | | | | | | 40,443 | | | | — | |
| Monthly Rebalance Nasdaq-100® 2x Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 2,470,000 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 78,300 | | | | — | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund Total | | Barclays Bank plc | | Total Return Swap agreements | | | 2,548,300 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | Goldman Sachs Group | | Futures contracts | | | 11,600 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund Total | | | | | | | 11,600 | | | | — | |
| Mid-Cap 1.5x Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 285,345 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 472,500 | | | | — | |
| Mid-Cap 1.5x Strategy Fund Total | | | | | | | 757,845 | | | | — | |
| Inverse Mid-Cap Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 250,000 | | | | — | |
| Inverse Mid-Cap Strategy Fund Total | | | | | | | 250,000 | | | | — | |
| Russell 2000® 1.5x Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 760,000 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 35,000 | | | | — | |
| Russell 2000® 1.5x Strategy Fund Total | | | | | | | 795,000 | | | | — | |
| | THE RYDEX FUNDS ANNUAL REPORT | 209 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
| Fund | | Counterparty | | Asset Type | | Cash Pledged | | | Cash Received | |
| Russell 2000® Fund | | Barclays Bank plc | | Total Return Swap agreements | | $ | 2,030,000 | | | $ | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 150,500 | | | | — | |
| Russell 2000® Fund Total | | | | | | | 2,180,500 | | | | — | |
| Inverse Russell 2000® Strategy Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 60,000 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 21,000 | | | | — | |
| Inverse Russell 2000® Strategy Fund Total | | | | | | | 81,000 | | | | — | |
| Dow Jones Industrial Average® Fund | | Barclays Bank plc | | Total Return Swap agreements | | | 420,000 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 10,600 | | | | — | |
| Dow Jones Industrial Average® Fund Total | | | | | | | 430,600 | | | | — | |
| Government Long Bond 1.2x Strategy Fund | | Goldman Sachs Group | | Futures contracts | | | 97,434 | | | | — | |
| Government Long Bond 1.2x Strategy Fund Total | | | | | | | 97,434 | | | | — | |
| Inverse Government Long Bond Strategy Fund | | Goldman Sachs Group | | Futures contracts | | | 293,700 | | | | — | |
| Inverse Government Long Bond Strategy Fund Total | | Goldman Sachs Group | | Futures contracts | | | 293,700 | | | | — | |
| High Yield Strategy Fund | | Barclays Bank plc | | Credit Default Swaps agreements | | | — | | | | 120,059 | |
| | | Goldman Sachs Group
| | Credit Default Swaps agreements | | | — | | | | 970,036 | |
| High Yield Strategy Fund Total | | | | | | | — | | | | 1,090,095 | |
| Inverse High Yield Strategy Fund | | Barclays Bank plc | | Credit Default Swaps agreements | | | 1,661,911 | | | | — | |
| | | Goldman Sachs Group | | Futures contracts | | | 85,120 | | | | — | |
| Inverse High Yield Strategy Fund Total | | | | | | | 1,747,031 | | | | — | |
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.
| 210 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
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.
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, indemnification, 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 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 year ended March 29, 2018, GFD retained sales charges of $173,191 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees of GI and GFD.
| | THE RYDEX FUNDS ANNUAL REPORT | 211 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets 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 March 29, 2018, the repurchase agreements in the joint account were as follows:
| Counterparty and Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| JPMorgan Chase & Co. | | | | | | | | U.S Treasury Notes | | | | | | |
| 1.80% | | | | | | | | 1.38% - 2.75% | | | | | | |
| Due 04/02/18 | | $ | 208,198,841 | | | $ | 208,240,481 | | | 04/15/20 - 05/15/25 | | $ | 208,076,600 | | | $ | 207,119,552 | |
| | | | | | | | | | | U.S. TIP Notes | | | | | | | | |
| | | | | | | | | | | 0.13% | | | | | | | | |
| | | | | | | | | | | 04/15/20 | | | 4,654,400 | | | | 4,908,055 | |
| | | | | | | | | | | U.S. Treasury Bonds | | | | | | | | |
| | | | | | | | | | | 3.00% - 8.00% | | | | | | | | |
| | | | | | | | | | | 11/15/21/- 05/15/45 | | | 329,500 | | | | 335,239 | |
| | | | | | | | | | | | | | 213,060,500 | | | | 212,362,846 | |
| | | | | | | | | | | | | | | | | | | |
| Bank of America Merrill Lynch | | | | | | | | | | U.S. Treasury Notes | | | | | | | | |
| 1.78% | | | | | | | | | | 1.63% | | | | | | | | |
| Due 04/02/18 | | | 68,128,219 | | | | 68,141,693 | | | 06/30/20 - 07/31/20 | | | 70,403,800 | | | | 69,490,837 | �� |
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 their 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.
| 212 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
At March 29, 2018, 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 | | $ | 113,106 | | | $ | (113,106 | ) | | $ | — | | | $ | 116,228 | | | $ | — | | | $ | 116,228 | |
| S&P 500® Fund | | | 418,218 | | | | (418,218 | ) | | | — | | | | 430,184 | | | | — | | | | 430,184 | |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | | 122,224 | | | | (122,224 | ) | | | — | | | | 124,532 | | | | — | | | | 124,532 | |
| Mid-Cap 1.5x Strategy Fund | | | 29,443 | | | | (29,443 | ) | | | — | | | | 30,559 | | | | — | | | | 30,559 | |
| Russell 2000® 1.5x Strategy Fund | | | 56,529 | | | | (56,529 | ) | | | — | | | | 58,130 | | | | — | | | | 58,130 | |
| Russell 2000® Fund | | | 686,182 | | | | (686,182 | ) | | | — | | | | 705,775 | | | | — | | | | 705,775 | |
| (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 or federal excise 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 tax character of distributions paid during the year ended March 29, 2018 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| Nova Fund | | $ | 8,790,576 | | | $ | — | | | $ | 8,790,576 | |
| S&P 500® Fund | | | 11,066,512 | | | | 1,513,761 | | | | 12,580,273 | |
| Mid-Cap 1.5x Strategy Fund | | | 1,321,163 | | | | — | | | | 1,321,163 | |
| Russell 2000® Fund | | | 2,316,654 | | | | — | | | | 2,316,654 | |
| Dow Jones Industrial Average® Fund | | | 3,482,646 | | | | — | | | | 3,482,646 | |
| Government Long Bond 1.2x Strategy Fund | | | 1,123,019 | | | | — | | | | 1,123,019 | |
| High Yield Strategy Fund | | | 15,459,152 | | | | — | | | | 15,459,152 | |
| U.S. Government Money Market Fund | | | 1,140,517 | | | | — | | | | 1,140,517 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 213 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 31, 2017 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| Nova Fund | | $ | 36,022 | | | $ | 1,146,043 | | | $ | 1,182,065 | |
| S&P 500® Fund | | | 352,020 | | | | 2,075,033 | | | | 2,427,053 | |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | 715,324 | | | | 715,324 | |
| Russell 2000® 1.5x Strategy Fund | | | 309,859 | | | | 741,106 | �� | | | 1,050,965 | |
| Dow Jones Industrial Average® Fund | | | 282,484 | | | | 198,308 | | | | 480,792 | |
| Government Long Bond 1.2x Strategy Fund | | | 1,045,691 | | | | 1,662,337 | | | | 2,708,028 | |
| High Yield Strategy Fund | | | 10,398,192 | | | | — | | | | 10,398,192 | |
| U.S. Government Money Market Fund | | | 39,593 | | | | — | | | | 39,593 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of March 29, 2018 were as follows:
| Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Total | |
| Nova Fund | | $ | — | | | $ | — | | | $ | 609,957 | | | $ | — | | | $ | 609,957 | |
| S&P 500® Fund | | | 2,885,171 | | | | — | | | | 26,720,124 | | | | — | | | | 29,605,295 | |
| Inverse S&P 500® Strategy Fund | | | — | | | | — | | | | (352,170 | ) | | | (262,222,497 | ) | | | (262,574,667 | ) |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | — | | | | 3,412,118 | | | | (86,893,794 | ) | | | (83,481,676 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | — | | | | 205,344 | | | | (39,865,868 | ) | | | (39,660,524 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 752,296 | | | | — | | | | 145,618 | | | | — | | | | 897,914 | |
| Inverse Mid-Cap Strategy Fund | | | — | | | | — | | | | (2,305 | ) | | | (6,217,229 | ) | | | (6,219,534 | ) |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | — | | | | 137,046 | | | | (953,477 | ) | | | (816,431 | ) |
| Russell 2000® Fund | | | — | | | | — | | | | 3,105,216 | | | | — | | | | 3,105,216 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | — | | | | 28,342 | | | | (36,515,609 | ) | | | (36,487,267 | ) |
| Dow Jones Industrial Average® Fund | | | 170,869 | | | | — | | | | 9,818,449 | | | | — | | | | 9,989,318 | |
| Government Long Bond 1.2x Strategy Fund | | | 1,027 | | | | — | | | | 2,782,574 | | | | (7,557,064 | ) | | | (4,773,463 | ) |
| Inverse Government Long Bond Strategy Fund | | | — | | | | — | | | | (3,652,020 | ) | | | (271,671,189 | ) | | | (275,323,209 | ) |
| High Yield Strategy Fund | | | — | | | | — | | | | 181,252 | | | | (4,882,935 | ) | | | (4,701,683 | ) |
| Inverse High Yield Strategy Fund | | | — | | | | — | | | | (8,608 | ) | | | (14,007,575 | ) | | | (14,016,183 | ) |
| U.S. Government Money Market Fund | | | 72,033 | | | | — | | | | — | | | | — | | | | 72,033 | |
| 214 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of March 29, 2018, capital loss carryforwards for the Funds were as follows:
| | | | | Unlimited | | | | |
| Fund | | Expires in
2019 | | | Short-Term | | | | Long-Term | | | | Total
Capital Loss
Carryforward | |
| Inverse S&P 500® Strategy Fund | | $ | (64,265,070 | ) | | $ | (174,608,983 | ) | | $ | (23,348,444 | ) | | $ | (262,222,497 | ) |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | (78,080,514 | ) | | | (8,759,292 | ) | | | (86,839,806 | ) |
| Inverse NASDAQ-100® Strategy Fund | | | (9,266,829 | ) | | | (27,737,943 | ) | | | (2,853,982 | ) | | | (39,858,754 | ) |
| Inverse Mid-Cap Strategy Fund | | | (1,499,847 | ) | | | (4,001,951 | ) | | | (714,280 | ) | | | (6,216,078 | ) |
| Russell 2000® 1.5x Strategy Fund | | | — | | | | (839,807 | ) | | | (51,005 | ) | | | (890,812 | ) |
| Inverse Russell 2000® Strategy Fund | | | (10,451,551 | ) | | | (20,292,588 | ) | | | (5,771,470 | ) | | | (36,515,609 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | (6,647,663 | ) | | | (909,401 | ) | | | (7,557,064 | ) |
| Inverse Government Long Bond Strategy Fund | | | (23,242,075 | ) | | | (201,631,078 | ) | | | (46,276,018 | ) | | | (271,149,171 | ) |
| Inverse High Yield Strategy Fund | | | (4,361,182 | ) | | | (7,973,815 | ) | | | (1,672,578 | ) | | | (14,007,575 | ) |
For the year ended March 29, 2018, the following capital loss carryforward amounts expired or were utilized:
| Fund | | Expired | | | Utilized | | | Total | |
| Inverse S&P 500® Strategy Fund | | $ | 107,667,355 | | | $ | — | | | $ | 107,667,355 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | — | | | | 7,627,022 | | | | 7,627,022 | |
| Inverse NASDAQ-100® Strategy Fund | | | 16,105,314 | | | | — | | | | 16,105,314 | |
| Inverse Mid-Cap Strategy Fund | | | 6,411,872 | | | | — | | | | 6,411,872 | |
| Inverse Russell 2000® Strategy Fund | | | 15,938,452 | | | | — | | | | 15,938,452 | |
| Inverse Government Long Bond Strategy Fund | | | 68,305,233 | | | | — | | | | 68,305,233 | |
| Inverse High Yield Strategy Fund | | | 3,356,295 | | | | — | | | | 3,356,295 | |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in partnerships and swaps, losses deferred due to wash sales, qualified late year losses, distributions in connection with redemption of fund shares, and the “mark-to-market” or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, distribution reclasses, the “mark-to-market” of certain derivatives, and the expiration of capital loss carryforward amounts. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
| | THE RYDEX FUNDS ANNUAL REPORT | 215 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following adjustments were made on the Statements of Assets and Liabilities as of March 29, 2018 for permanent book/tax differences:
| Fund | | Paid In
Capital | | | Undistributed
Net Investment
Income/(Loss) | | | Accumulated
Net Realized
Gain/(Loss) | |
| Nova Fund | | $ | 18,321,293 | | | $ | (1,415,240 | ) | | $ | (16,906,053 | ) |
| S&P 500® Fund | | | 24,865,302 | | | | 54,752 | | | | (24,920,054 | ) |
| Inverse S&P 500® Strategy Fund | | | (107,947,843 | ) | | | 280,488 | | | | 107,667,355 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | (76,490 | ) | | | 76,490 | | | | — | |
| Inverse NASDAQ-100® Strategy Fund | | | (16,107,132 | ) | | | 1,818 | | | | 16,105,314 | |
| Mid-Cap 1.5x Strategy Fund | | | 14,572,426 | | | | — | | | | (14,572,426 | ) |
| Inverse Mid-Cap Strategy Fund | | | (6,418,146 | ) | | | 6,274 | | | | 6,411,872 | |
| Russell 2000® 1.5x Strategy Fund | | | (5,334 | ) | | | 5,509 | | | | (175 | ) |
| Russell 2000® Fund | | | 3,144,725 | | | | 237,408 | | | | (3,382,133 | ) |
| Inverse Russell 2000® Strategy Fund | | | (15,997,975 | ) | | | 59,523 | | | | 15,938,452 | |
| Dow Jones Industrial Average® Fund | | | 3,775,998 | | | | (14,106 | ) | | | (3,761,892 | ) |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | — | | | | — | |
| Inverse Government Long Bond Strategy Fund | | | (71,315,216 | ) | | | 3,009,982 | | | | 68,305,234 | |
| High Yield Strategy Fund | | | 5,584,410 | | | | 8,203,867 | | | | (13,788,277 | ) |
| Inverse High Yield Strategy Fund | | | (3,664,153 | ) | | | 307,858 | | | | 3,356,295 | |
| U.S. Government Money Market Fund | | | — | | | | 33,657 | | | | (33,657 | ) |
At March 29, 2018, 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 | | $ | 495,235,369 | | | $ | 5,504,333 | | | $ | (4,894,376 | ) | | $ | 609,957 | |
| S&P 500® Fund | | | 190,259,408 | | | | 29,640,613 | | | | (2,920,489 | ) | | | 26,720,124 | |
| Inverse S&P 500® Strategy Fund | | | 69,712,014 | | | | 209,211 | | | | (561,381 | ) | | | (352,170 | ) |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 22,198,527 | | | | 3,548,719 | | | | (136,601 | ) | | | 3,412,118 | |
| Inverse NASDAQ-100® Strategy Fund | | | 8,794,319 | | | | 215,387 | | | | (10,043 | ) | | | 205,344 | |
| Mid-Cap 1.5x Strategy Fund | | | 21,176,570 | | | | 288,806 | | | | (143,188 | ) | | | 145,618 | |
| Inverse Mid-Cap Strategy Fund | | | 482,476 | | | | 1,998 | | | | (4,303 | ) | | | (2,305 | ) |
| Russell 2000® 1.5x Strategy Fund | | | 8,972,296 | | | | 248,212 | | | | (111,166 | ) | | | 137,046 | |
| Russell 2000® Fund | | | 40,739,270 | | | | 3,938,122 | | | | (832,906 | ) | | | 3,105,216 | |
| Inverse Russell 2000® Strategy Fund | | | 4,367,828 | | | | 36,328 | | | | (7,986 | ) | | | 28,342 | |
| Dow Jones Industrial Average® Fund | | | 72,122,943 | | | | 10,191,927 | | | | (373,478 | ) | | | 9,818,449 | |
| Government Long Bond 1.2x Strategy Fund | | | 119,661,918 | | | | 2,782,950 | | | | (376 | ) | | | 2,782,574 | |
| Inverse Government Long Bond Strategy Fund | | | 123,838,898 | | | | 138,896 | | | | (3,790,916 | ) | | | (3,652,020 | ) |
| High Yield Strategy Fund | | | 35,222,649 | | | | 197,487 | | | | (16,235 | ) | | | 181,252 | |
| Inverse High Yield Strategy Fund | | | 18,032,275 | | | | 15,305 | | | | (23,913 | ) | | | (8,608 | ) |
| U.S. Government Money Market Fund | | | 532,040,672 | | | | — | | | | — | | | | — | |
| 216 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Pursuant to Federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 29, 2018, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2018:
| Fund | | Ordinary | | | Capital | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | $ | (53,988 | ) | | $ | — | |
| Inverse NASDAQ-100® Strategy Fund | | | (7,114 | ) | | | — | |
| Inverse Mid-Cap Strategy Fund | | | (1,151 | ) | | | — | |
| Russell 2000® 1.5x Strategy Fund | | | (62,665 | ) | | | — | |
| Inverse Government Long Bond Strategy Fund | | | (522,018 | ) | | | — | |
| High Yield Strategy Fund | | | — | | | | (4,882,935 | ) |
Note 9 – Securities Transactions
For the year ended March 29, 2018, 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 | | $ | 4,339,821,391 | | | $ | 4,321,767,453 | |
| S&P 500® Fund | | | 336,118,437 | | | | 411,259,869 | |
| Inverse S&P 500® Strategy Fund | | | 12,639,076 | | | | 32,040,000 | |
| Monthly Rebalance NASDAQ-100 2x Strategy Fund | | | 128,295,786 | | | | 133,705,541 | |
| Inverse NASDAQ-100® Strategy Fund | | | — | | | | 1,000,000 | |
| Mid-Cap 1.5x Strategy Fund | | | 491,152,528 | | | | 504,993,986 | |
| Inverse Mid-Cap Strategy Fund | | | 120,000 | | | | 100,000 | |
| Russell 2000® 1.5x Strategy Fund | | | 58,487,393 | | | | 60,056,708 | |
| Russell 2000® Fund | | | 59,868,826 | | | | 80,584,482 | |
| Inverse Russell 2000® Strategy Fund | | | — | | | | 100,000 | |
| Dow Jones Industrial Average® Fund | | | 157,883,738 | | | | 133,616,124 | |
| Government Long Bond 1.2x Strategy Fund | | | — | | | | 1,300,000 | |
| Inverse Government Long Bond Strategy Fund | | | 12,000,288 | | | | 57,000,000 | |
| High Yield Strategy Fund | | | 158,381,823 | | | | 194,949,000 | |
| Inverse High Yield Strategy Fund | | | 900,000 | | | | 1,300,000 | |
| U.S. Government Money Market Fund | | | — | | | | — | |
For the year ended March 29, 2018, the cost of purchases and proceeds from sales of government securities were as follows:
| Fund | | Purchases | | | Sales | |
| Government Long Bond 1.2x Strategy Fund | | $ | 1,096,922,734 | | | $ | 1,025,724,969 | |
| Inverse Government Long Bond Strategy Fund | | | 1,171,888,172 | | | | 1,136,845,781 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 217 |
| NOTES TO FINANCIAL STATEMENTS (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 year ended March 29, 2018, 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 | | $ | 459,024,525 | | | $ | 346,825,701 | | | $ | 1,370,896 | |
| S&P 500® Fund | | | 252,501,295 | | | | 253,544,820 | | | | 34,932,317 | |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | | | 24,262,480 | | | | 68,689,143 | | | | (60,651 | ) |
| Mid-Cap 1.5x Strategy Fund | | | 2,379,574 | | | | 9,306,114 | | | | 136,328 | |
| Russell 2000® 1.5x Strategy Fund | | | 36,410,841 | | | | 34,955,527 | | | | (210,844 | ) |
| Russell 2000® Fund | | | 36,980,523 | | | | 66,028,398 | | | | 4,203,929 | |
| Dow Jones Industrial Average® Fund | | | 40,728,922 | | | | 68,130,939 | | | | 803,995 | |
| Inverse Government Long Bond Strategy Fund | | | — | | | | 10,000,056 | | | | 56 | |
| U.S. Government Money Market Fund | | | 46,506,837 | | | | — | | | | — | |
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 2.26% for the year ended March 29, 2018. On March 29, 2018, the Monthly Rebalance NASDAQ-100® 2x Strategy Fund borrowed $1,794,000 under this agreement. The remaining funds did not have any borrowings outstanding under this agreement at March 29, 2018.
The average daily balances borrowed for the year ended March 29, 2018, were as follows:
| Fund | | Average Daily Balance | |
| Nova Fund | | $ | 55,227 | |
| S&P 500® Fund | | | 7,045 | |
| Inverse S&P 500® Fund | | | 10,522 | |
| Monthly Rebalance NASDAQ - 100® 2X Strategy Fund | | | 15,998 | |
| Inverse NASDAQ -100® Strategy Fund | | | 151 | |
| Mid Cap 1.5x Strategy Fund | | | 18,222 | |
| Russell 2000® 1.5x Strategy Fund | | | 2,388 | |
| Russell 2000® Fund | | | 1,089 | |
| Inverse Russell® Strategy Fund | | | 419 | |
| Dow Jones Industrial Average® Fund | | | 34,676 | |
| Government Long Bond 1.2x Strategy Fund | | | 43,548 | |
| Inverse Government Long Bond Strategy Fund | | | 10,209 | |
| High Yield Strategy Fund | | | 86,659 | |
| Inverse High Yield Strategy Fund | | | 168 | |
| U.S. Government Money Market Fund | | | 4,677 | |
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
| 218 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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 April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. The court has not yet ruled on the motion.
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. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The District Court has not yet ruled on that request.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 219 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of 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 and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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 (collectively referred to as the “Funds”), (sixteen of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 29, 2018, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (sixteen of the funds constituting Rydex Series Funds) at March 29, 2018, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual fund constituting the
Rydex Series Funds | Statement of
operations | Statement of
changes in net assets | Financial highlights |
Nova Fund S&P 500® Fund Inverse S&P 500® 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 Government Long Bond 1.2x Strategy Fund Inverse Government Long Bond Strategy Fund High Yield Strategy Fund Inverse High Yield Strategy Fund U.S. Government Money Market Fund | For the year ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 | For each of the five years in the period ended March 29, 2018 |
| Monthly Rebalance NASDAQ-100® 2x Strategy Fund | For the year ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 | For each of the three years in the period ended March 29, 2018 and the period from November 28, 2014 (commencement of operations) through March 31, 2015 |
| Dow Jones Industrial Average Fund | For the year ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 and the period from December 1, 2015 (commencement of operations) through March 31, 2016 |
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
| 220 | THE RYDEX FUNDS ANNUAL REPORT | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 29, 2018, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 25, 2018
| | THE RYDEX FUNDS ANNUAL REPORT | 221 |
| OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2019, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2018.
Of the taxable ordinary income distributions paid during the fiscal year ending March 29, 2018, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 29, 2018, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Fund | Qualified
Dividend
Income | Dividend
Received
Deduction | Qualified
Interest
Income | Qualified
Short-Term
Capital Gain |
| Nova Fund | 2.47% | 2.74% | 0.00% | 100.00% |
| S&P 500® Fund | 49.55% | 48.25% | 0.00% | 100.00% |
| Mid-Cap 1.5x Strategy Fund | 1.45% | 1.46% | 0.00% | 100.00% |
| Russell 2000® Fund | 10.45% | 9.90% | 0.00% | 100.00% |
| Dow Jones Industrial Average® Fund | 4.23% | 4.12% | 0.00% | 100.00% |
| Government Long Bond 1.2x Strategy Fund | 0.00% | 0.00% | 100.00% | 0.00% |
| High Yield Strategy Fund | 0.00% | 0.00% | 47.64% | 100.00% |
| U.S. Government Money Market Fund | 0.00% | 0.00% | 100.00% | 0.00% |
With respect to the taxable year ended March 29, 2018, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| Fund | |
From long-term capital gain: | | | From long-term capital gain, using proceeds from shareholder redemptions: | |
| S&P 500® Fund | | $ | 1,513,761 | | | $ | 23,202,064 | |
| Mid-Cap 1.5x Strategy Fund | | | — | | | | 2,766,378 | |
| Russell 2000® Fund | | | — | | | | 1,121,454 | |
| Dow Jones Industrial Average® Fund | | | — | | | | 695,808 | |
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 Fund’s 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 Fund 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.
| 222 | THE RYDEX FUNDS ANNUAL REPORT | |
| OTHER INFORMATION (Unaudited)(concluded) |
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. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies 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 Fund’s 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 223 |
| 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 | | | |
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present). | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 158 | None. |
| INDEPENDENT TRUSTEES | | | |
Angela Brock-Kyle
(1959) | Trustee, Member of the Audit Committee and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 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). | 110 | 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 Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | 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. | 110 | Epiphany Funds (2) (2009-present). |
| 224 | THE RYDEX FUNDS 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 - 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. | Retired. | 110 | None. |
Werner E. Keller
(1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr.
(1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville
(1942) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem
(1958) | Trustee, Member of the Audit Committee, Chairwoman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
| | THE RYDEX FUNDS ANNUAL REPORT | 225 |
| 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 (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), 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. |
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 of Guggenheim Partners Investment Management, LLC (2015-present).
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); 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). |
Mark E. Mathiasen (1978) | Secretary (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 (2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
| 226 | THE RYDEX FUNDS 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 | |
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 (2017-Present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); 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. |
| ** | | This Trustee is an “interested person” (as defined in Section 2 (a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
| *** | | 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 ANNUAL REPORT | 227 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| 228 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
| | THE RYDEX FUNDS ANNUAL REPORT | 229 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
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3.29.2018
Rydex Funds 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 Fund |
Weakening Dollar 2x Strategy Fund |
GuggenheimInvestments.com | RTB2-ANN-0318x0319 |
| 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 | 19 |
| S&P MIDCAP 400® PURE GROWTH FUND | 28 |
| S&P MIDCAP 400® PURE VALUE FUND | 36 |
| S&P SMALLCAP 600® PURE GROWTH FUND | 44 |
| S&P SMALLCAP 600® PURE VALUE FUND | 53 |
| EUROPE 1.25x STRATEGY FUND | 62 |
| JAPAN 2x STRATEGY FUND | 72 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | 80 |
| WEAKENING DOLLAR 2x STRATEGY FUND | 88 |
| NOTES TO FINANCIAL STATEMENTS | 96 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 111 |
| OTHER INFORMATION | 112 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 114 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 118 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our funds (the “Fund” or the “Funds”). This report covers performance for the 12-month period ended March 29, 2018.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2018
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 ANNUAL REPORT | |
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 to ensure that they are 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 ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 29, 2018 |
As we enter the ninth year of the current expansion, one of the most important new developments to evaluate is the impact of the corporate tax cuts passed into law at the end of 2017. Guggenheim’s concern is that the substantial late-cycle fiscal easing in the pipeline will prompt more restrictive monetary policy, which increases the risk that the economy will experience a boom-bust cycle that ends in a recession.
With the unemployment rate at 4.1% and core inflation rising, fiscal policy should be leaning against the economy to prevent overheating, not providing further stimulus. Faster wage growth, rising core inflation, and an unsustainably low unemployment rate underpin our longstanding view that the U.S. Federal Reserve (the “Fed”) will raise interest rates four times in 2018. Fed funds futures show the market is now pricing in nearly three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Tighter fiscal and monetary policy, along with rising policy uncertainty ahead of the 2018 mid-terms and 2020 presidential election, could prove to be too much for an overextended economy to bear.
Further complicating the story is the risk of a global trade war sparked by protectionist actions taken by the Trump administration. We now have new steel and aluminum tariffs in place that are likely to have some modest inflationary impact while hurting almost 20% of U.S. corporates, according to our estimates. We expect more protectionist trade and investment policies in place by year end.
Over the 12 months ended March 29, 2018, the bear flattening (the condition in which short-term rates rise faster than long-term rates) of the U.S. Treasury curve continued with Treasury yields higher across the curve. Yields increased the most in the belly and front end of the curve. The 2-year Treasury ended the period at 2.27%, up 102 basis points from a year ago, while the 10-year finished the period at 2.74%, up 35 basis points from a year ago. The 2-year-10 year curve, which started the period at 113 basis points, finished at 47 basis points.
For the 12 months ended March 29, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 13.99%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 15.32%. The return of the MSCI Emerging Markets Index* was 25.37%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 1.20% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.78%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.11% for the 12-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.
4 | THE RYDEX FUNDS ANNUAL REPORT | |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 29, 2018 |
*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.
ICE 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.
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 broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
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.
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.
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 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 to ensure that they are 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 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 September 30, 2017 and ending March 29, 2018 for actual Fund returns. Hypothetical Fund returns are for the period beginning September 30, 2017 and ending March 31, 2018.
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 ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
Table 1. Based on actual Fund return3 | | | | | |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.52% | 9.16% | $ 1,000.00 | $ 1,091.60 | $ 7.84 |
C-Class | 2.27% | 8.77% | 1,000.00 | 1,087.70 | 11.69 |
H-Class | 1.52% | 9.17% | 1,000.00 | 1,091.70 | 7.84 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.17% | 1,000.00 | 1,051.70 | 7.69 |
C-Class | 2.27% | 4.79% | 1,000.00 | 1,047.90 | 11.46 |
H-Class | 1.52% | 5.17% | 1,000.00 | 1,051.70 | 7.69 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.52% | 8.50% | 1,000.00 | 1,085.00 | 7.81 |
C-Class | 2.27% | 8.10% | 1,000.00 | 1,081.00 | 11.65 |
H-Class | 1.52% | 8.49% | 1,000.00 | 1,084.90 | 7.81 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.52% | 1.83% | 1,000.00 | 1,018.30 | 7.56 |
C-Class | 2.27% | 1.43% | 1,000.00 | 1,014.30 | 11.27 |
H-Class | 1.52% | 1.79% | 1,000.00 | 1,017.90 | 7.56 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.53% | 3.99% | 1,000.00 | 1,039.90 | 7.70 |
C-Class | 2.27% | 3.58% | 1,000.00 | 1,035.80 | 11.39 |
H-Class | 1.52% | 3.97% | 1,000.00 | 1,039.70 | 7.64 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.52% | 0.07% | 1,000.00 | 1,000.70 | 7.50 |
C-Class | 2.27% | (0.33%) | 1,000.00 | 996.70 | 11.18 |
H-Class | 1.52% | 0.04% | 1,000.00 | 1,000.40 | 7.50 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.70% | (3.05%) | 1,000.00 | 969.50 | 8.26 |
C-Class | 2.45% | (3.42%) | 1,000.00 | 965.80 | 11.88 |
H-Class | 1.70% | (3.06%) | 1,000.00 | 969.40 | 8.26 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.50% | 22.31% | 1,000.00 | 1,223.10 | 8.22 |
C-Class | 2.25% | 21.84% | 1,000.00 | 1,218.40 | 12.31 |
H-Class | 1.49% | 22.29% | 1,000.00 | 1,222.90 | 8.17 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.70% | (5.44%) | 1,000.00 | 945.60 | 8.16 |
C-Class | 2.45% | (5.80%) | 1,000.00 | 942.00 | 11.73 |
H-Class | 1.70% | (5.46%) | 1,000.00 | 945.40 | 8.15 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.68% | 4.55% | 1,000.00 | 1,045.50 | 8.47 |
C-Class | 2.44% | 4.16% | 1,000.00 | 1,041.60 | 12.28 |
H-Class | 1.69% | 4.55% | 1,000.00 | 1,045.50 | 8.52 |
8 | THE RYDEX FUNDS ANNUAL REPORT | |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
Table 2. Based on hypothetical 5% return (before expenses)5 | | | | |
S&P 500® Pure Growth Fund | | | | | |
A-Class | 1.52% | 5.00% | $ 1,000.00 | $ 1,017.35 | $ 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
S&P 500® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
S&P MidCap 400® Pure Growth Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
S&P MidCap 400® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
S&P SmallCap 600® Pure Growth Fund | | | | | |
A-Class | 1.53% | 5.00% | 1,000.00 | 1,017.30 | 7.70 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
S&P SmallCap 600® Pure Value Fund | | | | | |
A-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
C-Class | 2.27% | 5.00% | 1,000.00 | 1,013.61 | 11.40 |
H-Class | 1.52% | 5.00% | 1,000.00 | 1,017.35 | 7.64 |
Europe 1.25x Strategy Fund | | | | | |
A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.72 | 12.29 |
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
Japan 2x Strategy Fund | | | | | |
A-Class | 1.50% | 5.00% | 1,000.00 | 1,017.45 | 7.54 |
C-Class | 2.25% | 5.00% | 1,000.00 | 1,013.71 | 11.30 |
H-Class | 1.49% | 5.00% | 1,000.00 | 1,017.50 | 7.49 |
Strengthening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
C-Class | 2.45% | 5.00% | 1,000.00 | 1,012.72 | 12.29 |
H-Class | 1.70% | 5.00% | 1,000.00 | 1,016.45 | 8.55 |
Weakening Dollar 2x Strategy Fund | | | | | |
A-Class | 1.68% | 5.00% | 1,000.00 | 1,016.55 | 8.45 |
C-Class | 2.44% | 5.00% | 1,000.00 | 1,012.76 | 12.24 |
H-Class | 1.69% | 5.00% | 1,000.00 | 1,016.50 | 8.50 |
1 | | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | | Expenses in table 1 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 180/365 (to reflect the one-half year period). |
3 | | Actual cumulative return at net asset value for the period September 30, 2017 to March 29, 2018. |
4 | | Expenses in table 2 are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
5 | | Hypothetical return for the period September 30, 2017 to March 31, 2018. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P 500® Pure Growth Fund H-Class returned 21.40%, compared with a gain of 23.39% for the S&P 500 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Technology was the sector contributing the most to the performance of the underlying index, followed by Financials. Energy was the only sector detracting from the performance of the underlying index. The Utilities sector contributed least.
Stocks that contributed the most to the return of the underlying index were NVIDIA Corp., Applied Materials, Inc., and Align Technology, Inc. Ulta Beauty, Inc., Incyte Corp., and Celgene Corp. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) |
Netflix, Inc. | 2.3% |
Adobe Systems, Inc. | 1.9% |
NVIDIA Corp. | 1.8% |
Applied Materials, Inc. | 1.8% |
Vertex Pharmaceuticals, Inc. | 1.8% |
Red Hat, Inc. | 1.7% |
Amazon.com, Inc. | 1.6% |
Centene Corp. | 1.6% |
Lam Research Corp. | 1.6% |
IPG Photonics Corp. | 1.6% |
Top Ten Total | 17.7% |
| | |
“Ten Largest Holdings” excludes any temporary cash investments. |
10 | THE RYDEX FUNDS ANNUAL REPORT | |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| 1 Year | 5 Year | 10 Year |
A-Class Shares | 21.39% | 13.78% | 11.51% |
A-Class Shares with sales charge† | 15.64% | 12.68% | 10.97% |
C-Class Shares | 20.50% | 12.93% | 10.68% |
C-Class Shares with CDSC‡ | 19.50% | 12.93% | 10.68% |
H-Class Shares | 21.40% | 13.79% | 11.51% |
S&P 500 Pure Growth Index | 23.39% | 15.71% | 13.36% |
* | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
† | | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | March 29, 2018 |
S&P 500® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
COMMON STOCKS† - 99.6% |
| | | | | | | |
| Consumer, Non-cyclical - 28.7% |
| Vertex Pharmaceuticals, Inc.* | | | 15,100 | | | $ | 2,460,998 | |
| Centene Corp.* | | | 21,525 | | | | 2,300,377 | |
| Align Technology, Inc.* | | | 8,743 | | | | 2,195,630 | |
| PayPal Holdings, Inc.* | | | 28,380 | | | | 2,153,191 | |
| Total System Services, Inc. | | | 24,529 | | | | 2,115,871 | |
| Intuitive Surgical, Inc.* | | | 4,000 | | | | 1,651,320 | |
| Illumina, Inc.* | | | 6,500 | | | | 1,536,730 | |
| Edwards Lifesciences Corp.* | | | 10,620 | | | | 1,481,702 | |
| AbbVie, Inc. | | | 15,000 | | | | 1,419,750 | |
| Global Payments, Inc. | | | 12,253 | | | | 1,366,455 | |
| UnitedHealth Group, Inc. | | | 6,381 | | | | 1,365,534 | |
| United Rentals, Inc.* | | | 7,516 | | | | 1,298,239 | |
| IDEXX Laboratories, Inc.* | | | 6,510 | | | | 1,245,949 | |
| Estee Lauder Companies, Inc. — Class A | | | 8,200 | | | | 1,227,704 | |
| Moody’s Corp. | | | 7,600 | | | | 1,225,880 | |
| Hologic, Inc.* | | | 32,479 | | | | 1,213,416 | |
| Cintas Corp. | | | 6,443 | | | | 1,099,047 | |
| ResMed, Inc. | | | 10,300 | | | | 1,014,241 | |
| Cigna Corp. | | | 5,400 | | | | 905,796 | |
| Stryker Corp. | | | 5,300 | | | | 852,876 | |
| Gartner, Inc.* | | | 7,202 | | | | 847,099 | |
| Constellation Brands, Inc. — Class A | | | 3,705 | | | | 844,443 | |
| Boston Scientific Corp.* | | | 30,907 | | | | 844,379 | |
| S&P Global, Inc. | | | 4,390 | | | | 838,753 | |
| Avery Dennison Corp. | | | 7,808 | | | | 829,600 | |
| Abbott Laboratories | | | 13,400 | | | | 802,928 | |
| Nektar Therapeutics* | | | 7,300 | | | | 775,698 | |
| Cooper Companies, Inc. | | | 3,300 | | | | 755,073 | |
| Zoetis, Inc. | | | 8,400 | | | | 701,484 | |
| Monster Beverage Corp.* | | | 11,600 | | | | 663,636 | |
| Regeneron Pharmaceuticals, Inc.* | | | 1,900 | | | | 654,284 | |
| Becton Dickinson and Co. | | | 2,893 | | | | 626,913 | |
| Incyte Corp.* | | | 6,400 | | | | 533,312 | |
| Celgene Corp.* | | | 4,952 | | | | 441,768 | |
| Total Consumer, Non-cyclical | | | | | | | 40,290,076 | |
| | | | | | | | | |
| Technology – 27.9% |
| Adobe Systems, Inc.* | | | 12,300 | | | | 2,657,784 | |
| NVIDIA Corp. | | | 11,215 | | | | 2,597,282 | |
| Applied Materials, Inc. | | | 45,350 | | | | 2,521,914 | |
| Red Hat, Inc.* | | | 16,183 | | | | 2,419,520 | |
| Lam Research Corp. | | | 11,290 | | | | 2,293,676 | |
| IPG Photonics Corp.* | | | 9,600 | | | | 2,240,448 | |
| Activision Blizzard, Inc. | | | 29,602 | | | | 1,996,951 | |
| salesforce.com, Inc.* | | | 16,498 | | | | 1,918,717 | |
| Broadcom Ltd. | | | 7,645 | | | | 1,801,544 | |
| Qorvo, Inc.* | | | 21,623 | | | | 1,523,340 | |
| Micron Technology, Inc.* | | | 29,200 | | | | 1,522,488 | |
| Skyworks Solutions, Inc. | | | 14,443 | | | | 1,448,055 | |
| Apple, Inc. | | | 8,500 | | | | 1,426,130 | |
| Microchip Technology, Inc. | | | 14,291 | | | | 1,305,626 | |
| Cerner Corp.* | | | 21,410 | | | | 1,241,780 | |
| Cadence Design Systems, Inc.* | | | 32,984 | | | | 1,212,822 | |
| ANSYS, Inc.* | | | 7,616 | | | | 1,193,351 | |
| Cognizant Technology Solutions Corp. — Class A | | | 14,200 | | | | 1,143,100 | |
| Intuit, Inc. | | | 6,090 | | | | 1,055,702 | |
| Synopsys, Inc.* | | | 12,373 | | | | 1,029,929 | |
| Analog Devices, Inc. | | | 10,600 | | | | 965,978 | |
| Electronic Arts, Inc.* | | | 6,987 | | | | 847,104 | |
| NetApp, Inc. | | | 13,100 | | | | 808,139 | |
| KLA-Tencor Corp. | | | 7,000 | | | | 763,070 | |
| Fiserv, Inc.* | | | 9,072 | | | | 646,924 | |
| Texas Instruments, Inc. | | | 6,000 | | | | 623,340 | |
| Total Technology | | | | | | | 39,204,714 | |
| | | | | | | | | |
| Financial - 13.3% |
| Cboe Global Markets, Inc. | | | 16,353 | | | | 1,865,877 | |
| CBRE Group, Inc. — Class A* | | | 37,842 | | | | 1,786,899 | |
| Progressive Corp. | | | 26,200 | | | | 1,596,366 | |
| Visa, Inc. — Class A | | | 13,100 | | | | 1,567,022 | |
| Prologis, Inc. REIT | | | 22,956 | | | | 1,445,998 | |
| Mastercard, Inc. — Class A | | | 8,206 | | | | 1,437,363 | |
| SBA Communications Corp. REIT* | | | 7,803 | | | | 1,333,689 | |
| E*TRADE Financial Corp.* | | | 23,641 | | | | 1,309,948 | |
| American Tower Corp. — Class A REIT | | | 8,594 | | | | 1,249,052 | |
| Intercontinental Exchange, Inc. | | | 15,850 | | | | 1,149,442 | |
| Extra Space Storage, Inc. REIT | | | 11,825 | | | | 1,033,032 | |
| T. Rowe Price Group, Inc. | | | 7,600 | | | | 820,572 | |
| Charles Schwab Corp. | | | 15,059 | | | | 786,381 | |
| SVB Financial Group* | | | 2,900 | | | | 696,029 | |
| Equinix, Inc. REIT | | | 1,200 | | | | 501,768 | |
| Total Financial | | | | | | | 18,579,438 | |
| | | | | | | | | |
| Communications - 9.7% |
| Netflix, Inc.* | | | 10,710 | | | | 3,163,199 | |
| Amazon.com, Inc.* | | | 1,600 | | | | 2,315,744 | |
| Facebook, Inc. — Class A* | | | 10,699 | | | | 1,709,593 | |
| eBay, Inc.* | | | 35,670 | | | | 1,435,361 | |
| VeriSign, Inc.* | | | 11,381 | | | | 1,349,331 | |
| Motorola Solutions, Inc. | | | 11,651 | | | | 1,226,850 | |
| Charter Communications, Inc. — Class A* | | | 3,600 | | | | 1,120,392 | |
| Alphabet, Inc. — Class C* | | | 687 | | | | 708,840 | |
| Alphabet, Inc. — Class A* | | | 602 | | | | 624,358 | |
| Total Communications | | | | | | | 13,653,668 | |
| | | | | | | | | |
| Industrial - 9.2% |
| Boeing Co. | | | 4,131 | | | | 1,354,472 | |
| Corning, Inc. | | | 43,500 | | | | 1,212,780 | |
| Agilent Technologies, Inc. | | | 16,100 | | | | 1,077,090 | |
| Waste Management, Inc. | | | 10,900 | | | | 916,908 | |
| Roper Technologies, Inc. | | | 3,200 | | | | 898,208 | |
| Mettler-Toledo International, Inc.* | | | 1,500 | | | | 862,545 | |
| Rockwell Collins, Inc. | | | 6,200 | | | | 836,070 | |
| AMETEK, Inc. | | | 10,800 | | | | 820,476 | |
| AO Smith Corp. | | | 12,785 | | | | 812,998 | |
| Waters Corp.* | | | 4,000 | | | | 794,600 | |
| TransDigm Group, Inc. | | | 2,520 | | | | 773,489 | |
| Amphenol Corp. — Class A | | | 8,800 | | | | 757,944 | |
| Fortune Brands Home & Security, Inc. | | | 12,365 | | | | 728,175 | |
| CSX Corp. | | | 11,200 | | | | 623,952 | |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
S&P 500® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Illinois Tool Works, Inc. | | | 2,900 | | | $ | 454,314 | |
| Total Industrial | | | | | | | 12,924,021 | |
| | | | | | | | | |
| Consumer, Cyclical - 8.9% |
| PulteGroup, Inc. | | | 64,311 | | | | 1,896,531 | |
| DR Horton, Inc. | | | 38,557 | | | | 1,690,339 | |
| Marriott International, Inc. — Class A | | | 12,200 | | | | 1,658,956 | |
| Norwegian Cruise Line Holdings Ltd.* | | | 25,412 | | | | 1,346,074 | |
| Wyndham Worldwide Corp. | | | 10,879 | | | | 1,244,884 | |
| Aptiv plc | | | 13,700 | | | | 1,164,089 | |
| Dollar Tree, Inc.* | | | 10,438 | | | | 990,566 | |
| Home Depot, Inc. | | | 5,380 | | | | 958,931 | |
| Michael Kors Holdings Ltd.* | | | 14,669 | | | | 910,652 | |
| Wynn Resorts Ltd. | | | 3,600 | | | | 656,496 | |
| Total Consumer, Cyclical | | | | | | | 12,517,518 | |
| | | | | | | | | |
| Basic Materials - 1.1% |
| Sherwin-Williams Co. | | | 2,500 | | | | 980,300 | |
| FMC Corp. | | | 7,107 | | | | 544,183 | |
| Total Basic Materials | | | | | | | 1,524,483 | |
| | | | | | | | | |
| Consumer Discretionary - 0.8% |
| Booking Holdings, Inc.* | | | 531 | | | | 1,104,687 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $114,712,969) | | | | | | | 139,798,605 | |
| | | Face
Amount | | | | |
| | | | | | | |
REPURCHASE AGREEMENTS††,1 - 0.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 180,042 | | | | 180,042 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 58,915 | | | | 58,915 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $238,957) | | | | | | | 238,957 | |
| | | | | | | | | |
| Total Investments - 99.8% | | | | | | | | |
| (Cost $114,951,926) | | | | | | $ | 140,037,562 | |
| Other Assets & Liabilities, net - 0.2% | | | | | | | 301,868 | |
| Total Net Assets - 100.0% | | | | | | $ | 140,339,430 | |
* | | 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 6. |
| | | plc — Public Limited Company |
| | | REIT — Real Estate Investment Trust |
| | | |
| | | See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
S&P 500® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 139,798,605 | | | $ | — | | | $ | — | | | $ | 139,798,605 | |
| Repurchase Agreements | | | — | | | | 238,957 | | | | — | | | | 238,957 | |
| Total Assets | | $ | 139,798,605 | | | $ | 238,957 | | | $ | — | | | $ | 140,037,562 | |
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 year ended March 29, 2018, there were no transfers between levels.
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND | |
STATEMENT OF ASSETS AND LIABILITIES |
March 29, 2018 | |
| Assets: |
| Investments, at value (cost $114,712,969) | | $ | 139,798,605 | |
| Repurchase agreements, at value (cost $238,957) | | | 238,957 | |
| Cash | | | 28,315 | |
| Receivables: |
| Fund shares sold | | | 579,932 | |
| Dividends | | | 34,684 | |
| Securities lending income | | | 183 | |
| Interest | | | 36 | |
| Total assets | | | 140,680,712 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 109,955 | |
| Management fees | | | 97,964 | |
| Distribution and service fees | | | 41,557 | |
| Transfer agent and administrative fees | | | 32,655 | |
| Portfolio accounting fees | | | 13,062 | |
| Trustees’ fees* | | | 4,035 | |
| Miscellaneous | | | 42,054 | |
| Total liabilities | | | 341,282 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 140,339,430 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 112,330,182 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | 2,923,612 | |
| Net unrealized appreciation on investments | | | 25,085,636 | |
| Net assets | | $ | 140,339,430 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 17,253,579 | |
| Capital shares outstanding | | | 259,467 | |
| Net asset value per share | | $ | 66.50 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 69.81 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 13,441,587 | |
| Capital shares outstanding | | | 227,434 | |
| Net asset value per share | | $ | 59.10 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 109,644,264 | |
| Capital shares outstanding | | | 1,649,131 | |
| Net asset value per share | | $ | 66.49 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 1,240,156 | |
| Interest | | | 7,847 | |
| Income from securities lending, net | | | 6,729 | |
| Total investment income | | | 1,254,732 | |
| | | | | |
| Expenses: |
| Management fees | | | 993,391 | |
| Distribution and service fees: |
| A-Class | | | 38,751 | |
| C-Class | | | 122,026 | |
| H-Class | | | 261,873 | |
| Transfer agent and administrative fees | | | 331,130 | |
| Portfolio accounting fees | | | 132,451 | |
| Custodian fees | | | 17,917 | |
| Trustees’ fees* | | | 9,641 | |
| Line of credit fees | | | 32 | |
| Miscellaneous | | | 211,090 | |
| Total expenses | | | 2,118,302 | |
| Net investment loss | | | (863,570 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 17,432,251 | |
| Net realized gain | | | 17,432,251 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | 8,279,963 | |
| Net change in unrealized appreciation (depreciation) | | | 8,279,963 | |
| Net realized and unrealized gain | | | 25,712,214 | |
| Net increase in net assets resulting from operations | | $ | 24,848,644 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
| S&P 500® PURE GROWTH FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (863,570 | ) | | $ | (912,048 | ) |
| Net realized gain on investments | | | 17,432,251 | | | | 20,611,148 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 8,279,963 | | | | (8,959,618 | ) |
| Net increase in net assets resulting from operations | | | 24,848,644 | | | | 10,739,482 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (787,796 | ) | | | (6,873 | ) |
| C-Class | | | (737,769 | ) | | | (5,189 | ) |
| H-Class | | | (6,495,002 | ) | | | (25,208 | ) |
| Total distributions to shareholders | | | (8,020,567 | ) | | | (37,270 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 14,683,535 | | | | 14,412,065 | |
| C-Class | | | 4,910,180 | | | | 1,978,513 | |
| H-Class | | | 275,189,364 | | | | 196,453,565 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 784,458 | | | | 6,784 | |
| C-Class | | | 712,811 | | | | 5,050 | |
| H-Class | | | 6,444,442 | | | | 24,834 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (15,855,868 | ) | | | (24,797,962 | ) |
| C-Class | | | (4,601,531 | ) | | | (9,884,631 | ) |
| H-Class | | | (263,954,631 | ) | | | (238,506,871 | ) |
| Net increase (decrease) from capital share transactions | | | 18,312,760 | | | | (60,308,653 | ) |
| Net increase (decrease) in net assets | | | 35,140,837 | | | | (49,606,441 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 105,198,593 | | | | 154,805,034 | |
| End of year | | $ | 140,339,430 | | | $ | 105,198,593 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (331,761 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 236,574 | | | | 266,962 | |
| C-Class | | | 85,025 | | | | 39,085 | |
| H-Class | | | 4,340,507 | | | | 3,652,903 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 12,369 | | | | 125 | |
| C-Class | | | 12,618 | | | | 103 | |
| H-Class | | | 101,647 | | | | 458 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (258,741 | ) | | | (462,388 | ) |
| C-Class | | | (80,278 | ) | | | (202,526 | ) |
| H-Class | | | (4,153,427 | ) | | | (4,481,621 | ) |
| Net increase (decrease) in shares | | | 296,294 | | | | (1,186,899 | ) |
| 16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P 500® PURE GROWTH 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 57.84 | | | $ | 51.74 | | | $ | 55.85 | | | $ | 50.81 | | | $ | 38.86 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.36 | ) | | | (.44 | ) | | | (.22 | ) | | | (.33 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 12.57 | | | | 6.56 | | | | (2.47 | ) | | | 6.86 | | | | 12.18 | |
| Total from investment operations | | | 12.21 | | | | 6.12 | | | | (2.69 | ) | | | 6.53 | | | | 11.95 | |
| Less distributions from: |
| Net realized gains | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Total distributions | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Net asset value, end of period | | $ | 66.50 | | | $ | 57.84 | | | $ | 51.74 | | | $ | 55.85 | | | $ | 50.81 | |
| |
| Total Returnb | | | 21.39 | % | | | 11.84 | % | | | (4.90 | %) | | | 12.98 | % | | | 30.75 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 17,254 | | | $ | 15,575 | | | $ | 24,037 | | | $ | 25,768 | | | $ | 19,978 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.56 | %) | | | (0.82 | %) | | | (0.41 | %) | | | (0.62 | %) | | | (0.51 | %) |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.50 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 215 | % | | | 184 | % | | | 290 | % | | | 274 | % | | | 594 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 52.13 | | | $ | 46.99 | | | $ | 51.23 | | | $ | 47.07 | | | $ | 36.27 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.75 | ) | | | (.77 | ) | | | (.57 | ) | | | (.67 | ) | | | (.52 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.27 | | | | 5.93 | | | | (2.25 | ) | | | 6.32 | | | | 11.32 | |
| Total from investment operations | | | 10.52 | | | | 5.16 | | | | (2.82 | ) | | | 5.65 | | | | 10.80 | |
| Less distributions from: |
| Net realized gains | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Total distributions | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Net asset value, end of period | | $ | 59.10 | | | $ | 52.13 | | | $ | 46.99 | | | $ | 51.23 | | | $ | 47.07 | |
| |
| Total Returnb | | | 20.50 | % | | | 10.99 | % | | | (5.61 | %) | | | 12.13 | % | | | 29.78 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 13,442 | | | $ | 10,951 | | | $ | 17,546 | | | $ | 22,701 | | | $ | 17,042 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.32 | %) | | | (1.57 | %) | | | (1.16 | %) | | | (1.37 | %) | | | (1.24 | %) |
| Total expenses | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % | | | 2.25 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 215 | % | | | 184 | % | | | 290 | % | | | 274 | % | | | 594 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
| S&P 500® PURE GROWTH FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 57.83 | | | $ | 51.73 | | | $ | 55.84 | | | $ | 50.80 | | | $ | 38.84 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.38 | ) | | | (.44 | ) | | | (.18 | ) | | | (.34 | ) | | | (.23 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 12.59 | | | | 6.56 | | | | (2.51 | ) | | | 6.87 | | | | 12.19 | |
| Total from investment operations | | | 12.21 | | | | 6.12 | | | | (2.69 | ) | | | 6.53 | | | | 11.96 | |
| Less distributions from: |
| Net realized gains | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Total distributions | | | (3.55 | ) | | | (.02 | ) | | | (1.42 | ) | | | (1.49 | ) | | | — | |
| Net asset value, end of period | | $ | 66.49 | | | $ | 57.83 | | | $ | 51.73 | | | $ | 55.84 | | | $ | 50.80 | |
| |
| Total Returnb | | | 21.40 | % | | | 11.84 | % | | | (4.91 | %) | | | 12.98 | % | | | 30.79 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 109,644 | | | $ | 78,673 | | | $ | 113,223 | | | $ | 104,628 | | | $ | 103,502 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.59 | %) | | | (0.81 | %) | | | (0.35 | %) | | | (0.65 | %) | | | (0.50 | %) |
| Total expenses | | | 1.53 | % | | | 1.52 | % | | | 1.51 | % | | | 1.50 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 215 | % | | | 184 | % | | | 290 | % | | | 274 | % | | | 594 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P 500® Pure Value Fund H-Class returned 10.48%, compared with a gain of 12.15% for the S&P 500 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Financials was the sector contributing the most to the performance of the underlying index, followed by the Consumer Discretionary sector. The Industrials sector detracted the most from performance, followed by the Communications sector.
Stocks that contributed the most to the return of the underlying index were Valero Energy Corp., Kohl’s Corp., and Centene Corp. Signet Jewelers Ltd., Patterson Companies, Inc., and Transocean Ltd. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| CenturyLink, Inc. | 2.5% |
| Envision Healthcare Corp. | 2.4% |
| Berkshire Hathaway, Inc. — Class B | 2.4% |
| Kohl’s Corp. | 2.3% |
| Archer-Daniels-Midland Co. | 2.0% |
| Macy’s, Inc. | 1.9% |
| Hewlett Packard Enterprise Co. | 1.8% |
| XL Group Ltd. | 1.7% |
| Ford Motor Co. | 1.6% |
| Fluor Corp. | 1.6% |
| Top Ten Total | 20.2% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 10.48% | 11.24% | 8.92% |
| A-Class Shares with sales charge† | 5.23% | 10.17% | 8.39% |
| C-Class Shares | 9.66% | 10.41% | 8.14% |
| C-Class Shares with CDSC‡ | 8.66% | 10.41% | 8.14% |
| H-Class Shares | 10.48% | 11.24% | 8.95% |
| S&P 500 Pure Value Index | 12.15% | 13.11% | 11.51% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 20 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P 500® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% |
| | | | | | | |
| Financial - 29.3% |
| Berkshire Hathaway, Inc. — Class B* | | | 8,329 | | | $ | 1,661,469 | |
| XL Group Ltd. | | | 21,211 | | | | 1,172,120 | |
| Leucadia National Corp. | | | 42,900 | | | | 975,117 | |
| Prudential Financial, Inc. | | | 9,360 | | | | 969,228 | |
| Loews Corp. | | | 18,198 | | | | 904,986 | |
| Navient Corp. | | | 63,346 | | | | 831,099 | |
| Lincoln National Corp. | | | 11,350 | | | | 829,231 | |
| Capital One Financial Corp. | | | 8,116 | | | | 777,675 | |
| Everest Re Group Ltd. | | | 2,995 | | | | 769,176 | |
| MetLife, Inc. | | | 15,174 | | | | 696,335 | |
| Assurant, Inc. | | | 7,613 | | | | 695,904 | |
| Citigroup, Inc. | | | 9,632 | | | | 650,160 | |
| Citizens Financial Group, Inc. | | | 15,120 | | | | 634,738 | |
| American International Group, Inc. | | | 11,523 | | | | 627,082 | |
| Hartford Financial Services Group, Inc. | | | 11,929 | | | | 614,582 | |
| Unum Group | | | 11,754 | | | | 559,608 | |
| Travelers Companies, Inc. | | | 3,648 | | | | 506,561 | |
| Regions Financial Corp. | | | 27,261 | | | | 506,509 | |
| Morgan Stanley | | | 9,088 | | | | 490,388 | |
| Goldman Sachs Group, Inc. | | | 1,936 | | | | 487,601 | |
| Aflac, Inc. | | | 10,376 | | | | 454,054 | |
| People’s United Financial, Inc. | | | 23,836 | | | | 444,780 | |
| SunTrust Banks, Inc. | | | 6,476 | | | | 440,627 | |
| Fifth Third Bancorp | | | 12,161 | | | | 386,112 | |
| Chubb Ltd. | | | 2,803 | | | | 383,366 | |
| Zions Bancorporation | | | 6,942 | | | | 366,052 | |
| KeyCorp | | | 17,821 | | | | 348,401 | |
| BB&T Corp. | | | 6,380 | | | | 332,015 | |
| JPMorgan Chase & Co. | | | 2,667 | | | | 293,290 | |
| Wells Fargo & Co. | | | 5,579 | | | | 292,395 | |
| Bank of New York Mellon Corp. | | | 5,654 | | | | 291,351 | |
| Cincinnati Financial Corp. | | | 3,842 | | | | 285,307 | |
| PNC Financial Services Group, Inc. | | | 1,811 | | | | 273,896 | |
| Huntington Bancshares, Inc. | | | 17,301 | | | | 261,245 | |
| Invesco Ltd. | | | 6,752 | | | | 216,132 | |
| Total Financial | | | | | | | 20,428,592 | |
| | | | | | | | | |
| Consumer, Cyclical - 20.8% |
| Kohl’s Corp. | | | 24,327 | | | | 1,593,662 | |
| Macy’s, Inc. | | | 45,486 | | | | 1,352,754 | |
| Ford Motor Co. | | | 99,149 | | | | 1,098,571 | |
| General Motors Co. | | | 29,985 | | | | 1,089,655 | |
| United Continental Holdings, Inc.* | | | 13,660 | | | | 948,960 | |
| Target Corp. | | | 13,185 | | | | 915,434 | |
| Best Buy Company, Inc. | | | 11,956 | | | | 836,800 | |
| Goodyear Tire & Rubber Co. | | | 30,366 | | | | 807,128 | |
| Foot Locker, Inc. | | | 14,886 | | | | 677,908 | |
| Newell Brands, Inc. | | | 25,756 | | | | 656,263 | |
| Whirlpool Corp. | | | 3,991 | | | | 611,062 | |
| Advance Auto Parts, Inc. | | | 4,814 | | | | 570,700 | |
| Nordstrom, Inc. | | | 10,905 | | | | 527,911 | |
| Walgreens Boots Alliance, Inc. | | | 7,620 | | | | 498,881 | |
| Walmart, Inc. | | | 4,811 | | | | 428,035 | |
| PVH Corp. | | | 2,639 | | | | 399,624 | |
| Delta Air Lines, Inc. | | | 7,127 | | | | 390,631 | |
| Alaska Air Group, Inc. | | | 4,985 | | | | 308,871 | |
| Gap, Inc. | | | 9,081 | | | | 283,327 | |
| Costco Wholesale Corp. | | | 1,490 | | | | 280,761 | |
| Genuine Parts Co. | | | 2,545 | | | | 228,643 | |
| Total Consumer, Cyclical | | | | | | | 14,505,581 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 17.7% |
| Envision Healthcare Corp.* | | | 43,893 | | | | 1,686,808 | |
| Archer-Daniels-Midland Co. | | | 31,973 | | | | 1,386,669 | |
| Express Scripts Holding Co.* | | | 14,283 | | | | 986,670 | |
| Cardinal Health, Inc. | | | 14,709 | | | | 921,960 | |
| CVS Health Corp. | | | 13,734 | | | | 854,392 | |
| McKesson Corp. | | | 6,024 | | | | 848,601 | |
| Kroger Co. | | | 31,086 | | | | 744,199 | |
| Quanta Services, Inc.* | | | 20,907 | | | | 718,155 | |
| AmerisourceBergen Corp. — Class A | | | 6,236 | | | | 537,605 | |
| Molson Coors Brewing Co. — Class B | | | 6,962 | | | | 524,448 | |
| Universal Health Services, Inc. — Class B | | | 4,072 | | | | 482,165 | |
| Mylan N.V.* | | | 11,617 | | | | 478,272 | |
| DaVita, Inc.* | | | 6,624 | | | | 436,787 | |
| Humana, Inc. | | | 1,600 | | | | 430,128 | |
| Tyson Foods, Inc. — Class A | | | 5,148 | | | | 376,782 | |
| Coty, Inc. — Class A | | | 18,618 | | | | 340,709 | |
| Sysco Corp. | | | 5,428 | | | | 325,463 | |
| JM Smucker Co. | | | 2,078 | | | | 257,693 | |
| Total Consumer, Non-cyclical | | | | | | | 12,337,506 | |
| | | | | | | | | |
| Energy - 10.9% |
| Valero Energy Corp. | | | 11,700 | | | | 1,085,409 | |
| TechnipFMC plc | | | 35,989 | | | | 1,059,876 | |
| Andeavor | | | 9,363 | | | | 941,543 | |
| Baker Hughes a GE Co. | | | 32,912 | | | | 913,966 | |
| Marathon Petroleum Corp. | | | 12,002 | | | | 877,466 | |
| Phillips 66 | | | 6,577 | | | | 630,866 | |
| Range Resources Corp. | | | 37,727 | | | | 548,551 | |
| National Oilwell Varco, Inc. | | | 14,860 | | | | 546,997 | |
| Kinder Morgan, Inc. | | | 30,909 | | | | 465,489 | |
| Chevron Corp. | | | 2,700 | | | | 307,908 | |
| Exxon Mobil Corp. | | | 3,100 | | | | 231,291 | |
| Total Energy | | | | | | | 7,609,362 | |
| | | | | | | | | |
| Communications - 5.9% |
| CenturyLink, Inc. | | | 104,647 | | | | 1,719,350 | |
| Viacom, Inc. — Class B | | | 20,024 | | | | 621,946 | |
| News Corp. — Class A | | | 29,309 | | | | 463,082 | |
| AT&T, Inc. | | | 10,677 | | | | 380,635 | |
| Discovery, Inc. — Class C* | | | 14,286 | | | | 278,863 | |
| Interpublic Group of Companies, Inc. | | | 11,764 | | | | 270,925 | |
| Discovery, Inc. — Class A*,1 | | | 10,728 | | | | 229,901 | |
| News Corp. — Class B | | | 9,330 | | | | 150,213 | |
| Total Communications | | | | | | | 4,114,915 | |
| | | | | | | | | |
| Industrial - 4.9% |
| Fluor Corp. | | | 19,139 | | | | 1,095,134 | |
| WestRock Co. | | | 8,780 | | | | 563,413 | |
| Jacobs Engineering Group, Inc. | | | 8,581 | | | | 507,566 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P 500® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Johnson Controls International plc | | | 12,064 | | | $ | 425,135 | |
| Textron, Inc. | | | 5,227 | | | | 308,236 | |
| Eaton Corporation plc | | | 3,551 | | | | 283,760 | |
| General Electric Co. | | | 17,000 | | | | 229,160 | |
| Total Industrial | | | | | | | 3,412,404 | |
| | | | | | | | | |
| Utilities - 3.8% |
| AES Corp. | | | 65,517 | | | | 744,928 | |
| SCANA Corp. | | | 17,938 | | | | 673,572 | |
| Exelon Corp. | | | 14,027 | | | | 547,193 | |
| PG&E Corp. | | | 9,511 | | | | 417,818 | |
| Duke Energy Corp. | | | 3,478 | | | | 269,441 | |
| Total Utilities | | | | | | | 2,652,952 | |
| | | | | | | | | |
| Technology - 3.8% |
| Hewlett Packard Enterprise Co. | | | 72,423 | | | | 1,270,299 | |
| Xerox Corp. | | | 28,690 | | | | 825,698 | |
| Western Digital Corp. | | | 5,558 | | | | 512,837 | |
| Total Technology | | | | | | | 2,608,834 | |
| | | | | | | | | |
| Basic Materials - 2.4% |
| Mosaic Co. | | | 38,107 | | | | 925,238 | |
| Nucor Corp. | | | 7,488 | | | | 457,442 | |
| DowDuPont, Inc. | | | 4,500 | | | | 286,695 | |
| Total Basic Materials | | | | | | | 1,669,375 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $58,733,867) | | | | | | | 69,339,521 | |
| | | Face
Amount | | | | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 230,180 | | | | 230,180 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 75,321 | | | | 75,321 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $305,501) | | | | | | | 305,501 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.3% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 171,678 | | | | 171,678 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $171,678) | | | | | | | 171,678 | |
| | | | | | | | | |
| Total Investments - 100.2% | | | | | | | | |
| (Cost $59,211,046) | | | | | | $ | 69,816,700 | |
| Other Assets & Liabilities, net - (0.2)% | | | | | | | (115,845 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 69,700,855 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — 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 March 29, 2018. |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| S&P 500® PURE VALUE FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 69,339,521 | | | $ | — | | | $ | — | | | $ | 69,339,521 | |
| Repurchase Agreements | | | — | | | | 305,501 | | | | — | | | | 305,501 | |
| Securities Lending Collateral | | | 171,678 | | | | — | | | | — | | | | 171,678 | |
| Total Assets | | $ | 69,511,199 | | | $ | 305,501 | | | $ | — | | | $ | 69,816,700 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $167,604 of securities loaned (cost $58,905,545) | | $ | 69,511,199 | |
| Repurchase agreements, at value (cost $305,501) | | | 305,501 | |
| Cash | | | 9,953 | |
| Receivables: |
| Fund shares sold | | | 554,629 | |
| Dividends | | | 113,808 | |
| Securities lending income | | | 112 | |
| Interest | | | 46 | |
| Total assets | | | 70,495,248 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Securities purchased | | | 397,960 | |
| Return of securities loaned | | | 171,678 | |
| Fund shares redeemed | | | 107,539 | |
| Management fees | | | 49,136 | |
| Distribution and service fees | | | 19,182 | |
| Transfer agent and administrative fees | | | 16,378 | |
| Portfolio accounting fees | | | 6,552 | |
| Trustees’ fees* | | | 2,265 | |
| Miscellaneous | | | 23,703 | |
| Total liabilities | | | 794,393 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 69,700,855 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 60,135,885 | |
| Undistributed net investment income | | | 477,532 | |
| Accumulated net realized loss on investments | | | (1,518,216 | ) |
| Net unrealized appreciation on investments | | | 10,605,654 | |
| Net assets | | $ | 69,700,855 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 6,107,658 | |
| Capital shares outstanding | | | 73,183 | |
| Net asset value per share | | $ | 83.46 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 87.62 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 4,057,574 | |
| Capital shares outstanding | | | 55,855 | |
| Net asset value per share | | $ | 72.64 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 59,535,623 | |
| Capital shares outstanding | | | 710,638 | |
| Net asset value per share | | $ | 83.78 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 1,667,418 | |
| Interest | | | 4,161 | |
| Income from securities lending, net | | | 2,036 | |
| Total investment income | | | 1,673,615 | |
| | | | | |
| Expenses: |
| Management fees | | | 562,953 | |
| Distribution and service fees: |
| A-Class | | | 14,558 | |
| C-Class | | | 64,815 | |
| H-Class | | | 156,889 | |
| Transfer agent and administrative fees | | | 187,651 | |
| Portfolio accounting fees | | | 75,060 | |
| Registration fees | | | 69,782 | |
| Custodian fees | | | 10,525 | |
| Trustees’ fees* | | | 5,809 | |
| Line of credit fees | | | 60 | |
| Miscellaneous | | | 47,979 | |
| Total expenses | | | 1,196,081 | |
| Net investment income | | | 477,534 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 9,448,714 | |
| Net realized gain | | | 9,448,714 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (1,989,279 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,989,279 | ) |
| Net realized and unrealized gain | | | 7,459,435 | |
| Net increase in net assets resulting from operations | | $ | 7,936,969 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 477,534 | | | $ | 517,481 | |
| Net realized gain on investments | | | 9,448,714 | | | | 9,473,645 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,989,279 | ) | | | (2,541,794 | ) |
| Net increase in net assets resulting from operations | | | 7,936,969 | | | | 7,449,332 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (18,371 | ) | | | (80,316 | ) |
| C-Class | | | (32,204 | ) | | | (33,250 | ) |
| H-Class | | | (291,666 | ) | | | (679,152 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (46,632 | ) | | | — | |
| C-Class | | | (81,742 | ) | | | — | |
| H-Class | | | (740,344 | ) | | | — | |
| Total distributions to shareholders | | | (1,210,959 | ) | | | (792,718 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 8,703,398 | | | | 25,346,366 | |
| C-Class | | | 7,988,475 | | | | 5,011,398 | |
| H-Class | | | 167,175,942 | | | | 218,922,617 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 63,438 | | | | 78,769 | |
| C-Class | | | 112,663 | | | | 32,403 | |
| H-Class | | | 1,028,821 | | | | 677,330 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (9,664,296 | ) | | | (30,688,025 | ) |
| C-Class | | | (8,563,970 | ) | | | (5,062,879 | ) |
| H-Class | | | (170,081,415 | ) | | | (240,430,536 | ) |
| Net decrease from capital share transactions | | | (3,236,944 | ) | | | (26,112,557 | ) |
| Net increase (decrease) in net assets | | | 3,489,066 | | | | (19,455,943 | ) |
| | | | | | | | | �� |
| Net assets: | | | | | | | | |
| Beginning of year | | | 66,211,789 | | | | 85,667,732 | |
| End of year | | $ | 69,700,855 | | | $ | 66,211,789 | |
| Undistributed net investment income at end of year | | $ | 477,532 | | | $ | 342,239 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 107,389 | | | | 363,232 | * |
| C-Class | | | 112,708 | | | | 75,970 | * |
| H-Class | | | 2,048,479 | | | | 3,073,769 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 758 | | | | 1,086 | * |
| C-Class | | | 1,542 | | | | 507 | * |
| H-Class | | | 12,242 | | | | 9,301 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (122,450 | ) | | | (445,468 | )* |
| C-Class | | | (116,677 | ) | | | (78,861 | )* |
| H-Class | | | (2,075,086 | ) | | | (3,429,081 | )* |
| Net decrease in shares | | | (31,095 | ) | | | (429,545 | )* |
| * | | Capital share activity for the periods through March 31, 2017, has been restated to reflect a 2:1 share split effective October 28, 2016. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 76.42 | | | $ | 66.03 | | | $ | 72.54 | | | $ | 70.69 | | | $ | 55.84 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .60 | | | | .55 | | | | .73 | | | | .57 | | | | .31 | |
| Net gain (loss) on investments (realized and unrealized) | | | 7.41 | | | | 10.52 | | | | (4.63 | ) | | | 3.42 | | | | 17.50 | |
| Total from investment operations | | | 8.01 | | | | 11.07 | | | | (3.90 | ) | | | 3.99 | | | | 17.81 | |
| Less distributions from: |
| Net investment income | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) | | | (.07 | ) | | | (.12 | ) |
| Net realized gains | | | (.70 | ) | | | — | | | | (1.63 | ) | | | (2.07 | ) | | | (2.84 | ) |
| Total distributions | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) | | | (2.14 | ) | | | (2.96 | ) |
| Net asset value, end of period | | $ | 83.46 | | | $ | 76.42 | | | $ | 66.03 | | | $ | 72.54 | | | $ | 70.69 | |
| |
| Total Returnb | | | 10.48 | % | | | 16.80 | % | | | (5.44 | %) | | | 5.60 | % | | | 32.21 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,108 | | | $ | 6,686 | | | $ | 11,135 | | | $ | 16,222 | | | $ | 4,435 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.74 | % | | | 0.79 | % | | | 1.08 | % | | | 0.78 | % | | | 0.47 | % |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 252 | % | | | 321 | % | | | 365 | % | | | 295 | % | | | 410 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 67.13 | | | $ | 58.51 | | | $ | 65.08 | | | $ | 64.10 | | | $ | 51.23 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (0.03 | ) | | | (.01 | ) | | | .17 | | | | .02 | | | | (.15 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 6.51 | | | | 9.31 | | | | (4.13 | ) | | | 3.10 | | | | 15.98 | |
| Total from investment operations | | | 6.48 | | | | 9.30 | | | | (3.96 | ) | | | 3.12 | | | | 15.83 | |
| Less distributions from: |
| Net investment income | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) | | | (.07 | ) | | | (.12 | ) |
| Net realized gains | | | (.70 | ) | | | — | | | | (1.63 | ) | | | (2.07 | ) | | | (2.84 | ) |
| Total distributions | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) | | | (2.14 | ) | | | (2.96 | ) |
| Net asset value, end of period | | $ | 72.64 | | | $ | 67.13 | | | $ | 58.51 | | | $ | 65.08 | | | $ | 64.10 | |
| |
| Total Returnb | | | 9.66 | % | | | 15.94 | % | | | (6.15 | %) | | | 4.81 | % | | | 31.21 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,058 | | | $ | 3,913 | | | $ | 3,550 | | | $ | 6,390 | | | $ | 5,090 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.05 | %) | | | (0.01 | %) | | | 0.28 | % | | | 0.03 | % | | | (0.26 | %) |
| Total expenses | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % | | | 2.25 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 252 | % | | | 321 | % | | | 365 | % | | | 295 | % | | | 410 | % |
| 26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Year Ended
March 31,
2014c | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 76.71 | | | $ | 66.28 | | | $ | 72.81 | | | $ | 70.94 | | | $ | 56.03 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .57 | | | | .59 | | | | .80 | | | | .49 | | | | .26 | |
| Net gain (loss) on investments (realized and unrealized) | | | 7.47 | | | | 10.52 | | | | (4.72 | ) | | | 3.52 | | | | 17.61 | |
| Total from investment operations | | | 8.04 | | | | 11.11 | | | | (3.92 | ) | | | 4.01 | | | | 17.87 | |
| Less distributions from: |
| Net investment income | | | (.27 | ) | | | (.68 | ) | | | (.98 | ) | | | (.07 | ) | | | (.12 | ) |
| Net realized gains | | | (.70 | ) | | | — | | | | (1.63 | ) | | | (2.07 | ) | | | (2.84 | ) |
| Total distributions | | | (.97 | ) | | | (.68 | ) | | | (2.61 | ) | | | (2.14 | ) | | | (2.96 | ) |
| Net asset value, end of period | | $ | 83.78 | | | $ | 76.71 | | | $ | 66.28 | | | $ | 72.81 | | | $ | 70.94 | |
| |
| Total Returnb | | | 10.48 | % | | | 16.81 | % | | | (5.44 | %) | | | 5.60 | % | | | 32.21 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 59,536 | | | $ | 55,613 | | | $ | 70,983 | | | $ | 48,920 | | | $ | 114,984 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.70 | % | | | 0.83 | % | | | 1.17 | % | | | 0.66 | % | | | 0.40 | % |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 252 | % | | | 321 | % | | | 365 | % | | | 295 | % | | | 410 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P MidCap 400® Pure Growth Fund H-Class returned 15.32%, compared with a gain of 17.11% for the S&P MidCap 400 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Technology and Health Care were the sectors contributing the most to the performance of the underlying index for the period. The Consumer Staples and Utilities sectors detracted the most.
Stocks that contributed the most to the return of the underlying index were ABIOMED, Inc., Take-Two Interactive Software, Inc., and Cognex Corp. Kate Spade & Co., Akorn, Inc., and Dick’s Sporting Goods, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| ABIOMED, Inc. | 2.7% |
| MKS Instruments, Inc. | 2.1% |
| Louisiana-Pacific Corp. | 1.9% |
| LendingTree, Inc. | 1.8% |
| Fortinet, Inc. | 1.8% |
| Jabil, Inc. | 1.8% |
| MSCI, Inc. — Class A | 1.7% |
| Skechers U.S.A., Inc. — Class A | 1.7% |
| Medidata Solutions, Inc. | 1.7% |
| LivaNova plc | 1.6% |
| Top Ten Total | 18.8% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 28 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 15.33% | 8.71% | 10.98% |
| A-Class Shares with sales charge† | 9.87% | 7.66% | 10.44% |
| C-Class Shares | 14.47% | 7.89% | 10.15% |
| C-Class Shares with CDSC‡ | 13.47% | 7.89% | 10.15% |
| H-Class Shares | 15.32% | 8.71% | 10.98% |
| S&P MidCap 400 Pure Growth Index | 17.11% | 10.23% | 12.68% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.7% |
| | | | | | | |
| Consumer, Non-cyclical - 26.3% |
| ABIOMED, Inc.* | | | 9,179 | | | $ | 2,670,997 | |
| LendingTree, Inc.* | | | 5,500 | | | | 1,804,825 | |
| LivaNova plc* | | | 18,300 | | | | 1,619,550 | |
| Catalent, Inc.* | | | 33,700 | | | | 1,383,722 | |
| Globus Medical, Inc. — Class A* | | | 27,100 | | | | 1,350,122 | |
| ICU Medical, Inc.* | | | 5,300 | | | | 1,337,720 | |
| Masimo Corp.* | | | 14,087 | | | | 1,238,952 | |
| Hill-Rom Holdings, Inc. | | | 14,000 | | | | 1,218,000 | |
| Akorn, Inc.* | | | 57,417 | | | | 1,074,272 | |
| Charles River Laboratories International, Inc.* | | | 9,700 | | | | 1,035,378 | |
| Healthcare Services Group, Inc. | | | 23,020 | | | | 1,000,909 | |
| Sprouts Farmers Market, Inc.* | | | 39,925 | | | | 937,040 | |
| Encompass Health Corp. | | | 15,750 | | | | 900,428 | |
| Brink’s Co. | | | 12,200 | | | | 870,470 | |
| Cantel Medical Corp. | | | 7,400 | | | | 824,434 | |
| Bio-Techne Corp. | | | 5,395 | | | | 814,861 | |
| Service Corporation International | | | 21,500 | | | | 811,410 | |
| Lamb Weston Holdings, Inc. | | | 13,715 | | | | 798,487 | |
| MarketAxess Holdings, Inc. | | | 3,627 | | | | 788,655 | |
| Teleflex, Inc. | | | 2,800 | | | | 713,944 | |
| Sotheby’s* | | | 13,167 | | | | 675,599 | |
| Rollins, Inc. | | | 13,200 | | | | 673,596 | |
| CoreLogic, Inc.* | | | 12,840 | | | | 580,753 | |
| WEX, Inc.* | | | 3,300 | | | | 516,846 | |
| Bio-Rad Laboratories, Inc. — Class A* | | | 1,700 | | | | 425,136 | |
| Total Consumer, Non-cyclical | | | | | | | 26,066,106 | |
| | | | | | | | | |
| Technology - 19.5% |
| MKS Instruments, Inc. | | | 17,700 | | | | 2,047,005 | |
| Fortinet, Inc.* | | | 33,200 | | | | 1,778,856 | |
| MSCI, Inc. — Class A | | | 11,455 | | | | 1,712,179 | |
| Medidata Solutions, Inc.* | | | 26,200 | | | | 1,645,622 | |
| Broadridge Financial Solutions, Inc. | | | 12,991 | | | | 1,424,983 | |
| Teradyne, Inc. | | | 26,400 | | | | 1,206,744 | |
| Integrated Device Technology, Inc.* | | | 37,166 | | | | 1,135,793 | |
| Monolithic Power Systems, Inc. | | | 9,804 | | | | 1,135,009 | |
| Blackbaud, Inc. | | | 10,700 | | | | 1,089,367 | |
| Tyler Technologies, Inc.* | | | 4,000 | | | | 843,840 | |
| Ultimate Software Group, Inc.* | | | 3,166 | | | | 771,554 | |
| Cirrus Logic, Inc.* | | | 17,248 | | | | 700,786 | |
| MAXIMUS, Inc. | | | 10,376 | | | | 692,494 | |
| j2 Global, Inc. | | | 8,700 | | | | 686,604 | |
| Fair Isaac Corp.* | | | 3,841 | | | | 650,550 | |
| Jack Henry & Associates, Inc. | | | 5,200 | | | | 628,940 | |
| Silicon Laboratories, Inc.* | | | 6,900 | | | | 620,310 | |
| Microsemi Corp.* | | | 8,129 | | | | 526,109 | |
| Total Technology | | | | | | | 19,296,745 | |
| | | | | | | | | |
| Consumer, Cyclical - 18.4% |
| Skechers U.S.A., Inc. — Class A* | | | 43,877 | | | | 1,706,376 | |
| Churchill Downs, Inc. | | | 6,300 | | | | 1,537,515 | |
| KB Home | | | 53,800 | | | | 1,530,610 | |
| TRI Pointe Group, Inc.* | | | 89,800 | | | | 1,475,414 | |
| NVR, Inc.* | | | 500 | | | | 1,400,000 | |
| Copart, Inc.* | | | 26,896 | | | | 1,369,813 | |
| Toll Brothers, Inc. | | | 30,300 | | | | 1,310,475 | |
| Scientific Games Corp. — Class A* | | | 31,147 | | | | 1,295,715 | |
| Thor Industries, Inc. | | | 9,662 | | | | 1,112,773 | |
| Live Nation Entertainment, Inc.* | | | 26,100 | | | | 1,099,854 | |
| Domino’s Pizza, Inc. | | | 3,975 | | | | 928,401 | |
| Herman Miller, Inc. | | | 26,300 | | | | 840,285 | |
| Delphi Technologies plc | | | 17,112 | | | | 815,387 | |
| Polaris Industries, Inc.1 | | | 5,300 | | | | 606,956 | |
| Pool Corp. | | | 4,140 | | | | 605,351 | |
| Boyd Gaming Corp.1 | | | 18,600 | | | | 592,596 | |
| Total Consumer, Cyclical | | | | | | | 18,227,521 | |
| | | | | | | | | |
| Industrial - 17.6% |
| Louisiana-Pacific Corp. | | | 63,900 | | | | 1,838,403 | |
| Jabil, Inc. | | | 60,400 | | | | 1,735,292 | |
| Zebra Technologies Corp. — Class A* | | | 11,075 | | | | 1,541,530 | |
| KLX, Inc.* | | | 21,500 | | | | 1,527,790 | |
| Dycom Industries, Inc.* | | | 12,900 | | | | 1,388,427 | |
| Cognex Corp. | | | 25,084 | | | | 1,304,117 | |
| Graco, Inc. | | | 23,700 | | | | 1,083,564 | |
| Coherent, Inc.* | | | 5,300 | | | | 993,220 | |
| Littelfuse, Inc. | | | 4,180 | | | | 870,192 | |
| Old Dominion Freight Line, Inc. | | | 5,900 | | | | 867,123 | |
| Lennox International, Inc. | | | 3,700 | | | | 756,169 | |
| Orbital ATK, Inc. | | | 5,700 | | | | 755,877 | |
| Teledyne Technologies, Inc.* | | | 3,000 | | | | 561,510 | |
| IDEX Corp. | | | 3,600 | | | | 513,036 | |
| National Instruments Corp. | | | 9,700 | | | | 490,529 | |
| Trimble, Inc.* | | | 11,900 | | | | 426,972 | |
| Nordson Corp. | | | 3,080 | | | | 419,927 | |
| Eagle Materials, Inc. | | | 4,066 | | | | 419,001 | |
| Total Industrial | | | | | | | 17,492,679 | |
| | | | | | | | | |
| Financial - 12.7% |
| CNO Financial Group, Inc. | | | 62,500 | | | | 1,354,375 | |
| Evercore, Inc. — Class A | | | 13,300 | | | | 1,159,760 | |
| First Industrial Realty Trust, Inc. REIT | | | 35,270 | | | | 1,030,942 | |
| Primerica, Inc. | | | 10,660 | | | | 1,029,756 | |
| Janus Henderson Group plc | | | 26,600 | | | | 880,194 | |
| SEI Investments Co. | | | 11,100 | | | | 831,501 | |
| DCT Industrial Trust, Inc. REIT | | | 14,720 | | | | 829,325 | |
| Kemper Corp. | | | 14,500 | | | | 826,500 | |
| Synovus Financial Corp. | | | 14,800 | | | | 739,112 | |
| CoreSite Realty Corp. REIT | | | 7,300 | | | | 731,898 | |
| Bank of the Ozarks | | | 15,003 | | | | 724,195 | |
| East West Bancorp, Inc. | | | 10,400 | | | | 650,416 | |
| Texas Capital Bancshares, Inc.* | | | 5,600 | | | | 503,440 | |
| Federated Investors, Inc. — Class B | | | 14,900 | | | | 497,660 | |
| Interactive Brokers Group, Inc. — Class A | | | 6,300 | | | | 423,612 | |
| Eaton Vance Corp. | | | 6,400 | | | | 356,288 | |
| Total Financial | | | | | | | 12,568,974 | |
| | | | | | | | | |
| Communications - 2.9% |
| LogMeIn, Inc. | | | 7,800 | | | | 901,290 | |
| New York Times Co. — Class A | | | 32,800 | | | | 790,480 | |
| 30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| FactSet Research Systems, Inc.1 | | | 3,100 | | | $ | 618,202 | |
| InterDigital, Inc. | | | 7,435 | | | | 547,216 | |
| Total Communications | | | | | | | 2,857,188 | |
| | | | | | | | | |
| Basic Materials - 2.3% |
| Royal Gold, Inc. | | | 11,249 | | | | 965,952 | |
| Versum Materials, Inc. | | | 23,400 | | | | 880,542 | |
| Chemours Co. | | | 9,300 | | | | 453,003 | |
| Total Basic Materials | | | | | | | 2,299,497 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $86,985,959) | | | | | | | 98,808,710 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 423,759 | | | | 423,759 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 138,666 | | | | 138,666 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $562,425) | | | | | | | 562,425 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 1.0% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 1,030,698 | | | | 1,030,698 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $1,030,698) | | | | | | | 1,030,698 | |
| | | | | | | | | |
| Total Investments - 101.3% | | | | | | | | |
| (Cost $88,579,082) | | | | | | $ | 100,401,833 | |
| Other Assets & Liabilities, net - (1.3)% | | | | | | | (1,315,178 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 99,086,655 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — 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 March 29, 2018. |
| | | REIT — Real Estate Investment Trust |
| | | 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 March 29, 2018 (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 | | $ | 98,808,710 | | | $ | — | | | $ | — | | | $ | 98,808,710 | |
| Repurchase Agreements | | | — | | | | 562,425 | | | | — | | | | 562,425 | |
| Securities Lending Collateral | | | 1,030,698 | | | | — | | | | — | | | | 1,030,698 | |
| Total Assets | | $ | 99,839,408 | | | $ | 562,425 | | | $ | — | | | $ | 100,401,833 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $1,015,349 of securities loaned (cost $88,016,657) | | $ | 99,839,408 | |
| Repurchase agreements, at value (cost $562,425) | | | 562,425 | |
| Cash | | | 9,155 | |
| Receivables: |
| Dividends | | | 47,545 | |
| Fund shares sold | | | 6,911 | |
| Securities lending income | | | 539 | |
| Interest | | | 84 | |
| Total assets | | | 100,466,067 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 1,030,698 | |
| Fund shares redeemed | | | 187,206 | |
| Management fees | | | 65,667 | |
| Distribution and service fees | | | 31,088 | |
| Transfer agent and administrative fees | | | 21,889 | |
| Portfolio accounting fees | | | 8,756 | |
| Trustees’ fees* | | | 2,776 | |
| Miscellaneous | | | 31,332 | |
| Total liabilities | | | 1,379,412 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 99,086,655 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 83,026,861 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | 4,237,043 | |
| Net unrealized appreciation on investments | | | 11,822,751 | |
| Net assets | | $ | 99,086,655 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 11,327,064 | |
| Capital shares outstanding | | | 206,081 | |
| Net asset value per share | | $ | 54.96 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 57.70 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 14,045,873 | |
| Capital shares outstanding | | | 294,713 | |
| Net asset value per share | | $ | 47.66 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 73,713,718 | |
| Capital shares outstanding | | | 1,339,634 | |
| Net asset value per share | | $ | 55.03 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 818,654 | |
| Interest | | | 5,323 | |
| Income from securities lending, net | | | 5,331 | |
| Total investment income | | | 829,308 | |
| | | | | |
| Expenses: |
| Management fees | | | 791,596 | |
| Distribution and service fees: |
| A-Class | | | 32,843 | |
| C-Class | | | 143,939 | |
| H-Class | | | 195,037 | |
| Transfer agent and administrative fees | | | 263,865 | |
| Portfolio accounting fees | | | 105,545 | |
| Custodian fees | | | 14,454 | |
| Trustees’ fees* | | | 8,667 | |
| Line of credit fees | | | 91 | |
| Miscellaneous | | | 167,870 | |
| Total expenses | | | 1,723,907 | |
| Net investment loss | | | (894,599 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 16,743,616 | |
| Net realized gain | | | 16,743,616 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (996,495 | ) |
| Net change in unrealized appreciation (depreciation) | | | (996,495 | ) |
| Net realized and unrealized gain | | | 15,747,121 | |
| Net increase in net assets resulting from operations | | $ | 14,852,522 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (894,599 | ) | | $ | (950,230 | ) |
| Net realized gain on investments | | | 16,743,616 | | | | 11,414,440 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (996,495 | ) | | | 360,205 | |
| Net increase in net assets resulting from operations | | | 14,852,522 | | | | 10,824,415 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (758,591 | ) | | | (297,374 | ) |
| C-Class | | | (1,010,802 | ) | | | (291,932 | ) |
| H-Class | | | (5,176,969 | ) | | | (1,136,619 | ) |
| Total distributions to shareholders | | | (6,946,362 | ) | | | (1,725,925 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 17,483,446 | | | | 10,325,932 | |
| C-Class | | | 1,462,087 | | | | 2,821,225 | |
| H-Class | | | 96,888,514 | | | | 79,121,033 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 732,820 | | | | 290,748 | |
| C-Class | | | 1,003,234 | | | | 289,859 | |
| H-Class | | | 5,118,047 | | | | 1,122,775 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (24,259,785 | ) | | | (25,120,641 | ) |
| C-Class | | | (4,366,393 | ) | | | (9,691,842 | ) |
| H-Class | | | (112,572,215 | ) | | | (102,777,781 | ) |
| Net decrease from capital share transactions | | | (18,510,245 | ) | | | (43,618,692 | ) |
| Net decrease in net assets | | | (10,604,085 | ) | | | (34,520,202 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 109,690,740 | | | | 144,210,942 | |
| End of year | | $ | 99,086,655 | | | $ | 109,690,740 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (151,615 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 329,582 | | | | 212,056 | |
| C-Class | | | 30,103 | | | | 66,159 | |
| H-Class | | | 1,771,228 | | | | 1,640,941 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 13,716 | | | | 6,116 | |
| C-Class | | | 21,607 | | | | 6,895 | |
| H-Class | | | 95,682 | | | | 23,593 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (457,240 | ) | | | (522,005 | ) |
| C-Class | | | (92,674 | ) | | | (227,092 | ) |
| H-Class | | | (2,067,255 | ) | | | (2,163,025 | ) |
| Net decrease in shares | | | (355,251 | ) | | | (956,362 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
| S&P MIDCAP 400® PURE GROWTH 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.84 | | | $ | 46.51 | | | $ | 53.86 | | | $ | 58.66 | | | $ | 49.76 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.41 | ) | | | (.34 | ) | | | (.36 | ) | | | (.29 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.09 | | | | 5.41 | | | | (4.48 | ) | | | 3.88 | | | | 11.05 | |
| Total from investment operations | | | 7.68 | | | | 5.07 | | | | (4.84 | ) | | | 3.59 | | | | 10.83 | |
| Less distributions from: |
| Net realized gains | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Total distributions | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Net asset value, end of period | | $ | 54.96 | | | $ | 50.84 | | | $ | 46.51 | | | $ | 53.86 | | | $ | 58.66 | |
| |
| Total Returnb | | | 15.33 | % | | | 10.98 | % | | | (9.23 | %) | | | 7.18 | % | | | 21.90 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 11,327 | | | $ | 16,269 | | | $ | 29,017 | | | $ | 40,648 | | | $ | 59,293 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.77 | %) | | | (0.71 | %) | | | (0.71 | %) | | | (0.53 | %) | | | (0.40 | %) |
| Total expenses | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 160 | % | | | 127 | % | | | 143 | % | | | 134 | % | | | 131 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 44.83 | | | $ | 41.41 | | | $ | 48.60 | | | $ | 54.13 | | | $ | 46.39 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.71 | ) | | | (.61 | ) | | | (.66 | ) | | | (.64 | ) | | | (.58 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 7.10 | | | | 4.77 | | | | (4.02 | ) | | | 3.50 | | | | 10.25 | |
| Total from investment operations | | | 6.39 | | | | 4.16 | | | | (4.68 | ) | | | 2.86 | | | | 9.67 | |
| Less distributions from: |
| Net realized gains | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Total distributions | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Net asset value, end of period | | $ | 47.66 | | | $ | 44.83 | | | $ | 41.41 | | | $ | 48.60 | | | $ | 54.13 | |
| |
| Total Returnb | | | 14.47 | % | | | 10.16 | % | | | (9.92 | %) | | | 6.39 | % | | | 20.98 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 14,046 | | | $ | 15,049 | | | $ | 20,279 | | | $ | 26,689 | | | $ | 28,567 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.49 | %) | | | (1.44 | %) | | | (1.46 | %) | | | (1.26 | %) | | | (1.15 | %) |
| Total expenses | | | 2.28 | % | | | 2.27 | % | | | 2.25 | % | | | 2.26 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 160 | % | | | 127 | % | | | 143 | % | | | 134 | % | | | 131 | % |
| 34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P MIDCAP 400® PURE GROWTH FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 50.89 | | | $ | 46.56 | | | $ | 53.91 | | | $ | 58.71 | | | $ | 49.80 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.40 | ) | | | (.33 | ) | | | (.36 | ) | | | (.29 | ) | | | (.18 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.10 | | | | 5.40 | | | | (4.48 | ) | | | 3.88 | | | | 11.02 | |
| Total from investment operations | | | 7.70 | | | | 5.07 | | | | (4.84 | ) | | | 3.59 | | | | 10.84 | |
| Less distributions from: |
| Net realized gains | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Total distributions | | | (3.56 | ) | | | (.74 | ) | | | (2.51 | ) | | | (8.39 | ) | | | (1.93 | ) |
| Net asset value, end of period | | $ | 55.03 | | | $ | 50.89 | | | $ | 46.56 | | | $ | 53.91 | | | $ | 58.71 | |
| |
| Total Returnb | | | 15.32 | % | | | 10.99 | % | | | (9.22 | %) | | | 7.18 | % | | | 21.91 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 73,714 | | | $ | 78,373 | | | $ | 94,915 | | | $ | 124,672 | | | $ | 186,863 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.74 | %) | | | (0.68 | %) | | | (0.71 | %) | | | (0.52 | %) | | | (0.33 | %) |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 160 | % | | | 127 | % | | | 143 | % | | | 134 | % | | | 131 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P MidCap 400® Pure Value Fund H-Class returned 5.58%, compared with a return of 7.47% for the S&P MidCap 400 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Consumer Discretionary and Financials were the sectors contributing the most to the performance of the underlying index for the period were. The Consumer Staples and Health Care sectors detracted the most.
Stocks that contributed the most to the return of the underlying index were First Solar, Inc., KB Home, and Dillard’s, Inc. Class A. Office Depot, Inc. GameStop Corp. Class A, and Owens & Minor, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| Dillard’s, Inc. — Class A | 3.3% |
| LifePoint Health, Inc. | 2.7% |
| Avnet, Inc. | 2.7% |
| Genworth Financial, Inc. — Class A | 2.2% |
| Dick’s Sporting Goods, Inc. | 2.2% |
| Bed Bath & Beyond, Inc. | 2.1% |
| World Fuel Services Corp. | 2.1% |
| Arrow Electronics, Inc. | 2.0% |
| PBF Energy, Inc. — Class A | 1.9% |
| Signet Jewelers Ltd. | 1.9% |
| Top Ten Total | 23.1% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 36 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 5.63% | 8.67% | 7.30% |
| A-Class Shares with sales charge† | 0.62% | 7.62% | 6.78% |
| C-Class Shares | 4.82% | 7.85% | 6.47% |
| C-Class Shares with CDSC‡ | 3.82% | 7.85% | 6.47% |
| H-Class Shares | 5.58% | 8.65% | 7.29% |
| S&P MidCap 400 Pure Value Index | 7.47% | 10.84% | 10.29% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P MIDCAP 400® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.1% |
| | | | | | | |
| Consumer, Cyclical - 19.9% |
| Dillard’s, Inc. — Class A1 | | | 4,460 | | | $ | 358,316 | |
| Dick’s Sporting Goods, Inc. | | | 6,660 | | | | 233,433 | |
| Bed Bath & Beyond, Inc. | | | 10,930 | | | | 229,421 | |
| World Fuel Services Corp. | | | 9,299 | | | | 228,291 | |
| Signet Jewelers Ltd. | | | 5,360 | | | | 206,467 | |
| GameStop Corp. — Class A | | | 15,028 | | | | 189,653 | |
| Office Depot, Inc. | | | 87,627 | | | | 188,398 | |
| AutoNation, Inc.* | | | 3,010 | | | | 140,808 | |
| Cooper Tire & Rubber Co. | | | 3,709 | | | | 108,674 | |
| JetBlue Airways Corp.* | | | 3,936 | | | | 79,979 | |
| Big Lots, Inc. | | | 1,751 | | | | 76,221 | |
| HNI Corp. | | | 1,690 | | | | 60,992 | |
| International Speedway Corp. — Class A | | | 1,259 | | | | 55,522 | |
| Total Consumer, Cyclical | | | | | | | 2,156,175 | |
| | | | | | | | | |
| Industrial - 18.6% |
| Avnet, Inc. | | | 6,946 | | | | 290,065 | |
| Arrow Electronics, Inc.* | | | 2,803 | | | | 215,887 | |
| AECOM* | | | 5,523 | | | | 196,784 | |
| Tech Data Corp.* | | | 2,299 | | | | 195,714 | |
| SYNNEX Corp. | | | 1,185 | | | | 140,304 | |
| Esterline Technologies Corp.* | | | 1,890 | | | | 138,253 | |
| Ryder System, Inc. | | | 1,374 | | | | 100,014 | |
| Regal Beloit Corp. | | | 1,235 | | | | 90,587 | |
| AGCO Corp. | | | 1,328 | | | | 86,121 | |
| Trinity Industries, Inc. | | | 2,247 | | | | 73,320 | |
| EMCOR Group, Inc. | | | 940 | | | | 73,254 | |
| Kirby Corp.* | | | 852 | | | | 65,561 | |
| Greif, Inc. — Class A | | | 1,251 | | | | 65,365 | |
| Owens-Illinois, Inc.* | | | 2,900 | | | | 62,814 | |
| Worthington Industries, Inc. | | | 1,440 | | | | 61,805 | |
| KBR, Inc. | | | 3,810 | | | | 61,684 | |
| GATX Corp. | | | 850 | | | | 58,216 | |
| Knowles Corp.* | | | 3,300 | | | | 41,547 | |
| Total Industrial | | | | | | | 2,017,295 | |
| | | | | | | | | |
| Financial - 18.0% |
| Genworth Financial, Inc. — Class A* | | | 85,788 | | | | 242,780 | |
| Legg Mason, Inc. | | | 3,870 | | | | 157,315 | |
| Old Republic International Corp. | | | 7,179 | | | | 153,990 | |
| Reinsurance Group of America, Inc. — Class A | | | 861 | | | | 132,594 | |
| Aspen Insurance Holdings Ltd. | | | 2,634 | | | | 118,135 | |
| Hanover Insurance Group, Inc. | | | 833 | | | | 98,202 | |
| Alleghany Corp. | | | 153 | | | | 94,009 | |
| WR Berkley Corp. | | | 1,233 | | | | 89,639 | |
| New York Community Bancorp, Inc. | | | 6,740 | | | | 87,822 | |
| FNB Corp. | | | 6,180 | | | | 83,121 | |
| Stifel Financial Corp. | | | 1,394 | | | | 82,567 | |
| Sabra Health Care REIT, Inc. REIT | | | 4,631 | | | | 81,737 | |
| Washington Prime Group, Inc. REIT | | | 10,010 | | | | 66,767 | |
| American Financial Group, Inc. | | | 580 | | | | 65,088 | |
| LaSalle Hotel Properties REIT | | | 2,230 | | | | 64,692 | |
| Mercury General Corp. | | | 1,390 | | | | 63,759 | |
| Associated Banc-Corp. | | | 2,376 | | | | 59,044 | |
| PacWest Bancorp | | | 1,180 | | | | 58,445 | |
| Umpqua Holdings Corp. | | | 2,613 | | | | 55,944 | |
| United Bankshares, Inc. | | | 1,514 | | | | 53,369 | |
| Alexander & Baldwin, Inc. REIT | | | 1,910 | | | | 44,179 | |
| Total Financial | | | | | | | 1,953,198 | |
| | | | | | | | | |
| Energy - 14.5% |
| PBF Energy, Inc. — Class A | | | 6,110 | | | | 207,129 | |
| NOW, Inc.* | | | 19,650 | | | | 200,823 | |
| HollyFrontier Corp. | | | 3,061 | | | | 149,560 | |
| Diamond Offshore Drilling, Inc.* | | | 9,160 | | | | 134,286 | |
| QEP Resources, Inc.* | | | 12,410 | | | | 121,494 | |
| Murphy USA, Inc.* | | | 1,554 | | | | 113,131 | |
| Ensco plc — Class A | | | 24,420 | | | | 107,204 | |
| CNX Resources Corp.* | | | 6,140 | | | | 94,740 | |
| Oceaneering International, Inc. | | | 4,725 | | | | 87,601 | |
| Rowan Companies plc — Class A* | | | 7,300 | | | | 84,242 | |
| Gulfport Energy Corp.* | | | 8,460 | | | | 81,639 | |
| Murphy Oil Corp. | | | 2,940 | | | | 75,970 | |
| Callon Petroleum Co.* | | | 4,290 | | | | 56,799 | |
| Chesapeake Energy Corp.* | | | 18,630 | | | | 56,263 | |
| Total Energy | | | | | | | 1,570,881 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 14.0% |
| LifePoint Health, Inc.* | | | 6,240 | | | | 293,280 | |
| United Natural Foods, Inc.* | | | 4,289 | | | | 184,170 | |
| Acadia Healthcare Company, Inc.* | | | 4,650 | | | | 182,187 | |
| TreeHouse Foods, Inc.* | | | 4,218 | | | | 161,423 | |
| ManpowerGroup, Inc. | | | 1,076 | | | | 123,848 | |
| Aaron’s, Inc. | | | 2,570 | | | | 119,762 | |
| Patterson Companies, Inc. | | | 4,900 | | | | 108,927 | |
| Avis Budget Group, Inc.*,1 | | | 2,290 | | | | 107,263 | |
| Graham Holdings Co. — Class B | | | 167 | | | | 100,576 | |
| MEDNAX, Inc.* | | | 1,310 | | | | 72,875 | |
| Adtalem Global Education, Inc.* | | | 1,338 | | | | 63,622 | |
| Total Consumer, Non-cyclical | | | | | | | 1,517,933 | |
| | | | | | | | | |
| Basic Materials - 7.2% |
| United States Steel Corp. | | | 5,440 | | | | 191,434 | |
| Domtar Corp. | | | 4,367 | | | | 185,772 | |
| Reliance Steel & Aluminum Co. | | | 2,142 | | | | 183,655 | |
| Commercial Metals Co. | | | 7,383 | | | | 151,056 | |
| Allegheny Technologies, Inc.* | | | 2,830 | | | | 67,014 | |
| Total Basic Materials | | | | | | | 778,931 | |
| | | | | | | | | |
| Technology - 3.5% |
| Synaptics, Inc.* | | | 2,500 | | | | 114,325 | |
| Convergys Corp. | | | 4,320 | | | | 97,719 | |
| NCR Corp.* | | | 2,070 | | | | 65,246 | |
| Diebold Nixdorf, Inc.1 | | | 3,331 | | | | 51,297 | |
| NetScout Systems, Inc.* | | | 1,750 | | | | 46,113 | |
| Total Technology | | | | | | | 374,700 | |
| | | | | | | | | |
| Communications - 3.4% |
| Telephone & Data Systems, Inc. | | | 6,495 | | | | 182,055 | |
| Ciena Corp.* | | | 4,570 | | | | 118,363 | |
| 38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| S&P MIDCAP 400® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| ARRIS International plc* | | | 2,710 | | | $ | 72,005 | |
| Total Communications | | | | | | | 372,423 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $9,229,561) | | | | | | | 10,741,536 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.8% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 61,464 | | | | 61,464 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 20,112 | | | | 20,112 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $81,576) | | | | | | | 81,576 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 0.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 70,915 | | | | 70,915 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $70,915) | | | | | | | 70,915 | |
| | | | | | | | | |
| Total Investments - 100.6% | | | | | | | | |
| (Cost $9,382,052) | | | | | | $ | 10,894,027 | |
| Other Assets & Liabilities, net - (0.6)% | | | | | | | (63,134 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 10,830,893 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — 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 March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 10,741,536 | | | $ | — | | | $ | — | | | $ | 10,741,536 | |
| Repurchase Agreements | | | — | | | | 81,576 | | | | — | | | | 81,576 | |
| Securities Lending Collateral | | | 70,915 | | | | — | | | | — | | | | 70,915 | |
| Total Assets | | $ | 10,812,451 | | | $ | 81,576 | | | $ | — | | | $ | 10,894,027 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| S&P MIDCAP 400® PURE VALUE FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $68,722 of securities loaned (cost $9,300,476) | | $ | 10,812,451 | |
| Repurchase agreements, at value (cost $81,576) | | | 81,576 | |
| Cash | | | 15,030 | |
| Receivables: |
| Dividends | | | 18,749 | |
| Fund shares sold | | | 8,342 | |
| Securities lending income | | | 1,504 | |
| Interest | | | 12 | |
| Total assets | | | 10,937,664 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 70,915 | |
| Management fees | | | 13,256 | |
| Distribution and service fees | | | 5,634 | |
| Transfer agent and administrative fees | | | 4,419 | |
| Fund shares redeemed | | | 2,420 | |
| Portfolio accounting fees | | | 1,768 | |
| Trustees’ fees* | | | 713 | |
| Miscellaneous | | | 7,646 | |
| Total liabilities | | | 106,771 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 10,830,893 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 11,242,534 | |
| Undistributed net investment income | | | 4,694 | |
| Accumulated net realized loss on investments | | | (1,928,310 | ) |
| Net unrealized appreciation on investments | | | 1,511,975 | |
| Net assets | | $ | 10,830,893 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,084,083 | |
| Capital shares outstanding | | | 20,332 | |
| Net asset value per share | | $ | 53.32 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 55.98 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,858,893 | |
| Capital shares outstanding | | | 39,261 | |
| Net asset value per share | | $ | 47.35 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 7,887,917 | |
| Capital shares outstanding | | | 148,142 | |
| Net asset value per share | | $ | 53.25 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 404,857 | |
| Interest | | | 1,364 | |
| Income from securities lending, net | | | 21,235 | |
| Total investment income | | | 427,456 | |
| | | | | |
| Expenses: |
| Management fees | | | 199,310 | |
| Distribution and service fees: |
| A-Class | | | 4,780 | |
| C-Class | | | 21,721 | |
| H-Class | | | 56,226 | |
| Transfer agent and administrative fees | | | 66,437 | |
| Portfolio accounting fees | | | 26,574 | |
| Registration fees | | | 21,910 | |
| Custodian fees | | | 3,682 | |
| Trustees’ fees* | | | 2,337 | |
| Line of credit fees | | | 131 | |
| Miscellaneous | | | 19,654 | |
| Total expenses | | | 422,762 | |
| Net investment income | | | 4,694 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 2,987,619 | |
| Net realized gain | | | 2,987,619 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (1,711,037 | ) |
| Net change in unrealized appreciation (depreciation) | | | (1,711,037 | ) |
| Net realized and unrealized gain | | | 1,276,582 | |
| Net increase in net assets resulting from operations | | $ | 1,281,276 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P MIDCAP 400® PURE VALUE FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 4,694 | | | $ | (78,684 | ) |
| Net realized gain on investments | | | 2,987,619 | | | | 5,833,493 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (1,711,037 | ) | | | (1,694,499 | ) |
| Net increase in net assets resulting from operations | | | 1,281,276 | | | | 4,060,310 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | — | | | | (4,378 | ) |
| C-Class | | | — | | | | (5,759 | ) |
| H-Class | | | — | | | | (42,411 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | (25,067 | ) | | | — | |
| C-Class | | | (41,239 | ) | | | — | |
| H-Class | | | (540,034 | ) | | | — | |
| Total distributions to shareholders | | | (606,340 | ) | | | (52,548 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 4,669,629 | | | | 5,501,146 | |
| C-Class | | | 634,992 | | | | 5,468,549 | |
| H-Class | | | 122,982,787 | | | | 250,100,866 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 25,036 | | | | 4,352 | |
| C-Class | | | 40,600 | | | | 5,625 | |
| H-Class | | | 537,320 | | | | 42,140 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (6,618,369 | ) | | | (7,712,771 | ) |
| C-Class | | | (2,095,601 | ) | | | (4,823,563 | ) |
| H-Class | | | (137,386,529 | ) | | | (280,216,330 | ) |
| Net decrease from capital share transactions | | | (17,210,135 | ) | | | (31,629,986 | ) |
| Net decrease in net assets | | | (16,535,199 | ) | | | (27,622,224 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 27,366,092 | | | | 54,988,316 | |
| End of year | | $ | 10,830,893 | | | $ | 27,366,092 | |
| Undistributed net investment income at end of year | | $ | 4,694 | | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 89,322 | | | | 114,895 | |
| C-Class | | | 12,719 | | | | 127,191 | |
| H-Class | | | 2,344,171 | | | | 5,516,255 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 459 | | | | 89 | |
| C-Class | | | 836 | | | | 127 | |
| H-Class | | | 9,855 | | | | 860 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (126,997 | ) | | | (169,970 | ) |
| C-Class | | | (45,164 | ) | | | (112,934 | ) |
| H-Class | | | (2,617,759 | ) | | | (6,238,907 | ) |
| Net decrease in shares | | | (332,558 | ) | | | (762,394 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
| S&P MIDCAP 400® PURE VALUE 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.39 | | | $ | 42.43 | | | $ | 45.68 | | | $ | 43.04 | | | $ | 36.18 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .02 | | | | (.08 | ) | | | .16 | | | | .11 | | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.89 | | | | 9.14 | | | | (3.30 | ) | | | 2.58 | | | | 7.08 | |
| Total from investment operations | | | 2.91 | | | | 9.06 | | | | (3.14 | ) | | | 2.69 | | | | 7.05 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.10 | ) | | | (.11 | ) | | | (.05 | ) | | | (.19 | ) |
| Net realized gains | | | (.98 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) | | | (.05 | ) | | | (.19 | ) |
| Net asset value, end of period | | $ | 53.32 | | | $ | 51.39 | | | $ | 42.43 | | | $ | 45.68 | | | $ | 43.04 | |
| |
| Total Returnb | | | 5.63 | % | | | 21.34 | % | | | (6.88 | %) | | | 6.25 | % | | | 19.49 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,084 | | | $ | 2,957 | | | $ | 4,775 | | | $ | 1,904 | | | $ | 2,357 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.03 | % | | | (0.17 | %) | | | 0.39 | % | | | 0.26 | % | | | (0.06 | %) |
| Total expenses | | | 1.54 | % | | | 1.53 | % | | | 1.50 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 506 | % | | | 628 | % | | | 493 | % | | | 638 | % | | | 506 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 46.08 | | | $ | 38.33 | | | $ | 41.59 | | | $ | 39.48 | | | $ | 33.46 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.29 | ) | | | (.36 | ) | | | (.12 | ) | | | (.18 | ) | | | (.25 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.54 | | | | 8.21 | | | | (3.03 | ) | | | 2.34 | | | | 6.46 | |
| Total from investment operations | | | 2.25 | | | | 7.85 | | | | (3.15 | ) | | | 2.16 | | | | 6.21 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.10 | ) | | | (.11 | ) | | �� | (.05 | ) | | | (.19 | ) |
| Net realized gains | | | (.98 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) | | | (.05 | ) | | | (.19 | ) |
| Net asset value, end of period | | $ | 47.35 | | | $ | 46.08 | | | $ | 38.33 | | | $ | 41.59 | | | $ | 39.48 | |
| |
| Total Returnb | | | 4.82 | % | | | 20.46 | % | | | (7.58 | %) | | | 5.47 | % | | | 18.57 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,859 | | | $ | 3,266 | | | $ | 2,165 | | | $ | 3,033 | | | $ | 2,207 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.62 | %) | | | (0.85 | %) | | | (0.30 | %) | | | (0.44 | %) | | | (0.71 | %) |
| Total expenses | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % | | | 2.26 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 506 | % | | | 628 | % | | | 493 | % | | | 638 | % | | | 506 | % |
| 42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P MIDCAP 400® PURE VALUE FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 51.33 | | | $ | 42.38 | | | $ | 45.62 | | | $ | 42.98 | | | $ | 36.16 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .04 | | | | (.07 | ) | | | .20 | | | | .11 | | | | .06 | |
| Net gain (loss) on investments (realized and unrealized) | | | 2.86 | | | | 9.12 | | | | (3.33 | ) | | | 2.58 | | | | 6.95 | |
| Total from investment operations | | | 2.90 | | | | 9.05 | | | | (3.13 | ) | | | 2.69 | | | | 7.01 | |
| Less distributions from: |
| Net investment income | | | — | | | | (.10 | ) | | | (.11 | ) | | | (.05 | ) | | | (.19 | ) |
| Net realized gains | | | (.98 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (.98 | ) | | | (.10 | ) | | | (.11 | ) | | | (.05 | ) | | | (.19 | ) |
| Net asset value, end of period | | $ | 53.25 | | | $ | 51.33 | | | $ | 42.38 | | | $ | 45.62 | | | $ | 42.98 | |
| |
| Total Returnb | | | 5.58 | % | | | 21.36 | % | | | (6.86 | %) | | | 6.26 | % | | | 19.39 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 7,888 | | | $ | 21,143 | | | $ | 48,048 | | | $ | 8,968 | | | $ | 10,563 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.08 | % | | | (0.16 | %) | | | 0.47 | % | | | 0.25 | % | | | 0.15 | % |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.51 | % | | | 1.51 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 506 | % | | | 628 | % | | | 493 | % | | | 638 | % | | | 506 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P SmallCap 600® Pure Growth Fund H-Class returned 13.38%, compared with a gain of 15.26% for the S&P SmallCap 600 Pure Growth Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Financials and Health Care were the sectors contributing the most to the performance of the underlying index for the period. No sector detracted. The Energy and Utilities sectors contributed the least.
Stocks that contributed the most to the return of the underlying index were LendingTree, Inc., LGI Homes, Inc., and Qualys, Inc. Applied Optoelectronics, Inc., Progenics Pharmaceuticals, Inc., and NutriSystem, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| Qualys, Inc. | 1.5% |
| Innoviva, Inc. | 1.5% |
| Enanta Pharmaceuticals, Inc. | 1.5% |
| Brooks Automation, Inc. | 1.4% |
| Cutera, Inc. | 1.4% |
| Supernus Pharmaceuticals, Inc. | 1.4% |
| Walker & Dunlop, Inc. | 1.3% |
| KEMET Corp. | 1.3% |
| NMI Holdings, Inc. — Class A | 1.3% |
| BioTelemetry, Inc. | 1.3% |
| Top Ten Total | 13.9% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| 44 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 13.41% | 12.14% | 10.48% |
| A-Class Shares with sales charge† | 8.02% | 11.05% | 9.95% |
| C-Class Shares | 12.52% | 11.29% | 9.66% |
| C-Class Shares with CDSC‡ | 11.52% | 11.29% | 9.66% |
| H-Class Shares | 13.38% | 12.13% | 10.48% |
| S&P SmallCap 600 Pure Growth Index | 15.26% | 14.15% | 12.80% |
| * | | 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 S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 45 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.5% |
| | | | | | | |
| Consumer, Non-cyclical - 32.7% |
| Innoviva, Inc.* | | | 17,552 | | | $ | 292,592 | |
| Enanta Pharmaceuticals, Inc.* | | | 3,587 | | | | 290,224 | |
| Cutera, Inc.* | | | 5,446 | | | | 273,662 | |
| Supernus Pharmaceuticals, Inc.* | | | 5,965 | | | | 273,197 | |
| BioTelemetry, Inc.* | | | 8,105 | | | | 251,660 | |
| OraSure Technologies, Inc.* | | | 14,464 | | | | 244,297 | |
| Calavo Growers, Inc.1 | | | 2,547 | | | | 234,833 | |
| Insperity, Inc. | | | 3,346 | | | | 232,714 | |
| AMN Healthcare Services, Inc.* | | | 3,904 | | | | 221,552 | |
| Integer Holdings Corp.* | | | 3,760 | | | | 212,628 | |
| Corcept Therapeutics, Inc.* | | | 12,860 | | | | 211,547 | |
| On Assignment, Inc.* | | | 2,420 | | | | 198,150 | |
| Amedisys, Inc.* | | | 2,960 | | | | 178,606 | |
| Providence Service Corp.*,1 | | | 2,510 | | | | 173,541 | |
| Korn/Ferry International | | | 3,230 | | | | 166,636 | |
| Emergent BioSolutions, Inc.* | | | 3,070 | | | | 161,636 | |
| Ligand Pharmaceuticals, Inc. — Class B* | | | 978 | | | | 161,526 | |
| LeMaitre Vascular, Inc. | | | 4,306 | | | | 156,006 | |
| Medifast, Inc. | | | 1,550 | | | | 144,847 | |
| MiMedx Group, Inc.*,1 | | | 20,328 | | | | 141,686 | |
| Momenta Pharmaceuticals, Inc.* | | | 7,525 | | | | 136,579 | |
| Central Garden & Pet Co. — Class A* | | | 3,406 | | | | 134,912 | |
| Inogen, Inc.* | | | 1,080 | | | | 132,667 | |
| LHC Group, Inc.* | | | 2,110 | | | | 129,892 | |
| Chemed Corp. | | | 470 | | | | 128,244 | |
| Merit Medical Systems, Inc.* | | | 2,755 | | | | 124,939 | |
| Coca-Cola Bottling Company Consolidated | | | 620 | | | | 107,055 | |
| Repligen Corp.* | | | 2,880 | | | | 104,199 | |
| Tivity Health, Inc.* | | | 2,530 | | | | 100,315 | |
| CorVel Corp.* | | | 1,910 | | | | 96,550 | |
| Neogen Corp.* | | | 1,404 | | | | 94,054 | |
| MGP Ingredients, Inc.1 | | | 1,040 | | | | 93,174 | |
| Green Dot Corp. — Class A* | | | 1,450 | | | | 93,032 | |
| ANI Pharmaceuticals, Inc.* | | | 1,597 | | | | 92,977 | |
| Phibro Animal Health Corp. — Class A | | | 2,130 | | | | 84,561 | |
| Surmodics, Inc.* | | | 2,199 | | | | 83,672 | |
| Myriad Genetics, Inc.* | | | 2,830 | | | | 83,627 | |
| NutriSystem, Inc. | | | 2,986 | | | | 80,473 | |
| Heska Corp.* | | | 965 | | | | 76,302 | |
| Orthofix International N.V.* | | | 1,140 | | | | 67,009 | |
| Eagle Pharmaceuticals, Inc.* | | | 1,140 | | | | 60,067 | |
| Inter Parfums, Inc. | | | 1,190 | | | | 56,109 | |
| Central Garden & Pet Co.* | | | 1,012 | | | | 43,516 | |
| Lantheus Holdings, Inc.* | | | 2,105 | | | | 33,470 | |
| Total Consumer, Non-cyclical | | | | | | | 6,458,935 | |
| | | | | | | | | |
| Industrial - 17.3% |
| KEMET Corp.* | | | 14,440 | | | | 261,797 | |
| TopBuild Corp.* | | | 2,870 | | | | 219,612 | |
| TTM Technologies, Inc.* | | | 14,181 | | | | 216,827 | |
| Proto Labs, Inc.* | | | 1,700 | | | | 199,835 | |
| Applied Optoelectronics, Inc.*,1 | | | 7,530 | | | | 188,702 | |
| PGT Innovations, Inc.* | | | 9,569 | | | | 178,462 | |
| Trex Company, Inc.* | | | 1,531 | | | | 166,527 | |
| EnPro Industries, Inc. | | | 1,960 | | | | 151,665 | |
| Patrick Industries, Inc.* | | | 2,403 | | | | 148,625 | |
| Electro Scientific Industries, Inc.* | | | 6,960 | | | | 134,537 | |
| II-VI, Inc.* | | | 3,243 | | | | 132,639 | |
| Control4 Corp.* | | | 5,920 | | | | 127,161 | |
| John Bean Technologies Corp. | | | 968 | | | | 109,771 | |
| US Concrete, Inc.*,1 | | | 1,780 | | | | 107,512 | |
| Rogers Corp.* | | | 820 | | | | 98,023 | |
| Alamo Group, Inc. | | | 880 | | | | 96,712 | |
| Harsco Corp.* | | | 4,510 | | | | 93,132 | |
| Vicor Corp.* | | | 3,236 | | | | 92,388 | |
| Comfort Systems USA, Inc. | | | 2,150 | | | | 88,688 | |
| Axon Enterprise, Inc.* | | | 2,110 | | | | 82,944 | |
| Aerovironment, Inc.* | | | 1,620 | | | | 73,726 | |
| Aerojet Rocketdyne Holdings, Inc.* | | | 2,520 | | | | 70,485 | |
| Simpson Manufacturing Company, Inc. | | | 1,056 | | | | 60,815 | |
| Forward Air Corp. | | | 1,120 | | | | 59,203 | |
| American Woodmark Corp.* | | | 600 | | | | 59,070 | |
| Barnes Group, Inc. | | | 950 | | | | 56,895 | |
| Albany International Corp. — Class A | | | 800 | | | | 50,160 | |
| Advanced Energy Industries, Inc.* | | | 745 | | | | 47,605 | |
| Raven Industries, Inc. | | | 1,330 | | | | 46,617 | |
| Total Industrial | | | | | | | 3,420,135 | |
| | | | | | | | | |
| Technology - 16.2% |
| Qualys, Inc.* | | | 4,074 | | | | 296,384 | |
| Brooks Automation, Inc. | | | 10,150 | | | | 274,862 | |
| Mercury Systems, Inc.* | | | 5,095 | | | | 246,190 | |
| Rudolph Technologies, Inc.* | | | 8,539 | | | | 236,530 | |
| Cohu, Inc. | | | 9,470 | | | | 216,011 | |
| Axcelis Technologies, Inc.* | | | 8,480 | | | | 208,608 | |
| Virtusa Corp.* | | | 4,030 | | | | 195,294 | |
| FormFactor, Inc.* | | | 13,630 | | | | 186,049 | |
| Kulicke & Soffa Industries, Inc.* | | | 7,270 | | | | 181,823 | |
| CEVA, Inc.* | | | 4,291 | | | | 155,334 | |
| MaxLinear, Inc. — Class A* | | | 6,362 | | | | 144,736 | |
| Ebix, Inc. | | | 1,733 | | | | 129,108 | |
| Quality Systems, Inc.* | | | 8,130 | | | | 110,975 | |
| Cabot Microelectronics Corp. | | | 1,030 | | | | 110,323 | |
| Omnicell, Inc.* | | | 2,379 | | | | 103,249 | |
| Tabula Rasa HealthCare, Inc.* | | | 2,650 | | | | 102,820 | |
| ExlService Holdings, Inc.* | | | 1,570 | | | | 87,559 | |
| SPS Commerce, Inc.* | | | 928 | | | | 59,457 | |
| TTEC Holdings, Inc. | | | 1,700 | | | | 52,190 | |
| Progress Software Corp.1 | | | 1,278 | | | | 49,139 | |
| Rambus, Inc.* | | | 3,052 | | | | 40,988 | |
| Total Technology | | | | | | | 3,187,629 | |
| | | | | | | | | |
| Consumer, Cyclical - 14.3% |
| LGI Homes, Inc.* | | | 3,410 | | | | 240,644 | |
| Five Below, Inc.* | | | 2,825 | | | | 207,185 | |
| Ollie’s Bargain Outlet Holdings, Inc.* | | | 3,046 | | | | 183,674 | |
| Installed Building Products, Inc.* | | | 2,925 | | | | 175,646 | |
| Cavco Industries, Inc.* | | | 1,000 | | | | 173,750 | |
| Sleep Number Corp.* | | | 4,570 | | | | 160,635 | |
| Marriott Vacations Worldwide Corp. | | | 1,200 | | | | 159,840 | |
| FirstCash, Inc. | | | 1,870 | | | | 151,937 | |
| 46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Ruth’s Hospitality Group, Inc. | | | 5,770 | | | $ | 141,077 | |
| Fox Factory Holding Corp.* | | | 3,973 | | | | 138,658 | |
| Wingstop, Inc. | | | 2,817 | | | | 133,047 | |
| Penn National Gaming, Inc.* | | | 4,469 | | | | 117,356 | |
| RH*,1 | | | 1,200 | | | | 114,336 | |
| Dave & Buster’s Entertainment, Inc.* | | | 2,645 | | | | 110,402 | |
| Winnebago Industries, Inc. | | | 2,864 | | | | 107,686 | |
| Monarch Casino & Resort, Inc.* | | | 2,460 | | | | 104,034 | |
| PetMed Express, Inc. | | | 2,470 | | | | 103,123 | |
| LCI Industries | | | 964 | | | | 100,400 | |
| iRobot Corp.* | | | 1,483 | | | | 95,194 | |
| Interface, Inc. — Class A | | | 2,430 | | | | 61,236 | |
| Shake Shack, Inc. — Class A* | | | 1,230 | | | | 51,205 | |
| Total Consumer, Cyclical | | | | | | | 2,831,065 | |
| | | | | | | | | |
| Financial - 11.6% |
| Walker & Dunlop, Inc. | | | 4,454 | | | | 264,657 | |
| NMI Holdings, Inc. — Class A* | | | 15,330 | | | | 253,712 | |
| Four Corners Property Trust, Inc. REIT | | | 10,188 | | | | 235,241 | |
| National Storage Affiliates Trust REIT | | | 8,930 | | | | 223,964 | |
| National Bank Holdings Corp. — Class A | | | 6,570 | | | | 218,452 | |
| BofI Holding, Inc.*,1 | | | 4,435 | | | | 179,750 | |
| Third Point Reinsurance Ltd.* | | | 10,260 | | | | 143,127 | |
| HFF, Inc. — Class A | | | 2,680 | | | | 133,196 | |
| Easterly Government Properties, Inc. REIT | | | 5,930 | | | | 120,972 | |
| LegacyTexas Financial Group, Inc. | | | 2,514 | | | | 107,649 | |
| Meta Financial Group, Inc. | | | 900 | | | | 98,280 | |
| Pacific Premier Bancorp, Inc.* | | | 2,308 | | | | 92,782 | |
| ServisFirst Bancshares, Inc. | | | 1,724 | | | | 70,374 | |
| Lexington Realty Trust REIT | | | 6,788 | | | | 53,422 | |
| EastGroup Properties, Inc. REIT | | | 620 | | | | 51,249 | |
| WageWorks, Inc.* | | | 930 | | | | 42,036 | |
| Total Financial | | | | | | | 2,288,863 | |
| | | | | | | | | |
| Communications - 5.8% |
| Stamps.com, Inc.* | | | 1,095 | | | | 220,150 | |
| World Wrestling Entertainment, Inc. — Class A | | | 5,626 | | | | 202,592 | |
| QuinStreet, Inc.* | | | 14,840 | | | | 189,507 | |
| XO Group, Inc.* | | | 6,040 | | | | 125,330 | |
| CalAmp Corp.* | | | 5,340 | | | | 122,179 | |
| Extreme Networks, Inc.* | | | 8,264 | | | | 91,482 | |
| Vonage Holdings Corp.* | | | 7,130 | | | | 75,935 | |
| Shutterstock, Inc.* | | | 1,376 | | | | 66,254 | |
| Cogent Communications Holdings, Inc. | | | 990 | | | | 42,966 | |
| Total Communications | | | | | | | 1,136,395 | |
| | | | | | | | | |
| Basic Materials - 1.6% |
| Kraton Corp.* | | | 3,402 | | | | 162,310 | |
| Koppers Holdings, Inc.* | | | 2,580 | | | | 106,038 | |
| Ingevity Corp.* | | | 590 | | | | 43,477 | |
| Total Basic Materials | | | | | | | 311,825 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $17,157,002) | | | | | | | 19,634,847 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.6% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 85,379 | | | | 85,379 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 27,939 | | | | 27,939 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $113,318) | | | | | | | 113,318 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 3.8% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 753,570 | | | | 753,570 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $753,570) | | | | | | | 753,570 | |
| | | | | | | | | |
| Total Investments - 103.9% | | | | | | | | |
| (Cost $18,023,890) | | | | | | $ | 20,501,735 | |
| Other Assets & Liabilities, net - (3.9)% | | | | | | | (767,700 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 19,734,035 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — 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 March 29, 2018. |
| | | REIT — Real Estate Investment Trust |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 19,634,847 | | | $ | — | | | $ | — | | | $ | 19,634,847 | |
| Repurchase Agreements | | | — | | | | 113,318 | | | | — | | | | 113,318 | |
| Securities Lending Collateral | | | 753,570 | | | | — | | | | — | | | | 753,570 | |
| Total Assets | | $ | 20,388,417 | | | $ | 113,318 | | | $ | — | | | $ | 20,501,735 | |
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 year ended March 29, 2018, there were no transfers between levels.
| 48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $744,068 of securities loaned (cost $17,910,572) | | $ | 20,388,417 | |
| Repurchase agreements, at value (cost $113,318) | | | 113,318 | |
| Cash | | | 435 | |
| Receivables: |
| Securities sold | | | 119,799 | |
| Fund shares sold | | | 11,013 | |
| Dividends | | | 7,492 | |
| Securities lending income | | | 2,415 | |
| Interest | | | 17 | |
| Total assets | | | 20,642,906 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 753,570 | |
| Securities purchased | | | 102,820 | |
| Fund shares redeemed | | | 24,088 | |
| Management fees | | | 11,779 | |
| Distribution and service fees | | | 5,419 | |
| Transfer agent and administrative fees | | | 3,926 | |
| Portfolio accounting fees | | | 1,570 | |
| Trustees’ fees* | | | 427 | |
| Miscellaneous | | | 5,272 | |
| Total liabilities | | | 908,871 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 19,734,035 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 17,379,779 | |
| Accumulated net investment loss | | | (31,604 | ) |
| Accumulated net realized loss on investments | | | (91,985 | ) |
| Net unrealized appreciation on investments | | | 2,477,845 | |
| Net assets | | $ | 19,734,035 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,856,800 | |
| Capital shares outstanding | | | 25,863 | |
| Net asset value per share | | $ | 71.79 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 75.37 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 2,354,192 | |
| Capital shares outstanding | | | 36,540 | |
| Net asset value per share | | $ | 64.43 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 15,523,043 | |
| Capital shares outstanding | | | 216,267 | |
| Net asset value per share | | $ | 71.78 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends | | $ | 124,757 | |
| Interest | | | 1,083 | |
| Income from securities lending, net | | | 15,683 | |
| Total investment income | | | 141,523 | |
| | | | | |
| Expenses: |
| Management fees | | | 147,267 | |
| Distribution and service fees: |
| A-Class | | | 6,815 | |
| C-Class | | | 23,398 | |
| H-Class | | | 36,425 | |
| Transfer agent and administrative fees | | | 49,089 | |
| Portfolio accounting fees | | | 19,636 | |
| Registration fees | | | 17,423 | |
| Custodian fees | | | 2,718 | |
| Trustees’ fees* | | | 2,087 | |
| Line of credit fees | | | 155 | |
| Miscellaneous | | | 13,553 | |
| Total expenses | | | 318,566 | |
| Net investment loss | | | (177,043 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 2,564,257 | |
| Net realized gain | | | 2,564,257 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (2,055,841 | ) |
| Net change in unrealized appreciation (depreciation) | | | (2,055,841 | ) |
| Net realized and unrealized gain | | | 508,416 | |
| Net increase in net assets resulting from operations | | $ | 331,373 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (177,043 | ) | | $ | (275,040 | ) |
| Net realized gain on investments | | | 2,564,257 | | | | 4,960,010 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (2,055,841 | ) | | | 808,620 | |
| Net increase in net assets resulting from operations | | | 331,373 | | | | 5,493,590 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (64,670 | ) | | | — | |
| C-Class | | | (104,709 | ) | | | — | |
| H-Class | | | (597,163 | ) | | | — | |
| Total distributions to shareholders | | | (766,542 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 14,158,497 | | | | 10,600,986 | |
| C-Class | | | 2,836,085 | | | | 2,703,118 | |
| H-Class | | | 112,035,613 | | | | 288,735,660 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 60,401 | | | | — | |
| C-Class | | | 96,921 | | | | — | |
| H-Class | | | 583,708 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (14,705,207 | ) | | | (10,942,756 | ) |
| C-Class | | | (3,788,527 | ) | | | (2,795,500 | ) |
| H-Class | | | (128,438,678 | ) | | | (286,503,580 | ) |
| Net increase (decrease) from capital share transactions | | | (17,161,187 | ) | | | 1,797,928 | |
| Net increase (decrease) in net assets | | | (17,596,356 | ) | | | 7,291,518 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 37,330,391 | | | | 30,038,873 | |
| End of year | | $ | 19,734,035 | | | $ | 37,330,391 | |
| Accumulated net investment loss at end of year | | $ | (31,604 | ) | | $ | (76,698 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 202,422 | | | | 179,803 | |
| C-Class | | | 43,984 | | | | 49,846 | |
| H-Class | | | 1,629,672 | | | | 5,017,807 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 866 | | | | — | |
| C-Class | | | 1,545 | | | | — | |
| H-Class | | | 8,371 | | | | — | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (215,946 | ) | | | (188,156 | ) |
| C-Class | | | (60,278 | ) | | | (51,716 | ) |
| H-Class | | | (1,905,889 | ) | | | (5,012,877 | ) |
| Net decrease in shares | | | (295,253 | ) | | | (5,293 | ) |
| 50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600® PURE GROWTH 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.58 | | | $ | 52.28 | | | $ | 58.90 | | | $ | 52.99 | | | $ | 41.94 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.63 | ) | | | (.41 | ) | | | (.20 | ) | | | (.46 | ) | | | (.31 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.35 | | | | 13.71 | | | | (6.42 | ) | | | 6.37 | | | | 11.36 | |
| Total from investment operations | | | 8.72 | | | | 13.30 | | | | (6.62 | ) | | | 5.91 | | | | 11.05 | |
| Less distributions from: |
| Net realized gains | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 71.79 | | | $ | 65.58 | | | $ | 52.28 | | | $ | 58.90 | | | $ | 52.99 | |
| |
| Total Returnb | | | 13.41 | % | | | 25.44 | % | | | (11.24 | %) | | | 11.15 | % | | | 26.35 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,857 | | | $ | 2,526 | | | $ | 2,451 | | | $ | 2,825 | | | $ | 7,265 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.91 | %) | | | (0.71 | %) | | | (0.36 | %) | | | (0.88 | %) | | | (0.60 | %) |
| Total expenses | | | 1.53 | % | | | 1.52 | % | | | 1.50 | % | | | 1.51 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 643 | % | | | 818 | % | | | 309 | % | | | 380 | % | | | 677 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 59.55 | | | $ | 47.82 | | | $ | 54.28 | | | $ | 49.21 | | | $ | 39.24 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.96 | ) | | | (.79 | ) | | | (.62 | ) | | | (.74 | ) | | | (.66 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.35 | | | | 12.52 | | | | (5.84 | ) | | | 5.81 | | | | 10.63 | |
| Total from investment operations | | | 7.39 | | | | 11.73 | | | | (6.46 | ) | | | 5.07 | | | | 9.97 | |
| Less distributions from: |
| Net realized gains | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 64.43 | | | $ | 59.55 | | | $ | 47.82 | | | $ | 54.28 | | | $ | 49.21 | |
| |
| Total Returnb | | | 12.52 | % | | | 24.51 | % | | | (11.90 | %) | | | 10.30 | % | | | 25.41 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,354 | | | $ | 3,054 | | | $ | 2,542 | | | $ | 5,436 | | | $ | 4,268 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.52 | %) | | | (1.48 | %) | | | (1.19 | %) | | | (1.50 | %) | | | (1.46 | %) |
| Total expenses | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % | | | 2.25 | % | | | 2.28 | % |
| Portfolio turnover rate | | | 643 | % | | | 818 | % | | | 309 | % | | | 380 | % | | | 677 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
| S&P SMALLCAP 600® PURE GROWTH FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 65.58 | | | $ | 52.27 | | | $ | 58.89 | | | $ | 52.99 | | | $ | 41.94 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.55 | ) | | | (.44 | ) | | | (.28 | ) | | | (.31 | ) | | | (.38 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 9.26 | | | | 13.75 | | | | (6.34 | ) | | | 6.21 | | | | 11.43 | |
| Total from investment operations | | | 8.71 | | | | 13.31 | | | | (6.62 | ) | | | 5.90 | | | | 11.05 | |
| Less distributions from: |
| Net realized gains | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (2.51 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 71.78 | | | $ | 65.58 | | | $ | 52.27 | | | $ | 58.89 | | | $ | 52.99 | |
| |
| Total Returnb | | | 13.38 | % | | | 25.46 | % | | | (11.24 | %) | | | 11.13 | % | | | 26.35 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 15,523 | | | $ | 31,750 | | | $ | 25,046 | | | $ | 50,810 | | | $ | 16,996 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.80 | %) | | | (0.75 | %) | | | (0.49 | %) | | | (0.58 | %) | | | (0.77 | %) |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.49 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 643 | % | | | 818 | % | | | 309 | % | | | 380 | % | | | 677 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| 52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
For the one-year period ended March 29, 2018, S&P SmallCap 600® Pure Value Fund H-Class returned 1.62%, compared with a return of 3.67% for the S&P SmallCap 600 Pure Value Index. The Fund maintained a daily correlation of over 99% to its benchmark.
Technology and Materials were the sectors contributing the most to return of the underlying index for the period. The Consumer Staples and Energy sectors detracted the most.
Stocks that contributed the most to the return of the underlying index were Electro Scientific Industries, Inc., RH, and Comtech Telecommunications Corp. Fred’s, Inc. Class A, Celadon Group, Inc. and Roadrunner Transportation Systems, Inc. were the largest detractors from performance of the underlying index.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | September 1, 2004 |
| C-Class | February 20, 2004 |
| H-Class | February 20, 2004 |
| Ten Largest Holdings (% of Total Net Assets) |
| Finish Line, Inc. — Class A | 1.5% |
| Veritiv Corp. | 1.5% |
| Abercrombie & Fitch Co. — Class A | 1.4% |
| Green Plains, Inc. | 1.3% |
| Olympic Steel, Inc. | 1.3% |
| Hibbett Sports, Inc. | 1.3% |
| Big 5 Sporting Goods Corp. | 1.3% |
| Kelly Services, Inc. — Class A | 1.3% |
| Perry Ellis International, Inc. | 1.2% |
| DHI Group, Inc. | 1.2% |
| Top Ten Total | 13.3% |
| | |
| “Ten Largest Holdings” excludes any temporary cash investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 53 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 1.47% | 7.17% | 6.15% |
| A-Class Shares with sales charge† | (3.36%) | 6.14% | 5.64% |
| C-Class Shares | 0.68% | 6.37% | 5.33% |
| C-Class Shares with CDSC‡ | (0.32%) | 6.37% | 5.33% |
| H-Class Shares | 1.62% | 7.20% | 6.15% |
| S&P SmallCap 600 Pure Value Index | 3.67% | 9.37% | 9.38% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 54 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 99.4% |
| | | | | | | |
| Consumer, Cyclical - 36.4% |
| Finish Line, Inc. — Class A | | | 11,094 | | | $ | 150,213 | |
| Veritiv Corp.* | | | 3,771 | | | | 147,823 | |
| Abercrombie & Fitch Co. — Class A | | | 5,883 | | | | 142,427 | |
| Hibbett Sports, Inc.* | | | 5,249 | | | | 125,714 | |
| Big 5 Sporting Goods Corp.1 | | | 17,325 | | | | 125,606 | |
| Perry Ellis International, Inc.* | | | 4,756 | | | | 122,705 | |
| ScanSource, Inc.* | | | 3,314 | | | | 117,813 | |
| Barnes & Noble Education, Inc.* | | | 16,492 | | | | 113,630 | |
| Genesco, Inc.* | | | 2,375 | | | | 96,425 | |
| Sonic Automotive, Inc. — Class A | | | 4,990 | | | | 94,560 | |
| Biglari Holdings, Inc.* | | | 230 | | | | 93,934 | |
| Anixter International, Inc.* | | | 1,216 | | | | 92,112 | |
| Superior Industries International, Inc. | | | 6,895 | | | | 91,704 | |
| Cato Corp. — Class A | | | 6,217 | | | | 91,639 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 5,908 | | | | 89,920 | |
| Barnes & Noble, Inc. | | | 17,989 | | | | 89,046 | |
| Shoe Carnival, Inc. | | | 3,715 | | | | 88,417 | |
| M/I Homes, Inc.* | | | 2,544 | | | | 81,026 | |
| EZCORP, Inc. — Class A* | | | 6,034 | | | | 79,649 | |
| Chico’s FAS, Inc. | | | 8,221 | | | | 74,318 | |
| Group 1 Automotive, Inc. | | | 1,120 | | | | 73,181 | |
| MarineMax, Inc.* | | | 3,600 | | | | 70,020 | |
| G-III Apparel Group Ltd.* | | | 1,853 | | | | 69,821 | |
| Fossil Group, Inc.* | | | 5,495 | | | | 69,787 | |
| Guess?, Inc. | | | 3,272 | | | | 67,861 | |
| J.C. Penney Company, Inc.*,1 | | | 22,287 | | | | 67,307 | |
| Red Robin Gourmet Burgers, Inc.* | | | 1,144 | | | | 66,352 | |
| Regis Corp.* | | | 4,373 | | | | 66,163 | |
| Express, Inc.* | | | 8,794 | | | | 62,965 | |
| Zumiez, Inc.* | | | 2,601 | | | | 62,164 | |
| Caleres, Inc. | | | 1,841 | | | | 61,858 | |
| Kirkland’s, Inc.* | | | 6,332 | | | | 61,357 | |
| Vera Bradley, Inc.* | | | 5,750 | | | | 61,007 | |
| Asbury Automotive Group, Inc.* | | | 829 | | | | 55,957 | |
| DSW, Inc. — Class A | | | 2,358 | | | | 52,961 | |
| Haverty Furniture Companies, Inc. | | | 2,260 | | | | 45,539 | |
| Vitamin Shoppe, Inc.* | | | 10,188 | | | | 44,318 | |
| Vista Outdoor, Inc.* | | | 2,489 | | | | 40,620 | |
| Movado Group, Inc. | | | 1,018 | | | | 39,091 | |
| Titan International, Inc. | | | 3,079 | | | | 38,826 | |
| Cooper-Standard Holdings, Inc.* | | | 296 | | | | 36,352 | |
| Ascena Retail Group, Inc.* | | | 18,074 | | | | 36,329 | |
| Core-Mark Holding Company, Inc. | | | 1,678 | | | | 35,674 | |
| Francesca’s Holdings Corp.* | | | 7,360 | | | | 35,328 | |
| Essendant, Inc. | | | 4,059 | | | | 31,660 | |
| Daktronics, Inc. | | | 3,510 | | | | 30,923 | |
| El Pollo Loco Holdings, Inc.* | | | 2,910 | | | | 27,645 | |
| Fred’s, Inc. — Class A1 | | | 8,861 | | | | 26,494 | |
| Unifi, Inc.* | | | 699 | | | | 25,339 | |
| Standard Motor Products, Inc. | | | 520 | | | | 24,736 | |
| Total Consumer, Cyclical | | | | | | | 3,596,316 | |
| | | | | | | | | |
| Industrial - 15.8% |
| Olympic Steel, Inc. | | | 6,215 | | | | 127,470 | |
| DXP Enterprises, Inc.* | | | 2,319 | | | | 90,325 | |
| Atlas Air Worldwide Holdings, Inc.* | | | 1,481 | | | | 89,526 | |
| Benchmark Electronics, Inc. | | | 2,824 | | | | 84,296 | |
| Orion Group Holdings, Inc.* | | | 12,567 | | | | 82,816 | |
| Sanmina Corp.* | | | 2,924 | | | | 76,463 | |
| ArcBest Corp. | | | 2,189 | | | | 70,158 | |
| Boise Cascade Co. | | | 1,720 | | | | 66,392 | |
| Greenbrier Companies, Inc. | | | 1,282 | | | | 64,421 | |
| TimkenSteel Corp.* | | | 4,041 | | | | 61,383 | |
| Echo Global Logistics, Inc.* | | | 2,212 | | | | 61,051 | |
| MYR Group, Inc.* | | | 1,840 | | | | 56,709 | |
| Powell Industries, Inc. | | | 2,082 | | | | 55,881 | |
| Hub Group, Inc. — Class A* | | | 1,324 | | | | 55,409 | |
| KapStone Paper and Packaging Corp. | | | 1,464 | | | | 50,230 | |
| Tredegar Corp. | | | 2,574 | | | | 46,203 | |
| Encore Wire Corp. | | | 813 | | | | 46,097 | |
| AAR Corp. | | | 1,019 | | | | 44,948 | |
| Briggs & Stratton Corp. | | | 2,096 | | | | 44,875 | |
| Triumph Group, Inc. | | | 1,730 | | | | 43,596 | |
| Fabrinet* | | | 1,378 | | | | 43,242 | |
| Matson, Inc. | | | 1,500 | | | | 42,960 | |
| Haynes International, Inc. | | | 1,130 | | | | 41,934 | |
| Roadrunner Transportation Systems, Inc.* | | | 14,388 | | | | 36,546 | |
| Bel Fuse, Inc. — Class B | | | 1,728 | | | | 32,659 | |
| Plexus Corp.* | | | 479 | | | | 28,611 | |
| Aegion Corp. — Class A* | | | 892 | | | | 20,436 | |
| Total Industrial | | | | | | | 1,564,637 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 13.2% |
| Kelly Services, Inc. — Class A | | | 4,292 | | | | 124,640 | |
| Owens & Minor, Inc. | | | 7,260 | | | | 112,893 | |
| Seneca Foods Corp. — Class A* | | | 3,487 | | | | 96,590 | |
| Andersons, Inc. | | | 2,763 | | | | 91,455 | |
| Magellan Health, Inc.* | | | 850 | | | | 91,035 | |
| Dean Foods Co. | | | 9,740 | | | | 83,959 | |
| LSC Communications, Inc. | | | 4,271 | | | | 74,529 | |
| Diplomat Pharmacy, Inc.* | | | 3,634 | | | | 73,225 | |
| Universal Corp. | | | 1,483 | | | | 71,926 | |
| TrueBlue, Inc.* | | | 2,375 | | | | 61,512 | |
| Team, Inc.*,1 | | | 3,972 | | | | 54,615 | |
| SUPERVALU, Inc.* | | | 3,181 | | | | 48,447 | |
| Navigant Consulting, Inc.* | | | 2,397 | | | | 46,118 | |
| SpartanNash Co. | | | 2,650 | | | | 45,606 | |
| ABM Industries, Inc. | | | 1,320 | | | | 44,194 | |
| FTI Consulting, Inc.* | | | 820 | | | | 39,696 | |
| Community Health Systems, Inc.*,1 | | | 9,057 | | | | 35,866 | |
| Invacare Corp. | | | 1,832 | | | | 31,877 | |
| Cross Country Healthcare, Inc.* | | | 2,726 | | | | 30,286 | |
| Resources Connection, Inc. | | | 1,511 | | | | 24,478 | |
| AngioDynamics, Inc.* | | | 1,320 | | | | 22,770 | |
| Total Consumer, Non-cyclical | | | | | | | 1,305,717 | |
| | | | | | | | | |
| Financial - 12.3% |
| Stewart Information Services Corp. | | | 2,061 | | | | 90,560 | |
| INTL FCStone, Inc.* | | | 1,899 | | | | 81,049 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| American Equity Investment Life Holding Co. | | | 2,449 | | | $ | 71,903 | |
| Enova International, Inc.* | | | 3,135 | | | | 69,127 | |
| OFG Bancorp | | | 6,577 | | | | 68,730 | |
| PennyMac Mortgage Investment Trust REIT | | | 3,660 | | | | 65,990 | |
| Hersha Hospitality Trust REIT | | | 3,570 | | | | 63,903 | |
| First BanCorp* | | | 10,400 | | | | 62,608 | |
| CBL & Associates Properties, Inc. REIT1 | | | 13,782 | | | | 57,471 | |
| Maiden Holdings Ltd. | | | 8,406 | | | | 54,639 | |
| Infinity Property & Casualty Corp. | | | 398 | | | | 47,123 | |
| Navigators Group, Inc. | | | 800 | | | | 46,120 | |
| New York Mortgage Trust, Inc. REIT1 | | | 7,510 | | | | 44,534 | |
| Invesco Mortgage Capital, Inc. REIT | | | 2,550 | | | | 41,769 | |
| World Acceptance Corp.*,1 | | | 395 | | | | 41,594 | |
| ARMOUR Residential REIT, Inc. REIT | | | 1,775 | | | | 41,322 | |
| Apollo Commercial Real Estate Finance, Inc. REIT | | | 2,211 | | | | 39,754 | |
| United Fire Group, Inc. | | | 809 | | | | 38,719 | |
| Capstead Mortgage Corp. REIT | | | 4,307 | | | | 37,256 | |
| HomeStreet, Inc.* | | | 1,150 | | | | 32,947 | |
| Opus Bank | | | 1,147 | | | | 32,116 | |
| United Insurance Holdings Corp. | | | 1,399 | | | | 26,777 | |
| DiamondRock Hospitality Co. REIT | | | 2,126 | | | | 22,195 | |
| Horace Mann Educators Corp. | | | 506 | | | | 21,631 | |
| Kite Realty Group Trust REIT | | | 1,370 | | | | 20,865 | |
| Total Financial | | | | | | | 1,220,702 | |
| | | | | | | | | |
| Energy - 8.2% |
| Green Plains, Inc. | | | 7,632 | | | | 128,218 | |
| Flotek Industries, Inc.* | | | 13,805 | | | | 84,210 | |
| Cloud Peak Energy, Inc.* | | | 26,854 | | | | 78,145 | |
| McDermott International, Inc.* | | | 10,928 | | | | 66,552 | |
| Matrix Service Co.* | | | 4,723 | | | | 64,705 | |
| Par Pacific Holdings, Inc.* | | | 3,610 | | | | 61,984 | |
| Unit Corp.* | | | 2,674 | | | | 52,838 | |
| Pioneer Energy Services Corp.* | | | 18,333 | | | | 49,499 | |
| Archrock, Inc. | | | 4,633 | | | | 40,539 | |
| Bristow Group, Inc. | | | 2,614 | | | | 33,982 | |
| SunCoke Energy, Inc.* | | | 3,091 | | | | 33,259 | |
| Oil States International, Inc.* | | | 1,050 | | | | 27,510 | |
| Helix Energy Solutions Group, Inc.* | | | 4,088 | | | | 23,669 | |
| Newpark Resources, Inc.* | | | 2,915 | | | | 23,611 | |
| REX American Resources Corp.* | | | 260 | | | | 18,928 | |
| Gulf Island Fabrication, Inc. | | | 2,586 | | | | 18,361 | |
| Total Energy | | | | | | | 806,010 | |
| | | | | | | | | |
| Communications - 5.4% |
| DHI Group, Inc.* | | | 75,403 | | | | 120,645 | |
| Comtech Telecommunications Corp. | | | 2,780 | | | | 83,094 | |
| Gannett Company, Inc. | | | 7,398 | | | | 73,832 | |
| Scholastic Corp. | | | 1,289 | | | | 50,065 | |
| Iridium Communications, Inc.* | | | 4,137 | | | | 46,541 | |
| New Media Investment Group, Inc. | | | 2,616 | | | | 44,838 | |
| Finisar Corp.* | | | 2,080 | | | | 32,885 | |
| Frontier Communications Corp.1 | | | 4,175 | | | | 30,979 | |
| Spok Holdings, Inc. | | | 1,974 | | | | 29,511 | |
| FTD Companies, Inc.* | | | 5,077 | | | | 18,480 | |
| Total Communications | | | | | | | 530,870 | |
| | | | | | | | | |
| Technology - 5.1% |
| Insight Enterprises, Inc.* | | | 2,295 | | | | 80,164 | |
| Super Micro Computer, Inc.* | | | 4,650 | | | | 79,050 | |
| Digi International, Inc.* | | | 5,666 | | | | 58,360 | |
| Engility Holdings, Inc.* | | | 2,365 | | | | 57,706 | |
| CACI International, Inc. — Class A* | | | 317 | | | | 47,978 | |
| Photronics, Inc.* | | | 5,717 | | | | 47,165 | |
| Synchronoss Technologies, Inc.* | | | 3,720 | | | | 39,246 | |
| Veeco Instruments, Inc.* | | | 2,148 | | | | 36,516 | |
| Sykes Enterprises, Inc.* | | | 1,220 | | | | 35,307 | |
| ManTech International Corp. — Class A | | | 460 | | | | 25,516 | |
| Total Technology | | | | | | | 507,008 | |
| | | | | | | | | |
| Basic Materials - 3.0% |
| Aceto Corp. | | | 9,790 | | | | 74,404 | |
| PH Glatfelter Co. | | | 3,272 | | | | 67,174 | |
| Clearwater Paper Corp.* | | | 1,659 | | | | 64,867 | |
| Hawkins, Inc. | | | 905 | | | | 31,811 | |
| AK Steel Holding Corp.*,1 | | | 6,062 | | | | 27,461 | |
| A. Schulman, Inc. | | | 630 | | | | 27,090 | |
| Total Basic Materials | | | | | | | 292,807 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $8,943,968) | | | | | | | 9,824,067 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 0.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 31,659 | | | | 31,659 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 10,360 | | | | 10,360 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $42,019) | | | | | | | 42,019 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,3 - 3.9% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%4 | | | 384,392 | | | | 384,392 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $384,392) | | | | | | | 384,392 | |
| | | | | | | | | |
| Total Investments - 103.7% | | | | | | | | |
| (Cost $9,370,379) | | | | | | $ | 10,250,478 | |
| Other Assets & Liabilities, net - (3.7)% | | | | | | | (361,670 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 9,888,808 | |
| 56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| 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 March 29, 2018 — 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 March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 9,824,067 | | | $ | — | | | $ | — | | | $ | 9,824,067 | |
| Repurchase Agreements | | | — | | | | 42,019 | | | | — | | | | 42,019 | |
| Securities Lending Collateral | | | 384,392 | | | | — | | | | — | | | | 384,392 | |
| Total Assets | | $ | 10,208,459 | | | $ | 42,019 | | | $ | — | | | $ | 10,250,478 | |
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 year ended March 29, 2018, there were no transfers between levels.
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments, at value - including $369,098 of securities loaned (cost $9,328,360) | | $ | 10,208,459 | |
| Repurchase agreements, at value (cost $42,019) | | | 42,019 | |
| Cash | | | 1,220 | |
| Receivables: |
| Fund shares sold | | | 391,180 | |
| Dividends | | | 13,764 | |
| Securities lending income | | | 1,292 | |
| Interest | | | 6 | |
| Total assets | | | 10,657,940 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Return of securities loaned | | | 384,392 | |
| Securities purchased | | | 361,602 | |
| Fund shares redeemed | | | 7,347 | |
| Management fees | | | 6,193 | |
| Distribution and service fees | | | 3,067 | |
| Transfer agent and administrative fees | | | 2,064 | |
| Portfolio accounting fees | | | 826 | |
| Trustees’ fees* | | | 263 | |
| Miscellaneous | | | 3,378 | |
| Total liabilities | | | 769,132 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 9,888,808 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 35,658,438 | |
| Accumulated net investment loss | | | (21,850 | ) |
| Accumulated net realized loss on investments | | | (26,627,879 | ) |
| Net unrealized appreciation on investments | | | 880,099 | |
| Net assets | | $ | 9,888,808 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 761,776 | |
| Capital shares outstanding | | | 27,556 | |
| Net asset value per share | | $ | 27.64 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 29.02 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 1,532,338 | |
| Capital shares outstanding | | | 64,267 | |
| Net asset value per share | | $ | 23.84 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 7,594,694 | |
| Capital shares outstanding | | | 275,452 | |
| Net asset value per share | | $ | 27.57 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $145) | | $ | 163,871 | |
| Interest | | | 714 | |
| Income from securities lending, net | | | 14,237 | |
| Total investment income | | | 178,822 | |
| | | | | |
| Expenses: |
| Management fees | | | 108,843 | |
| Distribution and service fees: |
| A-Class | | | 2,650 | |
| C-Class | | | 16,272 | |
| H-Class | | | 29,563 | |
| Transfer agent and administrative fees | | | 36,281 | |
| Portfolio accounting fees | | | 14,512 | |
| Registration fees | | | 14,260 | |
| Custodian fees | | | 2,046 | |
| Trustees’ fees* | | | 1,895 | |
| Line of credit fees | | | 229 | |
| Miscellaneous | | | 8,201 | |
| Total expenses | | | 234,752 | |
| Net investment loss | | | (55,930 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 1,691,340 | |
| Net realized gain | | | 1,691,340 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | (3,206,465 | ) |
| Net change in unrealized appreciation (depreciation) | | | (3,206,465 | ) |
| Net realized and unrealized loss | | | (1,515,125 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,571,055 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (55,930 | ) | | $ | (186,768 | ) |
| Net realized gain on investments | | | 1,691,340 | | | | 1,534,523 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,206,465 | ) | | | 132,291 | |
| Net increase (decrease) in net assets resulting from operations | | | (1,571,055 | ) | | | 1,480,046 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 4,210,719 | | | | 11,499,336 | |
| C-Class | | | 1,552,976 | | | | 4,241,862 | |
| H-Class | | | 242,171,487 | | | | 493,896,036 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (5,174,920 | ) | | | (11,116,920 | ) |
| C-Class | | | (1,844,312 | ) | | | (4,531,766 | ) |
| H-Class | | | (252,734,781 | ) | | | (493,220,325 | ) |
| Net increase (decrease) from capital share transactions | | | (11,818,831 | ) | | | 768,223 | |
| Net increase (decrease) in net assets | | | (13,389,886 | ) | | | 2,248,269 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 23,278,694 | | | | 21,030,425 | |
| End of year | | $ | 9,888,808 | | | $ | 23,278,694 | |
| Accumulated net investment loss at end of year | | $ | (21,850 | ) | | $ | (59,053 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 153,331 | | | | 417,739 | |
| C-Class | | | 64,529 | | | | 181,220 | |
| H-Class | | | 9,315,567 | | | | 19,425,410 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (188,892 | ) | | | (402,677 | ) |
| C-Class | | | (75,331 | ) | | | (197,201 | ) |
| H-Class | | | (9,769,273 | ) | | | (19,479,582 | ) |
| Net decrease in shares | | | (500,069 | ) | | | (55,091 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
| S&P SMALLCAP 600® PURE VALUE 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.24 | | | $ | 23.16 | | | $ | 25.81 | | | $ | 25.66 | | | $ | 19.55 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.08 | ) | | | (.14 | ) | | | (.10 | ) | | | (.03 | ) | | | (.09 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .48 | | | | 4.22 | | | | (2.55 | ) | | | .18 | | | | 6.20 | |
| Total from investment operations | | | .40 | | | | 4.08 | | | | (2.65 | ) | | | .15 | | | | 6.11 | |
| Net asset value, end of period | | $ | 27.64 | | | $ | 27.24 | | | $ | 23.16 | | | $ | 25.81 | | | $ | 25.66 | |
| |
| Total Returnb | | | 1.47 | % | | | 17.62 | % | | | (10.27 | %) | | | 0.58 | % | | | 31.25 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 762 | | | $ | 1,720 | | | $ | 1,113 | | | $ | 1,592 | | | $ | 1,016 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.30 | %) | | | (0.50 | %) | | | (0.42 | %) | | | (0.10 | %) | | | (0.39 | %) |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.50 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 1,832 | % | | | 1,449 | % | | | 417 | % | | | 579 | % | | | 658 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 23.68 | | | $ | 20.28 | | | $ | 22.78 | | | $ | 22.81 | | | $ | 17.51 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.21 | ) | | | (.28 | ) | | | (.24 | ) | | | (.19 | ) | | | (.22 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .37 | | | | 3.68 | | | | (2.26 | ) | | | .16 | | | | 5.52 | |
| Total from investment operations | | | .16 | | | | 3.40 | | | | (2.50 | ) | | | (.03 | ) | | | 5.30 | |
| Net asset value, end of period | | $ | 23.84 | | | $ | 23.68 | | | $ | 20.28 | | | $ | 22.78 | | | $ | 22.81 | |
| |
| Total Returnb | | | 0.68 | % | | | 16.77 | % | | | (10.97 | %) | | | (0.13 | %) | | | 30.27 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,532 | | | $ | 1,778 | | | $ | 1,847 | | | $ | 3,082 | | | $ | 4,514 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.90 | %) | | | (1.26 | %) | | | (1.17 | %) | | | (0.84 | %) | | | (1.10 | %) |
| Total expenses | | | 2.28 | % | | | 2.28 | % | | | 2.25 | % | | | 2.25 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 1,832 | % | | | 1,449 | % | | | 417 | % | | | 579 | % | | | 658 | % |
| 60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| S&P SMALLCAP 600® PURE VALUE FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 27.13 | | | $ | 23.07 | | | $ | 25.71 | | | $ | 25.55 | | | $ | 19.47 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.09 | ) | | | (.12 | ) | | | (.07 | ) | | | (.01 | ) | | | (.06 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .53 | | | | 4.18 | | | | (2.57 | ) | | | .17 | | | | 6.14 | |
| Total from investment operations | | | .44 | | | | 4.06 | | | | (2.64 | ) | | | .16 | | | | 6.08 | |
| Net asset value, end of period | | $ | 27.57 | | | $ | 27.13 | | | $ | 23.07 | | | $ | 25.71 | | | $ | 25.55 | |
| |
| Total Returnb | | | 1.62 | % | | | 17.60 | % | | | (10.27 | %) | | | 0.63 | % | | | 31.23 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 7,595 | | | $ | 19,782 | | | $ | 18,071 | | | $ | 11,374 | | | $ | 22,380 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.32 | %) | | | (0.47 | %) | | | (0.32 | %) | | | (0.03 | %) | | | (0.25 | %) |
| Total expenses | | | 1.53 | % | | | 1.53 | % | | | 1.50 | % | | | 1.50 | % | | | 1.53 | % |
| Portfolio turnover rate | | | 1,832 | % | | | 1,449 | % | | | 417 | % | | | 579 | % | | | 658 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 61 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specifi c benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX® Europe 50 Index (the “underlying index”).
For the one-year period ended March 29, 2018, Europe 1.25x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 125% of the daily price movement of the STOXX Europe 50 Index. Europe 1.25x Strategy Fund H-Class returned 11.55% while the STOXX Europe 50 Index returned 11.16% over the same period.
Financials and Energy were the sectors contributing most to the performance of the underlying index for the period. Utilities and Communications were the sectors detracting the most.
The stocks that contributed the most to the performance of the underlying index were HSBC Holdings Plc, Novo Nordisk A.S. Class B, and Royal Dutch Shell Plc Class A. Those that detracted the most from the performance of the underlying index were Imperial Brands Plc, British American Tobacco Plc, and Roche Holding Ltd.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 62 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| Inception Dates: |
| A-Class | March 31, 2004 |
| C-Class | May 10, 2001 |
| H-Class | May 8, 2000 |
Country Diversification
| Country | % of
Long-Term
Investments |
| United Kingdom | 32% |
| France | 17% |
| Switzerland | 16% |
| Germany | 15% |
| Netherlands | 6% |
| Spain | 5% |
| Swaziland | 3% |
| Other | 6% |
| Total Securities | 100% |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 6.8% |
| Guggenheim Strategy Fund I | 6.7% |
| Nestle S.A. ADR | 3.8% |
| Novartis AG ADR | 3.1% |
| HSBC Holdings plc ADR | 3.0% |
| Roche Holding AG ADR | 2.5% |
| Royal Dutch Shell plc — Class A ADR | 2.3% |
| Total S.A. ADR | 2.3% |
| BP plc ADR | 2.1% |
| British American Tobacco plc ADR | 2.0% |
| Top Ten Total | 34.6% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 11.53% | 2.64% | (3.14%) |
| A-Class Shares with sales charge† | 6.23% | 1.64% | (3.61%) |
| C-Class Shares | 10.70% | 1.66% | (3.95%) |
| C-Class Shares with CDSC‡ | 9.70% | 1.66% | (3.95%) |
| H-Class Shares | 11.55% | 2.45% | (3.21%) |
| STOXX Europe 50 Index | 11.16% | 4.38% | 0.72% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The STOXX 50 Index (Total Return/Dollars) is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 63 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| EUROPE 1.25x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 66.6% |
| | | | | | | |
| Consumer, Non-cyclical - 25.7% |
| Nestle S.A. ADR | | | 2,189 | | | $ | 173,041 | |
| Novartis AG ADR | | | 1,738 | | | | 140,517 | |
| Roche Holding AG ADR | | | 3,962 | | | | 113,412 | |
| British American Tobacco plc ADR | | | 1,618 | | | | 93,343 | |
| GlaxoSmithKline plc ADR | | | 1,731 | | | | 67,630 | |
| Bayer AG ADR | | | 2,331 | | | | 65,863 | |
| Sanofi ADR | | | 1,615 | | | | 64,729 | |
| Novo Nordisk A/S ADR | | | 1,269 | | | | 62,498 | |
| Unilever N.V. — Class Y | | | 1,105 | | | | 62,311 | |
| AstraZeneca plc ADR | | | 1,756 | | | | 61,408 | |
| Diageo plc ADR | | | 435 | | | | 58,908 | |
| Anheuser-Busch InBev S.A. ADR | | | 524 | | | | 57,608 | |
| Unilever plc ADR | | | 872 | | | | 48,448 | |
| Reckitt Benckiser Group plc ADR | | | 2,410 | | | | 40,560 | |
| L’Oreal S.A. ADR | | | 862 | | | | 38,915 | |
| Imperial Brands plc ADR | | | 665 | | | | 23,042 | |
| Total Consumer, Non-cyclical | | | | | | | 1,172,233 | |
| | | | | | | | | |
| Financial - 15.5% |
| HSBC Holdings plc ADR | | | 2,828 | | | | 134,811 | |
| Banco Santander S.A. ADR | | | 11,321 | | | | 74,153 | |
| Allianz SE ADR | | | 3,093 | | | | 70,180 | |
| BNP Paribas S.A. ADR | | | 1,621 | | | | 60,374 | |
| UBS Group AG* | | | 2,711 | | | | 47,876 | |
| Lloyds Banking Group plc ADR | | | 12,495 | | | | 46,481 | |
| Prudential plc ADR | | | 907 | | | | 46,375 | |
| ING Groep N.V. ADR1 | | | 2,721 | | | | 46,067 | |
| AXA S.A. ADR | | | 1,467 | | | | 38,993 | |
| Intesa Sanpaolo SpA ADR | | | 1,705 | | | | 37,544 | |
| Banco Bilbao Vizcaya Argentaria S.A. ADR | | | 4,707 | | | | 37,185 | |
| Zurich Insurance Group AG ADR | | | 1,064 | | | | 34,883 | |
| Barclays plc ADR | | | 2,793 | | | | 33,013 | |
| Total Financial | | | | | | | 707,935 | |
| | | | | | | | | |
| Energy - 7.3% |
| Royal Dutch Shell plc — Class A ADR | | | 1,615 | | | | 103,053 | |
| Total S.A. ADR | | | 1,786 | | | | 103,034 | |
| BP plc ADR | | | 2,338 | | | | 94,783 | |
| Eni SpA ADR | | | 893 | | | | 31,550 | |
| Total Energy | | | | | | | 332,420 | |
| | | | | | | | | |
| Industrial - 5.1% |
| Siemens AG ADR | | | 1,200 | | | | 76,704 | |
| Airbus SE ADR | | | 1,609 | | | | 46,404 | |
| Vinci S.A. ADR | | | 1,567 | | | | 38,595 | |
| Schneider Electric SE ADR | | | 1,980 | | | | 34,828 | |
| ABB Ltd. ADR1 | | | 1,442 | | | | 34,233 | |
| Total Industrial | | | | | | | 230,764 | |
| | | | | | | | | |
| Basic Materials - 4.1% |
| BASF SE ADR | | | 2,583 | | | | 65,583 | |
| Glencore plc ADR* | | | 4,273 | | | | 42,559 | |
| Rio Tinto plc ADR | | | 806 | | | | 41,533 | |
| Air Liquide S.A. ADR | | | 1,508 | | | | 37,074 | |
| Total Basic Materials | | | | | | | 186,749 | |
| | | | | | | | | |
| Technology - 3.1% |
| SAP SE ADR1 | | | 760 | | | | 79,922 | |
| ASML Holding N.V. — Class G | | | 301 | | | | 59,766 | |
| Total Technology | | | | | | | 139,688 | |
| | | | | | | | | |
| Communications - 2.6% |
| Vodafone Group plc ADR | | | 1,853 | | | | 51,551 | |
| Deutsche Telekom AG ADR | | | 2,284 | | | | 37,435 | |
| Telefonica S.A. ADR | | | 3,266 | | | | 32,235 | |
| Total Communications | | | | | | | 121,221 | |
| | | | | | | | | |
| Consumer, Cyclical - 2.6% |
| Daimler AG ADR | | | 2,813 | | | | 59,706 | |
| LVMH Moet Hennessy Louis Vuitton SE ADR | | | 950 | | | | 58,567 | |
| Total Consumer, Cyclical | | | | | | | 118,273 | |
| | | | | | | | | |
| Utilities - 0.6% |
| National Grid plc ADR1 | | | 471 | | | | 26,579 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,793,773) | | | | | | | 3,035,862 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 13.5% |
| Guggenheim Strategy Fund II2 | | | 12,318 | | | | 308,077 | |
| Guggenheim Strategy Fund I2 | | | 12,246 | | | | 306,764 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $614,448) | | | | | | | 614,841 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 3.3% |
| U.S. Treasury Bills | | | | | | | | |
| 1.31% due 04/19/183,4,5 | | $ | 150,000 | | | | 149,884 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $149,901) | | | | | | | 149,884 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,6 - 17.8% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | | 609,587 | | | | 609,587 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | | 199,473 | | | | 199,473 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $809,060) | | | | | | | 809,060 | |
| | | | | | | | | |
| 64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EUROPE 1.25x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,7 - 3.0% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%8 | | | 134,876 | | | $ | 134,876 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $134,876) | | | | | | | 134,876 | |
| | | | | | | | | |
| Total Investments - 104.2% | | | | | | | | |
| (Cost $4,502,058) | | | | | | $ | 4,744,523 | |
| Other Assets & Liabilities, net - (4.2)% | | | | | | | (189,966 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 4,554,557 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Currency Futures Contracts Purchased† | | | | | | | | | | | |
| Euro FX Futures Contracts | | | 17 | | | Jun 2018 | | $ | 2,629,050 | | | $ | (6,093 | ) |
| | | | | | | | | | | | | | | |
| Equity Futures Contracts Purchased | | | | | | | | | | | | | | |
| STOXX 50 Index Futures Contracts†† | | | 73 | | | Jun 2018 | | | 2,615,676 | | | | (16,155 | ) |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 2 | | Affiliated issuer. |
| 3 | | All or a portion of this security is pledged as futures collateral at March 29, 2018. |
| 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 March 29, 2018. |
| | | ADR — American Depositary Receipt |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| EUROPE 1.25x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 3,035,862 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 3,035,862 | |
| Mutual Funds | | | 614,841 | | | | — | | | | — | | | | — | | | | — | | | | 614,841 | |
| Repurchase Agreements | | | — | | | | — | | | | 809,060 | | | | — | | | | — | | | | 809,060 | |
| Securities Lending Collateral | | | 134,876 | | | | — | | | | — | | | | — | | | | — | | | | 134,876 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 149,884 | | | | — | | | | — | | | | 149,884 | |
| Total Assets | | $ | 3,785,579 | | | $ | — | | | $ | 958,944 | | | $ | — | | | $ | — | | | $ | 4,744,523 | |
| 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 | | $ | — | | | $ | 6,093 | | | $ | — | | | $ | — | | | $ | — | | | $ | 6,093 | |
| Equity Futures Contracts | | | — | | | | — | | | | — | | | | 16,155 | | | | — | | | | 16,155 | |
| Total Liabilities | | $ | — | | | $ | 6,093 | | | $ | — | | | $ | 16,155 | | | $ | — | | | $ | 22,248 | |
| * | | 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 year ended March 29, 2018, 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 Guggenheim Investments (“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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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 03/29/18 | | | Shares 03/29/18 | | | Investment Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 732,497 | | | $ | 2,700,000 | | | $ | (3,130,000 | ) | | $ | 6,990 | | | $ | (2,723 | ) | | $ | 306,764 | | | | 12,246 | | | $ | 19,054 | | | $ | 4 | |
| Guggenheim Strategy Fund II | | | 903,646 | | | | 1,750,000 | | | | (2,350,000 | ) | | | 7,095 | | | | (2,664 | ) | | | 308,077 | | | | 12,318 | | | | 27,530 | | | | 138 | |
| | | $ | 1,636,143 | | | $ | 4,450,000 | | | $ | (5,480,000 | ) | | $ | 14,085 | | | $ | (5,387 | ) | | $ | 614,841 | | | | | | | $ | 46,584 | | | $ | 142 | |
| 66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EUROPE 1.25x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 |
| Assets: |
| Investments in unaffiliated issuers, at value - including $130,916 of securities loaned (cost $3,078,550) | | $ | 3,320,622 | |
| Investments in affiliated issuers, at value (cost $614,448) | | | 614,841 | |
| Repurchase agreements, at value (cost $809,060) | | | 809,060 | |
| Cash | | | 1,977 | |
| Segregated cash with broker | | | 62,573 | |
| Receivables: |
| Fund shares sold | | | 207,584 | |
| Dividends | | | 26,597 | |
| Variation margin | | | 21,764 | |
| Foreign taxes reclaim | | | 19,621 | |
| Swap settlement | | | 482 | |
| Securities lending income | | | 274 | |
| Interest | | | 121 | |
| Total assets | | | 5,085,516 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 234,777 | |
| Securities purchased | | | 149,184 | |
| Return of securities loaned | | | 134,876 | |
| Management fees | | | 4,500 | |
| Distribution and service fees | | | 1,383 | |
| Transfer agent and administrative fees | | | 1,250 | |
| Portfolio accounting fees | | | 500 | |
| Trustees’ fees* | | | 126 | |
| Miscellaneous | | | 4,363 | |
| Total liabilities | | | 530,959 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 4,554,557 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 5,368,251 | |
| Undistributed net investment income | | | 155,680 | |
| Accumulated net realized loss on investments | | | (1,189,594 | ) |
| Net unrealized appreciation on investments | | | 220,220 | |
| Net assets | | $ | 4,554,557 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 400,917 | |
| Capital shares outstanding | | | 4,240 | |
| Net asset value per share | | $ | 94.56 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 99.28 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 186,507 | |
| Capital shares outstanding | | | 2,281 | |
| Net asset value per share | | $ | 81.77 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 3,967,133 | |
| Capital shares outstanding | | | 42,255 | |
| Net asset value per share | | $ | 93.89 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
| EUROPE 1.25x STRATEGY FUND | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $18,756) | | $ | 317,446 | |
| Dividends from securities of affiliated issuers | | | 46,584 | |
| Interest | | | 28,315 | |
| Income from securities lending, net | | | 13,418 | |
| Other income | | | 115 | |
| Total investment income | | | 405,878 | |
| | | | | |
| Expenses: |
| Management fees | | | 133,397 | |
| Distribution and service fees: |
| A-Class | | | 3,954 | |
| C-Class | | | 13,271 | |
| H-Class | | | 29,783 | |
| Transfer agent and administrative fees | | | 37,055 | |
| Portfolio accounting fees | | | 14,822 | |
| Custodian fees | | | 2,125 | |
| Trustees’ fees* | | | 1,092 | |
| Line of credit fees | | | 145 | |
| Miscellaneous | | | 27,796 | |
| Total expenses | | | 263,440 | |
| Net investment income | | | 142,438 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | $ | 659,411 | |
| Investments in affiliated issuers | | | 14,085 | |
| Distributions received from affiliated investment company shares | | | 142 | |
| Futures contracts | | | 1,788,608 | |
| Foreign currency transactions | | | 13,242 | |
| Net realized gain | | | 2,475,488 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 115,670 | |
| Investments in affiliated issuers | | | (5,387 | ) |
| Futures contracts | | | (51,049 | ) |
| Foreign currency translations | | | 114 | |
| Net change in unrealized appreciation (depreciation) | | | 59,348 | |
| Net realized and unrealized gain | | | 2,534,836 | |
| Net increase in net assets resulting from operations | | $ | 2,677,274 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EUROPE 1.25x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income | | $ | 142,438 | | | $ | 35,331 | |
| Net realized gain on investments | | | 2,475,488 | | | | 3,236,907 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 59,348 | | | | (108,227 | ) |
| Net increase in net assets resulting from operations | | | 2,677,274 | | | | 3,164,011 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (1,772 | ) | | | (3,592 | ) |
| C-Class | | | (3,863 | ) | | | (2,755 | ) |
| H-Class | | | (18,483 | ) | | | (29,013 | ) |
| Total distributions to shareholders | | | (24,118 | ) | | | (35,360 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 5,229,766 | | | | 1,224,419 | |
| C-Class | | | 3,101,558 | | | | 1,340,603 | |
| H-Class | | | 159,923,034 | | | | 182,443,083 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 1,343 | | | | 2,826 | |
| C-Class | | | 3,458 | | | | 2,507 | |
| H-Class | | | 18,401 | | | | 28,695 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (5,585,649 | ) | | | (1,660,138 | ) |
| C-Class | | | (3,983,674 | ) | | | (969,457 | ) |
| H-Class | | | (164,503,173 | ) | | | (183,677,062 | ) |
| Net decrease from capital share transactions | | | (5,794,936 | ) | | | (1,264,524 | ) |
| Net increase (decrease) in net assets | | | (3,141,780 | ) | | | 1,864,127 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 7,696,337 | | | | 5,832,210 | |
| End of year | | $ | 4,554,557 | | | $ | 7,696,337 | |
| Undistributed net investment income at end of year | | $ | 155,680 | | | $ | 24,132 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 58,196 | | | | 14,952 | * |
| C-Class | | | 38,315 | | | | 18,798 | * |
| H-Class | | | 1,760,317 | | | | 2,397,923 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 14 | | | | 39 | * |
| C-Class | | | 41 | | | | 39 | * |
| H-Class | | | 189 | | | | 398 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (58,875 | ) | | | (21,083 | )* |
| C-Class | | | (47,416 | ) | | | (13,915 | )* |
| H-Class | | | (1,794,569 | ) | | | (2,380,582 | )* |
| Net increase (decrease) in shares | | | (43,788 | ) | | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
| EUROPE 1.25x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 84.99 | | | $ | 78.10 | | | $ | 93.32 | | | $ | 104.40 | | | $ | 84.97 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .82 | | | | 1.08 | | | | (.06 | ) | | | .30 | | | | .96 | |
| Net gain (loss) on investments (realized and unrealized) | | | 8.99 | | | | 6.51 | | | | (14.44 | ) | | | (11.08 | ) | | | 18.47 | |
| Total from investment operations | | | 9.81 | | | | 7.59 | | | | (14.50 | ) | | | (10.78 | ) | | | 19.43 | |
| Less distributions from: |
| Net investment income | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Total distributions | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Net asset value, end of period | | $ | 94.56 | | | $ | 84.99 | | | $ | 78.10 | | | $ | 93.32 | | | $ | 104.40 | |
| |
| Total Returnb | | | 11.53 | % | | | 9.83 | % | | | (15.58 | %) | | | (10.33 | %) | | | 22.88 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 401 | | | $ | 417 | | | $ | 859 | | | $ | 1,165 | | | $ | 2,551 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.88 | % | | | 1.35 | % | | | (0.08 | %) | | | 0.33 | % | | | 1.00 | % |
| Total expensesc | | | 1.71 | % | | | 1.72 | % | | | 1.67 | % | | | 1.72 | % | | | 1.72 | % |
| Portfolio turnover rate | | | 422 | % | | | 1,616 | % | | | 920 | % | | | 608 | % | | | 654 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 74.07 | | | $ | 68.62 | | | $ | 82.63 | | | $ | 93.15 | | | $ | 77.34 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.09 | ) | | | .35 | | | | (.54 | ) | | | (.48 | ) | | | (.42 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 8.03 | | | | 5.80 | | | | (12.75 | ) | | | (9.74 | ) | | | 16.23 | |
| Total from investment operations | | | 7.94 | | | | 6.15 | | | | (13.29 | ) | | | (10.22 | ) | | | 15.81 | |
| Less distributions from: |
| Net investment income | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Total distributions | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Net asset value, end of period | | $ | 81.77 | | | $ | 74.07 | | | $ | 68.62 | | | $ | 82.63 | | | $ | 93.15 | |
| |
| Total Returnb | | | 10.70 | % | | | 9.09 | % | | | (16.14 | %) | | | (10.94 | %) | | | 20.40 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 187 | | | $ | 840 | | | $ | 440 | | | $ | 1,023 | | | $ | 535 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.11 | %) | | | 0.50 | % | | | (0.64 | %) | | | (0.50 | %) | | | (0.48 | %) |
| Total expensesc | | | 2.46 | % | | | 2.49 | % | | | 2.42 | % | | | 2.48 | % | | | 2.47 | % |
| Portfolio turnover rate | | | 422 | % | | | 1,616 | % | | | 920 | % | | | 608 | % | | | 654 | % |
| 70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EUROPE 1.25x STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 84.38 | | | $ | 77.38 | | | $ | 92.50 | | | $ | 103.56 | | | $ | 85.18 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | 1.02 | | | | .46 | | | | .18 | | | | .60 | | | | .18 | |
| Net gain (loss) on investments (realized and unrealized) | | | 8.73 | | | | 7.24 | | | | (14.58 | ) | | | (11.36 | ) | | | 18.20 | |
| Total from investment operations | | | 9.75 | | | | 7.70 | | | | (14.40 | ) | | | (10.76 | ) | | | 18.38 | |
| Less distributions from: |
| Net investment income | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Total distributions | | | (.24 | ) | | | (.70 | ) | | | (.72 | ) | | | (.30 | ) | | | — | |
| Net asset value, end of period | | $ | 93.89 | | | $ | 84.38 | | | $ | 77.38 | | | $ | 92.50 | | | $ | 103.56 | |
| |
| Total Returnb | | | 11.55 | % | | | 10.06 | % | | | (15.64 | %) | | | (10.36 | %) | | | 21.55 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,967 | | | $ | 6,439 | | | $ | 4,533 | | | $ | 9,719 | | | $ | 11,553 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 1.09 | % | | | 0.59 | % | | | 0.19 | % | | | 0.62 | % | | | 0.19 | % |
| Total expensesc | | | 1.71 | % | | | 1.73 | % | | | 1.66 | % | | | 1.72 | % | | | 1.71 | % |
| Portfolio turnover rate | | | 422 | % | | | 1,616 | % | | | 920 | % | | | 608 | % | | | 654 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
c d | | Does not include expenses of the underlying funds in which the Fund invests. 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specifi c benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
For the one-year period ended March 29, 2018, Japan 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the fair value of the Nikkei-225 Stock Average Index. Japan 2x Strategy Fund H-Class returned 37.95%, while the Nikkei-225 Stock Average Index returned 17.04% over the same time period.
Technology and Consumer Discretionary were the sectors contributing most to the performance of the underlying index for the period. No sector detracted from return. The Utilities sector contributed least.
Stocks that contributed the most to the return of the underlying index were Tokyo Electron Ltd., Fast Retailing Co. Ltd, and Fanuc Corp. Those that detracted the most from the performance of the underlying index were Seiko Epson Corp., Dentsu, Inc., and NGK Insulators Ltd.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 72 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 24.0% |
| Guggenheim Strategy Fund I | 18.4% |
| Total | 42.4% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 37.94% | 15.18% | 3.46% |
| A-Class Shares with sales charge† | 31.38% | 14.06% | 2.95% |
| C-Class Shares | 36.90% | 14.43% | 2.75% |
| C-Class Shares with CDSC‡ | 35.90% | 14.43% | 2.75% |
| H-Class Shares | 37.95% | 15.28% | 3.53% |
| Nikkei-225 Stock Average Index | 17.04% | 8.61% | 4.71% |
| * | | 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 Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 73 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| JAPAN 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 42.4% |
| Guggenheim Strategy Fund II1 | | | 51,923 | | | $ | 1,298,600 | |
| Guggenheim Strategy Fund I1 | | | 39,845 | | | | 998,108 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $2,294,827) | | | | | | | 2,296,708 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 55.3% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/18 | | $ | 2,259,923 | | | | 2,259,923 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/18 | | $ | 739,507 | | | $ | 739,507 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $2,999,430) | | | | | | | 2,999,430 | |
| | | | | | | | | |
| Total Investments - 97.7% | | | | | | | | |
| (Cost $5,294,257) | | | | | | $ | 5,296,138 | |
| Other Assets & Liabilities, net - 2.3% | | | | | | | 122,605 | |
| Total Net Assets - 100.0% | | | | | | $ | 5,418,743 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain (Loss) | |
| Equity Futures Contracts Purchased† | | | | | | | | | | | |
| Nikkei 225 (CME) Index Futures Contracts | | | 100 | | | Jun 2018 | | $ | 10,762,500 | | | $ | 399,936 | |
| | | | | | | | | | | | | | | |
| Currency Futures Contracts Purchased† | | | | | | | | | | | | | | |
| Japanese Yen Futures Contracts | | | 92 | | | Jun 2018 | | | 10,861,175 | | | | (14,369 | ) |
| † | | 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. |
| | | CME — Chicago Mercantile Exchange |
| | | |
| | | See Sector Classification in Other Information section. |
| 74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| JAPAN 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | 399,936 | | | $ | — | | | $ | — | | | $ | 399,936 | |
| Mutual Funds | | | 2,296,708 | | | | — | | | | — | | | | — | | | | 2,296,708 | |
| Repurchase Agreements | | | — | | | | — | | | | 2,999,430 | | | | — | | | | 2,999,430 | |
| Total Assets | | $ | 2,296,708 | | | $ | 399,936 | | | $ | 2,999,430 | | | $ | — | | | $ | 5,696,074 | |
| 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 | | $ | — | | | $ | 14,369 | | | $ | — | | | $ | — | | | $ | 14,369 | |
| * | 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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, in which the portfolio company is an “affiliated person”, were as follows:
| Security Name | | Value 03/31/17 | | | Additions | | | Reductions | | | Realized
Loss | | | Change in Unrealized | | | Value 03/29/18 | | | Shares 03/29/18 | | | Investment Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 599,382 | | | $ | 700,000 | | | $ | (300,000 | ) | | $ | (718 | ) | | $ | (556 | ) | | $ | 998,108 | | | | 39,845 | | | $ | 21,315 | | | $ | 493 | |
| Guggenheim Strategy Fund II | | | 600,035 | | | | 700,000 | | | | — | | | | — | | | | (1,435 | ) | | | 1,298,600 | | | | 51,923 | | | | 21,932 | | | | 694 | |
| | | $ | 1,199,417 | | | $ | 1,400,000 | | | $ | (300,000 | ) | | $ | (718 | ) | | $ | (1,991 | ) | | $ | 2,296,708 | | | | | | | $ | 43,247 | | | $ | 1,187 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in affiliated issuers, at value (cost $2,294,827) | | $ | 2,296,708 | |
| Repurchase agreements, at value (cost $2,999,430) | | | 2,999,430 | |
| Cash | | | 303,382 | |
| Segregated cash with broker | | | 252,074 | |
| Receivables: |
| Fund shares sold | | | 128,785 | |
| Dividends | | | 4,873 | |
| Swap settlement | | | 585 | |
| Interest | | | 449 | |
| Total assets | | | 5,986,286 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 426,685 | |
| Variation margin | | | 127,722 | |
| Management fees | | | 6,182 | |
| Distribution and service fees | | | 2,109 | |
| Transfer agent and administrative fees | | | 2,061 | |
| Portfolio accounting fees | | | 824 | |
| Trustees’ fees* | | | 159 | |
| Miscellaneous | | | 1,801 | |
| Total liabilities | | | 567,543 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 5,418,743 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 7,174,645 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized loss on investments | | | (2,143,350 | ) |
| Net unrealized appreciation on investments | | | 387,448 | |
| Net assets | | $ | 5,418,743 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 404,397 | |
| Capital shares outstanding | | | 2,961 | |
| Net asset value per share | | $ | 136.57 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 143.38 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 68,657 | |
| Capital shares outstanding | | | 540 | |
| Net asset value per share | | $ | 127.14 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 4,945,689 | |
| Capital shares outstanding | | | 35,947 | |
| Net asset value per share | | $ | 137.58 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 43,247 | |
| Interest | | | 54,349 | |
| Total investment income | | | 97,596 | |
| | | | | |
| Expenses: |
| Management fees | | | 51,883 | |
| Distribution and service fees: |
| A-Class | | | 1,006 | |
| C-Class | | | 779 | |
| H-Class | | | 16,094 | |
| Transfer agent and administrative fees | | | 17,294 | |
| Portfolio accounting fees | | | 6,918 | |
| Custodian fees | | | 913 | |
| Trustees’ fees* | | | 347 | |
| Miscellaneous | | | 9,433 | |
| Total expenses | | | 104,667 | |
| Net investment loss | | | (7,071 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | (49 | ) |
| Investments in affiliated issuers | | | (718 | ) |
| Distributions received from affiliated investment company shares | | | 1,187 | |
| Futures contracts | | | (1,488,638 | ) |
| Net realized loss | | | (1,488,218 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in affiliated issuers | | | (1,991 | ) |
| Futures contracts | | | 298,119 | |
| Net change in unrealized appreciation (depreciation) | | | 296,128 | |
| Net realized and unrealized loss | | | (1,192,090 | ) |
| Net decrease in net assets resulting from operations | | $ | (1,199,161 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (7,071 | ) | | $ | (35,030 | ) |
| Net realized gain (loss) on investments | | | (1,488,218 | ) | | | 2,807,128 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 296,128 | | | | (1,539 | ) |
| Net increase (decrease) in net assets resulting from operations | | | (1,199,161 | ) | | | 2,770,559 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| A-Class | | | (11,409 | ) | | | — | |
| C-Class | | | (4,256 | ) | | | — | |
| H-Class | | | (145,786 | ) | | | — | |
| Total distributions to shareholders | | | (161,451 | ) | | | — | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 640,483 | | | | 242,044 | |
| C-Class | | | 1,042,989 | | | | 259,751 | |
| H-Class | | | 332,831,149 | | | | 263,867,281 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 8,202 | | | | — | |
| C-Class | | | 4,220 | | | | — | |
| H-Class | | | 138,791 | | | | — | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (726,063 | ) | | | (299,177 | ) |
| C-Class | | | (1,052,400 | ) | | | (274,295 | ) |
| H-Class | | | (329,694,014 | ) | | | (265,800,357 | ) |
| Net increase (decrease) from capital share transactions | | | 3,193,357 | | | | (2,004,753 | ) |
| Net increase in net assets | | | 1,832,745 | | | | 765,806 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 3,585,998 | | | | 2,820,192 | |
| End of year | | $ | 5,418,743 | | | $ | 3,585,998 | |
| Undistributed net investment income/Accumulated net investment loss at end of year | | $ | — | | | $ | (5,709 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 4,925 | | | | 2,777 | * |
| C-Class | | | 8,874 | | | | 3,281 | * |
| H-Class | | | 2,842,405 | | | | 2,921,713 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 60 | | | | — | * |
| C-Class | | | 33 | | | | — | * |
| H-Class | | | 1,012 | | | | — | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (5,829 | ) | | | (3,428 | )* |
| C-Class | | | (8,905 | ) | | | (3,495 | )* |
| H-Class | | | (2,838,014 | ) | | | (2,921,654 | )* |
| Net increase (decrease) in shares | | | 4,561 | | | | (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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 102.24 | | | $ | 78.81 | | | $ | 93.15 | | | $ | 77.23 | | | $ | 69.56 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.03 | ) | | | (.74 | ) | | | (1.12 | ) | | | (1.00 | ) | | | (1.24 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 38.80 | e | | | 24.17 | | | | (13.22 | ) | | | 16.92 | | | | 8.91 | |
| Total from investment operations | | | 38.77 | | | | 23.43 | | | | (14.34 | ) | | | 15.92 | | | | 7.67 | |
| Less distributions from: |
| Net realized gains | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 136.57 | | | $ | 102.24 | | | $ | 78.81 | | | $ | 93.15 | | | $ | 77.23 | |
| |
| Total Returnb | | | 37.94 | % | | | 29.73 | % | | | (15.41 | %) | | | 20.61 | % | | | 11.04 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 404 | | | $ | 389 | | | $ | 351 | | | $ | 447 | | | $ | 624 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.02 | %) | | | (0.80 | %) | | | (1.22 | %) | | | (1.27 | %) | | | (1.50 | %) |
| Total expensesc | | | 1.51 | % | | | 1.52 | % | | | 1.51 | % | | | 1.54 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 17 | % | | | 1,225 | % | | | 543 | % | | | 405 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 96.17 | | | $ | 74.63 | | | $ | 88.92 | | | $ | 73.98 | | | $ | 67.04 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.80 | ) | | | (1.33 | ) | | | (1.68 | ) | | | (1.56 | ) | | | (1.72 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 36.21 | e | | | 22.87 | | | | (12.61 | ) | | | 16.50 | | | | 8.66 | |
| Total from investment operations | | | 35.41 | | | | 21.54 | | | | (14.29 | ) | | | 14.94 | | | | 6.94 | |
| Less distributions from: |
| Net realized gains | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 127.14 | | | $ | 96.17 | | | $ | 74.63 | | | $ | 88.92 | | | $ | 73.98 | |
| |
| Total Returnb | | | 36.90 | % | | | 28.74 | % | | | (16.06 | %) | | | 20.23 | % | | | 10.32 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 69 | | | $ | 52 | | | $ | 56 | | | $ | 317 | | | $ | 104 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.68 | %) | | | (1.53 | %) | | | (1.91 | %) | | | (2.04 | %) | | | (2.25 | %) |
| Total expensesc | | | 2.26 | % | | | 2.27 | % | | | 2.24 | % | | | 2.30 | % | | | 2.27 | % |
| Portfolio turnover rate | | | 17 | % | | | 1,225 | % | | | 543 | % | | | 405 | % | | | — | |
| 78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 102.97 | | | $ | 79.15 | | | $ | 93.52 | | | $ | 77.52 | | | $ | 69.77 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.12 | ) | | | (.86 | ) | | | (1.08 | ) | | | (1.04 | ) | | | (1.20 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 39.17 | e | | | 24.68 | | | | (13.29 | ) | | | 17.04 | | | | 8.95 | |
| Total from investment operations | | | 39.05 | | | | 23.82 | | | | (14.37 | ) | | | 16.00 | | | | 7.75 | |
| Less distributions from: |
| Net realized gains | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (4.44 | ) | | | — | | | | — | | | | — | | | | — | |
| Net asset value, end of period | | $ | 137.58 | | | $ | 102.97 | | | $ | 79.15 | | | $ | 93.52 | | | $ | 77.52 | |
| |
| Total Returnb | | | 37.95 | % | | | 30.08 | % | | | (15.36 | %) | | | 20.64 | % | | | 11.12 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,946 | | | $ | 3,145 | | | $ | 2,413 | | | $ | 16,862 | | | $ | 3,104 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.10 | %) | | | (0.95 | %) | | | (1.17 | %) | | | (1.28 | %) | | | (1.50 | %) |
| Total expensesc | | | 1.50 | % | | | 1.52 | % | | | 1.49 | % | | | 1.54 | % | | | 1.52 | % |
| Portfolio turnover rate | | | 17 | % | | | 1,225 | % | | | 543 | % | | | 405 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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. |
| e | | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specifi c benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Strengthening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the U.S. Dollar Index. Strengthening Dollar 2x Strategy Fund H-Class returned -18.39%, compared with a return of -10.16% for its benchmark, the U.S. Dollar Index.
All components of the U.S. Dollar Index detracted from performance for the period. The Swiss franc, Canadian dollar and Swedish krona detracted the least. The euro detracted the most from the Index’s performance.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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 , other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 80 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Guggenheim Strategy Fund II | 20.4% |
| Guggenheim Strategy Fund I | 5.8% |
| Total | 26.2% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | (18.37%) | 1.12% | 0.02% |
| A-Class Shares with sales charge† | (22.24%) | 0.15% | (0.47%) |
| C-Class Shares | (18.98%) | 0.36% | (0.68%) |
| C-Class Shares with CDSC‡ | (19.79%) | 0.36% | (0.68%) |
| H-Class Shares | (18.39%) | 1.12% | 0.00% |
| U.S. Dollar Index | (10.16%) | 1.67% | 2.30% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 81 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 26.2% |
| Guggenheim Strategy Fund II1 | | | 70,094 | | | $ | 1,753,056 | |
| Guggenheim Strategy Fund I1 | | | 19,980 | | | | 500,508 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $2,236,129) | | | | | | | 2,253,564 | |
| | | Face
Amount | | | | |
| | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 9.2% |
| Federal Home Loan Bank Discount Note | | | | | | | | |
| 1.75% due 12/03/182,3 | | $ | 800,000 | | | | 789,003 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $790,434) | | | | | | | 789,003 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 4.6% |
| U.S. Treasury Bills | | | | | | | | |
| 1.31% due 04/19/182,3,4 | | | 400,000 | | | | 399,691 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $399,735) | | | | | | | 399,691 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,5 - 82.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/186 | | | 5,331,920 | | | | 5,331,920 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/186 | | | 1,744,747 | | | | 1,744,747 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $7,076,667) | | | | | | | 7,076,667 | |
| | | | | | | | | |
| Total Investments - 122.1% | | | | | | | | |
| (Cost $10,502,965) | | | | | | $ | 10,518,925 | |
| Other Assets & Liabilities, net - (22.1)% | | | | | | | (1,905,437 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 8,613,488 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Currency Futures Contracts Purchased† | | | | | | | | | | | |
| U.S. Dollar Index Futures Contracts | | | 152 | | | Jun 2018 | | $ | 13,637,440 | | | $ | 11,134 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Currency Index Swap Agreements†† | | | | | | | | | | | | | |
| Goldman Sachs International | | U.S. Dollar Index | | N/A | | At Maturity | | 06/21/18 | | | 38,459 | | | $ | 3,449,927 | | | $ | 3,148 | |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | Affiliated issuer. |
| 2 | | Rate indicated is the effective yield at the time of purchase. |
| 3 | | Zero coupon rate security. |
| 4 | | All or a portion of this security is pledged as futures collateral at March 29, 2018. |
| 5 | | Repurchase Agreements — See Note 6. |
| 6 | | All or a portion of this security is pledged as currency index swap collateral at March 29, 2018. |
| | | |
| | | See Sector Classification in Other Information section. |
| 82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | 11,134 | | | $ | — | | | $ | — | | | $ | — | | | $ | 11,134 | |
| Currency Index Swap Agreements | | | — | | | | — | | | | — | | | | 3,148 | | | | — | | | | 3,148 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 789,003 | | | | — | | | | — | | | | 789,003 | |
| Mutual Funds | | | 2,253,564 | | | | — | | | | — | | | | — | | | | — | | | | 2,253,564 | |
| Repurchase Agreements | | | — | | | | — | | | | 7,076,667 | | | | — | | | | — | | | | 7,076,667 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 399,691 | | | | — | | | | — | | | | 399,691 | |
| Total Assets | | $ | 2,253,564 | | | $ | 11,134 | | | $ | 8,265,361 | | | $ | 3,148 | | | $ | — | | | $ | 10,533,207 | |
| * | | 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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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 03/29/18 | | | Shares 03/29/18 | | | Investment Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 600,468 | | | $ | — | | | $ | (100,000 | ) | | $ | 957 | | | $ | (917 | ) | | $ | 500,508 | | | | 19,980 | | | $ | 12,473 | | | $ | 228 | |
| Guggenheim Strategy Fund II | | | 1,752,355 | | | | — | | | | — | | | | — | | | | 701 | | | | 1,753,056 | | | | 70,094 | | | | 42,851 | | | | 937 | |
| | | $ | 2,352,823 | | | $ | — | | | $ | (100,000 | ) | | $ | 957 | | | $ | (216 | ) | | $ | 2,253,564 | | | | | | | $ | 55,324 | | | $ | 1,165 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $1,190,169) | | $ | 1,188,694 | |
| Investments in affiliated issuers, at value (cost $2,236,129) | | | 2,253,564 | |
| Repurchase agreements, at value (cost $7,076,667) | | | 7,076,667 | |
| Unrealized appreciation on swap agreements | | | 3,148 | |
| Receivables: |
| Fund shares sold | | | 768,298 | |
| Dividends | | | 4,662 | |
| Interest | | | 1,059 | |
| Variation margin | | | 34 | |
| Total assets | | | 11,296,126 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 2,655,492 | |
| Management fees | | | 10,193 | |
| Distribution and service fees | | | 3,337 | |
| Swap settlement | | | 3,288 | |
| Transfer agent and administrative fees | | | 2,832 | |
| Portfolio accounting fees | | | 1,133 | |
| Trustees’ fees* | | | 210 | |
| Miscellaneous | | | 6,153 | |
| Total liabilities | | | 2,682,638 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 8,613,488 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 30,011,373 | |
| Accumulated net investment loss | | | (2,993 | ) |
| Accumulated net realized loss on investments | | | (21,425,134 | ) |
| Net unrealized appreciation on investments | | | 30,242 | |
| Net assets | | $ | 8,613,488 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 1,517,333 | |
| Capital shares outstanding | | | 34,923 | |
| Net asset value per share | | $ | 43.45 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 45.62 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 795,065 | |
| Capital shares outstanding | | | 20,315 | |
| Net asset value per share | | $ | 39.14 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 6,301,090 | |
| Capital shares outstanding | | | 145,626 | |
| Net asset value per share | | $ | 43.27 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 55,324 | |
| Interest | | | 92,396 | |
| Total investment income | | | 147,720 | |
| | | | | |
| Expenses: |
| Management fees | | | 97,755 | |
| Distribution and service fees: |
| A-Class | | | 4,889 | |
| C-Class | | | 10,273 | |
| H-Class | | | 19,697 | |
| Transfer agent and administrative fees | | | 27,154 | |
| Portfolio accounting fees | | | 10,861 | |
| Custodian fees | | | 1,513 | |
| Trustees’ fees* | | | 1,175 | |
| Line of credit fees | | | 19 | |
| Miscellaneous | | | 21,332 | |
| Total expenses | | | 194,668 | |
| Net investment loss | | | (46,948 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 11,519 | |
| Investments in affiliated issuers | | | 957 | |
| Distributions received from affiliated investment company shares | | | 1,165 | |
| Swap agreements | | | (456,073 | ) |
| Futures contracts | | | (1,913,086 | ) |
| Net realized loss | | | (2,355,518 | ) |
| Net change in unrealized appreciation(depreciation) on: |
| Investments in unaffiliated issuers | | | (3,945 | ) |
| Investments in affiliated issuers | | | (216 | ) |
| Swap agreements | | | 73,938 | |
| Futures contracts | | | 228,313 | |
| Net change in unrealized appreciation (depreciation) | | | 298,090 | |
| Net realized and unrealized loss | | | (2,057,428 | ) |
| Net decrease in net assets resulting from operations | | $ | (2,104,376 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (46,948 | ) | | $ | (253,288 | ) |
| Net realized gain (loss) on investments | | | (2,355,518 | ) | | | 2,122,644 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 298,090 | | | | 459,977 | |
| Net increase (decrease) in net assets resulting from operations | | | (2,104,376 | ) | | | 2,329,333 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 6,116,217 | | | | 8,015,246 | |
| C-Class | | | 773,795 | | | | 4,990,031 | |
| H-Class | | | 73,549,451 | | | | 156,831,439 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (6,392,244 | ) | | | (8,071,303 | ) |
| C-Class | | | (1,045,173 | ) | | | (5,831,709 | ) |
| H-Class | | | (73,344,881 | ) | | | (161,648,841 | ) |
| Net decrease from capital share transactions | | | (342,835 | ) | | | (5,715,137 | ) |
| Net decrease in net assets | | | (2,447,211 | ) | | | (3,385,804 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 11,060,699 | | | | 14,446,503 | |
| End of year | | $ | 8,613,488 | | | $ | 11,060,699 | |
| Accumulated net investment loss at end of year | | $ | (2,993 | ) | | $ | (91,659 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 134,837 | | | | 154,635 | |
| C-Class | | | 17,843 | | | | 108,852 | |
| H-Class | | | 1,595,421 | | | | 3,132,819 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (142,089 | ) | | | (152,304 | ) |
| C-Class | | | (24,624 | ) | | | (126,213 | ) |
| H-Class | | | (1,591,357 | ) | | | (3,214,633 | ) |
| Net decrease in shares | | | (9,969 | ) | | | (96,844 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 53.23 | | | $ | 47.68 | | | $ | 55.75 | | | $ | 38.36 | | | $ | 42.75 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.16 | ) | | | (.55 | ) | | | (.58 | ) | | | (.56 | ) | | | (.69 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (9.62 | ) | | | 6.10 | | | | (5.32 | ) | | | 17.95 | | | | (3.70 | ) |
| Total from investment operations | | | (9.78 | ) | | | 5.55 | | | | (5.90 | ) | | | 17.39 | | | | (4.39 | ) |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 43.45 | | | $ | 53.23 | | | $ | 47.68 | | | $ | 55.75 | | | $ | 38.36 | |
| |
| Total Returnb | | | (18.37 | %) | | | 11.64 | % | | | (11.01 | %) | | | 45.33 | % | | | (10.27 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,517 | | | $ | 2,245 | | | $ | 1,900 | | | $ | 15,765 | | | $ | 3,547 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.34 | %) | | | (1.07 | %) | | | (1.10 | %) | | | (1.19 | %) | | | (1.72 | %) |
| Total expensesc | | | 1.72 | % | | | 1.73 | % | | | 1.69 | % | | | 1.68 | % | | | 1.74 | % |
| Portfolio turnover rate | | | — | | | | 142 | % | | | 376 | % | | | 299 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 48.32 | | | $ | 43.60 | | | $ | 51.55 | | | $ | 35.74 | | | $ | 40.15 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.48 | ) | | | (.82 | ) | | | (.85 | ) | | | (.81 | ) | | | (.94 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (8.70 | ) | | | 5.54 | | | | (4.93 | ) | | | 16.62 | | | | (3.47 | ) |
| Total from investment operations | | | (9.18 | ) | | | 4.72 | | | | (5.78 | ) | | | 15.81 | | | | (4.41 | ) |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 39.14 | | | $ | 48.32 | | | $ | 43.60 | | | $ | 51.55 | | | $ | 35.74 | |
| |
| Total Returnb | | | (18.98 | %) | | | 10.80 | % | | | (11.69 | %) | | | 44.24 | % | | | (10.96 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 795 | | | $ | 1,309 | | | $ | 1,938 | | | $ | 3,836 | | | $ | 2,099 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.14 | %) | | | (1.80 | %) | | | (1.75 | %) | | | (1.96 | %) | | | (2.48 | %) |
| Total expensesc | | | 2.47 | % | | | 2.48 | % | | | 2.45 | % | | | 2.44 | % | | | 2.50 | % |
| Portfolio turnover rate | | | — | | | | 142 | % | | | 376 | % | | | 299 | % | | | — | |
| 86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STRENGTHENING DOLLAR 2x STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 53.03 | | | $ | 47.49 | | | $ | 55.53 | | | $ | 38.21 | | | $ | 42.60 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.56 | ) | | | (.59 | ) | | | (.56 | ) | | | (.69 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (9.59 | ) | | | 6.10 | | | | (5.28 | ) | | | 17.88 | | | | (3.70 | ) |
| Total from investment operations | | | (9.76 | ) | | | 5.54 | | | | (5.87 | ) | | | 17.32 | | | | (4.39 | ) |
| Less distributions from: |
| Net realized gains | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (2.17 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 43.27 | | | $ | 53.03 | | | $ | 47.49 | | | $ | 55.53 | | | $ | 38.21 | |
| |
| Total Returnb | | | (18.39 | %) | | | 11.64 | % | | | (11.00 | %) | | | 45.33 | % | | | (10.31 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 6,301 | | | $ | 7,506 | | | $ | 10,608 | | | $ | 158,098 | | | $ | 9,764 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.36 | %) | | | (1.11 | %) | | | (1.12 | %) | | | (1.19 | %) | | | (1.72 | %) |
| Total expensesc | | | 1.72 | % | | | 1.73 | % | | | 1.70 | % | | | 1.68 | % | | | 1.74 | % |
| Portfolio turnover rate | | | — | | | | 142 | % | | | 376 | % | | | 299 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Reverse share split — Per share amounts for the period 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 ANNUAL REPORT | 87 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specifi c benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Weakening Dollar 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the U.S. Dollar Index. Weakening Dollar 2x Strategy Fund H-Class returned 19.55%, compared with a return of -10.16% for its benchmark, the U.S. Dollar Index.
All components of the U.S. Dollar Index detracted from performance for the period. The Swiss franc, Canadian dollar and Swedish krona detracted the least. The euro detracted the most from the Index’s performance.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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 , other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 88 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
| 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.
Cumulative Fund Performance*
| Largest Holdings (% of Total Net Assets) |
| Federal Farm Credit Bank | 7.2% |
| Federal Farm Credit Bank | 7.2% |
| Guggenheim Strategy Fund II | 5.4% |
| Guggenheim Strategy Fund I | 5.4% |
| Total | 25.2% |
| | |
| “Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 19.51% | (5.25%) | (5.73%) |
| A-Class Shares with sales charge† | 13.84% | (6.17%) | (6.19%) |
| C-Class Shares | 18.65% | (5.96%) | (6.44%) |
| C-Class Shares with CDSC‡ | 17.65% | (5.96%) | (6.44%) |
| H-Class Shares | 19.55% | (5.24%) | (5.73%) |
| U.S. Dollar Index | (10.16%) | 1.67% | 2.30% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| † | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| ‡ | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 89 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| MUTUAL FUNDS† - 10.8% |
| Guggenheim Strategy Fund II1 | | | 15,033 | | | $ | 375,981 | |
| Guggenheim Strategy Fund I1 | | | 15,004 | | | | 375,851 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $747,983) | | | | | | | 751,832 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| FEDERAL AGENCY NOTES†† - 14.4% |
| Federal Farm Credit Bank2 | | | | | | | | |
| 1.92% (U.S. Prime Rate - 2.83%) due 09/12/183 | | $ | 500,000 | | | | 500,557 | |
| 1.67% (U.S. Prime Rate - 3.08%) due 03/12/193 | | | 500,000 | | | | 500,046 | |
| Total Federal Farm Credit Bank | | | | | | | 1,000,603 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $999,953) | | | | | | | 1,000,603 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,4 - 59.4% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/185 | | $ | 3,118,591 | | | $ | 3,118,591 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/185 | | | 1,020,487 | | | | 1,020,487 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $4,139,078) | | | | | | | 4,139,078 | |
| | | | | | | | | |
| Total Investments - 84.6% | | | | | | | | |
| (Cost $5,887,014) | | | | | | $ | 5,891,513 | |
| Other Assets & Liabilities, net - 15.4% | | | | | | | 1,069,109 | |
| Total Net Assets - 100.0% | | | | | | $ | 6,960,622 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Currency Futures Contracts Sold Short† | | | | | | | | | | | |
| U.S. Dollar Index Futures Contracts | | | 138 | | | Jun 2018 | | $ | 12,381,360 | | | $ | (4,121 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing Rate Pay
(Receive) | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Loss | |
| OTC Currency Index Swap Agreements Sold Short†† | | | | | | | | | | | | | |
| Goldman Sachs International | | U.S. Dollar Index | | N/A | | At Maturity | | 06/21/18 | | | 16,564 | | | $ | 1,485,870 | | | $ | (78 | ) |
| † | | 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 the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 4 | | Repurchase Agreements — See Note 6. |
| 5 | | All or a portion of this security is pledged as currency index swap collateral at March 29, 2018. |
| | | |
| | | See Sector Classification in Other Information section. |
| 90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | — | | | $ | — | | | $ | 1,000,603 | | | $ | — | | | $ | — | | | $ | 1,000,603 | |
| Mutual Funds | | | 751,832 | | | | — | | | | — | | | | — | | | | — | | | | 751,832 | |
| Repurchase Agreements | | | — | | | | — | | | | 4,139,078 | | | | — | | | | — | | | | 4,139,078 | |
| Total Assets | | $ | 751,832 | | | $ | — | | | $ | 5,139,681 | | | $ | — | | | $ | — | | | $ | 5,891,513 | |
| 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 Index Swap Agreements | | $ | — | | | $ | — | | | $ | — | | | $ | 78 | | | $ | — | | | $ | 78 | |
| Currency Futures Contracts | | | — | | | | 4,121 | | | | — | | | | — | | | | — | | | | 4,121 | |
| Total Liabilities | | $ | — | | | $ | 4,121 | | | $ | — | | | $ | 78 | | | $ | — | | | $ | 4,199 | |
| * | | 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 year ended March 29, 2018, 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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain
Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 250,891 | | | $ | 225,000 | | | $ | (100,000 | ) | | $ | — | | | $ | (40 | ) | | $ | 375,851 | | | | 15,004 | | | $ | 7,938 | | | $ | 143 | |
| Guggenheim Strategy Fund II | | | 250,840 | | | | 225,000 | | | | (100,000 | ) | | | — | | | | 141 | | | | 375,981 | | | | 15,033 | | | | 8,912 | | | | 201 | |
| | | $ | 501,731 | | | $ | 450,000 | | | $ | (200,000 | ) | | $ | — | | | $ | 101 | | | $ | 751,832 | | | | | | | $ | 16,850 | | | $ | 344 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 | |
| Assets: |
| Investments in unaffiliated issuers, at value (cost $999,953) | | $ | 1,000,603 | |
| Investments in affiliated issuers, at value (cost $747,983) | | | 751,832 | |
| Repurchase agreements, at value (cost $4,139,078) | | | 4,139,078 | |
| Segregated cash with broker | | | 194,700 | |
| Receivables: |
| Fund shares sold | | | 919,205 | |
| Dividends | | | 1,607 | |
| Interest | | | 1,540 | |
| Swap settlement | | | 1,382 | |
| Total assets | | | 7,009,947 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 78 | |
| Payable for: |
| Fund shares redeemed | | | 38,486 | |
| Management fees | | | 4,344 | |
| Distribution and service fees | | | 1,457 | |
| Transfer agent and administrative fees | | | 1,207 | |
| Portfolio accounting fees | | | 482 | |
| Variation margin | | | 194 | |
| Trustees’ fees* | | | 136 | |
| Miscellaneous | | | 2,941 | |
| Total liabilities | | | 49,325 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 6,960,622 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 19,987,366 | |
| Accumulated net investment loss | | | (2,215 | ) |
| Accumulated net realized loss on investments | | | (13,024,829 | ) |
| Net unrealized appreciation on investments | | | 300 | |
| Net assets | | $ | 6,960,622 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,306,283 | |
| Capital shares outstanding | | | 42,569 | |
| Net asset value per share | | $ | 77.67 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 81.54 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 387,634 | |
| Capital shares outstanding | | | 5,565 | |
| Net asset value per share | | $ | 69.66 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 3,266,705 | |
| Capital shares outstanding | | | 42,099 | |
| Net asset value per share | | $ | 77.60 | |
STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends from securities of affiliated issuers | | $ | 16,850 | |
| Interest | | | 47,864 | |
| Total investment income | | | 64,714 | |
| | | | | |
| Expenses: |
| Management fees | | | 47,239 | |
| Distribution and service fees: |
| A-Class | | | 3,062 | |
| C-Class | | | 5,103 | |
| H-Class | | | 8,784 | |
| Transfer agent and administrative fees | | | 13,122 | |
| Portfolio accounting fees | | | 5,249 | |
| Custodian fees | | | 697 | |
| Trustees’ fees* | | | 435 | |
| Miscellaneous | | | 10,446 | |
| Total expenses | | | 94,137 | |
| Net investment loss | | | (29,423 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Distributions received from affiliated investment company shares | | | 344 | |
| Swap agreements | | | 160,159 | |
| Futures contracts | | | 820,819 | |
| Net realized gain | | | 981,322 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 219 | |
| Investments in affiliated issuers | | | 101 | |
| Swap agreements | | | (16,048 | ) |
| Futures contracts | | | (85,156 | ) |
| Net change in unrealized appreciation (depreciation) | | | (100,884 | ) |
| Net realized and unrealized gain | | | 880,438 | |
| Net increase in net assets resulting from operations | | $ | 851,015 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (29,423 | ) | | $ | (67,934 | ) |
| Net realized gain (loss) on investments | | | 981,322 | | | | (1,547,174 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (100,884 | ) | | | (161,375 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 851,015 | | | | (1,776,483 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 8,633,126 | | | | 6,990,845 | |
| C-Class | | | 120,215 | | | | 1,177,429 | |
| H-Class | | | 29,530,367 | | | | 66,296,972 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (5,810,370 | ) | | | (7,813,379 | ) |
| C-Class | | | (518,246 | ) | | | (919,788 | ) |
| H-Class | | | (31,932,971 | ) | | | (63,362,959 | ) |
| Net increase from capital share transactions | | | 22,121 | | | | 2,369,120 | |
| Net increase in net assets | | | 873,136 | | | | 592,637 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 6,087,486 | | | | 5,494,849 | |
| End of year | | $ | 6,960,622 | | | $ | 6,087,486 | |
| Accumulated net investment loss at end of year | | $ | (2,215 | ) | | $ | (10,550 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 118,383 | | | | 100,872 | * |
| C-Class | | | 1,843 | | | | 18,572 | * |
| H-Class | | | 408,621 | | | | 917,915 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (80,804 | ) | | | (113,327 | )* |
| C-Class | | | (8,115 | ) | | | (14,545 | )* |
| H-Class | | | (444,593 | ) | | | (888,300 | )* |
| Net increase (decrease) in shares | | | (4,665 | ) | | | 21,187 | * |
| * | | 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
| WEAKENING DOLLAR 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.99 | | | $ | 75.31 | | | $ | 70.69 | | | $ | 107.17 | | | $ | 101.72 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.35 | ) | | | (.80 | ) | | | (.84 | ) | | | (1.20 | ) | | | (1.80 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 13.03 | | | | (9.52 | ) | | | 5.46 | | | | (35.28 | ) | | | 7.25 | |
| Total from investment operations | | | 12.68 | | | | (10.32 | ) | | | 4.62 | | | | (36.48 | ) | | | 5.45 | |
| Net asset value, end of period | | $ | 77.67 | | | $ | 64.99 | | | $ | 75.31 | | | $ | 70.69 | | | $ | 107.17 | |
| |
| Total Returnb | | | 19.51 | % | | | (13.69 | %) | | | 6.54 | % | | | (34.04 | %) | | | 5.37 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,306 | | | $ | 324 | | | $ | 1,314 | | | $ | 508 | | | $ | 1,129 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.48 | %) | | | (1.13 | %) | | | (1.13 | %) | | | (1.23 | %) | | | (1.73 | %) |
| Total expensesc | | | 1.72 | % | | | 1.72 | % | | | 1.70 | % | | | 1.70 | % | | | 1.75 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 699 | % | | | 219 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 58.72 | | | $ | 68.57 | | | $ | 64.88 | | | $ | 99.08 | | | $ | 94.76 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.80 | ) | | | (1.19 | ) | | | (1.20 | ) | | | (1.74 | ) | | | (2.40 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 11.74 | | | | (8.66 | ) | | | 4.89 | | | | (32.46 | ) | | | 6.72 | |
| Total from investment operations | | | 10.94 | | | | (9.85 | ) | | | 3.69 | | | | (34.20 | ) | | | 4.32 | |
| Net asset value, end of period | | $ | 69.66 | | | $ | 58.72 | | | $ | 68.57 | | | $ | 64.88 | | | $ | 99.08 | |
| |
| Total Returnb | | | 18.65 | % | | | (14.39 | %) | | | 5.74 | % | | | (34.52 | %) | | | 4.56 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 388 | | | $ | 695 | | | $ | 536 | | | $ | 163 | | | $ | 821 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.23 | %) | | | (1.88 | %) | | | (1.81 | %) | | | (1.94 | %) | | | (2.49 | %) |
| Total expensesc | | | 2.47 | % | | | 2.47 | % | | | 2.45 | % | | | 2.46 | % | | | 2.52 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 699 | % | | | 219 | % | | | — | |
| 94 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.92 | | | $ | 75.23 | | | $ | 70.59 | | | $ | 106.99 | | | $ | 101.58 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.36 | ) | | | (.85 | ) | | | (.78 | ) | | | (1.14 | ) | | | (1.80 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 13.04 | | | | (9.46 | ) | | | 5.42 | | | | (35.26 | ) | | | 7.21 | |
| Total from investment operations | | | 12.68 | | | | (10.31 | ) | | | 4.64 | | | | (36.40 | ) | | | 5.41 | |
| Net asset value, end of period | | $ | 77.60 | | | $ | 64.92 | | | $ | 75.23 | | | $ | 70.59 | | | $ | 106.99 | |
| |
| Total Returnb | | | 19.55 | % | | | (13.73 | %) | | | 6.54 | % | | | (33.99 | %) | | | 5.32 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,267 | | | $ | 5,068 | | | $ | 3,645 | | | $ | 3,651 | | | $ | 5,449 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.49 | %) | | | (1.19 | %) | | | (1.04 | %) | | | (1.20 | %) | | | (1.74 | %) |
| Total expensesc | | | 1.72 | % | | | 1.71 | % | | | 1.70 | % | | | 1.70 | % | | | 1.76 | % |
| Portfolio turnover rate | | | 28 | % | | | 77 | % | | | 699 | % | | | 219 | % | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
c d | | Does not include expenses of the underlying funds in which the Fund invests. 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 NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
| NOTES TO FINANCIAL STATEMENTS |
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 March 29, 2018, 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 Investor Class, 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
March 29, 2018 represents the last day during the Funds’ annual period on which the New York Stock Exchange (“NYSE “) was open for trading. The Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ NAV calculations used for shareholder transactions.
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 a 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 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.
| 96 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 (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.
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 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, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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) 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.
(e) 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
| | THE RYDEX FUNDS ANNUAL REPORT | 97 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 March 29, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(f) Currency Translations
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 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) 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 Real Estate Investment Trusts (“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 1.68% at March 29, 2018.
(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 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.
| 98 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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:
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 Amount | |
| Fund | | Use | | Long | | | Short | |
| Europe 1.25x Strategy Fund | | Index exposure, Leverage, Liquidity | | $ | 14,413,698 | | | $ | — | |
| Japan 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 42,703,144 | | | | — | |
| Strengthening Dollar 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 16,103,780 | | | | — | |
| Weakening Dollar 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | — | | | | 9,090,933 | |
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 and are presented on a multi-lateral or other trade facility platform such as a registered exchange. 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 99 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 following table represents the Funds’ use and volume of currency swaps on a quarterly basis:
| | | | | Average Notional Amount | |
| Fund | | Use | | Long | | | Short | |
| Strengthening Dollar 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | $ | 3,409,093 | | | $ | — | |
| Weakening Dollar 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | — | | | | 1,459,045 | |
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 March 29, 2018:
| 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 March 29, 2018:
| Asset Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Futures
Currency
Risk* | | | Swaps
Currency
Risk | | | Total Value at
March 29,
2018 | |
| Japan 2x Strategy Fund | | $ | 399,936 | | | $ | — | | | $ | — | | | $ | 399,936 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | 11,134 | | | | 3,148 | | | | 14,282 | |
| Liability Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Futures
Currency
Risk* | | | Swaps
Currency
Risk | | | Total Value at
March 29,
2018 | |
| Europe 1.25x Strategy Fund | | $ | 16,155 | | | $ | 6,093 | | | $ | — | | | $ | 22,248 | |
| Japan 2x Strategy Fund | | | — | | | | 14,369 | | | | — | | | | 14,369 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 4,121 | | | | 78 | | | | 4,199 | |
| * | | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 29, 2018:
| 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 |
| 100 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 29, 2018:
| Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Futures
Currency
Risk | | | Swaps
Currency
Risk | | | Total | |
| Europe 1.25x Strategy Fund | | $ | 128,455 | | | $ | 1,660,153 | | | $ | — | | | $ | 1,788,608 | |
| Japan 2x Strategy Fund | | | (2,623,731 | ) | | | 1,135,093 | | | | — | | | | (1,488,638 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | (1,913,086 | ) | | | (456,073 | ) | | | (2,369,159 | ) |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 820,819 | | | | 160,159 | | | | 980,978 | |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Futures
Currency
Risk | | | Swaps
Currency
Risk | | | Total | |
| Europe 1.25x Strategy Fund | | $ | (83,204 | ) | | $ | 32,155 | | | $ | — | | | $ | (51,049 | ) |
| Japan 2x Strategy Fund | | | 500,677 | | | | (202,558 | ) | | | — | | | | 298,119 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | 228,313 | | | | 73,938 | | | | 302,251 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | (85,156 | ) | | | (16,048 | ) | | | (101,204 | ) |
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 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 ANNUAL REPORT | 101 |
| NOTES TO FINANCIAL STATEMENTS (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:
| | | | | | | | | | | | | | 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 | |
| Strengthening Dollar 2x Strategy Fund | | Swap currency contracts | | $ | 3,148 | | | $ | — | | | $ | 3,148 | | | $— | | $ | — | | | $ | 3,148 | |
| | | | | | | | | | | | | | 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 | |
| Weakening Dollar 2x Strategy Fund | | Swap currency contracts | | $ | 78 | | | $ | — | | | $ | 78 | | | $78 | | $ | — | | | $ | — | |
| 1 | Exchange-traded futures are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of March 29, 2018. The derivatives tables following the Schedules 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.
| Fund | | Counterparty/Clearing Agent | | Asset Type | | Cash Pledged | | | Cash Received | |
| Europe 1.25x Strategy Fund | | Goldman Sachs Group | | Futures contracts | | $ | 62,573 | | | $ | — | |
| Japan 2x Strategy Fund | | Goldman Sachs Group | | Futures contracts | | | 252,074 | | | | — | |
| Weakening Dollar 2x Strategy Fund | | Goldman Sachs Group | | Futures contracts | | | 194,700 | | | | — | |
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. |
| 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.). |
| 102 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
| 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 – Investment Advisory Agreement and Other Agreements
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.
For the year ended March 29, 2018, GFD retained sales charges of $173,191 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees 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. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets subject to certain minimum monthly fees and out of pocket expenses.
| | THE RYDEX FUNDS ANNUAL REPORT | 103 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 March 29, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face Value | | | Repurchase Price | | | Collateral | | Par Value | | | Fair Value | |
| JPMorgan Chase & Co. | | | | | | | | | | U.S Treasury Notes | | | | | | | | |
| 1.80% | | | | | | | | | | 1.38% - 2.75% | | | | | | | | |
| Due 04/02/18 | | $ | 208,198,841 | | | $ | 208,240,481 | | | 04/15/20 - 05/15/25 | | $ | 208,076,600 | | | $ | 207,119,552 | |
| | | | | | | | | | | U.S. TIP Notes | | | | | | | | |
| | | | | | | | | | | 0.13% | | | | | | | | |
| | | | | | | | | | | 04/15/20 | | | 4,654,400 | | | | 4,908,055 | |
| | | | | | | | | | | U.S. Treasury Bonds | | | | | | | | |
| | | | | | | | | | | 3.00% - 8.00% | | | | | | | | |
| | | | | | | | | | | 11/15/21/- 05/15/45 | | | 329,500 | | | | 335,239 | |
| | | | | | | | | | | | | $ | 213,060,500 | | | $ | 212,362,846 | |
| | | | | | | | | | | | | | | | | | | |
| Bank of America Merrill Lynch | | | | | | | | | | U.S. Treasury Notes | | | | | | | | |
| 1.78% | | | | | | | | | | 1.63% | | | | | | | | |
| Due 04/02/18 | | | 68,128,219 | | | | 68,141,693 | | | 06/30/20 - 07/31/20 | | | 70,403,800 | | | | 69,490,837 | |
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 their 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 March 29, 2018, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| 104 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
| | | 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 Value Fund | | $ | 167,604 | | | $ | (167,604 | ) | | $ | — | | | $ | 171,678 | | | $ | — | | | $ | 171,678 | |
| S&P MidCap 400® Pure Growth Fund | | | 1,015,349 | | | | (1,015,349 | ) | | | — | | | | 1,030,698 | | | | — | | | | 1,030,698 | |
| S&P MidCap 400® Pure Value Fund | | | 68,722 | | | | (68,722 | ) | | | — | | | | 70,915 | | | | — | | | | 70,915 | |
| S&P SmallCap 600® Pure Growth Fund | | | 744,068 | | | | (744,068 | ) | | | — | | | | 753,570 | | | | — | | | | 753,570 | |
| S&P SmallCap 600® Pure Value Fund | | | 369,098 | | | | (369,098 | ) | | | — | | | | 384,392 | | | | — | | | | 384,392 | |
| Europe 1.25x Strategy Fund | | | 130,916 | | | | (130,916 | ) | | | — | | | | 134,876 | | | | — | | | | 134,876 | |
| (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 tax character of distributions paid during the year ended March 29, 2018 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distributions | |
| S&P 500® Pure Growth Fund | | $ | 1,759,014 | | | $ | 6,261,553 | | | $ | — | | | $ | 8,020,567 | |
| S&P 500® Pure Value Fund | | | 494,345 | | | | 716,614 | | | | — | | | | 1,210,959 | |
| S&P MidCap 400® Pure Growth Fund | | | 881,254 | | | | 6,065,108 | | | | — | | | | 6,946,362 | |
| S&P MidCap 400® Pure Value Fund | | | 606,340 | | | | — | | | | — | | | | 606,340 | |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | 766,542 | | | | — | | | | 766,542 | |
| Europe 1.25x Strategy Fund | | | 24,118 | | | | — | | | | — | | | | 24,118 | |
| Japan 2x Strategy Fund | | | — | | | | 161,451 | | | | — | | | | 161,451 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 105 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 31, 2017 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return
of Capital | | | Total
Distributions | |
| S&P 500® Pure Growth Fund | | $ | — | | | $ | 37,270 | | | $ | — | | | $ | 37,270 | |
| S&P 500® Pure Value Fund | | | 792,718 | | | | — | | | | — | | | | 792,718 | |
| S&P MidCap 400® Pure Growth Fund | | | — | | | | 1,725,925 | | | | — | | | | 1,725,925 | |
| S&P MidCap 400® Pure Value Fund | | | 52,548 | | | | — | | | | — | | | | 52,548 | |
| Europe 1.25x Strategy Fund | | | 35,360 | | | | — | | | | — | | | | 35,360 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of March 29, 2018 were as follows:
| Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
| S&P 500® Pure Growth Fund | | $ | 5,662,742 | | | $ | — | | | $ | 22,346,506 | | | $ | — | | | $ | — | | | $ | 28,009,248 | |
| S&P 500® Pure Value Fund | | | 3,644,382 | | | | — | | | | 5,920,588 | | | | — | | | | — | | | | 9,564,970 | |
| S&P MidCap 400® Pure Growth Fund | | | 4,944,925 | | | | 1,631,068 | | | | 9,483,801 | | | | — | | | | — | | | | 16,059,794 | |
| S&P MidCap 400® Pure Value Fund | | | 286,553 | | | | — | | | | (698,194 | ) | | | — | | | | — | | | | (411,641 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | — | | | | 698,710 | | | | 1,687,150 | | | | (31,604 | ) | | | — | | | | 2,354,256 | |
| S&P SmallCap 600® Pure Value Fund | | | — | | | | — | | | | (261,941 | ) | | | (25,507,689 | ) | | | — | | | | (25,769,630 | ) |
| Europe 1.25x Strategy Fund | | | 155,680 | | | | — | | | | 63,464 | | | | (1,032,838 | ) | | | — | | | | (813,694 | ) |
| Japan 2x Strategy Fund | | | — | | | | — | | | | 1,315 | | | | (1,757,217 | ) | | | — | | | | (1,755,902 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | — | | | | 14,644 | | | | (21,412,529 | ) | | | — | | | | (21,397,885 | ) |
| Weakening Dollar 2x Strategy Fund | | | — | | | | — | | | | 4,161 | | | | (13,030,905 | ) | | | — | | | | (13,026,744 | ) |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of March 29, 2018, capital loss carryforwards for the Funds were as follows:
| | | | | Unlimited | | | | |
| Fund | | Expires in
2019 | | | Short-Term | | | | Long-Term | | | Total
Capital Loss
Carryforward | |
| S&P SmallCap 600® Pure Value Fund | | $ | (19,913,891 | ) | | $ | (4,469,429 | ) | | $ | (1,102,519 | ) | | $ | (25,485,839 | ) |
| Europe 1.25x Strategy Fund | | | (1,032,838 | ) | | | — | | | | — | | | | (1,032,838 | ) |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | (8,620,237 | ) | | | (12,789,299 | ) | | | (21,409,536 | ) |
| Weakening Dollar 2x Strategy Fund | | | (3,988,430 | ) | | | (3,630,638 | ) | | | (5,409,622 | ) | | | (13,028,690 | ) |
For the year ended March 29, 2018, the following capital loss carryforward amounts expired or were utilized:
| Fund | | Expired | | | Utilized | | | Total | |
| Europe 1.25x Strategy Fund | | $ | — | | | $ | 2,479,313 | | | $ | 2,479,313 | |
| Japan 2x Strategy Fund | | | — | | | | 403,585 | | | | 403,585 | |
| Weakening Dollar 2x Strategy Fund | | | — | | | | 880,117 | | | | 880,117 | |
| 106 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to foreign currency gains and losses, losses deferred due to wash sales, distributions in connection with redemption of fund shares, the “mark-to-market” of certain derivatives, and qualified late-year losses. Additional differences may result from the tax treatment of net operating losses. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 29, 2018 for permanent book/tax differences:
| Fund | | Paid In
Capital | | | Undistributed
Net Investment
Income/(Loss) | | | Accumulated
Net Realized
Gain/(Loss) | |
| S&P 500® Pure Growth Fund | | $ | 9,281,470 | | | $ | 1,195,331 | | | $ | (10,476,801 | ) |
| S&P 500® Pure Value Fund | | | 4,993,642 | | | | — | | | | (4,993,642 | ) |
| S&P MidCap 400® Pure Growth Fund | | | 5,165,517 | | | | 1,046,214 | | | | (6,211,731 | ) |
| S&P MidCap 400® Pure Value Fund | | | 2,450,477 | | | | — | | | | (2,450,477 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | 499,604 | | | | 222,137 | | | | (721,741 | ) |
| S&P SmallCap 600® Pure Value Fund | | | (93,133 | ) | | | 93,133 | | | | — | |
| Europe 1.25x Strategy Fund | | | 13 | | | | 13,228 | | | | (13,241 | ) |
| Japan 2x Strategy Fund | | | (10,698 | ) | | | 12,780 | | | | (2,082 | ) |
| Strengthening Dollar 2x Strategy Fund | | | (135,614 | ) | | | 135,614 | | | | — | |
| Weakening Dollar 2x Strategy Fund | | | (37,758 | ) | | | 37,758 | | | | — | |
At March 29, 2018, 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 | | $ | 117,691,056 | | | $ | 24,674,920 | | | $ | (2,328,414 | ) | | $ | 22,346,506 | |
| S&P 500® Pure Value Fund | | | 63,896,112 | | | | 7,228,525 | | | | (1,307,937 | ) | | | 5,920,588 | |
| S&P MidCap 400® Pure Growth Fund | | | 90,918,032 | | | | 13,006,481 | | | | (3,522,680 | ) | | | 9,483,801 | |
| S&P MidCap 400® Pure Value Fund | | | 11,592,221 | | | | — | | | | (698,194 | ) | | | (698,194 | ) |
| S&P SmallCap 600® Pure Growth Fund | | | 18,814,585 | | | | 2,161,427 | | | | (474,277 | ) | | | 1,687,150 | |
| S&P SmallCap 600® Pure Value Fund | | | 10,512,419 | | | | 337,681 | | | | (599,622 | ) | | | (261,941 | ) |
| Europe 1.25x Strategy Fund | | | 4,681,062 | | | | 83,108 | | | | (19,647 | ) | | | 63,461 | |
| Japan 2x Strategy Fund | | | 5,294,823 | | | | 29,056 | | | | (27,741 | ) | | | 1,315 | |
| Strengthening Dollar 2x Strategy Fund | | | 10,504,282 | | | | 16,222 | | | | (1,578 | ) | | | 14,644 | |
| Weakening Dollar 2x Strategy Fund | | | 5,887,353 | | | | 4,161 | | | | — | | | | 4,161 | |
Pursuant to Federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 29, 2018, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2018:
| Fund | | Ordinary | | | Capital | |
| S&P SmallCap 600® Pure Growth Fund | | $ | (31,604 | ) | | $ | — | |
| S&P SmallCap 600® Pure Value Fund | | | (21,850 | ) | | | — | |
| Japan 2x Strategy Fund | | | — | | | | (1,757,217 | ) |
| Strengthening Dollar 2x Strategy Fund | | | (2,992 | ) | | | — | |
| Weakening Dollar 2x Strategy Fund | | | (2,214 | ) | | | — | |
| | THE RYDEX FUNDS ANNUAL REPORT | 107 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Securities Transactions
For the year ended March 29, 2018, 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 | | $ | 295,258,294 | | | $ | 285,608,311 | |
| S&P 500® Pure Value Fund | | | 190,243,672 | | | | 194,236,869 | |
| S&P MidCap 400® Pure Growth Fund | | | 168,455,388 | | | | 194,420,837 | |
| S&P MidCap 400® Pure Value Fund | | | 129,856,473 | | | | 147,707,030 | |
| S&P SmallCap 600® Pure Growth Fund | | | 127,648,182 | | | | 145,626,866 | |
| S&P SmallCap 600® Pure Value Fund | | | 245,706,231 | | | | 257,663,335 | |
| Europe 1.25x Strategy Fund | | | 47,328,831 | | | | 49,613,848 | |
| Japan 2x Strategy Fund | | | 1,400,000 | | | | 300,000 | |
| Strengthening Dollar 2x Strategy Fund | | | — | | | | 2,600,000 | |
| 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 year ended March 29, 2018, 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 | | $ | 47,978,134 | | | $ | 43,338,038 | | | $ | 3,498,919 | |
| S&P 500® Pure Value Fund | | | 21,471,059 | | | | 36,969,572 | | | | 3,837,801 | |
| S&P MidCap 400® Pure Growth Fund | | | 14,682,247 | | | | 14,289,266 | | | | 1,686,410 | |
| S&P MidCap 400® Pure Value Fund | | | 7,761,807 | | | | 10,648,480 | | | | 1,463,636 | |
| S&P SmallCap 600® Pure Growth Fund | | | 5,436,197 | | | | 8,225,625 | | | | 580,553 | |
| S&P SmallCap 600® Pure Value Fund | | | 3,291,777 | | | | 6,878,273 | | | | 180,631 | |
| Europe 1.25x Strategy Fund | | | 3,066,326 | | | | 7,247,349 | | | | 226,537 | |
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 2.26% for the period ended March 29, 2018. The Funds did not have any borrowings outstanding under this agreement at March 29, 2018.
The average daily balances borrowed for the period ended March 29, 2018, were as follows:
| Fund | | Average Daily Balance | |
| S&P 500® Pure Growth Fund | | $ | 1,394 | |
| S&P 500® Pure Value Fund | | | 2,387 | |
| S&P MidCap 400® Pure Growth Fund | | | 4,247 | |
| S&P MidCap 400® Pure Value Fund | | | 5,940 | |
| S&P SmallCap 600® Pure Growth Fund | | | 6,326 | |
| S&P SmallCap 600® Pure Value Fund | | | 9,808 | |
| Europe 1.25x Strategy Fund | | | 6,310 | |
| 108 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 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 April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. The court has not yet ruled on the motion.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 109 |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The District Court has not yet ruled on that request.
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.
| 110 | THE RYDEX FUNDS ANNUAL REPORT | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of 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 and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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 (collectively referred to as the “Funds”), (ten of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 29, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (ten of the funds constituting Rydex Series Funds) at March 29, 2018, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 29, 2018, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 25, 2018
| | THE RYDEX FUNDS ANNUAL REPORT | 111 |
| OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2019, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2018.
Europe 1.25x Strategy Fund intends to designate $18,756 of foreign tax withholding on foreign source income of $342,690.
The Funds’ investment income (dividend income plus short-term gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 29, 2018, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 29, 2018, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Fund | Qualified
Dividend
Income | Dividend
Received
Deduction | Qualified
Interest
Income | Qualified
Short-Term
Capital Gain |
| S&P 500® Pure Growth Fund | 11.19% | 10.65% | 0.00% | 100.00% |
| S&P 500® Pure Value Fund | 42.29% | 42.58% | 0.00% | 100.00% |
| S&P MidCap 400® Pure Growth Fund | 11.12% | 10.96% | 0.00% | 100.00% |
| S&P MidCap 400® Pure Value Fund | 10.48% | 11.18% | 0.00% | 100.00% |
| S&P SmallCap 600® Pure Growth Fund | 0.00% | 0.00% | 0.00% | 0.00% |
| Europe 1.25x Strategy Fund | 100.00% | 0.00% | 0.00% | 0.00% |
| Japan 2x Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% |
With respect to the taxable year ended March 29, 2018, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
| Fund | | From long-term capital gain: | | | From long-term capital gain, using proceeds from shareholder redemptions: | |
| S&P 500® Pure Growth Fund | | $ | 6,261,553 | | | $ | 8,200,610 | |
| S&P 500® Pure Value Fund | | | 716,614 | | | | 3,438,992 | |
| S&P MidCap 400® Pure Growth Fund | | | 6,065,108 | | | | 6,796,585 | |
| S&P MidCap 400® Pure Value Fund | | | — | | | | 991,244 | |
| S&P SmallCap 600® Pure Growth Fund | | | 766,542 | | | | 721,741 | |
| Japan 2x Strategy Fund | | | 161,451 | | | | 2,082 | |
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.
| 112 | THE RYDEX FUNDS ANNUAL REPORT | |
| OTHER INFORMATION (Unaudited)(concluded) |
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 113 |
| 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*** |
| INDEPENDENT TRUSTEES | | | |
Angela Brock-Kyle
(1959) | Trustee, Member of the Audit Committee; and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 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). | 110 | 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 Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | 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. | 110 | Epiphany Funds (2) (2009-present). |
John O. Demaret
(1940) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | None. |
Werner E. Keller
(1940) | Chairman of the Board from 2014 to present; and Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr.
(1960) | Trustee and Member of the Audit Committee from 2005 to present; and Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
| 114 | THE RYDEX FUNDS 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 - concluded | | | |
Patrick T. McCarville
(1942) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Nominating and Governance Committee from 2007 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | 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; and Member of the Governance and Nominating Committee from 2017 to present. | Retired. Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
| INTERESTED TRUSTEE | | | |
Amy J. Lee****
(1961) | Trustee (February 2018-present); and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2014-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 158 | None. |
| | THE RYDEX FUNDS ANNUAL REPORT | 115 |
| 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 (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); and Director and Chairman, Advisory Research Center, Inc. (2006-present). Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), 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. |
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, Mutual Fund Administration of 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 of Guggenheim Investments (2015-present). Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); 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). |
Mark E. Mathiasen
(1978) | Secretary (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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Elisabeth Miller
(1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); 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). |
| 116 | THE RYDEX FUNDS 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, Mutual Fund Administration for 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 (2017-present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); 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. |
| ** | | 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. |
| **** | | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
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| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| 118 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
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| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
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| 120 | THE RYDEX FUNDS ANNUAL REPORT | |
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3.29.2018
Rydex Funds Annual Report
| Domestic Equity Fund |
| NASDAQ-100® Fund | | |
| GuggenheimInvestments.com | ROTC-ANN-2-0318x0319 |
| DEAR SHAREHOLDER | 2 |
| ECONOMIC AND MARKET OVERVIEW | 3 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
| NASDAQ-100® FUND | 8 |
| NOTES TO FINANCIAL STATEMENTS | 26 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 45 |
| OTHER INFORMATION | 47 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 49 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 55 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for NASDAQ-100® Fund (the “Fund”) that is part of the Rydex Series Funds. This report covers performance of the Fund for the 12-month period ended March 29, 2018.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2018
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 ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 29, 2018 |
As we enter the ninth year of the current expansion, one of the most important new developments to evaluate is the impact of the corporate tax cuts passed into law at the end of 2017. Guggenheim’s concern is that the substantial late-cycle fiscal easing in the pipeline will prompt more restrictive monetary policy, which increases the risk that the economy will experience a boom-bust cycle that ends in a recession.
With the unemployment rate at 4.1% and core inflation rising, fiscal policy should be leaning against the economy to prevent overheating, not providing further stimulus. Faster wage growth, rising core inflation, and an unsustainably low unemployment rate underpin our longstanding view that the U.S. Federal Reserve (the “Fed”) will raise interest rates four times in 2018. Fed funds futures show the market is now pricing in nearly three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Tighter fiscal and monetary policy, along with rising policy uncertainty ahead of the 2018 mid-terms and 2020 presidential election, could prove to be too much for an overextended economy to bear.
Further complicating the story is the risk of a global trade war sparked by protectionist actions taken by the Trump administration. We now have new steel and aluminum tariffs in place that are likely to have some modest inflationary impact while hurting almost 20% of U.S. corporates, according to our estimates. We expect more protectionist trade and investment policies in place by year end.
Over the 12 months ended March 29, 2018, the bear flattening (the condition in which short-term rates rise faster than long-term rates) of the U.S. Treasury curve continued with Treasury yields higher across the curve. Yields increased the most in the belly and front end of the curve. The 2-year Treasury ended the period at 2.27%, up 102 basis points from a year ago, while the 10-year finished the period at 2.74%, up 35 basis points from a year ago. The 2-year-10 year curve, which started the period at 113 basis points, finished at 47 basis points.
For the 12 months ended March 29, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 13.99%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 15.32%. The return of the MSCI Emerging Markets Index* was 25.37%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 1.20% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.78%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.11% for the 12-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.
| | THE RYDEX FUNDS ANNUAL REPORT | 3 |
| ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 29, 2018 |
*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.
ICE 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.
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.
S&P 500® Index is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
| 4 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning September 30, 2017 and ending March 29, 2018 for actual Fund returns. Hypothetical Fund returns are for the period beginning September 30, 2017 and ending March 31, 2018.
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 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 ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 29,
2018 | Expenses
Paid During
Period2 |
| Table 1. Based on actual Fund return3 |
| NASDAQ-100® Fund |
| Investor Class | 1.26% | 9.90% | $ 1,000.00 | $ 1,099.00 | $ 6.52 |
| A-Class | 1.51% | 9.77% | 1,000.00 | 1,097.70 | 7.81 |
| C-Class | 2.26% | 9.32% | 1,000.00 | 1,093.20 | 11.66 |
| H-Class | 1.51% | 9.77% | 1,000.00 | 1,097.70 | 7.81 |
| |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Table 2. Based on hypothetical 5% return (before expenses)5 |
| NASDAQ-100® Fund |
| Investor Class | 1.26% | 5.00% | $ 1,000.00 | $ 1,018.65 | $ 6.34 |
| A-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| C-Class | 2.26% | 5.00% | 1,000.00 | 1,013.66 | 11.35 |
| H-Class | 1.51% | 5.00% | 1,000.00 | 1,017.40 | 7.59 |
| 1 | | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
| 2 | | Expenses in table 1 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 180/365 (to reflect the one-half year period). |
| 3 | | Actual cumulative return at net asset value for the period September 30, 2017 to March 29, 2018. |
| 4 | | Expenses in table 2 are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | | Hypothetical return for the period September 30, 2017 to March 31, 2018. |
| | THE RYDEX FUNDS ANNUAL REPORT | 7 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100® Index (the “underlying index”).
For the one-year period ended March 29, 2018, NASDAQ-100® Fund maintained a daily correlation of over 99% to its benchmark of 100% of the daily price movement of the NASDAQ-100® Index. The NASDAQ-100® Fund Investor Class returned 20.76%, while the NASDAQ-100® Index returned 22.38% over the same period.
The Technology sector contributed the most to the performance of the underlying index, followed by the Consumer Discretionary sector. The Consumer Staples was the only sector to detract from the performance of the underlying index. The Industrials sector contributed the least.
Amazon.com, Inc., Microsoft Corp., and Apple, Inc. were the holdings contributing the most to the performance of the underlying index for the year. Kraft Heinz Co., Celgene Corp., and Walgreens Boots Alliance, Inc. detracted the most from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
| 8 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 29, 2018 |
Holdings Diversification (Market Exposure as % of Net Assets)
“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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
| 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. | 10.6% |
| Microsoft Corp. | 8.8% |
| Amazon.com, Inc. | 8.7% |
| Facebook, Inc. — Class A | 4.8% |
| Alphabet, Inc. — Class C | 4.5% |
| Alphabet, Inc. — Class A | 3.9% |
| Intel Corp. | 3.0% |
| Cisco Systems, Inc. | 2.6% |
| Comcast Corp. — Class A | 2.0% |
| NVIDIA Corp. | 1.7% |
| Top Ten Total | 50.6% |
| |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 29, 2018 |
Cumulative Fund Performance*
| 10 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| Investor Class Shares | 20.76% | 18.46% | 13.76% |
| A-Class Shares | 20.44% | 18.14% | 13.45% |
| A-Class Shares with sales charge‡ | 14.73% | 16.99% | 12.89% |
| C-Class Shares | 19.57% | 17.28% | 12.64% |
| C-Class Shares with CDSC§ | 18.57% | 17.28% | 12.64% |
| NASDAQ-100 Index | 22.38% | 19.97% | 15.18% |
| | | 1 Year | Since Inception (09/18/14) |
| H-Class Shares | | 20.49% | 13.92% |
| NASDAQ-100 Index | | 22.38% | 15.68% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on the Investor Class shares and A-Class shares only; performance for C-Class shares and H-Class shares will vary due to differences in fee structure. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| NASDAQ-100® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 93.5% | | | |
| | | | | | | |
| Technology - 38.0% | | | | | | |
| Apple, Inc. | | | 712,725 | | | $ | 119,581,000 | |
| Microsoft Corp. | | | 1,081,559 | | | | 98,713,890 | |
| Intel Corp. | | | 655,695 | | | | 34,148,596 | |
| NVIDIA Corp. | | | 84,982 | | | | 19,680,982 | |
| Adobe Systems, Inc.* | | | 69,050 | | | | 14,920,324 | |
| Texas Instruments, Inc. | | | 138,189 | | | | 14,356,455 | |
| Broadcom Ltd. | | | 57,659 | | | | 13,587,343 | |
| QUALCOMM, Inc. | | | 207,941 | | | | 11,522,011 | |
| Micron Technology, Inc.* | | | 162,423 | | | | 8,468,735 | |
| Applied Materials, Inc. | | | 147,586 | | | | 8,207,258 | |
| Activision Blizzard, Inc. | | | 106,562 | | | | 7,188,672 | |
| Cognizant Technology Solutions Corp. — Class A | | | 82,601 | | | | 6,649,381 | |
| Intuit, Inc. | | | 35,974 | | | | 6,236,093 | |
| Electronic Arts, Inc.* | | | 43,084 | | | | 5,223,504 | |
| Analog Devices, Inc. | | | 51,944 | | | | 4,733,657 | |
| Lam Research Corp. | | | 22,889 | | | | 4,650,129 | |
| Fiserv, Inc.* | | | 58,043 | | | | 4,139,046 | |
| Autodesk, Inc.* | | | 30,940 | | | | 3,885,445 | |
| Western Digital Corp. | | | 41,797 | | | | 3,856,609 | |
| Paychex, Inc. | | | 50,453 | | | | 3,107,400 | |
| Microchip Technology, Inc. | | | 32,917 | | | | 3,007,297 | |
| NetEase, Inc. ADR | | | 10,549 | | | | 2,957,834 | |
| Cerner Corp.* | | | 46,719 | | | | 2,709,702 | |
| Xilinx, Inc. | | | 35,792 | | | | 2,585,614 | |
| Skyworks Solutions, Inc. | | | 25,632 | | | | 2,569,864 | |
| Workday, Inc. — Class A* | | | 19,244 | | | | 2,446,105 | |
| KLA-Tencor Corp. | | | 22,000 | | | | 2,398,220 | |
| Maxim Integrated Products, Inc. | | | 39,501 | | | | 2,378,750 | |
| Seagate Technology plc | | | 40,009 | | | | 2,341,327 | |
| Check Point Software Technologies Ltd.* | | | 22,958 | | | | 2,280,648 | |
| ASML Holding N.V. — Class G1 | | | 10,381 | | | | 2,061,251 | |
| CA, Inc. | | | 58,563 | | | | 1,985,286 | |
| Citrix Systems, Inc.* | | | 19,124 | | | | 1,774,707 | |
| Synopsys, Inc.* | | | 20,891 | | | | 1,738,967 | |
| Take-Two Interactive Software, Inc.* | | | 16,069 | | | | 1,571,227 | |
| Cadence Design Systems, Inc.* | | | 39,732 | | | | 1,460,946 | |
| Total Technology | | | | | | | 429,124,275 | |
| | | | | | | | | |
| Communications - 35.2% | | | | | | | | |
| Amazon.com, Inc.* | | | 68,001 | | | | 98,420,567 | |
| Facebook, Inc. — Class A* | | | 336,546 | | | | 53,776,685 | |
| Alphabet, Inc. — Class C* | | | 49,141 | | | | 50,703,192 | |
| Alphabet, Inc. — Class A* | | | 41,928 | | | | 43,485,206 | |
| Cisco Systems, Inc. | | | 676,696 | | | | 29,023,491 | |
| Comcast Corp. — Class A | | | 651,068 | | | | 22,246,994 | |
| Netflix, Inc.* | | | 60,955 | | | | 18,003,059 | |
| Booking Holdings, Inc.* | | | 6,783 | | | | 14,111,285 | |
| Charter Communications, Inc. — Class A* | | | 33,501 | | | | 10,426,181 | |
| Baidu, Inc. ADR* | | | 39,433 | | | | 8,801,051 | |
| T-Mobile US, Inc.* | | | 120,018 | | | | 7,325,899 | |
| eBay, Inc.* | | | 142,163 | | | | 5,720,639 | |
| Twenty-First Century Fox, Inc. — Class A | | | 148,052 | | | | 5,432,028 | |
| JD.com, Inc. ADR* | | | 129,548 | | | | 5,245,399 | |
| Twenty-First Century Fox, Inc. — Class B | | | 112,165 | | | | 4,079,441 | |
| Sirius XM Holdings, Inc.1 | | | 630,953 | | | | 3,937,147 | |
| Ctrip.com International Ltd. ADR* | | | 64,920 | | | | 3,026,571 | |
| Liberty Global plc — Class C* | | | 81,249 | | | | 2,472,407 | |
| Symantec Corp. | | | 87,304 | | | | 2,256,809 | |
| MercadoLibre, Inc. | | | 6,202 | | | | 2,210,331 | |
| Expedia Group, Inc. | | | 19,529 | | | | 2,156,197 | |
| Vodafone Group plc ADR | | | 66,719 | | | | 1,856,123 | |
| DISH Network Corp. — Class A* | | | 32,032 | | | | 1,213,692 | |
| Liberty Global plc — Class A* | | | 30,864 | | | | 966,352 | |
| Total Communications | | | | | | | 396,896,746 | |
| 12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NASDAQ-100® FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Consumer, Non-cyclical - 13.1% | | | |
| Amgen, Inc. | | | 101,214 | | | $ | 17,254,963 | |
| Gilead Sciences, Inc. | | | 184,005 | | | | 13,872,137 | |
| PayPal Holdings, Inc.* | | | 168,582 | | | | 12,790,316 | |
| Kraft Heinz Co. | | | 171,200 | | | | 10,664,048 | |
| Celgene Corp.* | | | 105,654 | | | | 9,425,393 | |
| Mondelez International, Inc. — Class A | | | 208,919 | | | | 8,718,190 | |
| Biogen, Inc.* | | | 29,717 | | | | 8,137,109 | |
| Automatic Data Processing, Inc. | | | 62,264 | | | | 7,065,719 | |
| Intuitive Surgical, Inc.* | | | 15,774 | | | | 6,511,980 | |
| Vertex Pharmaceuticals, Inc.* | | | 35,663 | | | | 5,812,356 | |
| Express Scripts Holding Co.* | | | 79,270 | | | | 5,475,971 | |
| Regeneron Pharmaceuticals, Inc.* | | | 14,859 | | | | 5,116,845 | |
| Illumina, Inc.* | | | 20,648 | | | | 4,881,600 | |
| Monster Beverage Corp.* | | | 79,217 | | | | 4,532,005 | |
| Alexion Pharmaceuticals, Inc.* | | | 31,138 | | | | 3,470,642 | |
| Mylan N.V.* | | | 75,351 | | | | 3,102,201 | |
| Align Technology, Inc.* | | | 11,256 | | | | 2,826,719 | |
| Cintas Corp. | | | 14,958 | | | | 2,551,536 | |
| Incyte Corp.* | | | 29,731 | | | | 2,477,484 | |
| Verisk Analytics, Inc. — Class A* | | | 23,180 | | | | 2,410,720 | |
| IDEXX Laboratories, Inc.* | | | 12,238 | | | | 2,342,231 | |
| BioMarin Pharmaceutical, Inc.* | | | 24,732 | | | | 2,005,023 | |
| Dentsply Sirona, Inc. | | | 32,263 | | | | 1,623,152 | |
| Shire plc ADR | | | 9,842 | | | | 1,470,296 | |
| Hologic, Inc.* | | | 38,843 | | | | 1,451,174 | |
| Henry Schein, Inc.* | | | 21,589 | | | | 1,450,997 | |
| Total Consumer, Non-cyclical | | | | | | | 147,440,807 | |
| | | | | | | | | |
| Consumer, Cyclical - 6.4% | | | | | | | | |
| Costco Wholesale Corp. | | | 61,679 | | | | 11,622,174 | |
| Starbucks Corp. | | | 197,439 | | | | 11,429,744 | |
| Walgreens Boots Alliance, Inc. | | | 139,155 | | | | 9,110,478 | |
| Marriott International, Inc. — Class A | | | 50,208 | | | | 6,827,284 | |
| Tesla, Inc.*,1 | | | 23,727 | | | | 6,314,467 | |
| Ross Stores, Inc. | | | 53,678 | | | | 4,185,810 | |
| American Airlines Group, Inc. | | | 66,460 | | | | 3,453,261 | |
| PACCAR, Inc. | | | 49,442 | | | | 3,271,577 | |
| Dollar Tree, Inc.* | | | 33,304 | | | | 3,160,549 | |
| O’Reilly Automotive, Inc.* | | | 11,752 | | | | 2,907,210 | |
| Wynn Resorts Ltd. | | | 14,470 | | | | 2,638,749 | |
| Fastenal Co. | | | 40,404 | | | | 2,205,654 | |
| Ulta Beauty, Inc.* | | | 8,567 | | | | 1,749,981 | |
| Liberty Interactive Corporation QVC Group — Class A* | | | 63,116 | | | | 1,588,630 | |
| Hasbro, Inc. | | | 17,442 | | | | 1,470,361 | |
| Total Consumer, Cyclical | | | | | | | 71,935,929 | |
| | | | | | | | | |
| Industrial - 0.8% | | | | | | | | |
| CSX Corp. | | | 124,627 | | | | 6,942,970 | |
| J.B. Hunt Transport Services, Inc. | | | 15,417 | | | | 1,806,102 | |
| Total Industrial | | | | | | | 8,749,072 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $583,046,124) | | | | | | | 1,054,146,829 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 3.0% | | | | | | | | |
| Guggenheim Strategy Fund II2 | | | 535,552 | | | | 13,394,166 | |
| Guggenheim Strategy Fund I2 | | | 479,259 | | | | 12,005,436 | |
| Guggenheim Strategy Fund III2 | | | 319,831 | | | | 8,005,357 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $33,328,710) | | | | | | | 33,404,959 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NASDAQ-100® FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| FEDERAL AGENCY NOTES†† - 1.7% | | | |
| Federal Home Loan Bank3 | | | | | | |
| 1.50% due 10/26/224 | | $ | 14,500,000 | | | $ | 14,484,137 | |
| Federal Farm Credit Bank3 | | | | | | | | |
| 1.68% (U.S. Prime Rate - 3.07%) due 02/20/195 | | | 5,000,000 | | | | 4,998,668 | |
| Total Federal Agency Notes | | | | | | | | |
| (Cost $19,493,043) | | | | | | | 19,482,805 | |
| | | | | | | | | |
| FEDERAL AGENCY DISCOUNT NOTES†† - 1.3% |
| Federal Home Loan Bank3 | | | | | | | | |
| 1.55% due 04/04/186,7 | | | 15,000,000 | | | | 14,998,063 | |
| Total Federal Agency Discount Notes | | | | | | | | |
| (Cost $14,998,063) | | | | | | | 14,998,063 | |
| | | | | | | | | |
| U.S. TREASURY BILLS†† - 0.2% | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 1.61% due 05/31/186,7,8 | | | 2,000,000 | | | | 1,994,532 | |
| 1.31% due 04/19/186,7,9 | | | 750,000 | | | | 749,421 | |
| Total U.S. Treasury Bills | | | | | | | | |
| (Cost $2,744,066) | | | | | | | 2,743,953 | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,10 - 0.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/188 | | | 4,258,437 | | | | 4,258,437 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/188 | | | 1,393,474 | | | | 1,393,474 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $5,651,911) | | | | | | | 5,651,911 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,11 - 0.7% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%12 | | | 8,248,490 | | | | 8,248,490 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $8,248,490) | | | | | | | 8,248,490 | |
| | | | | | | | | |
| Total Investments - 100.9% | | | | | | | | |
| (Cost $667,510,407) | | | | | | $ | 1,138,677,010 | |
| Other Assets & Liabilities, net - (0.9)% | | | | | | | (10,643,161 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 1,128,033,849 | |
| 14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NASDAQ-100® FUND | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| Equity Futures Contracts Purchased† |
| NASDAQ-100 Index Mini Futures Contracts | | | 367 | | | Jun 2018 | | $ | 48,339,405 | | | $ | (349,935 | ) |
| Total Return Swap Agreements |
| Counterparty | | Index | | | Financing Rate Pay (Receive) | | | Payment Frequency | | Maturity Date | | Units | | | Notional Amount | | | Value and Unrealized Gain (Loss) | |
| OTC Equity Index Swap Agreements†† |
| Barclays Bank plc | | | NASDAQ-100 Index | | | | 2.24 | % | | At Maturity | | 04/30/18 | | | 1,585 | | | $ | 10,429,674 | | | $ | 190,676 | |
| BNP Paribas | | | NASDAQ-100 Index | | | | 2.39 | % | | At Maturity | | 04/30/18 | | | 2,084 | | | | 13,716,960 | | | | 119,710 | |
| Goldman Sachs International | | | NASDAQ-100 Index | | | | 2.34 | % | | At Maturity | | 04/27/18 | | | 352 | | | | 2,319,418 | | | | (36,872 | ) |
| | | | | | | | | | | | | | | | | | | $ | 26,466,052 | | | $ | 273,514 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 6. |
| 2 | | Affiliated issuer. |
| 3 | | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
| 4 | | Security is a step up/step down bond. The coupon increases or decreases at regular intervals until the bond reaches full maturity. |
| 5 | | Variable rate security. Rate indicated is the rate effective at March 29, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
| 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 equity index swap collateral at March 29, 2018. |
| 9 | | All or a portion of this security is pledged as futures collateral at March 29, 2018. |
| 10 | | Repurchase Agreements — See Note 5. |
| 11 | | Securities lending collateral — See Note 6. |
| 12 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| | | ADR — American Depositary Receipt |
| | | plc — Public Limited Company |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| NASDAQ-100® FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 1,054,146,829 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,054,146,829 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 310,386 | | | | — | | | | 310,386 | |
| Federal Agency Discount Notes | | | — | | | | — | | | | 14,998,063 | | | | — | | | | — | | | | 14,998,063 | |
| Federal Agency Notes | | | — | | | | — | | | | 19,482,805 | | | | — | | | | — | | | | 19,482,805 | |
| Mutual Funds | | | 33,404,959 | | | | — | | | | — | | | | — | | | | — | | | | 33,404,959 | |
| Repurchase Agreements | | | — | | | | — | | | | 5,651,911 | | | | — | | | | — | | | | 5,651,911 | |
| Securities Lending Collateral | | | 8,248,490 | | | | — | | | | — | | | | — | | | | — | | | | 8,248,490 | |
| U.S. Treasury Bills | | | — | | | | — | | | | 2,743,953 | | | | — | | | | — | | | | 2,743,953 | |
| Total Assets | | $ | 1,095,800,278 | | | $ | — | | | $ | 42,876,732 | | | $ | 310,386 | | | $ | — | | | $ | 1,138,987,396 | |
| 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 | | $ | — | | | $ | 349,935 | | | $ | — | | | $ | — | | | $ | — | | | $ | 349,935 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 36,872 | | | | — | | | | 36,872 | |
| Total Liabilities | | $ | — | | | $ | 349,935 | | | $ | — | | | $ | 36,872 | | | $ | — | | | $ | 386,807 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| 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 Guggenheim Investments (“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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | |
| Mutual Funds | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 12,527,345 | | | $ | 12,475,000 | | | $ | (13,000,000 | ) | | $ | 112,390 | | | $ | (109,299 | ) | | $ | 12,005,436 | |
| Guggenheim Strategy Fund II | | | 11,992,159 | | | | 5,400,000 | | | | (4,000,000 | ) | | | 23,487 | | | | (21,480 | ) | | | 13,394,166 | |
| Guggenheim Strategy Fund III | | | — | | | | 8,000,000 | | | | — | | | | — | | | | 5,357 | | | | 8,005,357 | |
| | | $ | 24,519,504 | | | $ | 25,875,000 | | | $ | (17,000,000 | ) | | $ | 135,877 | | | $ | (125,422 | ) | | $ | 33,404,959 | |
| Security Name | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | |
| Guggenheim Strategy Fund I | | | 479,259 | | | $ | 250,645 | | | $ | 3,610 | |
| Guggenheim Strategy Fund II | | | 535,552 | | | | 305,333 | | | | 7,157 | |
| Guggenheim Strategy Fund III | | | 319,831 | | | | 184,185 | | | | 1,952 | |
| | | | | | | $ | 740,163 | | | $ | 12,719 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
| STATEMENT OF ASSETS AND LIABILITIES |
| NASDAQ-100® FUND |
March 29, 2018
| Assets: |
| Investments in unaffiliated issuers, at value - including $8,105,145 of securities loaned (cost $628,529,786) | | $ | 1,099,620,140 | |
| Investments in affiliated issuers, at value (cost $33,328,710) | | | 33,404,959 | |
| Repurchase agreements, at value (cost $5,651,911) | | | 5,651,911 | |
| Cash | | | 122,467 | |
| Segregated cash with broker | | | 2,251,305 | |
| Unrealized appreciation on swap agreements | | | 310,386 | |
| Receivables: |
| Fund shares sold | | | 1,436,101 | |
| Variation margin | | | 796,390 | |
| Dividends | | | 288,877 | |
| Interest | | | 48,373 | |
| Securities lending income | | | 14,039 | |
| Total assets | | | 1,143,944,948 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 36,872 | |
| Payable for: |
| Return of securities loaned | | | 8,248,490 | |
| Fund shares redeemed | | | 4,585,250 | |
| Securities purchased | | | 1,389,918 | |
| Management fees | | | 744,057 | |
| Transfer agent and administrative fees | | | 248,019 | |
| Distribution and service fees | | | 99,187 | |
| Portfolio accounting fees | | | 58,427 | |
| Swap settlement | | | 55,736 | |
| Trustees’ Fees* | | | 31,948 | |
| Miscellaneous | | | 413,195 | |
| Total liabilities | | | 15,911,099 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 1,128,033,849 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 678,925,803 | |
| Undistributed net investment income | | | — | |
| Accumulated net realized gain on investments | | | (21,982,136 | ) |
| Net unrealized appreciation on investments | | | 471,090,182 | |
| Net assets | | $ | 1,128,033,849 | |
| | | | | |
| Investor Class: |
| Net assets | | $ | 926,145,576 | |
| Capital shares outstanding | | | 26,503,747 | |
| Net asset value per share | | $ | 34.94 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 52,257,114 | |
| Capital shares outstanding | | | 1,621,659 | |
| Net asset value per share | | $ | 32.22 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 33.83 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 85,148,551 | |
| Capital shares outstanding | | | 3,010,268 | |
| Net asset value per share | | $ | 28.29 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 64,482,608 | |
| Capital shares outstanding | | | 2,001,510 | |
| Net asset value per share | | $ | 32.22 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF OPERATIONS |
| NASDAQ-100® FUND |
Year Ended March 29, 2018
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $4,139) | | $ | 10,086,918 | |
| Dividends from securities of affiliated issuers | | | 740,163 | |
| Interest | | | 1,296,374 | |
| Income from securities lending, net | | | 86,797 | |
| Total investment income | | | 12,210,252 | |
| | | | | |
| Expenses: |
| Management fees | | | 8,055,096 | |
| Distribution and service fees: |
| A-Class | | | 163,599 | |
| C-Class | | | 749,193 | |
| H-Class | | | 157,233 | |
| Transfer agent and administrative fees | | | 2,685,032 | |
| Registration fees | | | 745,801 | |
| Portfolio accounting fees | | | 659,708 | |
| Custodian fees | | | 145,882 | |
| Trustees’ fees* | | | 83,787 | |
| Line of credit fees | | | 5,802 | |
| Miscellaneous | | | 1,347,657 | |
| Total expenses | | | 14,798,790 | |
| Net investment loss | | | (2,588,538 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | $ | 7,868,602 | |
| Investments in affiliated issuers | | | 135,877 | |
| Distributions received from affiliated investment company shares | | | 12,719 | |
| Swap agreements | | | 23,331,834 | |
| Futures contracts | | | 6,283,590 | |
| Net realized gain | | | 37,632,622 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | 159,770,623 | |
| Investments in affiliated issuers | | | (125,422 | ) |
| Swap agreements | | | (133,084 | ) |
| Futures contracts | | | (629,469 | ) |
| Net change in unrealized appreciation (depreciation) | | | 158,882,648 | |
| Net realized and unrealized gain | | | 196,515,270 | |
| Net increase in net assets resulting from operations | | $ | 193,926,732 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| NASDAQ-100® FUND | |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment loss | | $ | (2,588,538 | ) | | $ | (2,577,210 | ) |
| Net realized gain on investments | | | 37,632,622 | | | | 119,120,680 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 158,882,648 | | | | 29,744,202 | |
| Net increase in net assets resulting from operations | | | 193,926,732 | | | | 146,287,672 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net realized gains | | | | | | | | |
| Investor Class | | | (51,135,549 | ) | | | (11,493,337 | ) |
| A-Class | | | (3,584,219 | ) | | | (1,213,212 | ) |
| C-Class | | | (5,409,644 | ) | | | (908,738 | ) |
| H-Class | | | (4,497,933 | ) | | | (730,868 | ) |
| Total distributions to shareholders | | | (64,627,345 | ) | | | (14,346,155 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| Investor Class | | | 1,026,173,673 | | | | 730,466,228 | |
| A-Class | | | 49,828,779 | | | | 379,758,963 | |
| C-Class | | | 33,535,792 | | | | 26,908,652 | |
| H-Class | | | 190,051,639 | | | | 149,256,328 | |
| Distributions reinvested | | | | | | | | |
| Investor Class | | | 49,672,778 | | | | 11,102,330 | |
| A-Class | | | 3,161,511 | | | | 1,121,838 | |
| C-Class | | | 5,217,152 | | | | 870,733 | |
| H-Class | | | 4,487,850 | | | | 730,637 | |
| Cost of shares redeemed | | | | | | | | |
| Investor Class | | | (1,015,594,366 | ) | | | (761,641,400 | ) |
| A-Class | | | (73,101,898 | ) | | | (386,462,077 | ) |
| C-Class | | | (19,465,715 | ) | | | (15,520,363 | ) |
| H-Class | | | (191,116,347 | ) | | | (272,703,570 | ) |
| Net increase (decrease) from capital share transactions | | | 62,850,848 | | | | (136,111,701 | ) |
| Net increase (decrease) in net assets | | | 192,150,235 | | | | (4,170,184 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 935,883,614 | | | | 940,053,798 | |
| End of year | | $ | 1,128,033,849 | | | $ | 935,883,614 | |
| Undistributed net investment income at end of year | | $ | — | | | $ | — | |
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENTS OF CHANGES IN NET ASSETS (concluded) |
| NASDAQ-100® FUND | |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Capital share activity: | | | | | | |
| Shares sold | | | | | | |
| Investor Class | | | 30,480,847 | | | | 26,388,585 | |
| A-Class | | | 1,631,788 | | | | 15,502,252 | |
| C-Class | | | 1,210,458 | | | | 1,153,374 | |
| H-Class | | | 6,089,659 | | | | 5,959,584 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| Investor Class | | | 1,462,254 | | | | 407,126 | |
| A-Class | | | 100,846 | | | | 44,254 | |
| C-Class | | | 189,148 | | | | 38,409 | |
| H-Class | | | 143,199 | | | | 28,833 | |
| Shares redeemed | | | | | | | | |
| Investor Class | | | (30,230,910 | ) | | | (27,904,023 | ) |
| A-Class | | | (2,332,978 | ) | | | (15,841,438 | ) |
| C-Class | | | (697,595 | ) | | | (682,673 | ) |
| H-Class | | | (6,107,454 | ) | | | (11,346,835 | ) |
| Net increase (decrease) in shares | | | 1,939,262 | | | | (6,252,552 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 30.68 | | | $ | 25.75 | | | $ | 25.38 | | | $ | 21.38 | | | $ | 18.38 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.05 | ) | | | (.06 | ) | | | (.05 | ) | | | (.01 | ) | | | .02 | |
| Net gain (loss) on investments (realized and unrealized) | | | 6.35 | | | | 5.47 | | | | .96 | | | | 4.39 | | | | 5.01 | |
| Total from investment operations | | | 6.30 | | | | 5.41 | | | | .91 | | | | 4.38 | | | | 5.03 | |
| Less distributions from: |
| Net realized gains | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Total distributions | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Net asset value, end of period | | $ | 34.94 | | | $ | 30.68 | | | $ | 25.75 | | | $ | 25.38 | | | $ | 21.38 | |
| |
| Total Returnb | | | 20.76 | % | | | 21.21 | % | | | 3.49 | % | | | 20.53 | % | | | 27.74 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 926,146 | | | $ | 760,485 | | | $ | 667,018 | | | $ | 769,257 | | | $ | 632,598 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.14 | %) | | | (0.21 | %) | | | (0.19 | %) | | | (0.05 | %) | | | 0.10 | % |
| Total expensesc | | | 1.28 | % | | | 1.29 | % | | | 1.25 | % | | | 1.26 | % | | | 1.29 | % |
| Portfolio turnover rate | | | 48 | % | | | 72 | % | | | 228 | % | | | 267 | % | | | 141 | % |
| 22 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 28.49 | | | $ | 24.04 | | | $ | 23.78 | | | $ | 20.10 | | | $ | 17.42 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.12 | ) | | | (.13 | ) | | | (.10 | ) | | | (.06 | ) | | | (.03 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.89 | | | | 5.06 | | | | .90 | | | | 4.12 | | | | 4.74 | |
| Total from investment operations | | | 5.77 | | | | 4.93 | | | | .80 | | | | 4.06 | | | | 4.71 | |
| Less distributions from: |
| Net realized gains | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Total distributions | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Net asset value, end of period | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.04 | | | $ | 23.78 | | | $ | 20.10 | |
| |
| Total Returnb | | | 20.44 | % | | | 20.76 | % | | | 3.26 | % | | | 20.24 | % | | | 27.42 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 52,257 | | | $ | 63,311 | | | $ | 60,499 | | | $ | 70,821 | | | $ | 21,751 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.39 | %) | | | (0.51 | %) | | | (0.42 | %) | | | (0.29 | %) | | | (0.14 | %) |
| Total expensesc | | | 1.53 | % | | | 1.53 | % | | | 1.51 | % | | | 1.50 | % | | | 1.54 | % |
| Portfolio turnover rate | | | 48 | % | | | 72 | % | | | 228 | % | | | 267 | % | | | 141 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 25.41 | | | $ | 21.62 | | | $ | 21.60 | | | $ | 18.42 | | | $ | 16.22 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.32 | ) | | | (.28 | ) | | | (.26 | ) | | | (.21 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 5.24 | | | | 4.55 | | | | .82 | | | | 3.77 | | | | 4.39 | |
| Total from investment operations | | | 4.92 | | | | 4.27 | | | | .56 | | | | 3.56 | | | | 4.23 | |
| Less distributions from: |
| Net realized gains | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Total distributions | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) | | | (2.03 | ) |
| Net asset value, end of period | | $ | 28.29 | | | $ | 25.41 | | | $ | 21.62 | | | $ | 21.60 | | | $ | 18.42 | |
| |
| Total Returnb | | | 19.57 | % | | | 19.98 | % | | | 2.48 | % | | | 19.37 | % | | | 26.46 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 85,149 | | | $ | 58,647 | | | $ | 38,900 | | | $ | 32,324 | | | $ | 19,175 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.15 | %) | | | (1.21 | %) | | | (1.19 | %) | | | (1.05 | %) | | | (0.89 | %) |
| Total expensesc | | | 2.28 | % | | | 2.28 | % | | | 2.26 | % | | | 2.25 | % | | | 2.29 | % |
| Portfolio turnover rate | | | 48 | % | | | 72 | % | | | 228 | % | | | 267 | % | | | 141 | % |
| 24 | THE RYDEX FUNDS 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Period Ended
March 31,
2015d | |
| 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)a | | | (.12 | ) | | | (.14 | ) | | | (.13 | ) | | | .01 | |
| Net gain (loss) on investments (realized and unrealized) | | | 5.89 | | | | 5.11 | | | | .91 | | | | 1.22 | |
| Total from investment operations | | | 5.77 | | | | 4.97 | | | | .78 | | | | 1.23 | |
| Less distributions from: |
| Net realized gains | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) |
| Total distributions | | | (2.04 | ) | | | (.48 | ) | | | (.54 | ) | | | (.38 | ) |
| Net asset value, end of period | | $ | 32.22 | | | $ | 28.49 | | | $ | 24.00 | | | $ | 23.76 | |
| |
| Total Returnb | | | 20.49 | % | | | 20.92 | % | | | 3.18 | % | | | 5.40 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 64,483 | | | $ | 53,441 | | | $ | 173,638 | | | $ | 12,009 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.37 | %) | | | (0.57 | %) | | | (0.51 | %) | | | 0.07 | % |
| Total expensesc | | | 1.53 | % | | | 1.54 | % | | | 1.51 | % | | | 1.47 | % |
| Portfolio turnover rate | | | 48 | % | | | 72 | % | | | 228 | % | | | 267 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | 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 ANNUAL REPORT | 25 |
| NOTES TO FINANCIAL STATEMENTS |
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 March 29, 2018, 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
March 29, 2018 represents the last day during the Fund’s annual period on which the New York Stock Exchange (“NYSE”) was open for trading. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s NAV calculations used for shareholder transactions.
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.
| 26 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 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 (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.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 27 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 NAV.
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.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’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.
| 28 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
(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 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 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 might 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 Fund invests. 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 and unrealized gain (loss) on investments. Foreign taxes payable or deferred as of March 29, 2018, 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 Real Estate Investment Trusts (“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.
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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) 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 1.68% at March 29, 2018.
(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.
| 30 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 Fund 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 Amount | |
| Fund | | | Use | | Long | |
| NASDAQ-100® Fund | | | Index exposure, Income, Liquidity | | $ | 25,390,270 | |
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
| | THE RYDEX FUNDS ANNUAL REPORT | 31 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 platforms 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 Fund’s use and volume of total return swaps on a quarterly basis:
| | | | | | Average Notional Amount | |
| Fund | | | Use | | Long | |
| NASDAQ-100® Fund | | | Index exposure, Income, Liquidity | | $ | 93,263,421 | |
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 March 29, 2018:
| Derivative Investment Type | Asset Derivatives | Liability Derivatives |
| Equity contracts | Variation margin | Variation margin |
| | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table sets forth the fair value of the Fund’s derivative investments categorized by primary risk exposure at March 29, 2018:
| Asset Derivative Investments Value |
| Fund | | Swaps
Equity
Risk | | | Total Value at
March 29,
2018 | |
| NASDAQ-100® Fund | | $ | 310,386 | | | $ | 310,386 | |
| Liability Derivative Investments Value |
| | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Total Value at
March 29,
2018 | |
| NASDAQ-100® Fund | | $ | 349,935 | | | $ | 36,872 | | | $ | 386,807 | |
| * | 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 year ended March 29, 2018:
| 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 |
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 year ended March 29, 2018:
| Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations |
| Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| NASDAQ-100® Fund | | $ | 6,283,590 | | | $ | 23,331,834 | | | $ | 29,615,424 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 33 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
| Change in Unrealized Appreciation(Depreciation) on Derivative Investments Recognized on the Statement of Operations |
| | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Total | |
| NASDAQ-100® Fund | | $ | (629,469 | ) | | $ | (133,084 | ) | | $ | (762,553 | ) |
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 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.
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, are reported separately on the Statement of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypotheticated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in
| 34 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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:
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement
of Assets and Liabilities | | | |
| Fund | | | Instrument | | Gross
Amounts of
Recognized
Assets | | | Gross
Amounts
Offset In the
Statement
of Assets and
Liabilities | | | Net Amount
of Assets
Presented
on the
Statement
of Assets and
Liabilities | | | Financial
Instruments | | Cash
Collateral
Received | | | Net
Amount | |
| | NASDAQ-100® Fund | | | Swap Equity Contracts | | $ | 310,386 | | | $ | — | | | $ | 310,386 | | | $— | | $ | — | | | $ | 310,386 | |
| | | | | | | | | | | | | | | Gross Amounts Not Offset
in the Statement of
Assets and Liabilities | | | |
| Fund | | | Instrument | | Gross
Amounts of Recognized Liabilities | | | Gross
Amounts
Offset In the Statement
of Assets and
Liabilities | | | Net Amount
of Liabilities
Presented
on the
Statement
of Assets and
Liabilities | | | Financial
Instruments | | Cash
Collateral Pledged | | | Net
Amount | |
| | NASDAQ-100® Fund | | | Swap Equity Contracts | | $ | 36,872 | | | $ | — | | | $ | 36,872 | | | $36,872 | | $ | — | | | $ | — | |
| | THE RYDEX FUNDS ANNUAL REPORT | 35 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table presents deposits held by others in connection with derivative investments as of March 29, 2018. 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 Fund has the right to offset these deposits against any related liabilities outstanding with each counterparty.
Counterparty/
Clearing Agent | | Asset Type | | Cash Pledged | | | Cash Received | |
| NASDAQ-100® Fund | | | | | | | | |
| Barclays Bank plc | | Total Return Swap agreements | | $ | 868,246 | | | $ | — | |
| Goldman Sachs Group | | Futures contracts | | | 1,383,059 | | | | — | |
| NASDAQ-100® Fund Total | | | | $ | 2,251,305 | | | $ | — | |
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 – Repurchase Agreements
The Fund transfers 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
| 36 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 March 29, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face
Value | | | Repurchase
Price | | | Collateral | | Par
Value | | | Fair
Value | |
| JPMorgan Chase & Co. | | | | | | | | U.S Treasury Notes | | | | | | |
| 1.80% | | | | | | | | | | 1.38% - 2.75% | | | | | | | | |
| Due 04/02/18 | | $ | 208,198,841 | | | $ | 208,240,481 | | | 04/15/20 - 05/15/25 | | $ | 208,076,600 | | | $ | 207,119,552 | |
| | | | | | | | | | | U.S. TIP Notes | | | | | | | | |
| | | | | | | | | | | 0.13% | | | | | | | | |
| | | | | | | | | | | 04/15/20 | | | 4,654,400 | | | | 4,908,055 | |
| | | | | | | | | | | U.S. Treasury Bonds | | | | | | | | |
| | | | | | | | | | | 3.00% - 8.00% | | | | | | | | |
| | | | | | | | | | | 11/15/21/- 05/15/45 | | | 329,500 | | | | 335,239 | |
| | | | | | | | | | | | | | 213,060,500 | | | | 212,362,846 | |
| | | | | | | | | | | | | | | | | | | |
| Bank of America Merrill Lynch | | | | | | | | | | U.S. Treasury Notes | | | | | | | | |
| 1.78% | | | | | | | | | | 1.63% | | | | | | | | |
| Due 04/02/18 | | | 68,128,219 | | | | 68,141,693 | | | 06/30/20 - 07/31/20 | | | 70,403,800 | | | | 69,490,837 | |
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 6 – 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. 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
| | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
due to changes in security values is delivered to the Fund 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 March 29, 2018, the Fund participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
| | | | Gross Amounts Not Offset in the
Statement 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 | | | $ | 8,105,145 | | | $ | (8,105,145 | ) | | $ | — | | | $ | 8,248,490 | | $ | (75,501 | ) | | $ | 8,172,989 | |
| (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 7 – Investment Advisory Agreement and Other Agreements
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, P-Class 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.
| 38 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the 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 year ended March 29, 2018, GFD retained sales charges of $173,191 relating to sales of A-Class shares of the Trust.
Certain officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees 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. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of the Fund’s average daily net assets and out of pocket expenses.
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 or federal excise 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 has concluded that no provision for income tax is required in the Funds’ 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 29, 2018 was as follows:
| Fund | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| NASDAQ-100® Fund | | | $ | 19,093,636 | | | $ | 45,533,709 | | | $ | 64,627,345 | |
The tax character of distributions paid during the year ended March 31, 2017 was as follows:
| Fund | | | Ordinary
Income | | | Long-Term
Capital Gain | | | Total
Distributions | |
| NASDAQ-100® Fund | | | $ | 4,776,285 | | | $ | 9,569,870 | | | $ | 14,346,155 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of March 29, 2018 were as follows:
| Fund | | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation | | | Accumulated
Capital and
Other Losses | |
| NASDAQ-100® Fund | | | $ | 18,824,069 | | | $ | — | | | $ | 430,283,977 | | | $ | — | |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Fund that may be carried forward and applied against future capital gains. Under the RIC Modernization Act of 2010, the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital loss carryforwards will retain their character as either short-term or long-term capital losses. As of March 29, 2018, the Fund had no capital loss carryforwards.
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, distributions in connection with redemption of fund shares, and the “mark-to-market” of certain derivatives. Additional differences may result from the tax treatment of net operating losses. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statement of Assets and Liabilities as of March 29, 2018 for permanent book/tax differences:
| Fund | | | Paid In
Capital | | | Undistributed
Net Investment
Income | | | Accumulated
Net Realized
Loss | |
| NASDAQ-100® Fund | | | $ | 21,089,460 | | | $ | 2,588,538 | | | $ | (23,677,998 | ) |
| 40 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
At March 29, 2018, 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 | |
| NASDAQ-100® Fund | | | $ | 708,666,547 | | | $ | 437,352,126 | | | $ | (7,068,149 | ) | | $ | 430,283,977 | |
Note 9 – Securities Transactions
For the year ended March 29, 2018, 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 | | | $ | 581,426,485 | | | $ | 468,053,831 | |
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 year ended March 29, 2018, 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 | | | $ | 288,999,501 | | | $ | 229,397,816 | | | $ | 8,516,725 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 41 |
| NOTES TO FINANCIAL STATEMENTS (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 2.26% for the year ended March 29, 2018. The Fund did not have any borrowings outstanding under this agreement at March 29, 2018.
Average daily balances for the year ended March 29, 2018, was as follows:
| Fund | | | Average Daily Balance | |
| NASDAQ-100® Fund | | | $ | 257,745 | |
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”).
| 42 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. The court has not yet ruled on the motion.
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 43 |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The District Court has not yet ruled on that request.
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.
| 44 | THE RYDEX FUNDS ANNUAL REPORT | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of NASDAQ-100® Fund and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of NASDAQ-100® Fund (the “Fund”) (one of the funds constituting Rydex Series Funds (the “Trust”)), including the schedule of investments, as of March 29, 2018, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the funds constituting Rydex Series Funds) at March 29, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 29, 2018, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our
| | THE RYDEX FUNDS ANNUAL REPORT | 45 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 25, 2018
| 46 | THE RYDEX FUNDS ANNUAL REPORT | |
| OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2019, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2018.
The Fund’s investment income (dividend income plus short-term gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 29, 2018, the following fund had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 29, 2018, the following fund had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Fund | Qualified
Dividend
Income | Dividend
Received
Deduction | Qualified
Interest
Income | Qualified
Short-Term
Capital Gain |
| NASDAQ-100® Fund | 40.87% | 39.40% | 0.00% | 100.00% |
With respect to the taxable year ended March 29, 2018, the Fund hereby designates as capital gain dividends the amount listed below, or, if subsequently determined to be different, the net capital gain of such year:
| Fund | | | From long-term
capital gain: | | | From
long-term capital
gain, using proceeds from
shareholder redemptions: | |
| NASDAQ-100® Fund | | | $ | 45,533,709 | | | $ | 14,641,163 | |
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.
| | THE RYDEX FUNDS ANNUAL REPORT | 47 |
| OTHER INFORMATION (Unaudited)(concluded) |
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.
| 48 | THE RYDEX FUNDS ANNUAL REPORT | |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by 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 |
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 158 | None. |
| | THE RYDEX FUNDS ANNUAL REPORT | 49 |
| 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 | | | |
Angela
Brock-Kyle
(1959) | Trustee, Member of the Audit Committee and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 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). | 110 | 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 Governance Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | 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. | 110 | Epiphany Funds (2) (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. | Retired. | 110 | None. |
Werner E. Keller
(1940) | Chairman of the Board from 2014 to present; and Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
| 50 | THE RYDEX FUNDS 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 - concluded |
Thomas F.
Lydon, Jr.
(1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trest (3) (2017-present). |
Patrick T.
McCarville
(1942) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | 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; and Member of the Governance and Nominating Committee and Chairwoman of the Investment and Performance Committee from 2016 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
| | THE RYDEX FUNDS ANNUAL REPORT | 51 |
| 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 (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present). Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), 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. |
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 of Guggenheim Partners Investment Management, LLC (2015-present). Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); 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). |
Mark E. Mathiasen (1978) | Secretary (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). |
| 52 | THE RYDEX FUNDS 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 - 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 (2014-present). Former: CCO, Guggenheim Distributors, LLC (2009-2014); 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). |
| | THE RYDEX FUNDS ANNUAL REPORT | 53 |
| 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 | |
Jon Szafran (1989) | Assistant Treasurer (2017-Present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”), (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); 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. |
| ** | | This Trustee is an “interested person” (as defined in Section 2 (a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
| *** | | 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. |
| 54 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our
| | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third
| 56 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
| | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
| 58 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
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3.29.2018
Rydex Funds 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-ANN-0318x0319 |
| 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 | 28 |
| EMERGING MARKETS 2x STRATEGY FUND | 44 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | 53 |
| EMERGING MARKETS BOND STRATEGY FUND | 61 |
| NOTES TO FINANCIAL STATEMENTS | 69 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 85 |
| OTHER INFORMATION | 87 |
| INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 88 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 92 |
| | THE RYDEX FUNDS ANNUAL REPORT | 1 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our alternative strategy funds (the “Fund” or the “Funds”) for the one-year period ended March 29, 2018.
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, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
April 30, 2018
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, tariffs and international economic, political and regulatory developments. ● No investment strategy can guarantee a return in a declining market. Additionally, an investor could lose all or a substantial amount of their investment.
| 2 | THE RYDEX FUNDS ANNUAL REPORT | |
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, 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, 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 to ensure they are 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 ANNUAL REPORT | 3 |
| ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 29, 2018 |
As we enter the ninth year of the current expansion, one of the most important new developments to evaluate is the impact of the corporate tax cuts passed into law at the end of 2017. Guggenheim’s concern is that the substantial late-cycle fiscal easing in the pipeline will prompt more restrictive monetary policy, which increases the risk that the economy will experience a boom-bust cycle that ends in a recession.
With the unemployment rate at 4.1% and core inflation rising, fiscal policy should be leaning against the economy to prevent overheating, not providing further stimulus. Faster wage growth, rising core inflation, and an unsustainably low unemployment rate underpin our longstanding view that the U.S. Federal Reserve (the “Fed”) will raise interest rates four times in 2018. Fed funds futures show the market is now pricing in nearly three rate hikes for 2018, up from two at the beginning of the year, which contributed to a pickup in first-quarter market volatility. Tighter fiscal and monetary policy, along with rising policy uncertainty ahead of the 2018 mid-terms and 2020 presidential election, could prove to be too much for an overextended economy to bear.
Further complicating the story is the risk of a global trade war sparked by protectionist actions taken by the Trump administration. We now have new steel and aluminum tariffs in place that are likely to have some modest inflationary impact while hurting almost 20% of U.S. corporates, according to our estimates. We expect more protectionist trade and investment policies in place by year end.
Over the 12 months ended March 29, 2018, the bear flattening (the condition in which short-term notes rise faster than long-term notes) of the U.S. Treasury curve continued with Treasury yields higher across the curve. Yields increased the most in the belly and front end of the curve. The 2-year Treasury ended the period at 2.27%, up 102 basis points from a year ago, while the 10-year finished the period at 2.74%, up 35 basis points from a year ago. The 2-year-10 year curve, which started the period at 113 basis points, finished at 47 basis points.
For the 12 months ended March 29, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 13.99%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 15.32%. The return of the MSCI Emerging Markets Index* was 25.37%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 1.20% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 3.78%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.11% for the 12-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 ANNUAL REPORT | |
| ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 29, 2018 |
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.
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.
ICE 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.
ICE 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.
Morningstar Long/Short Equity Category Average is an average return of the funds in the Morningstar Long/Short Equity Category. The categories assist investors and investment professionals in making meaningful comparisons between funds, making it easier to build well-diversified portfolios, assess potential risk, and identify top performing funds.
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 broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
| | THE RYDEX FUNDS 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 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 September 30, 2017 and ending March 29, 2018 for actual fund returns. Hypothetical fund returns are for the period beginning September 30, 2017 and ending March 31, 2018.
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 ANNUAL REPORT | 7 |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30, 2017 | Ending
Account Value
March 29, 2018 | Expenses
Paid During
Period2 |
| Table 1. Based on actual Fund return3 | | | | | |
| Long Short Equity Fund | | | | | |
| A-Class | 1.62% | 1.52% | $ 1,000.00 | $ 1,015.20 | $ 8.05 |
| C-Class | 2.36% | 1.11% | 1,000.00 | 1,011.10 | 11.70 |
| P-Class | 1.62% | 1.57% | 1,000.00 | 1,015.70 | 8.05 |
| Institutional Class | 1.37% | 1.66% | 1,000.00 | 1,016.60 | 6.81 |
| Event Driven and Distressed Strategies Fund | | | | | |
| A-Class | 1.92% | (1.70%) | 1,000.00 | 983.00 | 9.39 |
| C-Class | 2.66% | (2.09%) | 1,000.00 | 979.10 | 12.98 |
| P-Class | 1.91% | (1.70%) | 1,000.00 | 983.00 | 9.34 |
| Institutional Class | 1.66% | (1.59%) | 1,000.00 | 984.10 | 8.12 |
| Emerging Markets 2x Strategy Fund | | | | | |
| A-Class | 1.75% | 8.66% | 1,000.00 | 1,086.60 | 9.00 |
| C-Class | 2.50% | 8.24% | 1,000.00 | 1,082.40 | 12.84 |
| H-Class | 1.76% | 8.65% | 1,000.00 | 1,086.50 | 9.05 |
| Inverse Emerging Markets 2x Strategy Fund | | | | | |
| A-Class | 1.73% | (15.13%) | 1,000.00 | 848.70 | 7.89 |
| C-Class | 2.41% | (15.39%) | 1,000.00 | 846.10 | 10.97 |
| H-Class | 1.74% | (15.24%) | 1,000.00 | 847.60 | 7.93 |
| Emerging Markets Bond Strategy Fund | | | | | |
| A-Class | 1.56% | (1.80%) | 1,000.00 | 982.00 | 7.62 |
| C-Class | 2.32% | (2.17%) | 1,000.00 | 978.30 | 11.32 |
| H-Class | 1.56% | (1.78%) | 1,000.00 | 982.20 | 7.62 |
| 8 | THE RYDEX FUNDS ANNUAL REPORT | |
| ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) | |
| | Expense
Ratio1 | Fund
Return | Beginning
Account Value
September 30,
2017 | Ending
Account Value
March 31,
2018 | Expenses
Paid During
Period4 |
| Table 2. Based on hypothetical 5% return (before expenses)5 | | | | |
| Long Short Equity Fund | | | | | |
| A-Class | 1.62% | 5.00% | $ 1,000.00 | $ 1,016.85 | $ 8.15 |
| C-Class | 2.36% | 5.00% | 1,000.00 | 1,013.16 | 11.85 |
| P-Class | 1.62% | 5.00% | 1,000.00 | 1,016.85 | 8.15 |
| Institutional Class | 1.37% | 5.00% | 1,000.00 | 1,018.10 | 6.89 |
| Event Driven and Distressed Strategies Fund | | | | | |
| A-Class | 1.92% | 5.00% | 1,000.00 | 1,015.36 | 9.65 |
| C-Class | 2.66% | 5.00% | 1,000.00 | 1,011.67 | 13.34 |
| P-Class | 1.91% | 5.00% | 1,000.00 | 1,015.41 | 9.60 |
| Institutional Class | 1.66% | 5.00% | 1,000.00 | 1,016.65 | 8.35 |
| Emerging Markets 2x Strategy Fund | | | | | |
| A-Class | 1.75% | 5.00% | 1,000.00 | 1,016.21 | 8.80 |
| C-Class | 2.50% | 5.00% | 1,000.00 | 1,012.47 | 12.54 |
| H-Class | 1.76% | 5.00% | 1,000.00 | 1,016.16 | 8.85 |
| Inverse Emerging Markets 2x Strategy Fund | | | | | |
| A-Class | 1.73% | 5.00% | 1,000.00 | 1,016.31 | 8.70 |
| C-Class | 2.41% | 5.00% | 1,000.00 | 1,012.91 | 12.09 |
| H-Class | 1.74% | 5.00% | 1,000.00 | 1,016.26 | 8.75 |
| Emerging Markets Bond Strategy Fund | | | | | |
| A-Class | 1.56% | 5.00% | 1,000.00 | 1,017.15 | 7.85 |
| C-Class | 2.32% | 5.00% | 1,000.00 | 1,013.36 | 11.65 |
| H-Class | 1.56% | 5.00% | 1,000.00 | 1,017.15 | 7.85 |
| 1 | | Annualized and excludes expenses of the underlying funds in which the Funds invest. |
| 2 | | Expenses in table 1 are equal to the Funds’ annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 180/365 (to reflect the one-half year period). |
| 3 | | Actual cumulative return at net asset value for the period September 30, 2017 to March 29, 2018. |
| 4 | | Expenses in table 2 are equal to the Funds’ annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
| 5 | | Hypothetical return for the period September 30, 2017 to March 31, 2018. |
| | THE RYDEX FUNDS ANNUAL REPORT | 9 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
For the one-year period ended March 29, 2018, the Long Short Equity Fund P-Class returned 10.22%. The two benchmarks used by the Fund in the period, the HFRX Equity Hedge Index and the Morningstar Long/Short Equity Category Average, returned 8.35% and 6.93%, respectively, for the same one-year period.
Effective June 1, 2017, the Fund’s Board of Trustees approved a change in the Fund’s principal investment strategy. The Fund transitioned from a momentum-based long/short equity investment strategy based on 3- and 12-month trends with respect to factors, to one that is more valuation-based and does not incorporate momentum as a key factor to explain expected returns.
The current strategy uses a proprietary evaluation process to generate an expected return for individual stocks that considers market risks generally and company-specific risks. The process uses fundamental-based, forward-looking forecasts of equity cash flows to generate return expectations for individual stocks. Guggenheim Investments believes that such a forward-looking valuation approach is superior to the more common approach of assuming that past returns explain future risk premiums.
Both the previous and current strategy are U.S. long/short equity strategies that seek long-term capital appreciation as an investment objective, and follow a multi-factor quantitative framework to identify investment opportunities in a large universe of U.S. stocks. On average, both the new strategy and previous strategy are expected to have similar equity beta profiles.
To accompany the change in strategy, the Fund changed its benchmark effective June 1, 2017, from the HFRX Equity Hedge Index to the Morningstar Long/Short Equity Category Average. Portfolio management also changed to a different quantitative strategy team within Guggenheim Investments.
For the two-month period from April 1, 2017 through May 31, 2017, the Long Short Equity Fund returned 2.11%. The Fund’s benchmark for that period, the HFRX Equity Hedge Index, returned 0.15%. For this period, derivatives were used to control the Fund’s equity exposure. Derivative positions were small and did not contribute materially to the Fund’s performance.
For the 10-month period from June 1, 2017 through March 31, 2018, the Long Short Equity Fund returned 8.15%. The Fund’s benchmark for that period, the Morningstar Long/Short Equity Category Average, returned 5.78%.
On average during the 10-month period, the Fund held about 175% of assets in long securities, and 106% short, for an average net-dollar exposure of 69%. The realized net beta (sensitivity of daily Fund returns to the S&P 500 index) averaged around 0.64 during the period. The long positions averaged a return of 13.4%, compared to the Russell 3000 index return of 12.2%. Short positions returned 8.0% on a stand-alone basis.
So, while on an absolute basis the long returns were positive in the surging market environment, and shorts lost money, both sides added alpha from a market adjusted return basis with the short positions doing notably better for the period in underperforming the markets.
Derivatives are essential for the execution of the Fund’s strategy. Therefore, a significant amount of the Fund’s performance for the last 10 months of the period were driven by derivatives.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance which is no guarantee of future results.
| 10 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(continued) | March 29, 2018 |
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| 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) |
| General Mills, Inc. | 1.4% |
| Johnson & Johnson | 1.3% |
| Chevron Corp. | 1.2% |
| Verizon Communications, Inc. | 1.2% |
| Comcast Corp. — Class A | 1.1% |
| Merck & Company, Inc. | 1.1% |
| Consolidated Edison, Inc. | 1.0% |
| Kimberly-Clark Corp. | 1.0% |
| El Paso Electric Co. | 1.0% |
| CenterPoint Energy, Inc. | 1.0% |
| Top Ten Total | 11.3% |
| |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| | THE RYDEX FUNDS ANNUAL REPORT | 11 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Effective May 31, 2017, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmarks are the Morningstar Long/Short Equity Category Average and S&P 500® Index. Prior to May 31, 2017, the Fund’s benchmark was the HFRX Equity Hedge Index and Russell 3000 Index.
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | 10 Year |
| A-Class Shares | 10.19% | 5.25% | 2.65% |
| A-Class Shares with sales charge‡ | 4.94% | 4.23% | 2.15% |
| C-Class Shares | 9.36% | 4.46% | 1.88% |
| C-Class Shares with CDSC§ | 8.36% | 4.46% | 1.88% |
| P-Class Shares | 10.15% | 5.24% | 2.66% |
| Morningstar Long/Short Equity Category Average | 6.93% | 4.32% | 4.59% |
| S&P 500 Index | 13.99% | 13.31% | 9.49% |
| HFRX Equity Hedge Index | 8.35% | 3.12% | 0.03% |
| | 1 Year | 5 Year | Since
Inception
(11/30/11) |
| Institutional Class Shares | 10.43% | 5.52% | 5.90% |
| HFRX Equity Hedge Index | 8.35% | 3.12% | 3.90% |
| Morningstar Long/Short Equity Category Average | 6.93% | 4.32% | 4.89% |
| S&P 500 Index | 13.99% | 13.31% | 14.98% |
| * | | 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. The Morningstar Long/Short Equity Category Average is the equal-weighted, simple average daily return for all funds in the Morningstar Long/Short Equity Category. The graphs are based on A-Class shares and P-Class shares only; performance for C-Class shares and Institutional Class shares will vary due to differences in fee structure. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 12 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 104.2% | | | | | | |
| | | | | | | |
| Consumer, Non-cyclical - 32.3% | | | | | | |
| General Mills, Inc.1 | | | 9,323 | | | $ | 420,094 | |
| Johnson & Johnson1 | | | 3,073 | | | | 393,805 | |
| Merck & Company, Inc.1 | | | 6,010 | | | | 327,365 | |
| Kimberly-Clark Corp.1 | | | 2,906 | | | | 320,038 | |
| Archer-Daniels-Midland Co.1 | | | 7,356 | | | | 319,030 | |
| Pfizer, Inc.1 | | | 8,982 | | | | 318,771 | |
| Edgewell Personal Care Co.* | | | 6,463 | | | | 315,524 | |
| Gilead Sciences, Inc.1 | | | 4,109 | | | | 309,778 | |
| Molson Coors Brewing Co. — Class B1 | | | 4,078 | | | | 307,196 | |
| Celgene Corp.*,1 | | | 3,408 | | | | 304,028 | |
| Amgen, Inc.1 | | | 1,767 | | | | 301,238 | |
| Biogen, Inc.*,1 | | | 1,089 | | | | 298,190 | |
| Tyson Foods, Inc. — Class A1 | | | 3,984 | | | | 291,589 | |
| Ingredion, Inc. | | | 2,198 | | | | 283,366 | |
| Sanderson Farms, Inc. | | | 2,258 | | | | 268,747 | |
| Pilgrim’s Pride Corp.* | | | 10,848 | | | | 266,969 | |
| Mylan N.V.*,1 | | | 5,811 | | | | 239,239 | |
| Western Union Co. | | | 11,619 | | | | 223,433 | |
| US Foods Holding Corp.* | | | 6,571 | | | | 215,332 | |
| Zimmer Biomet Holdings, Inc.1 | | | 1,899 | | | | 207,067 | |
| United Therapeutics Corp.* | | | 1,794 | | | | 201,574 | |
| Prestige Brands Holdings, Inc.* | | | 5,781 | | | | 194,935 | |
| CVS Health Corp.1 | | | 2,734 | | | | 170,082 | |
| McKesson Corp.1 | | | 1,149 | | | | 161,860 | |
| Cardinal Health, Inc.1 | | | 2,457 | | | | 154,005 | |
| Performance Food Group Co.* | | | 4,911 | | | | 146,593 | |
| Medtronic plc1 | | | 1,566 | | | | 125,624 | |
| Travelport Worldwide Ltd. | | | 7,643 | | | | 124,887 | |
| AmerisourceBergen Corp. — Class A1 | | | 1,434 | | | | 123,625 | |
| Darling Ingredients, Inc.* | | | 6,898 | | | | 119,336 | |
| Eli Lilly & Co.1 | | | 1,513 | | | | 117,061 | |
| Conagra Brands, Inc.1 | | | 2,988 | | | | 110,198 | |
| Boston Beer Company, Inc. — Class A* | | | 571 | | | | 107,948 | |
| Perrigo Company plc1 | | | 1,290 | | | | 107,509 | |
| CoreLogic, Inc.* | | | 2,326 | | | | 105,205 | |
| Charles River Laboratories International, Inc.* | | | 975 | | | | 104,072 | |
| United Natural Foods, Inc.* | | | 2,397 | | | | 102,927 | |
| WellCare Health Plans, Inc.* | | | 503 | | | | 97,396 | |
| USANA Health Sciences, Inc.* | | | 1,035 | | | | 88,906 | |
| TreeHouse Foods, Inc.* | | | 2,323 | | | | 88,901 | |
| Quanta Services, Inc.* | | | 2,535 | | | | 87,077 | |
| Allergan plc1 | | | 470 | | | | 79,096 | |
| Sabre Corp. | | | 3,571 | | | | 76,598 | |
| Procter & Gamble Co.1 | | | 966 | | | | 76,584 | |
| Dean Foods Co. | | | 8,817 | | | | 76,003 | |
| Kroger Co.1 | | | 3,048 | | | | 72,969 | |
| Horizon Pharma plc* | | | 4,574 | | | | 64,951 | |
| Clorox Co. | | | 483 | | | | 64,292 | |
| Cigna Corp.1 | | | 375 | | | | 62,902 | |
| Altria Group, Inc.1 | | | 1,008 | | | | 62,818 | |
| Eagle Pharmaceuticals, Inc.* | | | 1,182 | | | | 62,280 | |
| SpartanNash Co. | �� | | 3,597 | | | | 61,904 | |
| PepsiCo, Inc.1 | | | 563 | | | | 61,451 | |
| Hershey Co.1 | | | 620 | | | | 61,355 | |
| Becton Dickinson and Co.1 | | | 281 | | | | 60,893 | |
| Bristol-Myers Squibb Co.1 | | | 944 | | | | 59,708 | |
| Thermo Fisher Scientific, Inc.1 | | | 288 | | | | 59,460 | |
| Versartis, Inc.* | | | 35,985 | | | | 59,375 | |
| Intuitive Surgical, Inc.*,1 | | | 143 | | | | 59,035 | |
| UnitedHealth Group, Inc.1 | | | 273 | | | | 58,422 | |
| Cardtronics plc — Class A* | | | 2,495 | | | | 55,664 | |
| AbbVie, Inc.1 | | | 576 | | | | 54,518 | |
| Total Consumer, Non-cyclical | | | | | | | 9,920,798 | |
| | | | | | | | | |
| Industrial - 16.2% | | | | | | | | |
| Greenbrier Companies, Inc. | | | 5,639 | | | | 283,360 | |
| Cummins, Inc.1 | | | 1,708 | | | | 276,850 | |
| Owens Corning | | | 3,363 | | | | 270,385 | |
| Regal Beloit Corp. | | | 3,604 | | | | 264,354 | |
| Genesee & Wyoming, Inc. — Class A* | | | 3,402 | | | | 240,827 | |
| Carlisle Companies, Inc. | | | 1,838 | | | | 191,906 | |
| Tech Data Corp.* | | | 2,232 | | | | 190,010 | |
| Fluor Corp. | | | 3,269 | | | | 187,052 | |
| Jabil, Inc. | | | 6,105 | | | | 175,397 | |
| Snap-on, Inc. | | | 1,139 | | | | 168,048 | |
| Vishay Intertechnology, Inc. | | | 9,030 | | | | 167,958 | |
| EnerSys | | | 2,297 | | | | 159,343 | |
| Benchmark Electronics, Inc. | | | 5,329 | | | | 159,071 | |
| KBR, Inc. | | | 9,650 | | | | 156,234 | |
| AGCO Corp. | | | 2,321 | | | | 150,517 | |
| EMCOR Group, Inc. | | | 1,809 | | | | 140,975 | |
| Masco Corp.1 | | | 3,165 | | | | 127,993 | |
| Energizer Holdings, Inc. | | | 1,877 | | | | 111,832 | |
| Spirit AeroSystems Holdings, Inc. — Class A | | | 1,274 | | | | 106,634 | |
| Evoqua Water Technologies Corp.* | | | 4,679 | | | | 99,616 | |
| Owens-Illinois, Inc.* | | | 4,187 | | | | 90,690 | |
| Norfolk Southern Corp.1 | | | 624 | | | | 84,727 | |
| Crane Co. | | | 905 | | | | 83,930 | |
| Coherent, Inc.* | | | 442 | | | | 82,831 | |
| Gibraltar Industries, Inc.* | | | 2,299 | | | | 77,821 | |
| Acuity Brands, Inc. | | | 539 | | | | 75,023 | |
| Kansas City Southern1 | | | 607 | | | | 66,679 | |
| Belden, Inc. | | | 966 | | | | 66,596 | |
| Rexnord Corp.* | | | 2,228 | | | | 66,127 | |
| Eaton Corporation plc1 | | | 824 | | | | 65,846 | |
| AECOM* | | | 1,832 | | | | 65,274 | |
| Trinity Industries, Inc. | | | 1,959 | | | | 63,922 | |
| Louisiana-Pacific Corp. | | | 2,146 | | | | 61,740 | |
| Lockheed Martin Corp.1 | | | 181 | | | | 61,165 | |
| Ingersoll-Rand plc | | | 697 | | | | 59,600 | |
| Honeywell International, Inc.1 | | | 411 | | | | 59,393 | |
| FedEx Corp.1 | | | 245 | | | | 58,827 | |
| 3M Co.1 | | | 266 | | | | 58,392 | |
| Applied Optoelectronics, Inc.*,2 | | | 2,322 | | | | 58,189 | |
| United Technologies Corp. | | | 324 | | | | 40,766 | |
| Total Industrial | | | | | | | 4,975,900 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Communications - 13.3% | | | | | | |
| Verizon Communications, Inc.1 | | | 7,614 | | | $ | 364,101 | |
| Comcast Corp. — Class A1 | | | 10,225 | | | | 349,388 | |
| Omnicom Group, Inc.1,2 | | | 4,352 | | | | 316,260 | |
| Cisco Systems, Inc.1 | | | 7,113 | | | | 305,077 | |
| Juniper Networks, Inc.1 | | | 11,069 | | | | 269,309 | |
| Telephone & Data Systems, Inc. | | | 8,710 | | | | 244,141 | |
| United States Cellular Corp.* | | | 5,063 | | | | 203,482 | |
| Gannett Company, Inc. | | | 19,083 | | | | 190,448 | |
| InterDigital, Inc. | | | 2,447 | | | | 180,099 | |
| News Corp. — Class A | | | 10,720 | | | | 169,376 | |
| Alphabet, Inc. — Class C*,1 | | | 161 | | | | 166,118 | |
| ARRIS International plc* | | | 5,900 | | | | 156,763 | |
| Sprint Corp.*,1 | | | 24,035 | | | | 117,291 | |
| Nexstar Media Group, Inc. — Class A | | | 1,713 | | | | 113,914 | |
| AMC Networks, Inc. — Class A* | | | 2,077 | | | | 107,381 | |
| Facebook, Inc. — Class A*,1 | | | 658 | | | | 105,142 | |
| Interpublic Group of Companies, Inc. | | | 4,289 | | | | 98,776 | |
| TEGNA, Inc. | | | 8,666 | | | | 98,706 | |
| Motorola Solutions, Inc.1 | | | 739 | | | | 77,817 | |
| Scholastic Corp. | | | 2,001 | | | | 77,719 | |
| New Media Investment Group, Inc. | | | 4,105 | | | | 70,359 | |
| Gray Television, Inc.* | | | 5,526 | | | | 70,180 | |
| AT&T, Inc.1 | | | 1,940 | | | | 69,161 | |
| F5 Networks, Inc.* | | | 434 | | | | 62,761 | |
| Walt Disney Co.1 | | | 607 | | | | 60,967 | |
| MSG Networks, Inc. — Class A* | | | 2,556 | | | | 57,766 | |
| Total Communications | | | | | | | 4,102,502 | |
| | | | | | | | | |
| Technology - 10.7% | | | | | | | | |
| HP, Inc.1 | | | 11,077 | | | | 242,808 | |
| DXC Technology Co.1 | | | 2,383 | | | | 239,563 | |
| Apple, Inc.1 | | | 1,358 | | | | 227,845 | |
| Cirrus Logic, Inc.* | | | 5,395 | | | | 219,199 | |
| NetApp, Inc.1 | | | 3,445 | | | | 212,522 | |
| Microsoft Corp.1 | | | 2,058 | | | | 187,833 | |
| Western Digital Corp.1 | | | 1,974 | | | | 182,141 | |
| Convergys Corp. | | | 7,595 | | | | 171,799 | |
| MAXIMUS, Inc. | | | 2,261 | | | | 150,899 | |
| Dell Technologies Incorporated Class V — Class V* | | | 1,981 | | | | 145,029 | |
| International Business Machines Corp.1 | | | 876 | | | | 134,405 | |
| ON Semiconductor Corp.*,1 | | | 5,134 | | | | 125,578 | |
| Oracle Corp.1 | | | 2,429 | | | | 111,127 | |
| Micron Technology, Inc.*,1 | | | 2,126 | | | | 110,850 | |
| CA, Inc.1 | | | 2,943 | | | | 99,768 | |
| Xerox Corp. | | | 2,893 | | | | 83,261 | |
| KLA-Tencor Corp.1 | | | 746 | | | | 81,321 | |
| Seagate Technology plc1 | | | 1,353 | | | | 79,178 | |
| Intel Corp.1 | | | 1,519 | | | | 79,109 | |
| Kulicke & Soffa Industries, Inc.* | | | 2,985 | | | | 74,655 | |
| NCR Corp.* | | | 1,966 | | | | 61,968 | |
| Broadcom Ltd. | | | 255 | | | | 60,091 | |
| Fidelity National Information Services, Inc.1 | | | 620 | | | | 59,706 | |
| QUALCOMM, Inc. | | | 708 | | | | 39,230 | |
| Texas Instruments, Inc. | | | 377 | | | | 39,167 | |
| Adobe Systems, Inc.* | | | 179 | | | | 38,678 | |
| NVIDIA Corp. | | | 165 | | | | 38,212 | |
| Total Technology | | | | | | | 3,295,942 | |
| | | | | | | | | |
| Utilities - 10.0% | | | | | | | | |
| Consolidated Edison, Inc.1 | | | 4,111 | | | | 320,411 | |
| El Paso Electric Co. | | | 6,275 | | | | 320,025 | |
| CenterPoint Energy, Inc.1 | | | 11,667 | | | | 319,676 | |
| National Fuel Gas Co. | | | 6,190 | | | | 318,476 | |
| Ameren Corp.1 | | | 5,523 | | | | 312,768 | |
| Portland General Electric Co. | | | 7,699 | | | | 311,886 | |
| PNM Resources, Inc. | | | 7,811 | | | | 298,771 | |
| FirstEnergy Corp.1 | | | 7,839 | | | | 266,604 | |
| Exelon Corp.1 | | | 6,722 | | | | 262,225 | |
| UGI Corp. | | | 5,220 | | | | 231,872 | |
| PG&E Corp.1 | | | 2,306 | | | | 101,303 | |
| Total Utilities | | | | | | | 3,064,017 | |
| | | | | | | | | |
| Consumer, Cyclical - 7.6% | | | | | | | | |
| Southwest Airlines Co.1 | | | 5,069 | | | | 290,352 | |
| Allison Transmission Holdings, Inc. | | | 6,874 | | | | 268,498 | |
| Alaska Air Group, Inc.1 | | | 3,825 | | | | 236,997 | |
| Lions Gate Entertainment Corp. — Class A | | | 8,704 | | | | 224,824 | |
| PACCAR, Inc.1 | | | 2,449 | | | | 162,050 | |
| Meritor, Inc.* | | | 5,723 | | | | 117,665 | |
| Delta Air Lines, Inc.1 | | | 2,044 | | | | 112,032 | |
| Tailored Brands, Inc. | | | 3,779 | | | | 94,702 | |
| Ralph Lauren Corp. — Class A | | | 762 | | | | 85,192 | |
| Cooper-Standard Holdings, Inc.* | | | 660 | | | | 81,055 | |
| Copa Holdings S.A. — Class A | | | 568 | | | | 73,062 | |
| Toll Brothers, Inc. | | | 1,638 | | | | 70,843 | |
| Taylor Morrison Home Corp. — Class A* | | | 3,034 | | | | 70,632 | |
| Hawaiian Holdings, Inc. | | | 1,700 | | | | 65,790 | |
| Lowe’s Companies, Inc.1 | | | 722 | | | | 63,356 | |
| Home Depot, Inc.1 | | | 347 | | | | 61,849 | |
| Walmart, Inc.1 | | | 693 | | | | 61,656 | |
| Nike, Inc. — Class B1 | | | 927 | | | | 61,590 | |
| Starbucks Corp.1 | | | 1,055 | | | | 61,074 | |
| McDonald’s Corp.1 | | | 388 | | | | 60,675 | |
| Total Consumer, Cyclical | | | | | | | 2,323,894 | |
| | | | | | | | | |
| Energy - 6.3% | | | | | | | | |
| Chevron Corp.1 | | | 3,212 | | | | 366,297 | |
| Valero Energy Corp.1 | | | 3,391 | | | | 314,583 | |
| Occidental Petroleum Corp.1 | | | 4,743 | | | | 308,105 | |
| Exxon Mobil Corp.1 | | | 3,686 | | | | 275,013 | |
| Marathon Petroleum Corp.1 | | | 2,764 | | | | 202,076 | |
| HollyFrontier Corp. | | | 3,059 | | | | 149,463 | |
| PBF Energy, Inc. — Class A | | | 3,918 | | | | 132,820 | |
| ConocoPhillips1 | | | 1,132 | | | | 67,116 | |
| Williams Companies, Inc.1 | | | 2,598 | | | | 64,586 | |
| Schlumberger Ltd.1 | | | 944 | | | | 61,152 | |
| Total Energy | | | | | | | 1,941,211 | |
| 14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Financial - 6.3% | | | | | | |
| Principal Financial Group, Inc.1 | | | 4,486 | | | $ | 273,242 | |
| Senior Housing Properties Trust REIT | | | 16,282 | | | | 254,976 | |
| VEREIT, Inc. REIT | | | 35,949 | | | | 250,205 | |
| Prudential Financial, Inc.1 | | | 1,705 | | | | 176,553 | |
| Park Hotels & Resorts, Inc. REIT | | | 5,536 | | | | 149,583 | |
| Mack-Cali Realty Corp. REIT | | | 6,253 | | | | 104,488 | |
| Berkshire Hathaway, Inc. — Class B*,1 | | | 513 | | | | 102,333 | |
| JPMorgan Chase & Co.1 | | | 918 | | | | 100,952 | |
| Summit Hotel Properties, Inc. REIT | | | 5,833 | | | | 79,387 | |
| Bank of America Corp.1 | | | 2,563 | | | | 76,864 | |
| Wells Fargo & Co.1 | | | 1,188 | | | | 62,263 | |
| Travelers Companies, Inc.1 | | | 437 | | | | 60,682 | |
| U.S. Bancorp1 | | | 1,177 | | | | 59,439 | |
| Mastercard, Inc. — Class A1 | | | 339 | | | | 59,379 | |
| Visa, Inc. — Class A1 | | | 495 | | | | 59,212 | |
| Citigroup, Inc.1 | | | 849 | | | | 57,308 | |
| Total Financial | | | | | | | 1,926,866 | |
| | | | | | | | | |
| Basic Materials - 1.5% | | | | | | | | |
| LyondellBasell Industries N.V. — Class A1 | | | 1,421 | | | | 150,171 | |
| Huntsman Corp. | | | 2,750 | | | | 80,438 | |
| Coeur Mining, Inc.* | | | 7,920 | | | | 63,360 | |
| Alcoa Corp.* | | | 1,332 | | | | 59,887 | |
| Domtar Corp. | | | 1,390 | | | | 59,130 | |
| DowDuPont, Inc.1 | | | 924 | | | | 58,868 | |
| Total Basic Materials | | | | | | | 471,854 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $31,869,343) | | | | | | | 32,022,984 | |
| | | | | | | | | |
| MONEY MARKET FUND† - 1.7% | | | | | | | | |
| Invesco Short-Term Investments Trust Treasury Obligations Portfolio Institutional Class 1.50%3 | | | 524,807 | | | | 524,807 | |
| Total Money Market Fund | | | | | | | | |
| (Cost $524,807) | | | | | | | 524,807 | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,4 - 0.3% | | | | | | | | |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%3 | | | 88,245 | | | | 88,245 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $88,245) | | | | | | | 88,245 | |
| | | | | | | | | |
| Total Investments - 106.2% | | | | | | | | |
| (Cost $32,482,395) | | | | | | $ | 32,636,036 | |
| Other Assets & Liabilities, net - (6.2)% | | | | | | | (1,894,455 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 30,741,581 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Value and
Unrealized
Loss | |
| OTC Custom Basket Swap Sold Short†† |
| Morgan Stanley | | Long Short Equity Portfolio Short Custom Basket Swap5 | | | (1.30 | %) | | At Maturity | | 05/31/19 | | $ | 30,124,826 | | | $ | (1,272,079 | ) |
| OTC Custom Basket Swap†† |
| Morgan Stanley | | Long Short Equity Portfolio Long Custom Basket Swap6 | | | 2.09 | % | | At Maturity | | 05/31/19 | | | 16,602,994 | | | | (322,930 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Percentage
Value | | | Unrealized
Gain (Loss | ) |
| | | | | | | | | | |
| CUSTOM BASKET OF LONG SECURITIES 6 |
| Cisco Systems, Inc. | | | 3,730 | | | | -11.2 | % | | $ | 36,218 | |
| Fluor Corp. | | | 1,714 | | | | -5.6 | % | | | 18,190 | |
| FirstEnergy Corp. | | | 4,111 | | | | -5.1 | % | | | 16,309 | |
| Telephone & Data Systems, Inc. | | | 4,568 | | | | -4.9 | % | | | 15,690 | |
| Marathon Petroleum Corp. | | | 1,449 | | | | -4.4 | % | | | 14,107 | |
| PNM Resources, Inc. | | | 4,096 | | | | -3.1 | % | | | 10,035 | |
| Energizer Holdings, Inc. | | | 1,013 | | | | -2.8 | % | | | 9,033 | |
| DXC Technology Co. | | | 1,249 | | | | -2.6 | % | | | 8,298 | |
| PBF Energy, Inc. — Class A | | | 2,055 | | | | -2.6 | % | | | 8,271 | |
| Travelport Worldwide Ltd. | | | 4,008 | | | | -2.6 | % | | | 8,236 | |
| Dell Technologies Incorporated Class V — Class V* | | | 1,039 | | | | -2.0 | % | | | 6,548 | |
| Ameren Corp. | | | 2,897 | | | | -1.9 | % | | | 6,267 | |
| Carlisle Companies, Inc. | | | 963 | | | | -1.9 | % | | | 6,032 | |
| El Paso Electric Co. | | | 3,290 | | | | -1.8 | % | | | 5,824 | |
| PG&E Corp. | | | 1,209 | | | | -1.8 | % | | | 5,796 | |
| Gilead Sciences, Inc. | | | 2,155 | | | | -1.7 | % | | | 5,494 | |
| Boston Beer Company, Inc. — Class A* | | | 299 | | | | -1.7 | % | | | 5,435 | |
| HollyFrontier Corp. | | | 1,604 | | | | -1.7 | % | | | 5,433 | |
| USANA Health Sciences, Inc.* | | | 542 | | | | -1.5 | % | | | 4,919 | |
| Archer-Daniels-Midland Co. | | | 3,858 | | | | -1.5 | % | | | 4,803 | |
| Jabil, Inc. | | | 3,201 | | | | -1.5 | % | | | 4,753 | |
| Western Digital Corp. | | | 1,035 | | | | -1.3 | % | | | 4,181 | |
| Microsoft Corp. | | | 1,079 | | | | -1.2 | % | | | 3,812 | |
| Tailored Brands, Inc. | | | 1,982 | | | | -1.0 | % | | | 3,122 | |
| Exelon Corp. | | | 3,525 | | | | -1.0 | % | | | 3,104 | |
| Allison Transmission Holdings, Inc. | | | 3,605 | | | | -0.9 | % | | | 3,053 | |
| Hawaiian Holdings, Inc. | | | 891 | | | | -0.7 | % | | | 2,250 | |
| UGI Corp. | | | 2,737 | | | | -0.7 | % | | | 2,248 | |
| Kimberly-Clark Corp. | | | 1,524 | | | | -0.7 | % | | | 2,141 | |
| Kulicke & Soffa Industries, Inc.* | | | 1,565 | | | | -0.7 | % | | | 2,105 | |
| ARRIS International plc* | | | 3,094 | | | | -0.6 | % | | | 2,058 | |
| Scholastic Corp. | | | 1,049 | | | | -0.6 | % | | | 2,033 | |
| Clorox Co. | | | 253 | | | | -0.6 | % | | | 1,983 | |
| Ralph Lauren Corp. — Class A | | | 399 | | | | -0.6 | % | | | 1,921 | |
| Intel Corp. | | | 796 | | | | -0.5 | % | | | 1,532 | |
| CenterPoint Energy, Inc. | | | 6,118 | | | | -0.4 | % | | | 1,400 | |
| Gray Television, Inc.* | | | 2,898 | | | | -0.4 | % | | | 1,343 | |
| Dean Foods Co. | | | 4,624 | | | | -0.4 | % | | | 1,239 | |
| ConocoPhillips | | | 593 | | | | -0.4 | % | | | 1,227 | |
| Valero Energy Corp. | | | 1,778 | | | | -0.4 | % | | | 1,218 | |
| Altria Group, Inc. | | | 528 | | | | -0.4 | % | | | 1,156 | |
| Conagra Brands, Inc. | | | 1,567 | | | | -0.3 | % | | | 1,059 | |
| Portland General Electric Co. | | | 4,038 | | | | -0.3 | % | | | 929 | |
| Summit Hotel Properties, Inc. | | | 3,059 | | | | -0.3 | % | | | 902 | |
| Delta Air Lines, Inc. | | | 1,072 | | | | -0.3 | % | | | 863 | |
| EMCOR Group, Inc. | | | 949 | | | | -0.3 | % | | | 845 | |
| Vishay Intertechnology, Inc. | | | 4,736 | | | | -0.3 | % | | | 829 | |
| Coeur Mining, Inc.* | | | 4,153 | | | | -0.2 | % | | | 784 | |
| SpartanNash Co. | | | 1,886 | | | | -0.2 | % | | | 726 | |
| Rexnord Corp.* | | | 1,168 | | | | -0.2 | % | | | 672 | |
| Prudential Financial, Inc. | | | 894 | | | | -0.2 | % | | | 648 | |
| Mylan N.V.* | | | 3,047 | | | | -0.2 | % | | | 564 | |
| NetApp, Inc. | | | 1,806 | | | | -0.2 | % | | | 524 | |
| Perrigo Company plc | | | 676 | | | | -0.2 | % | | | 500 | |
| Citigroup, Inc. | | | 445 | | | | -0.1 | % | | | 432 | |
| ON Semiconductor Corp.* | | | 2,692 | | | | -0.1 | % | | | 417 | |
| Park Hotels & Resorts, Inc. | | | 2,903 | | | | -0.1 | % | | | 328 | |
| VEREIT, Inc. | | | 18,853 | | | | -0.1 | % | | | 298 | |
| TreeHouse Foods, Inc.* | | | 1,218 | | | | -0.1 | % | | | 268 | |
| InterDigital, Inc. | | | 1,283 | | | | -0.1 | % | | | 264 | |
| AbbVie, Inc. | | | 302 | | | | -0.1 | % | | | 183 | |
| Interpublic Group of Companies, Inc. | | | 2,249 | | | | 0.0 | % | | | 136 | |
| Allergan plc | | | 246 | | | | 0.0 | % | | | 102 | |
| Hershey Co. | | | 325 | | | | 0.0 | % | | | 87 | |
| Lowe's Companies, Inc. | | | 378 | | | | 0.0 | % | | | 10 | |
| Nike, Inc. — Class B | | | 486 | | | | 0.0 | % | | | (73 | ) |
| Kansas City Southern | | | 318 | | | | 0.0 | % | | | (97 | ) |
| JPMorgan Chase & Co. | | | 481 | | | | 0.0 | % | | | (114 | ) |
| United Natural Foods, Inc.* | | | 1,257 | | | | 0.1 | % | | | (258 | ) |
| Crane Co. | | | 475 | | | | 0.1 | % | | | (295 | ) |
| Medtronic plc | | | 821 | | | | 0.1 | % | | | (308 | ) |
| Owens-Illinois, Inc.* | | | 2,196 | | | | 0.1 | % | | | (318 | ) |
| Cooper-Standard Holdings, Inc.* | | | 346 | | | | 0.1 | % | | | (320 | ) |
| Louisiana-Pacific Corp. | | | 1,125 | | | | 0.1 | % | | | (328 | ) |
| New Media Investment Group, Inc. | | | 2,153 | | | | 0.1 | % | | | (334 | ) |
| Eli Lilly & Co. | | | 793 | | | | 0.1 | % | | | (353 | ) |
| Becton Dickinson and Co. | | | 147 | | | | 0.1 | % | | | (360 | ) |
| WellCare Health Plans, Inc.* | | | 264 | | | | 0.1 | % | | | (387 | ) |
| Starbucks Corp. | | | 553 | | | | 0.1 | % | | | (388 | ) |
| AECOM* | | | 960 | | | | 0.1 | % | | | (413 | ) |
| Trinity Industries, Inc. | | | 1,027 | | | | 0.1 | % | | | (431 | ) |
| PepsiCo, Inc. | | | 295 | | | | 0.2 | % | | | (499 | ) |
| Mastercard, Inc. — Class A | | | 177 | | | | 0.2 | % | | | (514 | ) |
| Regal Beloit Corp. | | | 1,890 | | | | 0.2 | % | | | (520 | ) |
| FedEx Corp. | | | 128 | | | | 0.2 | % | | | (562 | ) |
| McDonald's Corp. | | | 203 | | | | 0.2 | % | | | (567 | ) |
| Travelers Companies, Inc. | | | 229 | | | | 0.2 | % | | | (614 | ) |
| Charles River Laboratories International, Inc.* | | | 511 | | | | 0.2 | % | | | (685 | ) |
| Verizon Communications, Inc. | | | 3,993 | | | | 0.2 | % | | | (714 | ) |
| Walmart, Inc. | | | 363 | | | | 0.2 | % | | | (746 | ) |
| Thermo Fisher Scientific, Inc. | | | 151 | | | | 0.2 | % | | | (778 | ) |
| Cardtronics plc — Class A* | | | 1,308 | | | | 0.3 | % | | | (818 | ) |
| Senior Housing Properties Trust | | | 8,539 | | | | 0.3 | % | | | (822 | ) |
| 16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Percentage
Value | | | Unrealized
Loss | |
| | | | | | | | | | |
| Eaton Corporation plc | | | 432 | | | | 0.3 | % | | $ | (847 | ) |
| Merck & Company, Inc. | | | 3,152 | | | | 0.3 | % | | | (872 | ) |
| Quanta Services, Inc.* | | | 1,329 | | | | 0.3 | % | | | (884 | ) |
| Eagle Pharmaceuticals, Inc.* | | | 620 | | | | 0.3 | % | | | (902 | ) |
| Procter & Gamble Co. | | | 506 | | | | 0.3 | % | | | (917 | ) |
| Toll Brothers, Inc. | | | 859 | | | | 0.3 | % | | | (923 | ) |
| Intuitive Surgical, Inc.* | | | 75 | | | | 0.3 | % | | | (974 | ) |
| Genesee & Wyoming, Inc. — Class A* | | | 1,784 | | | | 0.3 | % | | | (1,025 | ) |
| CoreLogic, Inc.* | | | 1,220 | | | | 0.3 | % | | | (1,068 | ) |
| Texas Instruments, Inc. | | | 197 | | | | 0.3 | % | | | (1,076 | ) |
| Seagate Technology plc | | | 709 | | | | 0.3 | % | | | (1,090 | ) |
| Amgen, Inc. | | | 926 | | | | 0.3 | % | | | (1,095 | ) |
| Adobe Systems, Inc.* | | | 94 | | | | 0.3 | % | | | (1,104 | ) |
| AT&T, Inc. | | | 1,017 | | | | 0.4 | % | | | (1,134 | ) |
| Nexstar Media Group, Inc. — Class A | | | 898 | | | | 0.4 | % | | | (1,145 | ) |
| KBR, Inc. | | | 5,061 | | | | 0.4 | % | | | (1,148 | ) |
| Benchmark Electronics, Inc. | | | 2,794 | | | | 0.4 | % | | | (1,187 | ) |
| MAXIMUS, Inc. | | | 1,185 | | | | 0.4 | % | | | (1,193 | ) |
| Schlumberger Ltd. | | | 495 | | | | 0.4 | % | | | (1,203 | ) |
| Wells Fargo & Co. | | | 623 | | | | 0.4 | % | | | (1,228 | ) |
| Visa, Inc. — Class A | | | 260 | | | | 0.4 | % | | | (1,230 | ) |
| F5 Networks, Inc.* | | | 227 | | | | 0.4 | % | | | (1,282 | ) |
| Kroger Co. | | | 1,599 | | | | 0.4 | % | | | (1,318 | ) |
| Walt Disney Co. | | | 318 | | | | 0.4 | % | | | (1,332 | ) |
| Home Depot, Inc. | | | 182 | | | | 0.4 | % | | | (1,336 | ) |
| Norfolk Southern Corp. | | | 327 | | | | 0.4 | % | | | (1,388 | ) |
| U.S. Bancorp | | | 617 | | | | 0.4 | % | | | (1,391 | ) |
| AMC Networks, Inc. — Class A* | | | 1,089 | | | | 0.4 | % | | | (1,399 | ) |
| Ingersoll-Rand plc | | | 365 | | | | 0.4 | % | | | (1,438 | ) |
| Fidelity National Information Services, Inc. | | | 325 | | | | 0.5 | % | | | (1,483 | ) |
| Broadcom Ltd. | | | 134 | | | | 0.5 | % | | | (1,518 | ) |
| NVIDIA Corp. | | | 86 | | | | 0.5 | % | | | (1,566 | ) |
| Motorola Solutions, Inc. | | | 387 | | | | 0.5 | % | | | (1,593 | ) |
| Horizon Pharma plc* | | | 2,398 | | | | 0.5 | % | | | (1,715 | ) |
| Taylor Morrison Home Corp. — Class A* | | | 1,591 | | | | 0.5 | % | | | (1,725 | ) |
| Consolidated Edison, Inc. | | | 2,156 | | | | 0.5 | % | | | (1,736 | ) |
| United Technologies Corp. | | | 170 | | | | 0.5 | % | | | (1,745 | ) |
| Bristol-Myers Squibb Co. | | | 495 | | | | 0.5 | % | | | (1,755 | ) |
| Oracle Corp. | | | 1,274 | | | | 0.6 | % | | | (1,783 | ) |
| Lockheed Martin Corp. | | | 95 | | | | 0.6 | % | | | (1,792 | ) |
| Gannett Company, Inc. | | | 10,008 | | | | 0.6 | % | | | (1,813 | ) |
| MSG Networks, Inc. — Class A* | | | 1,340 | | | | 0.6 | % | | | (1,838 | ) |
| United States Cellular Corp.* | | | 2,655 | | | | 0.6 | % | | | (1,865 | ) |
| NCR Corp.* | | | 1,031 | | | | 0.6 | % | | | (1,865 | ) |
| International Business Machines Corp. | | | 459 | | | | 0.6 | % | | | (1,889 | ) |
| Honeywell International, Inc. | | | 215 | | | | 0.6 | % | | | (1,890 | ) |
| Gibraltar Industries, Inc.* | | | 1,205 | | | | 0.6 | % | | | (1,928 | ) |
| Masco Corp. | | | 1,660 | | | | 0.6 | % | | | (2,022 | ) |
| Domtar Corp. | | | 729 | | | | 0.6 | % | | | (2,043 | ) |
| EnerSys | | | 1,205 | | | | 0.6 | % | | | (2,073 | ) |
| KLA-Tencor Corp. | | | 391 | | | | 0.6 | % | | | (2,092 | ) |
| PACCAR, Inc. | | | 1,284 | | | | 0.6 | % | | | (2,099 | ) |
| Alcoa Corp.* | | | 699 | | | | 0.7 | % | | | (2,132 | ) |
| Applied Optoelectronics, Inc.* | | | 1,218 | | | | 0.7 | % | | | (2,145 | ) |
| 3M Co. | | | 139 | | | | 0.7 | % | | | (2,148 | ) |
| UnitedHealth Group, Inc. | | | 143 | | | | 0.7 | % | | | (2,291 | ) |
| Omnicom Group, Inc. | | | 2,282 | | | | 0.7 | % | | | (2,307 | ) |
| Acuity Brands, Inc. | | | 282 | | | | 0.7 | % | | | (2,324 | ) |
| US Foods Holding Corp.* | | | 3,446 | | | | 0.8 | % | | | (2,498 | ) |
| Copa Holdings S.A. — Class A | | | 298 | | | | 0.8 | % | | | (2,508 | ) |
| CA, Inc. | | | 1,543 | | | | 0.8 | % | | | (2,708 | ) |
| Prestige Brands Holdings, Inc.* | | | 3,031 | | | | 0.9 | % | | | (2,789 | ) |
| Belden, Inc. | | | 507 | | | | 0.9 | % | | | (2,806 | ) |
| Apple, Inc. | | | 712 | | | | 0.9 | % | | | (2,855 | ) |
| Xerox Corp. | | | 1,517 | | | | 0.9 | % | | | (2,875 | ) |
| Exxon Mobil Corp. | | | 1,933 | | | | 0.9 | % | | | (2,892 | ) |
| Southwest Airlines Co. | | | 2,658 | | | | 0.9 | % | | | (2,924 | ) |
| Berkshire Hathaway, Inc. — Class B* | | | 269 | | | | 0.9 | % | | | (3,021 | ) |
| Convergys Corp. | | | 3,983 | | | | 1.0 | % | | | (3,087 | ) |
| Occidental Petroleum Corp. | | | 2,487 | | | | 1.0 | % | | | (3,123 | ) |
| United Therapeutics Corp.* | | | 941 | | | | 1.0 | % | | | (3,218 | ) |
| Performance Food Group Co.* | | | 2,575 | | | | 1.0 | % | | | (3,283 | ) |
| Western Union Co. | | | 6,093 | | | | 1.0 | % | | | (3,340 | ) |
| Bank of America Corp. | | | 1,344 | | | | 1.1 | % | | | (3,461 | ) |
| Chevron Corp. | | | 1,685 | | | | 1.1 | % | | | (3,612 | ) |
| News Corp. — Class A | | | 5,622 | | | | 1.1 | % | | | (3,701 | ) |
| DowDuPont, Inc. | | | 484 | | | | 1.2 | % | | | (3,780 | ) |
| Sabre Corp. | | | 1,873 | | | | 1.2 | % | | | (3,961 | ) |
| QUALCOMM, Inc. | | | 371 | | | | 1.2 | % | | | (3,968 | ) |
| Ingredion, Inc. | | | 1,153 | | | | 1.2 | % | | | (3,988 | ) |
| Alphabet, Inc. — Class C* | | | 84 | | | | 1.3 | % | | | (4,116 | ) |
| Cummins, Inc. | | | 895 | | | | 1.3 | % | | | (4,264 | ) |
| Owens Corning | | | 1,763 | | | | 1.4 | % | | | (4,390 | ) |
| Williams Companies, Inc. | | | 1,363 | | | | 1.4 | % | | | (4,437 | ) |
| AGCO Corp. | | | 1,217 | | | | 1.5 | % | | | (4,714 | ) |
| Johnson & Johnson | | | 1,611 | | | | 1.5 | % | | | (4,801 | ) |
| Spirit AeroSystems Holdings, Inc. — Class A | | | 668 | | | | 1.6 | % | | | (5,058 | ) |
| Cigna Corp. | | | 196 | | | | 1.6 | % | | | (5,268 | ) |
| Huntsman Corp. | | | 1,442 | | | | 1.6 | % | | | (5,269 | ) |
| Darling Ingredients, Inc.* | | | 3,618 | | | | 1.7 | % | | | (5,463 | ) |
| Greenbrier Companies, Inc. | | | 2,957 | | | | 1.7 | % | | | (5,470 | ) |
| Alaska Air Group, Inc. | | | 2,006 | | | | 1.8 | % | | | (5,717 | ) |
| Principal Financial Group, Inc. | | | 2,352 | | | | 1.8 | % | | | (5,833 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 17 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Percentage
Value | | | Unrealized
Gain (Loss) | |
| | | | | | | | | | |
| AmerisourceBergen Corp. — Class A | | | 752 | | | | 1.8 | % | | $ | (5,851 | ) |
| Meritor, Inc.* | | | 3,001 | | | | 1.8 | % | | | (5,871 | ) |
| Pilgrim's Pride Corp.* | | | 5,689 | | | | 1.8 | % | | | (5,917 | ) |
| Coherent, Inc.* | | | 232 | | | | 1.9 | % | | | (5,988 | ) |
| McKesson Corp. | | | 602 | | | | 2.0 | % | | | (6,490 | ) |
| Pfizer, Inc. | | | 4,710 | | | | 2.0 | % | | | (6,618 | ) |
| Comcast Corp. — Class A | | | 5,362 | | | | 2.1 | % | | | (6,637 | ) |
| Sprint Corp.* | | | 12,605 | | | | 2.1 | % | | | (6,770 | ) |
| Lions Gate Entertainment Corp. — Class A | | | 4,564 | | | | 2.3 | % | | | (7,400 | ) |
| Sanderson Farms, Inc. | | | 1,184 | | | | 2.3 | % | | | (7,483 | ) |
| Snap-on, Inc. | | | 597 | | | | 2.3 | % | | | (7,558 | ) |
| LyondellBasell Industries N.V. — Class A | | | 745 | | | | 2.5 | % | | | (8,107 | ) |
| Juniper Networks, Inc. | | | 5,805 | | | | 2.6 | % | | | (8,439 | ) |
| CVS Health Corp. | | | 1,434 | | | | 2.7 | % | | | (8,618 | ) |
| Facebook, Inc. — Class A* | | | 345 | | | | 2.7 | % | | | (8,871 | ) |
| Zimmer Biomet Holdings, Inc. | | | 996 | | | | 2.8 | % | | | (8,949 | ) |
| Cardinal Health, Inc. | | | 1,288 | | | | 2.8 | % | | | (9,029 | ) |
| Molson Coors Brewing Co. — Class B | | | 2,138 | | | | 2.9 | % | | | (9,241 | ) |
| TEGNA, Inc. | | | 4,545 | | | | 3.0 | % | | | (9,809 | ) |
| Cirrus Logic, Inc.* | | | 2,829 | | | | 3.1 | % | | | (9,950 | ) |
| Micron Technology, Inc.* | | | 1,115 | | | | 3.1 | % | | | (10,012 | ) |
| HP, Inc. | | | 5,809 | | | | 3.3 | % | | | (10,776 | ) |
| Tyson Foods, Inc. — Class A | | | 2,089 | | | | 4.0 | % | | | (12,891 | ) |
| Versartis, Inc.* | | | 18,872 | | | | 5.0 | % | | | (16,213 | ) |
| Celgene Corp.* | | | 1,787 | | | | 5.0 | % | | | (16,223 | ) |
| National Fuel Gas Co. | | | 3,246 | | | | 5.6 | % | | | (17,961 | ) |
| Tech Data Corp.* | | | 1,170 | | | | 7.1 | % | | | (23,014 | ) |
| Edgewell Personal Care Co.* | | | 3,389 | | | | 7.7 | % | | | (24,882 | ) |
| General Mills, Inc. | | | 3,084 | | | | 9.5 | % | | | (30,692 | ) |
| Biogen, Inc.* | | | 571 | | | | 9.8 | % | | | (31,739 | ) |
| Total Custom Basket of Long Securities | | | | | | | | | | | (322,930 | ) |
| | | | | | | | | | | | | |
| CUSTOM BASKET OF SHORT SECURITIES 5 |
| Healthcare Services Group, Inc. | | | (10,590 | ) | | | -4.4 | % | | | 55,611 | |
| Albemarle Corp. | | | (947 | ) | | | -3.1 | % | | | 39,129 | |
| NewMarket Corp. | | | (1,149 | ) | | | -2.7 | % | | | 33,773 | |
| Covanta Holding Corp. | | | (29,145 | ) | | | -2.4 | % | | | 30,531 | |
| Vulcan Materials Co. | | | (3,278 | ) | | | -2.2 | % | | | 27,653 | |
| Capitol Federal Financial, Inc. | | | (20,473 | ) | | | -2.0 | % | | | 25,701 | |
| Charles Schwab Corp. | | | (5,891 | ) | | | -1.8 | % | | | 22,506 | |
| Extraction Oil & Gas, Inc.* | | | (9,147 | ) | | | -1.8 | % | | | 22,311 | |
| Camden Property Trust | | | (3,863 | ) | | | -1.7 | % | | | 21,527 | |
| Compass Minerals International, Inc. | | | (5,236 | ) | | | -1.4 | % | | | 18,319 | |
| Terreno Realty Corp. | | | (9,069 | ) | | | -1.4 | % | | | 17,932 | |
| Education Realty Trust, Inc. | | | (5,204 | ) | | | -1.4 | % | | | 17,832 | |
| Sensient Technologies Corp. | | | (1,845 | ) | | | -1.4 | % | | | 17,319 | |
| Martin Marietta Materials, Inc. | | | (1,564 | ) | | | -1.4 | % | | | 17,304 | |
| CyrusOne, Inc. | | | (2,934 | ) | | | -1.3 | % | | | 17,081 | |
| Tesla, Inc.* | | | (303 | ) | | | -1.2 | % | | | 14,886 | |
| ABM Industries, Inc. | | | (13,700 | ) | | | -1.0 | % | | | 12,977 | |
| Advanced Micro Devices, Inc.* | | | (9,568 | ) | | | -0.9 | % | | | 11,472 | |
| White Mountains Insurance Group Ltd. | | | (442 | ) | | | -0.9 | % | | | 11,252 | |
| Tetra Tech, Inc. | | | (3,681 | ) | | | -0.7 | % | | | 8,279 | |
| Air Products & Chemicals, Inc. | | | (2,760 | ) | | | -0.6 | % | | | 7,694 | |
| Align Technology, Inc.* | | | (350 | ) | | | -0.5 | % | | | 6,711 | |
| KAR Auction Services, Inc. | | | (4,332 | ) | | | -0.5 | % | | | 6,530 | |
| Netflix, Inc.* | | | (298 | ) | | | -0.5 | % | | | 6,430 | |
| Inphi Corp.* | | | (3,029 | ) | | | -0.5 | % | | | 5,832 | |
| First Data Corp. — Class A* | | | (5,466 | ) | | | -0.4 | % | | | 5,273 | |
| Workday, Inc. — Class A* | | | (786 | ) | | | -0.4 | % | | | 5,100 | |
| South Jersey Industries, Inc. | | | (4,133 | ) | | | -0.4 | % | | | 5,022 | |
| Gartner, Inc.* | | | (851 | ) | | | -0.4 | % | | | 4,531 | |
| ServiceNow, Inc.* | | | (560 | ) | | | -0.4 | % | | | 4,515 | |
| Intercontinental Exchange, Inc. | | | (2,574 | ) | | | -0.3 | % | | | 4,303 | |
| FMC Corp. | | | (1,484 | ) | | | -0.3 | % | | | 4,222 | |
| National Instruments Corp. | | | (1,816 | ) | | | -0.3 | % | | | 3,866 | |
| Republic Services, Inc. — Class A | | | (2,002 | ) | | | -0.3 | % | | | 3,815 | |
| CarMax, Inc.* | | | (4,597 | ) | | | -0.3 | % | | | 3,807 | |
| Cboe Global Markets, Inc. | | | (1,760 | ) | | | -0.3 | % | | | 3,471 | |
| Aon plc | | | (2,616 | ) | | | -0.2 | % | | | 3,124 | |
| Flagstar Bancorp, Inc.* | | | (3,145 | ) | | | -0.2 | % | | | 2,939 | |
| Rexford Industrial Realty, Inc. | | | (6,602 | ) | | | -0.2 | % | | | 2,102 | |
| CME Group, Inc. — Class A | | | (576 | ) | | | -0.2 | % | | | 1,946 | |
| Alliant Energy Corp. | | | (2,660 | ) | | | -0.1 | % | | | 1,572 | |
| Alexandria Real Estate Equities, Inc. | | | (2,449 | ) | | | -0.1 | % | | | 1,525 | |
| Equifax, Inc. | | | (2,407 | ) | | | -0.1 | % | | | 1,363 | |
| Ashland Global Holdings, Inc. | | | (1,326 | ) | | | -0.1 | % | | | 1,184 | |
| Washington Federal, Inc. | | | (2,832 | ) | | | -0.1 | % | | | 1,095 | |
| Dominion Energy, Inc. | | | (1,380 | ) | | | 0.0 | % | | | 300 | |
| International Flavors & Fragrances, Inc. | | | (2,959 | ) | | | 0.0 | % | | | 284 | |
| Whiting Petroleum Corp.* | | | (3,080 | ) | | | 0.0 | % | | | (397 | ) |
| SPS Commerce, Inc.* | | | (1,503 | ) | | | 0.0 | % | | | (606 | ) |
| Equity LifeStyle Properties, Inc. | | | (4,425 | ) | | | 0.1 | % | | | (667 | ) |
| Shake Shack, Inc. — Class A* | | | (5,945 | ) | | | 0.1 | % | | | (826 | ) |
| Nabors Industries Ltd. | | | (43,581 | ) | | | 0.1 | % | | | (894 | ) |
| Glacier Bancorp, Inc. | | | (2,620 | ) | | | 0.1 | % | | | (1,139 | ) |
| Essex Property Trust, Inc. | | | (402 | ) | | | 0.1 | % | | | (1,386 | ) |
| Cornerstone OnDemand, Inc.* | | | (2,528 | ) | | | 0.2 | % | | | (1,980 | ) |
| 18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| LONG SHORT EQUITY FUND | |
| | | Shares | | | Percentage
Value | | | Unrealized
Loss | |
| | | | | | | | | | |
| Equity Commonwealth* | | | (9,779 | ) | | | 0.2 | % | | $ | (2,160 | ) |
| Equinix, Inc. | | | (364 | ) | | | 0.2 | % | | | (2,238 | ) |
| EastGroup Properties, Inc. | | | (3,547 | ) | | | 0.2 | % | | | (2,256 | ) |
| Federal Realty Investment Trust | | | (1,770 | ) | | | 0.2 | % | | | (2,474 | ) |
| Sun Communities, Inc. | | | (4,204 | ) | | | 0.2 | % | | | (2,541 | ) |
| Wendy's Co. | | | (8,120 | ) | | | 0.2 | % | | | (2,740 | ) |
| Royal Gold, Inc. | | | (3,294 | ) | | | 0.2 | % | | | (2,849 | ) |
| Balchem Corp. | | | (3,425 | ) | | | 0.2 | % | | | (3,159 | ) |
| Aspen Insurance Holdings Ltd. | | | (3,645 | ) | | | 0.3 | % | | | (3,188 | ) |
| Hudson Pacific Properties, Inc. | | | (9,708 | ) | | | 0.3 | % | | | (3,341 | ) |
| Realty Income Corp. | | | (1,871 | ) | | | 0.3 | % | | | (3,400 | ) |
| Goldman Sachs Group, Inc. | | | (797 | ) | | | 0.3 | % | | | (3,406 | ) |
| AvalonBay Communities, Inc. | | | (575 | ) | | | 0.3 | % | | | (3,614 | ) |
| Team, Inc.* | | | (9,108 | ) | | | 0.3 | % | | | (3,952 | ) |
| People's United Financial, Inc. | | | (4,714 | ) | | | 0.3 | % | | | (4,219 | ) |
| Ellie Mae, Inc.* | | | (1,205 | ) | | | 0.4 | % | | | (4,574 | ) |
| Vail Resorts, Inc. | | | (486 | ) | | | 0.4 | % | | | (5,542 | ) |
| Semtech Corp.* | | | (3,042 | ) | | | 0.5 | % | | | (5,859 | ) |
| Mobile Mini, Inc. | | | (4,554 | ) | | | 0.5 | % | | | (6,100 | ) |
| Robert Half International, Inc. | | | (1,536 | ) | | | 0.5 | % | | | (6,524 | ) |
| Redwood Trust, Inc. | | | (8,223 | ) | | | 0.5 | % | | | (6,831 | ) |
| Investors Bancorp, Inc. | | | (12,234 | ) | | | 0.6 | % | | | (7,803 | ) |
| Healthcare Trust of America, Inc. — Class A | | | (8,600 | ) | | | 0.6 | % | | | (7,927 | ) |
| Crown Castle International Corp. | | | (2,723 | ) | | | 0.7 | % | | | (8,480 | ) |
| SL Green Realty Corp. | | | (2,223 | ) | | | 0.7 | % | | | (9,222 | ) |
| Cannae Holdings, Inc.* | | | (7,239 | ) | | | 0.7 | % | | | (9,343 | ) |
| Equity Residential | | | (1,567 | ) | | | 0.7 | % | | | (9,466 | ) |
| Duke Realty Corp. | | | (5,913 | ) | | | 0.8 | % | | | (9,858 | ) |
| DCT Industrial Trust, Inc. | | | (7,594 | ) | | | 0.8 | % | | | (9,943 | ) |
| FireEye, Inc.* | | | (6,632 | ) | | | 0.8 | % | | | (10,603 | ) |
| Ultimate Software Group, Inc.* | | | (566 | ) | | | 0.9 | % | | | (11,862 | ) |
| Eaton Vance Corp. | | | (1,831 | ) | | | 1.0 | % | | | (12,555 | ) |
| TransUnion* | | | (7,980 | ) | | | 1.0 | % | | | (13,028 | ) |
| LendingTree, Inc.* | | | (328 | ) | | | 1.1 | % | | | (13,916 | ) |
| SEI Investments Co. | | | (1,670 | ) | | | 1.1 | % | | | (14,184 | ) |
| Domino's Pizza, Inc. | | | (717 | ) | | | 1.2 | % | | | (15,110 | ) |
| WD-40 Co. | | | (712 | ) | | | 1.2 | % | | | (15,545 | ) |
| Ecolab, Inc. | | | (3,350 | ) | | | 1.2 | % | | | (15,623 | ) |
| Booking Holdings, Inc.* | | | (65 | ) | | | 1.3 | % | | | (16,234 | ) |
| RLI Corp. | | | (4,000 | ) | | | 1.3 | % | | | (16,722 | ) |
| Kilroy Realty Corp. | | | (3,108 | ) | | | 1.3 | % | | | (17,131 | ) |
| Boston Properties, Inc. | | | (3,443 | ) | | | 1.5 | % | | | (18,947 | ) |
| FactSet Research Systems, Inc. | | | (1,309 | ) | | | 1.6 | % | | | (19,806 | ) |
| American Tower Corp. — Class A | | | (1,973 | ) | | | 1.6 | % | | | (20,426 | ) |
| Parsley Energy, Inc. — Class A* | | | (15,323 | ) | | | 1.6 | % | | | (20,508 | ) |
| Ingevity Corp.* | | | (1,582 | ) | | | 1.7 | % | | | (22,057 | ) |
| Allegheny Technologies, Inc.* | | | (6,879 | ) | | | 1.8 | % | | | (22,273 | ) |
| Crocs, Inc.* | | | (8,661 | ) | | | 1.8 | % | | | (23,088 | ) |
| Exponent, Inc. | | | (5,852 | ) | | | 1.9 | % | | | (24,411 | ) |
| UDR, Inc. | | | (12,279 | ) | | | 2.2 | % | | | (27,886 | ) |
| Markel Corp.* | | | (347 | ) | | | 2.2 | % | | | (28,579 | ) |
| Five Below, Inc.* | | | (1,588 | ) | | | 2.3 | % | | | (29,177 | ) |
| Tyler Technologies, Inc.* | | | (1,105 | ) | | | 2.4 | % | | | (30,141 | ) |
| Callon Petroleum Co.* | | | (10,469 | ) | | | 2.4 | % | | | (31,005 | ) |
| Pegasystems, Inc. | | | (2,311 | ) | | | 2.5 | % | | | (31,187 | ) |
| Pool Corp. | | | (1,166 | ) | | | 2.6 | % | | | (32,616 | ) |
| Insperity, Inc. | | | (2,897 | ) | | | 2.7 | % | | | (34,118 | ) |
| SBA Communications Corp.* | | | (1,642 | ) | | | 2.7 | % | | | (34,379 | ) |
| Howard Hughes Corp.* | | | (2,072 | ) | | | 2.8 | % | | | (35,343 | ) |
| MarketAxess Holdings, Inc. | | | (1,686 | ) | | | 2.8 | % | | | (35,464 | ) |
| RSP Permian, Inc.* | | | (5,133 | ) | | | 2.9 | % | | | (37,244 | ) |
| Axis Capital Holdings Ltd. | | | (5,959 | ) | | | 3.1 | % | | | (39,560 | ) |
| MSCI, Inc. — Class A | | | (1,984 | ) | | | 3.4 | % | | | (43,328 | ) |
| PTC, Inc.* | | | (2,707 | ) | | | 3.4 | % | | | (43,333 | ) |
| Diamondback Energy, Inc.* | | | (2,521 | ) | | | 3.5 | % | | | (44,492 | ) |
| Ollie's Bargain Outlet Holdings, Inc.* | | | (2,376 | ) | | | 3.7 | % | | | (46,450 | ) |
| Moody's Corp. | | | (1,956 | ) | | | 3.7 | % | | | (46,845 | ) |
| CoStar Group, Inc.* | | | (899 | ) | | | 4.2 | % | | | (53,780 | ) |
| S&P Global, Inc. | | | (1,666 | ) | | | 4.3 | % | | | (54,160 | ) |
| Verisk Analytics, Inc. — Class A* | | | (4,424 | ) | | | 4.4 | % | | | (56,410 | ) |
| Monolithic Power Systems, Inc. | | | (3,254 | ) | | | 4.4 | % | | | (56,436 | ) |
| Rollins, Inc. | | | (9,084 | ) | | | 4.5 | % | | | (57,576 | ) |
| Cintas Corp. | | | (2,702 | ) | | | 4.6 | % | | | (58,099 | ) |
| On Assignment, Inc.* | | | (5,590 | ) | | | 6.7 | % | | | (84,927 | ) |
| Southern Copper Corp. | | | (8,565 | ) | | | 7.5 | % | | | (95,203 | ) |
| Copart, Inc.* | | | (9,210 | ) | | | 11.1 | % | | | (141,359 | ) |
| Total Custom Basket of Short Securities | | | | | | | | | | | (1,272,079 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| 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 March 29, 2018. |
| 2 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 3 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 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 the rate effective at March 29, 2018. |
| 6 | | Total Return based on the return of the custom long basket of securities +/- financing at a variable rate. Rate indicated is the rate effective at March 29, 2018. |
| | | 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 March 29, 2018 (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 | | $ | 32,022,984 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,022,984 | |
| Money Market Fund | | | 524,807 | | | | — | | | | — | | | | — | | | | — | | | | 524,807 | |
| Securities Lending Collateral | | | 88,245 | | | | — | | | | — | | | | — | | | | — | | | | 88,245 | |
| Total Assets | | $ | 32,636,036 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 32,636,036 | |
| 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 | |
| Custom Basket Swap Agreements | | $ | — | | | $ | — | | | $ | — | | | $ | 1,595,009 | | | $ | — | | | $ | 1,595,009 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| LONG SHORT EQUITY 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 the Guggenheim Investments (“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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 2,110,841 | | | $ | 5,122 | | | $ | (2,116,806 | ) | | $ | 7,831 | | | $ | (6,988 | ) | | $ | — | | | | — | | | $ | 5,317 | | | $ | — | |
| Guggenheim Strategy Fund II | | | 14,592 | | | | 49 | | | | (14,641 | ) | | | 48 | | | | (48 | ) | | | — | | | | — | | | | 51 | | | | — | |
| | | $ | 2,125,433 | | | $ | 5,171 | | | $ | (2,131,447 | ) | | $ | 7,879 | | | $ | (7,036 | ) | | $ | — | | | | | | | $ | 5,368 | | | $ | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 21 |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 |
| Assets: |
| Investments, at value - including $87,885 of securities loaned (cost $32,482,395) | | $ | 32,636,036 | |
| Cash | | | 6,468 | |
| Receivables: |
| Securities sold | | | 59,887 | |
| Dividends | | | 35,244 | |
| Fund shares sold | | | 8,843 | |
| Securities lending income | | | 120 | |
| Total assets | | | 32,746,598 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 1,595,009 | |
| Payable for: |
| Securities purchased | | | 151,492 | |
| Swap settlement | | | 110,781 | |
| Return of securities loaned | | | 88,245 | |
| Management fees | | | 24,200 | |
| Distribution and service fees | | | 13,690 | |
| Transfer agent and administrative fees | | | 6,722 | |
| Portfolio accounting fees | | | 2,689 | |
| Fund shares redeemed | | | 1,570 | |
| Trustees’ fees* | | | 880 | |
| Miscellaneous | | | 9,739 | |
| Total liabilities | | | 2,005,017 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 30,741,581 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 32,718,510 | |
| Accumulated net investment loss | | | (10,761 | ) |
| Accumulated net realized loss on investments | | | (524,800 | ) |
| Net unrealized depreciation on investments | | | (1,441,368 | ) |
| Net assets | | $ | 30,741,581 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 4,011,769 | |
| Capital shares outstanding | | | 230,384 | |
| Net asset value per share | | $ | 17.41 | |
| Maximum offering price per share(Net asset value divided by 95.25%) | | $ | 18.28 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 11,394,258 | |
| Capital shares outstanding | | | 738,671 | |
| Net asset value per share | | $ | 15.43 | |
| | | | | |
| P-Class: |
| Net assets | | $ | 12,613,645 | |
| Capital shares outstanding | | | 722,047 | |
| Net asset value per share | | $ | 17.47 | |
| | | | | |
| Institutional Class: |
| Net assets | | $ | 2,721,909 | |
| Capital shares outstanding | | | 152,998 | |
| Net asset value per share | | $ | 17.79 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 22 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $118) | | $ | 565,612 | |
| Dividends from securities of affiliated issuers | | | 5,368 | |
| Interest | | | 10,228 | |
| Income from securities lending, net | | | 6,717 | |
| Total investment income | | | 587,925 | |
| | | | | |
| Expenses: |
| Management fees | | | 297,715 | |
| Distribution and service fees: |
| A-Class | | | 10,751 | |
| C-Class | | | 125,764 | |
| P-Class | | | 34,671 | |
| Transfer agent and administrative fees | | | 82,698 | |
| Portfolio accounting fees | | | 33,079 | |
| Short sales dividend expense | | | 26,830 | |
| Custodian fees | | | 4,568 | |
| Trustees’ fees* | | | 2,840 | |
| Line of credit fees | | | 52 | |
| Miscellaneous | | | 52,777 | |
| Total expenses | | | 671,745 | |
| Net investment loss | | | (83,820 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | | 5,446,947 | |
| Investments in affiliated issuers | | | 7,879 | |
| Swap agreements | | | 946,416 | |
| Futures contracts | | | 3,211 | |
| Securities sold short | | | (31,728 | ) |
| Net realized gain | | | 6,372,725 | |
| Net change in unrealized appreciation(depreciation) on: |
| Investments in unaffiliated issuers | | | (1,733,149 | ) |
| Investments in affiliated issuers | | | (7,036 | ) |
| Securities sold short | | | 233,941 | |
| Swap agreements | | | (1,595,009 | ) |
| Futures contracts | | | (2,656 | ) |
| Net change in unrealized appreciation(depreciation) | | | (3,103,909 | ) |
| Net realized and unrealized gain | | | 3,268,816 | |
| Net increase in net assets resulting from operations | | $ | 3,184,996 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment loss | | $ | (83,820 | ) | | $ | (347,916 | ) |
| Net realized gain on investments | | | 6,372,725 | | | | 2,025,026 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,103,909 | ) | | | (240,014 | ) |
| Net increase in net assets resulting from operations | | | 3,184,996 | | | | 1,437,096 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 577,927 | | | | 1,205,531 | |
| C-Class | | | 161,671 | | | | 193,581 | |
| P-Class | | | 2,471,294 | | | | 2,123,896 | |
| Institutional Class | | | 1,007,906 | | | | 3,533,696 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (1,610,474 | ) | | | (7,699,271 | ) |
| C-Class | | | (3,171,794 | ) | | | (4,150,079 | ) |
| P-Class | | | (5,035,849 | ) | | | (12,473,835 | ) |
| Institutional Class | | | (463,615 | ) | | | (2,115,992 | ) |
| Net decrease from capital share transactions | | | (6,062,934 | ) | | | (19,382,473 | ) |
| Net decrease in net assets | | | (2,877,938 | ) | | | (17,945,377 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 33,619,519 | | | | 51,564,896 | |
| End of year | | $ | 30,741,581 | | | $ | 33,619,519 | |
| Accumulated net investment loss at end of year | | $ | (10,761 | ) | | $ | (26,950 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 33,718 | | | | 78,033 | |
| C-Class | | | 10,126 | | | | 13,820 | |
| P-Class | | | 142,498 | | | | 136,345 | |
| Institutional Class | | | 55,866 | | | | 222,295 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (95,345 | ) | | | (494,029 | ) |
| C-Class | | | (209,752 | ) | | | (297,144 | ) |
| P-Class | | | (289,528 | ) | | | (800,988 | ) |
| Institutional Class | | | (26,428 | ) | | | (132,630 | ) |
| Net decrease in shares | | | (378,845 | ) | | | (1,274,298 | ) |
| 24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.80 | | | $ | 15.26 | | | $ | 16.16 | | | $ | 15.07 | | | $ | 13.48 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | —d | | | | (.09 | ) | | | (.10 | ) | | | (.06 | ) | | | (.13 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.61 | | | | .63 | | | | (.80 | ) | | | 1.15 | | | | 1.72 | |
| Total from investment operations | | | 1.61 | | | | .54 | | | | (.90 | ) | | | 1.09 | | | | 1.59 | |
| Net asset value, end of period | | $ | 17.41 | | | $ | 15.80 | | | $ | 15.26 | | | $ | 16.16 | | | $ | 15.07 | |
| |
| Total Returnb | | | 10.19 | % | | | 3.54 | % | | | (5.57 | %) | | | 7.23 | % | | | 11.80 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 4,012 | | | $ | 4,615 | | | $ | 10,803 | | | $ | 6,063 | | | $ | 7,552 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.01 | % | | | (0.59 | %) | | | (0.66 | %) | | | (0.42 | %) | | | (0.91 | %) |
| Total expensesc,e | | | 1.77 | % | | | 2.25 | % | | | 2.53 | % | | | 2.17 | % | | | 2.34 | % |
| Portfolio turnover rate | | | 328 | % | | | 223 | % | | | 224 | % | | | 331 | % | | | 256 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 14.11 | | | $ | 13.72 | | | $ | 14.64 | | | $ | 13.76 | | | $ | 12.40 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.11 | ) | | | (.18 | ) | | | (.21 | ) | | | (.16 | ) | | | (.24 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.43 | | | | .57 | | | | (.71 | ) | | | 1.04 | | | | 1.60 | |
| Total from investment operations | | | 1.32 | | | | .39 | | | | (.92 | ) | | | .88 | | | | 1.36 | |
| Net asset value, end of period | | $ | 15.43 | | | $ | 14.11 | | | $ | 13.72 | | | $ | 14.64 | | | $ | 13.76 | |
| |
| Total Returnb | | | 9.36 | % | | | 2.77 | % | | | (6.28 | %) | | | 6.40 | % | | | 10.97 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 11,394 | | | $ | 13,235 | | | $ | 16,760 | | | $ | 19,952 | | | $ | 22,354 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.74 | %) | | | (1.30 | %) | | | (1.45 | %) | | | (1.16 | %) | | | (1.79 | %) |
| Total expensesc,e | | | 2.52 | % | | | 2.98 | % | | | 3.24 | % | | | 2.92 | % | | | 3.11 | % |
| Portfolio turnover rate | | | 328 | % | | | 223 | % | | | 224 | % | | | 331 | % | | | 256 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 25 |
| 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* | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 15.86 | | | $ | 15.31 | | | $ | 16.21 | | | $ | 15.12 | | | $ | 13.53 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | —d | | | | (.09 | ) | | | (.11 | ) | | | (.07 | ) | | | (.16 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.61 | | | | .64 | | | | (.79 | ) | | | 1.16 | | | | 1.75 | |
| Total from investment operations | | | 1.61 | | | | .55 | | | | (.90 | ) | | | 1.09 | | | | 1.59 | |
| Net asset value, end of period | | $ | 17.47 | | | $ | 15.86 | | | $ | 15.31 | | | $ | 16.21 | | | $ | 15.12 | |
| |
| Total Returnb | | | 10.15 | % | | | 3.53 | % | | | (5.55 | %) | | | 7.21 | % | | | 11.75 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 12,614 | | | $ | 13,779 | | | $ | 23,477 | | | $ | 20,020 | | | $ | 29,287 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.01 | % | | | (0.58 | %) | | | (0.67 | %) | | | (0.43 | %) | | | (1.07 | %) |
| Total expensesc,e | | | 1.76 | % | | | 2.24 | % | | | 2.50 | % | | | 2.17 | % | | | 2.36 | % |
| Portfolio turnover rate | | | 328 | % | | | 223 | % | | | 224 | % | | | 331 | % | | | 256 | % |
| 26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Institutional Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 16.11 | | | $ | 15.50 | | | $ | 16.38 | | | $ | 15.24 | | | $ | 13.60 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .05 | | | | (.03 | ) | | | (.05 | ) | | | (—)d | | | | (.12 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 1.63 | | | | .64 | | | | (.83 | ) | | | 1.14 | | | | 1.76 | |
| Total from investment operations | | | 1.68 | | | | .61 | | | | (.88 | ) | | | 1.14 | | | | 1.64 | |
| Net asset value, end of period | | $ | 17.79 | | | $ | 16.11 | | | $ | 15.50 | | | $ | 16.38 | | | $ | 15.24 | |
| |
| Total Returnb | | | 10.43 | % | | | 3.94 | % | | | (5.37 | %) | | | 7.48 | % | | | 12.06 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,722 | | | $ | 1,990 | | | $ | 525 | | | $ | 302 | | | $ | 12 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.31 | % | | | (0.20 | %) | | | (0.29 | %) | | | (0.01 | %) | | | (0.82 | %) |
| Total expensesc,e | | | 1.50 | % | | | 1.96 | % | | | 2.27 | % | | | 1.95 | % | | | 2.11 | % |
| Portfolio turnover rate | | | 328 | % | | | 223 | % | | | 224 | % | | | 331 | % | | | 256 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Net investment income is less than $0.01 per share. |
| e | | Excluding interest and dividend expense related to short sales, the operating expense ratios for the years or periods presented would be: |
| | | 03/31/18 | 03/31/17 | 03/31/16 | 03/31/15 | 03/31/14 |
| | A-Class | 1.68% | 1.67% | 1.66% | 1.66% | 1.68% |
| | C-Class | 2.44% | 2.42% | 2.41% | 2.41% | 2.42% |
| | P-Class | 1.69% | 1.67% | 1.66% | 1.66% | 1.67% |
| | Institutional Class | 1.43% | 1.43% | 1.41% | 1.40% | 1.42% |
| * | | 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 ANNUAL REPORT | 27 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND
OBJECTIVE: Seeks to achieve capital growth.
The Event Driven and Distressed Strategies Fund P-Class returned 1.07% for the one-year period ended March 29, 2018. By comparison, the S&P 500 Index returned 13.99% and the Credit Suisse Event Driven Liquid Index returned 1.39%.
The Fund gains exposure to event driven and distressed situations through various exposures such as merger arbitrage, high yield, equities, and volatility. During the period, the Fund used derivatives, such as swaps and futures, as the primary instruments to gain exposure to these factors and to provide leverage, not for hedging purposes. The fund used credit default swaps to provide efficient exposure to the high yield bond market. The results of derivatives use during the period were within our expectations and contributed to the Fund’s positive performance.
The Fund invests excess cash into the Guggenheim Strategy Funds which, in turn, invest in a diversified portfolio of debt securities and financial instruments providing exposure to fixed-income markets. The investment objective of the Guggenheim Strategy Funds is to seek a high level of income consistent with the preservation of capital. Investment in the Guggenheim Strategy Funds has benefited Fund performance relative to investing in other short-term investments.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments 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, other asset-backed securities (including mortgage-backed securities) and similarly structured debt 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 | 28.6% |
| iShares iBoxx $ High Yield Corporate Bond ETF | 10.9% |
| Guggenheim Strategy Fund I | 3.3% |
| Netflix, Inc. | 2.2% |
| Charter Communications, Inc. — Class A | 1.4% |
| Micron Technology, Inc. | 1.1% |
| General Motors Co. | 0.9% |
| Tesla, Inc. | 0.8% |
| Royal Bank of Scotland Group plc ADR | 0.8% |
| NXP Semiconductor N.V. | 0.7% |
| Top Ten Total | 50.7% |
| |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
| 28 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | Since Inception
(06/30/10) |
| A-Class Shares | 1.07% | 2.55% | 4.38% |
| A-Class Shares with sales charge‡ | (3.73%) | 1.56% | 3.73% |
| C-Class Shares | 0.29% | 1.77% | 3.59% |
| C-Class Shares with CDSC§ | (0.71%) | 1.77% | 3.59% |
| P-Class Shares | 1.07% | 2.54% | 4.38% |
| Institutional Class Shares | 1.27% | 2.79% | 4.64% |
| Credit Suisse Event Driven Liquid Index | 1.39% | 2.15% | 4.78% |
| S&P 500 Index | 13.99% | 13.31% | 15.31% |
| * | | 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. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 29 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 46.3% |
| | | | | | | |
| Consumer, Cyclical - 10.4% |
| General Motors Co. | | | 1,082 | | | $ | 39,320 | |
| Tesla, Inc.*,1 | | | 132 | | | | 35,129 | |
| Yum! Brands, Inc. | | | 256 | | | | 21,793 | |
| Hilton Worldwide Holdings, Inc. | | | 243 | | | | 19,139 | |
| American Airlines Group, Inc. | | | 368 | | | | 19,121 | |
| Dollar Tree, Inc.* | | | 181 | | | | 17,177 | |
| United Continental Holdings, Inc.* | | | 223 | | | | 15,492 | |
| MGM Resorts International | | | 440 | | | | 15,409 | |
| Lennar Corp. — Class A | | | 251 | | | | 14,794 | |
| Wynn Resorts Ltd. | | | 80 | | | | 14,589 | |
| Tata Motors Ltd. ADR* | | | 496 | | | | 12,747 | |
| Gap, Inc. | | | 307 | | | | 9,578 | |
| Norwegian Cruise Line Holdings Ltd.* | | | 176 | | | | 9,323 | |
| LKQ Corp.* | | | 240 | | | | 9,108 | |
| L Brands, Inc. | | | 220 | | | | 8,406 | |
| Aramark | | | 191 | | | | 7,556 | |
| Latam Airlines Group S.A. ADR | | | 487 | | | | 7,495 | |
| Live Nation Entertainment, Inc.* | | | 160 | | | | 6,742 | |
| PulteGroup, Inc. | | | 227 | | | | 6,694 | |
| KAR Auction Services, Inc. | | | 104 | �� | | | 5,637 | |
| HD Supply Holdings, Inc.* | | | 144 | | | | 5,463 | |
| Toll Brothers, Inc. | | | 119 | | | | 5,147 | |
| Hanesbrands, Inc.1 | | | 279 | | | | 5,139 | |
| Goodyear Tire & Rubber Co. | | | 187 | | | | 4,970 | |
| Adient plc | | | 73 | | | | 4,362 | |
| Foot Locker, Inc. | | | 94 | | | | 4,281 | |
| International Game Technology plc | | | 160 | | | | 4,277 | |
| Six Flags Entertainment Corp. | | | 67 | | | | 4,171 | |
| Allison Transmission Holdings, Inc. | | | 106 | | | | 4,140 | |
| Lions Gate Entertainment Corp. — Class A1 | | | 160 | | | | 4,133 | |
| Scotts Miracle-Gro Co. — Class A | | | 45 | | | | 3,859 | |
| Carter’s, Inc. | | | 37 | | | | 3,852 | |
| Mattel, Inc.1 | | | 273 | | | | 3,590 | |
| Hilton Grand Vacations, Inc.* | | | 83 | | | | 3,571 | |
| Choice Hotels International, Inc. | | | 44 | | | | 3,526 | |
| Cinemark Holdings, Inc. | | | 93 | | | | 3,503 | |
| Wendy’s Co. | | | 188 | | | | 3,299 | |
| ILG, Inc. | | | 97 | | | | 3,018 | |
| Penske Automotive Group, Inc. | | | 68 | | | | 3,015 | |
| FirstCash, Inc. | | | 36 | | | | 2,925 | |
| Scientific Games Corp. — Class A* | | | 70 | | | | 2,912 | |
| Extended Stay America, Inc. | | | 147 | | | | 2,906 | |
| Dana, Inc. | | | 111 | | | | 2,859 | |
| Boyd Gaming Corp. | | | 89 | | | | 2,835 | |
| Beacon Roofing Supply, Inc.* | | | 53 | | | | 2,813 | |
| Michaels Companies, Inc.* | | | 140 | | | | 2,759 | |
| Cedar Fair, LP | | | 43 | | | | 2,747 | |
| Red Rock Resorts, Inc. — Class A | | | 92 | | | | 2,694 | |
| Navistar International Corp.* | | | 77 | | | | 2,693 | |
| Churchill Downs, Inc. | | | 10 | | | | 2,441 | |
| WESCO International, Inc.* | | | 37 | | | | 2,296 | |
| Allegiant Travel Co. — Class A | | | 13 | | | | 2,243 | |
| Tenneco, Inc. | | | 40 | | | | 2,195 | |
| Wolverine World Wide, Inc. | | | 75 | | | | 2,167 | |
| Taylor Morrison Home Corp. — Class A* | | | 88 | | | | 2,049 | |
| Tempur Sealy International, Inc.* | | | 45 | | | | 2,038 | |
| Eldorado Resorts, Inc.* | | | 61 | | | | 2,013 | |
| Lithia Motors, Inc. — Class A | | | 20 | | | | 2,010 | |
| Anixter International, Inc.* | | | 26 | | | | 1,969 | |
| KB Home | | | 69 | | | | 1,963 | |
| TRI Pointe Group, Inc.* | | | 119 | | | | 1,955 | |
| Penn National Gaming, Inc.* | | | 73 | | | | 1,917 | |
| Signet Jewelers Ltd. | | | 48 | | | | 1,849 | |
| Sally Beauty Holdings, Inc.* | | | 98 | | | | 1,612 | |
| Mobile Mini, Inc. | | | 35 | | | | 1,522 | |
| Meritor, Inc.* | | | 71 | | | | 1,460 | |
| Meritage Homes Corp.* | | | 32 | | | | 1,448 | |
| AMC Entertainment Holdings, Inc. — Class A | | | 101 | | | | 1,419 | |
| Rite Aid Corp.*,1 | | | 809 | | | | 1,359 | |
| Brinker International, Inc. | | | 36 | | | | 1,300 | |
| MDC Holdings, Inc. | | | 44 | | | | 1,228 | |
| Cooper Tire & Rubber Co. | | | 40 | | | | 1,172 | |
| Party City Holdco, Inc.* | | | 75 | | | | 1,170 | |
| Caleres, Inc. | | | 34 | | | | 1,142 | |
| American Axle & Manufacturing Holdings, Inc.* | | | 75 | | | | 1,142 | |
| Group 1 Automotive, Inc. | | | 17 | | | | 1,111 | |
| Asbury Automotive Group, Inc.* | | | 16 | | | | 1,080 | |
| H&E Equipment Services, Inc. | | | 28 | | | | 1,078 | |
| Suburban Propane Partners, LP | | | 48 | | | | 1,057 | |
| BMC Stock Holdings, Inc.* | | | 53 | | | | 1,036 | |
| Tailored Brands, Inc. | | | 41 | | | | 1,028 | |
| GameStop Corp. — Class A | | | 79 | | | | 997 | |
| Wabash National Corp. | | | 45 | | | | 936 | |
| William Lyon Homes — Class A* | | | 31 | | | | 852 | |
| Conn’s, Inc.* | | | 25 | | | | 850 | |
| J.C. Penney Company, Inc.* | | | 244 | | | | 737 | |
| Vista Outdoor, Inc.* | | | 45 | | | | 734 | |
| M/I Homes, Inc.* | | | 22 | | | | 701 | |
| Century Communities, Inc.* | | | 23 | | | | 689 | |
| Sonic Automotive, Inc. — Class A | | | 33 | | | | 625 | |
| Titan International, Inc. | | | 47 | | | | 593 | |
| Beazer Homes USA, Inc.* | | | 27 | | | | 431 | |
| Carrols Restaurant Group, Inc.* | | | 28 | | | | 314 | |
| Perry Ellis International, Inc.* | | | 12 | | | | 310 | |
| Ferrellgas Partners, LP | | | 77 | | | | 240 | |
| Sears Holdings Corp.* | | | 89 | | | | 238 | |
| Hovnanian Enterprises, Inc. — Class A* | | | 118 | | | | 216 | |
| Total Consumer, Cyclical | | | | | | | 461,640 | |
| | | | | | | | | |
| Communications - 8.2% |
| Netflix, Inc.* | | | 337 | | | | 99,533 | |
| Charter Communications, Inc. — Class A* | | | 206 | | | | 64,111 | |
| Nokia Oyj ADR | | | 4,416 | | | | 24,155 | |
| Sirius XM Holdings, Inc.1 | | | 3,530 | | | | 22,027 | |
| Telefonaktiebolaget LM Ericsson ADR | | | 2,567 | | | | 16,429 | |
| Sprint Corp.*,1 | | | 3,113 | | | | 15,191 | |
| CenturyLink, Inc. | | | 848 | | | | 13,933 | |
| 30 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| DISH Network Corp. — Class A* | | | 366 | | | $ | 13,868 | |
| Expedia Group, Inc. | | | 119 | | | | 13,139 | |
| Symantec Corp. | | | 479 | | | | 12,382 | |
| Viacom, Inc. — Class B | | | 318 | | | | 9,877 | |
| VeriSign, Inc.* | | | 74 | | | | 8,774 | |
| CDW Corp. | | | 120 | | | | 8,437 | |
| Zayo Group Holdings, Inc.* | | | 194 | | | | 6,627 | |
| CommScope Holding Company, Inc.* | | | 149 | | | | 5,956 | |
| EchoStar Corp. — Class A* | | | 75 | | | | 3,958 | |
| ViaSat, Inc.*,1 | | | 46 | | | | 3,023 | |
| Tribune Media Co. — Class A | | | 68 | | | | 2,755 | |
| Cable One, Inc. | | | 4 | | | | 2,748 | |
| Sinclair Broadcast Group, Inc. — Class A | | | 80 | | | | 2,504 | |
| AMC Networks, Inc. — Class A* | | | 48 | | | | 2,482 | |
| Nexstar Media Group, Inc. — Class A | | | 36 | | | | 2,394 | |
| GTT Communications, Inc.* | | | 35 | | | | 1,984 | |
| TEGNA, Inc. | | | 170 | | | | 1,936 | |
| Meredith Corp. | | | 35 | | | | 1,883 | |
| Plantronics, Inc. | | | 26 | | | | 1,570 | |
| Cogent Communications Holdings, Inc. | | | 36 | | | | 1,562 | |
| Gray Television, Inc.* | | | 71 | | | | 902 | |
| EW Scripps Co. — Class A | | | 65 | | | | 779 | |
| Consolidated Communications Holdings, Inc. | | | 56 | | | | 614 | |
| Gogo, Inc.*,1 | | | 70 | | | | 604 | |
| ORBCOMM, Inc.* | | | 59 | | | | 553 | |
| Cincinnati Bell, Inc.* | | | 33 | | | | 457 | |
| Intelsat S.A.* | | | 96 | | | | 361 | |
| Windstream Holdings, Inc. | | | 144 | | | | 203 | |
| Total Communications | | | | | | | 367,711 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 5.7% |
| HCA Healthcare, Inc. | | | 268 | | | | 25,996 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 863 | | | | 14,749 | |
| Centene Corp.* | | | 134 | | | | 14,321 | |
| United Rentals, Inc.* | | | 66 | | | | 11,400 | |
| DaVita, Inc.* | | | 143 | | | | 9,429 | |
| Teleflex, Inc. | | | 36 | | | | 9,179 | |
| Nielsen Holdings plc | | | 277 | | | | 8,806 | |
| Universal Health Services, Inc. — Class B | | | 73 | | | | 8,644 | |
| Gartner, Inc.* | | | 71 | | | | 8,351 | |
| Hologic, Inc.* | | | 214 | | | | 7,995 | |
| WellCare Health Plans, Inc.* | | | 35 | | | | 6,777 | |
| Lamb Weston Holdings, Inc. | | | 114 | | | | 6,637 | |
| Service Corporation International | | | 144 | | | | 5,435 | |
| ServiceMaster Global Holdings, Inc.* | | | 106 | | | | 5,390 | |
| WEX, Inc.* | | | 33 | | | | 5,168 | |
| Pinnacle Foods, Inc. | | | 95 | | | | 5,140 | |
| Hill-Rom Holdings, Inc. | | | 52 | | | | 4,524 | |
| Booz Allen Hamilton Holding Corp. | | | 113 | | | | 4,375 | |
| Valeant Pharmaceuticals International, Inc.* | | | 273 | | | | 4,346 | |
| Encompass Health Corp. | | | 76 | | | | 4,345 | |
| Catalent, Inc.* | | | 104 | | | | 4,270 | |
| MEDNAX, Inc.* | | | 73 | | | | 4,061 | |
| Post Holdings, Inc.* | | | 53 | | | | 4,015 | |
| Molina Healthcare, Inc.* | | | 48 | | | | 3,897 | |
| Cimpress N.V.* | | | 24 | | | | 3,713 | |
| Envision Healthcare Corp.* | | | 93 | | | | 3,574 | |
| Weight Watchers International, Inc.* | | | 50 | | | | 3,186 | |
| Avis Budget Group, Inc.*,1 | | | 62 | | | | 2,904 | |
| Brink’s Co. | | | 39 | | | | 2,783 | |
| Ritchie Bros Auctioneers, Inc. | | | 85 | | | | 2,675 | |
| Acadia Healthcare Company, Inc.* | | | 68 | | | | 2,664 | |
| Performance Food Group Co.* | | | 81 | | | | 2,418 | |
| Darling Ingredients, Inc.* | | | 130 | | | | 2,249 | |
| Vector Group Ltd. | | | 106 | | | | 2,161 | |
| Sotheby’s* | | | 41 | | | | 2,104 | |
| Edgewell Personal Care Co.* | | | 43 | | | | 2,099 | |
| Laureate Education, Inc. — Class A* | | | 144 | | | | 1,980 | |
| Magellan Health, Inc.* | | | 18 | | | | 1,928 | |
| Tenet Healthcare Corp.* | | | 77 | | | | 1,867 | |
| Horizon Pharma plc* | | | 130 | | | | 1,846 | |
| TreeHouse Foods, Inc.* | | | 46 | | | | 1,760 | |
| Select Medical Holdings Corp.* | | | 102 | | | | 1,759 | |
| Central Garden & Pet Co.* | | | 38 | | | | 1,634 | |
| Cott Corp. | | | 109 | | | | 1,604 | |
| Integer Holdings Corp.* | | | 25 | | | | 1,414 | |
| FTI Consulting, Inc.* | | | 29 | | | | 1,404 | |
| Prestige Brands Holdings, Inc.* | | | 41 | | | | 1,383 | |
| LifePoint Health, Inc.* | | | 29 | | | | 1,363 | |
| Matthews International Corp. — Class A | | | 26 | | | | 1,316 | |
| Hertz Global Holdings, Inc.* | | | 65 | | | | 1,290 | |
| B&G Foods, Inc.1 | | | 52 | | | | 1,232 | |
| Endo International plc* | | | 179 | | | | 1,063 | |
| ACCO Brands Corp. | | | 83 | | | | 1,042 | |
| Quad/Graphics, Inc. | | | 40 | | | | 1,014 | |
| Mallinckrodt plc* | | | 68 | | | | 985 | |
| Avon Products, Inc.* | | | 330 | | | | 937 | |
| Revlon, Inc. — Class A* | | | 41 | | | | 845 | |
| Cardtronics plc — Class A* | | | 36 | | | | 803 | |
| Owens & Minor, Inc. | | | 48 | | | | 746 | |
| Kindred Healthcare, Inc.* | | | 70 | | | | 640 | |
| Dean Foods Co. | | | 74 | | | | 638 | |
| AMAG Pharmaceuticals, Inc.*,1 | | | 27 | | | | 544 | |
| Ingles Markets, Inc. — Class A | | | 16 | | | | 542 | |
| RR Donnelley & Sons Co. | | | 53 | | | | 463 | |
| SUPERVALU, Inc.* | | | 30 | | | | 457 | |
| Everi Holdings, Inc.* | | | 55 | | | | 361 | |
| Community Health Systems, Inc.*,1 | | | 87 | | | | 345 | |
| Rent-A-Center, Inc. | | | 35 | | | | 302 | |
| BioScrip, Inc.* | | | 101 | | | | 248 | |
| Alliance One International, Inc.* | | | 7 | | | | 183 | |
| StoneMor Partners, LP | | | 29 | | | | 180 | |
| Total Consumer, Non-cyclical | | | | | | | 255,898 | |
| | | | | | | | | |
| Financial - 5.5% |
| Royal Bank of Scotland Group plc ADR* | | | 4,707 | | | | 34,832 | |
| Equinix, Inc. REIT | | | 61 | | | | 25,506 | |
| Discover Financial Services | | | 278 | | | | 19,997 | |
| SBA Communications Corp. REIT* | | | 91 | | | | 15,554 | |
| Ally Financial, Inc. | | | 342 | | | | 9,285 | |
| Unum Group | | | 171 | | | | 8,141 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| Icahn Enterprises, LP | | | 134 | | | $ | 7,643 | |
| Iron Mountain, Inc. REIT | | | 222 | | | | 7,295 | |
| Voya Financial, Inc. | | | 133 | | | | 6,717 | |
| Leucadia National Corp. | | | 275 | | | | 6,251 | |
| Gaming and Leisure Properties, Inc. REIT | | | 165 | | | | 5,522 | |
| CIT Group, Inc. | | | 102 | | | | 5,253 | |
| Credit Acceptance Corp.* | | | 15 | | | | 4,956 | |
| Virtu Financial, Inc. — Class A | | | 148 | | | | 4,884 | |
| Lamar Advertising Co. — Class A REIT | | | 76 | | | | 4,838 | |
| Howard Hughes Corp.* | | | 34 | | | | 4,731 | |
| LPL Financial Holdings, Inc. | | | 70 | | | | 4,275 | |
| Starwood Property Trust, Inc. REIT | | | 204 | | | | 4,274 | |
| Hanover Insurance Group, Inc. | | | 33 | | | | 3,890 | |
| CyrusOne, Inc. REIT | | | 75 | | | | 3,841 | |
| MGIC Investment Corp.* | | | 295 | | | | 3,835 | |
| Medical Properties Trust, Inc. REIT | | | 284 | | | | 3,692 | |
| Radian Group, Inc. | | | 171 | | | | 3,256 | |
| Popular, Inc. | | | 78 | | | | 3,246 | |
| BankUnited, Inc. | | | 81 | | | | 3,239 | |
| Ryman Hospitality Properties, Inc. REIT | | | 40 | | | | 3,098 | |
| CNO Financial Group, Inc. | | | 129 | | | | 2,796 | |
| Realogy Holdings Corp. | | | 101 | | | | 2,755 | |
| Navient Corp. | | | 205 | | | | 2,690 | |
| PotlatchDeltic Corp. REIT | | | 48 | | | | 2,498 | |
| Uniti Group, Inc. REIT | | | 138 | | | | 2,242 | |
| Kennedy-Wilson Holdings, Inc. | | | 119 | | | | 2,071 | |
| American Equity Investment Life Holding Co. | | | 69 | | | | 2,026 | |
| Outfront Media, Inc. REIT | | | 107 | | | | 2,005 | |
| GEO Group, Inc. REIT | | | 96 | | | | 1,965 | |
| CoreCivic, Inc. REIT | | | 92 | | | | 1,796 | |
| Five Point Holdings LLC — Class A* | | | 113 | | | | 1,611 | |
| QTS Realty Trust, Inc. — Class A REIT | | | 39 | | | | 1,413 | |
| Nationstar Mortgage Holdings, Inc.* | | | 77 | | | | 1,383 | |
| Ladder Capital Corp. — Class A REIT | | | 87 | | | | 1,312 | |
| Aircastle Ltd. | | | 62 | | | | 1,231 | |
| Mack-Cali Realty Corp. REIT | | | 70 | | | | 1,170 | |
| Genworth Financial, Inc. — Class A* | | | 386 | | | | 1,092 | |
| Och-Ziff Capital Management Group LLC — Class A | | | 391 | | | | 1,044 | |
| CareTrust REIT, Inc. | | | 59 | | | | 791 | |
| Enova International, Inc.* | | | 26 | | | | 573 | |
| iStar, Inc. REIT* | | | 53 | | | | 539 | |
| Oaktree Specialty Lending Corp. | | | 111 | | | | 467 | |
| Ocwen Financial Corp.* | | | 103 | | | | 424 | |
| Fly Leasing Ltd. ADR* | | | 22 | | | | 293 | |
| Oppenheimer Holdings, Inc. — Class A | | | 11 | | | | 283 | |
| PHH Corp.* | | | 25 | | | | 262 | |
| Total Financial | | | | | | | 244,783 | |
| | | | | | | | | |
| Energy - 4.5% |
| Continental Resources, Inc.* | | | 293 | | | | 17,272 | |
| Williams Companies, Inc. | | | 677 | | | | 16,830 | |
| Plains All American Pipeline, LP | | | 595 | | | | 13,108 | |
| Energy Transfer Equity, LP | | | 873 | | | | 12,405 | |
| Diamondback Energy, Inc.* | | | 77 | | | | 9,742 | |
| RSP Permian, Inc.* | | | 128 | | | | 6,001 | |
| Antero Resources Corp.* | | | 253 | | | | 5,022 | |
| Energen Corp.* | | | 76 | | | | 4,777 | |
| WPX Energy, Inc.* | | | 317 | | | | 4,685 | |
| Buckeye Partners, LP | | | 121 | | | | 4,524 | |
| DCP Midstream, LP | | | 116 | | | | 4,074 | |
| Equities Midstream Partners, LP | | | 67 | | | | 3,955 | |
| EnLink Midstream Partners, LP | | | 283 | | | | 3,866 | |
| Antero Midstream Partners, LP | | | 148 | | | | 3,832 | |
| Newfield Exploration Co.* | | | 154 | | | | 3,761 | |
| Transocean Ltd.* | | | 365 | | | | 3,614 | |
| Murphy Oil Corp. | | | 136 | | | | 3,514 | |
| Vermilion Energy, Inc. | | | 95 | | | | 3,067 | |
| PBF Energy, Inc. — Class A | | | 85 | | | | 2,882 | |
| Range Resources Corp. | | | 197 | | | | 2,864 | |
| CNX Resources Corp.* | | | 177 | | | | 2,731 | |
| Delek US Holdings, Inc. | | | 65 | | | | 2,645 | |
| Matador Resources Co.* | | | 86 | | | | 2,572 | |
| PDC Energy, Inc.* | | | 52 | | | | 2,550 | |
| Whiting Petroleum Corp.* | | | 71 | | | | 2,403 | |
| Chesapeake Energy Corp.* | | | 708 | | | | 2,138 | |
| Callon Petroleum Co.* | | | 160 | | | | 2,118 | |
| Southwestern Energy Co.* | | | 472 | | | | 2,044 | |
| Oasis Petroleum, Inc.* | | | 251 | | | | 2,033 | |
| Genesis Energy, LP | | | 99 | | | | 1,951 | |
| Murphy USA, Inc.* | | | 26 | | | | 1,893 | |
| QEP Resources, Inc.* | | | 191 | | | | 1,870 | |
| Weatherford International plc*,1 | | | 804 | | | | 1,841 | |
| SRC Energy, Inc.* | | | 191 | | | | 1,801 | |
| Alliance Resource Partners, LP | | | 102 | | | | 1,800 | |
| Nabors Industries Ltd. | | | 252 | | | | 1,761 | |
| NextEra Energy Partners, LP | | | 42 | | | | 1,680 | |
| Sunoco, LP | | | 65 | | | | 1,658 | |
| Laredo Petroleum, Inc.* | | | 189 | | | | 1,646 | |
| SM Energy Co. | | | 88 | | | | 1,587 | |
| NuStar Energy, LP | | | 77 | | | | 1,570 | |
| Ensco plc — Class A1 | | | 349 | | | | 1,532 | |
| WildHorse Resource Development Corp.* | | | 80 | | | | 1,527 | |
| Gulfport Energy Corp.* | | | 149 | | | | 1,438 | |
| McDermott International, Inc.* | | | 227 | | | | 1,383 | |
| SemGroup Corp. — Class A | | | 63 | | | | 1,348 | |
| Pattern Energy Group, Inc. — Class A | | | 77 | | | | 1,331 | |
| Rowan Companies plc — Class A* | | | 100 | | | | 1,154 | |
| Warrior Met Coal, Inc.1 | | | 41 | | | | 1,149 | |
| NGL Energy Partners, LP | | | 100 | | | | 1,100 | |
| Superior Energy Services, Inc.* | | | 124 | | | | 1,045 | |
| Carrizo Oil & Gas, Inc.* | | | 64 | | | | 1,024 | |
| Forum Energy Technologies, Inc.* | | | 86 | | | | 946 | |
| Denbury Resources, Inc.* | | | 313 | | | | 858 | |
| Unit Corp.* | | | 43 | | | | 850 | |
| Noble Corporation plc* | | | 200 | | | | 742 | |
| Archrock Partners, LP | | | 56 | | | | 684 | |
| Resolute Energy Corp.* | | | 19 | | | | 658 | |
| Precision Drilling Corp.* | | | 235 | | | | 651 | |
| Ultra Petroleum Corp.* | | | 150 | | | | 626 | |
| Par Pacific Holdings, Inc.* | | | 36 | | | | 618 | |
| 32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| California Resources Corp.* | | | 36 | | | $ | 617 | |
| PBF Logistics, LP | | | 33 | | | | 609 | |
| Enviva Partners, LP | | | 20 | | | | 548 | |
| SunCoke Energy, Inc.* | | | 50 | | | | 538 | |
| Baytex Energy Corp.* | | | 187 | | | | 512 | |
| American Midstream Partners, LP | | | 42 | | | | 454 | |
| HighPoint Resources Corp.* | | | 86 | | | | 437 | |
| Calumet Specialty Products Partners, LP* | | | 60 | | | | 423 | |
| Bristow Group, Inc. | | | 28 | | | | 364 | |
| Eclipse Resources Corp.* | | | 248 | | | | 357 | |
| ION Geophysical Corp.* | | | 11 | | | | 298 | |
| EP Energy Corp. — Class A* | | | 199 | | | | 267 | |
| Sanchez Energy Corp.* | | | 69 | | | | 216 | |
| Pioneer Energy Services Corp.* | | | 62 | | | | 168 | |
| Cloud Peak Energy, Inc.* | | | 57 | | | | 166 | |
| Northern Oil and Gas, Inc.* | | | 52 | | | | 103 | |
| Jones Energy, Inc. — Class A* | | | 84 | | | | 67 | |
| Total Energy | | | | | | | 198,895 | |
| | | | | | | | | |
| Technology - 4.3% |
| Micron Technology, Inc.* | | | 912 | | | | 47,552 | |
| NXP Semiconductor N.V.* | | | 263 | | | | 30,771 | |
| Western Digital Corp. | | | 233 | | | | 21,499 | |
| First Data Corp. — Class A* | | | 696 | | | | 11,136 | |
| MSCI, Inc. — Class A | | | 70 | | | | 10,463 | |
| SS&C Technologies Holdings, Inc. | | | 160 | | | | 8,582 | |
| Leidos Holdings, Inc. | | | 118 | | | | 7,717 | |
| Open Text Corp. | | | 207 | | | | 7,204 | |
| Qorvo, Inc.* | | | 102 | | | | 7,186 | |
| PTC, Inc.* | | | 90 | | | | 7,021 | |
| CDK Global, Inc. | | | 105 | | | | 6,651 | |
| Microsemi Corp.* | | | 91 | | | | 5,889 | |
| Entegris, Inc. | | | 110 | | | | 3,828 | |
| Nuance Communications, Inc.* | | | 225 | | | | 3,544 | |
| Conduent, Inc.* | | | 163 | | | | 3,038 | |
| j2 Global, Inc. | | | 38 | | | | 2,999 | |
| NCR Corp.* | | | 93 | | | | 2,932 | |
| ACI Worldwide, Inc.* | | | 89 | | | | 2,111 | |
| Amkor Technology, Inc.* | | | 184 | | | | 1,864 | |
| Engility Holdings, Inc.* | | | 28 | | | | 683 | |
| Donnelley Financial Solutions, Inc.* | | | 27 | | | | 463 | |
| Unisys Corp.* | | | 40 | | | | 430 | |
| MagnaChip Semiconductor Corp.* | | | 27 | | | | 259 | |
| Total Technology | | | | | | | 193,822 | |
| | | | | | | | | |
| Industrial - 3.7% |
| TransDigm Group, Inc. | | | 40 | | | | 12,278 | |
| Ball Corp. | | | 272 | | | | 10,801 | |
| XPO Logistics, Inc.* | | | 93 | | | | 9,468 | |
| Arconic, Inc. | | | 372 | | | | 8,571 | |
| Sensata Technologies Holding plc* | | | 133 | | | | 6,893 | |
| Orbital ATK, Inc. | | | 45 | | | | 5,967 | |
| Berry Global Group, Inc.* | | | 102 | | | | 5,590 | |
| Sealed Air Corp. | | | 130 | | | | 5,563 | |
| Crown Holdings, Inc.* | | | 104 | | | | 5,278 | |
| USG Corp.* | | | 111 | | | | 4,487 | |
| Oshkosh Corp. | | | 58 | | | | 4,481 | |
| AECOM* | | | 123 | | | | 4,383 | |
| AGCO Corp. | | | 61 | | | | 3,956 | |
| Trinity Industries, Inc. | | | 119 | | | | 3,883 | |
| Jabil, Inc. | | | 135 | | | | 3,879 | |
| Graphic Packaging Holding Co. | | | 242 | | | | 3,715 | |
| Louisiana-Pacific Corp. | | | 110 | | | | 3,165 | |
| MasTec, Inc.* | | | 66 | | | | 3,105 | |
| Energizer Holdings, Inc. | | | 48 | | | | 2,860 | |
| KLX, Inc.* | | | 39 | | | | 2,771 | |
| Summit Materials, Inc. — Class A* | | | 91 | | | | 2,755 | |
| Owens-Illinois, Inc.* | | | 126 | | | | 2,729 | |
| Norbord, Inc. | | | 66 | | | | 2,398 | |
| Silgan Holdings, Inc. | | | 86 | | | | 2,395 | |
| Terex Corp. | | | 63 | | | | 2,357 | |
| EnerSys | | | 33 | | | | 2,289 | |
| Hillenbrand, Inc. | | | 49 | | | | 2,249 | |
| Clean Harbors, Inc.* | | | 46 | | | | 2,245 | |
| Belden, Inc. | | | 32 | | | | 2,206 | |
| Itron, Inc.* | | | 30 | | | | 2,147 | |
| Welbilt, Inc.* | | | 108 | | | | 2,101 | |
| Greif, Inc. — Class A | | | 40 | | | | 2,090 | |
| Builders FirstSource, Inc.* | | | 92 | | | | 1,825 | |
| SPX FLOW, Inc.* | | | 34 | | | | 1,672 | |
| Advanced Disposal Services, Inc.* | | | 69 | | | | 1,537 | |
| Covanta Holding Corp. | | | 104 | | | | 1,508 | |
| Sanmina Corp.* | | | 55 | | | | 1,438 | |
| Masonite International Corp.* | | | 22 | | | | 1,350 | |
| EnPro Industries, Inc. | | | 17 | | | | 1,315 | |
| TTM Technologies, Inc.* | | | 79 | | | | 1,208 | |
| Boise Cascade Co. | | | 30 | | | | 1,158 | |
| General Cable Corp. | | | 39 | | | | 1,154 | |
| Ply Gem Holdings, Inc.* | | | 53 | | | | 1,145 | |
| Actuant Corp. — Class A | | | 46 | | | | 1,070 | |
| Multi-Color Corp. | | | 16 | | | | 1,057 | |
| Tennant Co. | | | 14 | | | | 948 | |
| TriMas Corp.* | | | 35 | | | | 919 | |
| Kratos Defense & Security Solutions, Inc.* | | | 85 | | | | 875 | |
| Tutor Perini Corp.* | | | 39 | | | | 860 | |
| Gibraltar Industries, Inc.* | | | 25 | | | | 846 | |
| Manitowoc Company, Inc.* | | | 26 | | | | 740 | |
| Briggs & Stratton Corp. | | | 34 | | | | 728 | |
| Griffon Corp. | | | 36 | | | | 657 | |
| Teekay Corp.1 | | | 80 | | | | 647 | |
| Triumph Group, Inc. | | | 24 | | | | 605 | |
| Martin Midstream Partners, LP | | | 31 | | | | 419 | |
| LSB Industries, Inc.* | | | 23 | | | | 141 | |
| Hornbeck Offshore Services, Inc.* | | | 28 | | | | 81 | |
| Total Industrial | | | | | | | 164,958 | |
| | | | | | | | | |
| Basic Materials - 3.2% |
| ArcelorMittal | | | 794 | | | | 25,257 | |
| Freeport-McMoRan, Inc. | | | 1,139 | | | | 20,012 | |
| Steel Dynamics, Inc. | | | 186 | | | | 8,225 | |
| CF Industries Holdings, Inc. | | | 187 | | | | 7,056 | |
| Chemours Co. | | | 143 | | | | 6,966 | |
| Axalta Coating Systems Ltd.* | | | 194 | | | | 5,857 | |
| Huntsman Corp. | | | 187 | | | | 5,470 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| United States Steel Corp. | | | 137 | | | $ | 4,821 | |
| Methanex Corp. | | | 66 | | | | 4,003 | |
| Olin Corp. | | | 131 | | | | 3,981 | |
| Kinross Gold Corp.* | | | 968 | | | | 3,824 | |
| Valvoline, Inc. | | | 157 | | | | 3,474 | |
| Ashland Global Holdings, Inc. | | | 48 | | | | 3,350 | |
| WR Grace & Co. | | | 53 | | | | 3,245 | |
| PolyOne Corp. | | | 64 | | | | 2,721 | |
| Ingevity Corp.* | | | 33 | | | | 2,432 | |
| Allegheny Technologies, Inc.* | | | 99 | | | | 2,344 | |
| Platform Specialty Products Corp.* | | | 224 | | | | 2,157 | |
| IAMGOLD Corp.* | | | 363 | | | | 1,884 | |
| Commercial Metals Co. | | | 91 | | | | 1,862 | |
| Tronox Ltd. — Class A | | | 96 | | | | 1,770 | |
| GCP Applied Technologies, Inc.* | | | 57 | | | | 1,656 | |
| Cleveland-Cliffs, Inc.* | | | 227 | | | | 1,578 | |
| Compass Minerals International, Inc.1 | | | 26 | | | | 1,568 | |
| Hudbay Minerals, Inc. | | | 211 | | | | 1,498 | |
| Ferroglobe plc* | | | 133 | | | | 1,427 | |
| Kaiser Aluminum Corp. | | | 13 | | | | 1,312 | |
| Kraton Corp.* | | | 25 | | | | 1,193 | |
| Hecla Mining Co. | | | 319 | | | | 1,171 | |
| New Gold, Inc.* | | | 451 | | | | 1,163 | |
| Coeur Mining, Inc.* | | | 145 | | | | 1,160 | |
| Constellium N.V. — Class A* | | | 104 | | | | 1,128 | |
| Century Aluminum Co.* | | | 68 | | | | 1,125 | |
| AK Steel Holding Corp.* | | | 241 | | | | 1,092 | |
| Neenah Paper, Inc. | | | 13 | | | | 1,019 | |
| A. Schulman, Inc. | | | 23 | | | | 989 | |
| Rayonier Advanced Materials, Inc. | | | 39 | | | | 837 | |
| PH Glatfelter Co. | | | 34 | | | | 698 | |
| Koppers Holdings, Inc.* | | | 16 | | | | 658 | |
| Mercer International, Inc. | | | 52 | | | | 648 | |
| Resolute Forest Products, Inc.* | | | 70 | | | | 581 | |
| Eldorado Gold Corp.* | | | 616 | | | | 517 | |
| Clearwater Paper Corp.* | | | 13 | | | | 508 | |
| CVR Partners, LP* | | | 86 | | | | 279 | |
| Ryerson Holding Corp.* | | | 29 | | | | 236 | |
| Taseko Mines Ltd.* | | | 180 | | | | 207 | |
| Total Basic Materials | | | | | | | 144,959 | |
| | | | | | | | | |
| Utilities - 0.7% |
| FirstEnergy Corp. | | | 366 | | | | 12,447 | |
| NRG Energy, Inc. | | | 242 | | | | 7,388 | |
| AES Corp. | | | 513 | | | | 5,833 | |
| AmeriGas Partners, LP | | | 73 | | | | 2,918 | |
| Atlantica Yield plc | | | 77 | | | | 1,508 | |
| Dynegy, Inc.* | | | 110 | | | | 1,487 | |
| Total Utilities | | | | | | | 31,581 | |
| | | | | | | | | |
| Diversified - 0.1% |
| HRG Group, Inc.* | | | 159 | | | | 2,622 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $2,038,031) | | | | | | | 2,066,869 | |
| | | | | | | | | |
| RIGHTS††† - 0.0%** |
| Nexstar Media Group, Inc. | | | | | | | | |
| Expires 01/18/192 | | | 34 | | | | — | |
| Total Rights | | | | | | | | |
| (Cost $—) | | | | | | | — | |
| | | | | | | | | |
| EXCHANGE-TRADED FUNDS† - 10.9% |
| iShares iBoxx $ High Yield Corporate Bond ETF1 | | | 5,700 | | | | 488,148 | |
| Total Exchange-Traded Funds | | | | | | | | |
| (Cost $497,354) | | | | | | | 488,148 | |
| | | | | | | | | |
| MUTUAL FUNDS† - 32.0% |
| Guggenheim Strategy Fund II3 | | | 51,098 | | | | 1,277,966 | |
| Guggenheim Strategy Fund I3 | | | 5,867 | | | | 146,969 | |
| Total Mutual Funds | | | | | | | | |
| (Cost $1,413,112) | | | | | | | 1,424,935 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,4 - 8.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/185 | | $ | 283,941 | | | | 283,941 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/185 | | | 92,913 | | | | 92,913 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $376,854) | | | | | | | 376,854 | |
| | | | | | | | | |
| | | | Shares | | | | | |
| | | | | | | | | |
| SECURITIES LENDING COLLATERAL†,6 - 10.2% |
| Money Market Fund | | | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%7 | | | 453,533 | | | | 453,533 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $453,533) | | | | | | | 453,533 | |
| | | | | | | | | |
| Total Investments - 107.9% | | | | | | | | |
| (Cost $4,778,884) | | | | | | $ | 4,810,339 | |
| Other Assets & Liabilities, net - (7.9)% | | | | | �� | | (351,209 | ) |
| Total Net Assets - 100.0% | | | | | | $ | 4,459,130 | |
| 34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and Unrealized
Gain | |
| Interest Rate Futures Contracts Purchased† |
| U.S. Treasury 5 Year Note Futures Contracts | | | 18 | | | Jun 2018 | | $ | 2,059,734 | | | $ | 9,542 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and Unrealized
Loss | |
| OTC Equity Index Swap Agreements†† |
| Credit Suisse Capital, LLC | | Credit Suisse Capital LLC Credit Suisse Merger Arbitrage Liquid Index | | | 2.70 | % | | At Maturity | | 02/22/19 | | | 1,525 | | | $ | 1,781,118 | | | $ | (19,157 | ) |
| Centrally Cleared Credit Default Swap Agreements Protection Sold ††,8 |
| Counterparty | | Exchange | | | Index | | | Protection Premium Rate | | | Payment Frequency | | Maturity Date | | Notional Amount | | | Value | | | Upfront Premiums
Paid | | | Unrealized
Loss | |
| Barclays Bank plc | | | ICE | | | | CDX.NA.HY.30 | | | | 5.00 | % | | At Maturity | | 06/20/23 | | $ | 2,100,000 | | | $ | 127,827 | | | $ | 130,443 | | | $ | (2,616 | ) |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| * | | Non-income producing security. |
| ** | | Less Than 0.1% of net assets. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| ††† | | Value determined based on Level 3 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — See Note 7. |
| 2 | | Security was fair valued by the Valuation Committee at March 29, 2018. 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 March 29, 2018. |
| 6 | | Securities lending collateral — See Note 7. |
| 7 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 8 | | Credit Default Swaps — See Note 2. |
| | | ADR — American Depositary Receipt |
| | | plc — Public Limited Company |
| | | REIT — Real Estate Investment Trust |
| | | ICE — Intercontinental Exchange |
| | | CDX.NA.HY.30 Index — Credit Default Swap North America High Yield Series 30 Index |
| | | |
| | | See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 2,066,869 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,066,869 | |
| Exchange-Traded Funds | | | 488,148 | | | | — | | | | — | | | | — | | | | — | | | | 488,148 | |
| Interest Rate Futures Contracts | | | — | | | | 9,542 | | | | — | | | | — | | | | — | | | | 9,542 | |
| Mutual Funds | | | 1,424,935 | | | | — | | | | — | | | | — | | | | — | | | | 1,424,935 | |
| Repurchase Agreements | | | — | | | | — | | | | 376,854 | | | | — | | | | — | | | | 376,854 | |
| Rights | | | — | | | | — | | | | — | | | | — | | | | — | ** | | | — | |
| Securities Lending Collateral | | | 453,533 | | | | — | | | | — | | | | — | | | | — | | | | 453,533 | |
| Total Assets | | $ | 4,433,485 | | | $ | 9,542 | | | $ | 376,854 | | | $ | — | | | $ | — | | | $ | 4,819,881 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | — | | | $ | 2,616 | | | $ | — | | | $ | 2,616 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 19,157 | | | | — | | | | 19,157 | |
| Total Liabilities | | $ | — | | | $ | — | | | $ | — | | | $ | 21,773 | | | $ | — | | | $ | 21,773 | |
| * | | Other financial instruments include futures contracts and swaps, which are reported as unrealized gain/loss at period end. |
| ** | | 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 year ended March 29, 2018, there were no transfers between levels.
| 36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES 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 the Guggenheim Investments (“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 certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are 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, 2017, 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/1601445/000089180417000715/gug72218.htm.
Transactions during the year ended March 29, 2018, 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
03/29/18 | | | Shares
03/29/18 | | | Investment
Income | | | Capital Gain Distributions | |
| Mutual Funds | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Guggenheim Strategy Fund I | | $ | 4,010,513 | | | $ | 259,381 | | | $ | (4,130,000 | ) | | $ | 22,341 | | | $ | (15,266 | ) | | $ | 146,969 | | | | 5,867 | | | $ | 58,925 | | | $ | 822 | |
| Guggenheim Strategy Fund II | | | 4,043,826 | | | | 277,537 | | | | (3,050,000 | ) | | | 11,179 | | | | (4,576 | ) | | | 1,277,966 | | | | 51,098 | | | | 76,782 | | | | 1,127 | |
| | | $ | 8,054,339 | | | $ | 536,918 | | | $ | (7,180,000 | ) | | $ | 33,520 | | | $ | (19,842 | ) | | $ | 1,424,935 | | | | | | | $ | 135,707 | | | $ | 1,949 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| STATEMENT OF ASSETS AND LIABILITIES |
| March 29, 2018 |
| Assets: |
| Investments in unaffiliated issuers, at value - including $441,105 of securities loaned(cost $2,988,918) | | $ | 3,008,550 | |
| Investments in affiliated issuers, at value(cost $1,413,112) | | | 1,424,935 | |
| Repurchase agreements, at value (cost $376,854) | | | 376,854 | |
| Unamortized upfront premiums paid on credit default swaps | | | 130,443 | |
| Segregated cash with broker | | | 10,109 | |
| Cash | | | 359 | |
| Receivables: |
| Dividends | | | 4,854 | |
| Protection fees on credit default swaps | | | 3,500 | |
| Interest | | | 57 | |
| Fund shares sold | | | 1,855 | |
| Variation margin on futures contracts | | | 1,406 | |
| Variation margin on credit default swap agreements | | | 10,852 | |
| Investment adviser | | | 493 | |
| Securities lending income | | | 371 | |
| Foreign taxes reclaim | | | 21 | |
| Total assets | | | 4,974,659 | |
| | | | | |
| Liabilities: |
| Segregated cash due to broker | | | 23,298 | |
| Unrealized depreciation on swap agreements | | | 19,157 | |
| Payable for: |
| Return of securities loaned | | | 453,533 | |
| Swap settlement | | | 4,102 | |
| Securities purchased | | | 3,583 | |
| Management fees | | | 3,493 | |
| Distribution and service fees | | | 1,100 | |
| Transfer agent and administrative fees | | | 970 | |
| Portfolio accounting fees | | | 388 | |
| Trustees’ fees* | | | 123 | |
| Fund shares redeemed | | | 3 | |
| Miscellaneous | | | 5,779 | |
| Total liabilities | | | 515,529 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 4,459,130 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 4,827,736 | |
| Undistributed net investment income | | | 181,210 | |
| Accumulated net realized loss on investments | | | (569,040 | ) |
| Net unrealized appreciation on investments | | | 19,224 | |
| Net assets | | $ | 4,459,130 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 2,224,891 | |
| Capital shares outstanding | | | 85,720 | |
| Net asset value per share | | $ | 25.96 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 27.25 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 406,065 | |
| Capital shares outstanding | | | 16,751 | |
| Net asset value per share | | $ | 24.24 | |
| | | | | |
| P-Class: |
| Net assets | | $ | 1,205,136 | |
| Capital shares outstanding | | | 46,435 | |
| Net asset value per share | | $ | 25.95 | |
| | | | | |
| Institutional Class: |
| Net assets | | $ | 623,038 | |
| Capital shares outstanding | | | 23,491 | |
| Net asset value per share | | $ | 26.52 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| 38 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| STATEMENT OF OPERATIONS |
| Year Ended March 29, 2018 |
| Investment Income: |
| Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $270) | | $ | 27,783 | |
| Dividends from securities of affiliated issuers | | | 135,707 | |
| Interest | | | 14,760 | |
| Income from securities lending, net | | | 1,450 | |
| Total investment income | | | 179,700 | |
| | | | | |
| Expenses: |
| Management fees | | | 85,974 | |
| Distribution and service fees: |
| A-Class | | | 3,677 | |
| C-Class | | | 4,356 | |
| P-Class | | | 3,403 | |
| Transfer agent and administrative fees | | | 23,882 | |
| Licensing fees | | | 33,434 | |
| Portfolio accounting fees | | | 9,553 | |
| Custodian fees | | | 1,651 | |
| Trustees’ fees* | | | 904 | |
| Line of credit fees | | | 87 | |
| Miscellaneous | | | 15,134 | |
| Total expenses | | | 182,055 | |
| Less: | | | | |
| Expenses waived by Adviser | | | (12,607 | ) |
| Net expenses | | | 169,448 | |
| Net investment income | | | 10,252 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments in unaffiliated issuers | | $ | 12,402 | |
| Investments in affiliated issuers | | | 33,520 | |
| Distributions received from affiliated investment company shares | | | 1,949 | |
| Swap agreements | | | 371,151 | |
| Futures contracts | | | (57,063 | ) |
| Net realized gain | | | 361,959 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments in unaffiliated issuers | | | (26,400 | ) |
| Investments in affiliated issuers | | | (19,842 | ) |
| Swap agreements | | | (36,012 | ) |
| Futures contracts | | | 1,425 | |
| Net change in unrealized appreciation (depreciation) | | | (80,829 | ) |
| Net realized and unrealized gain | | | 281,130 | |
| Net increase in net assets resulting from operations | | $ | 291,382 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 39 |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment income (loss) | | $ | 10,252 | | | $ | (12,118 | ) |
| Net realized gain on investments | | | 361,959 | | | | 474,349 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (80,829 | ) | | | 44,621 | |
| Net increase in net assets resulting from operations | | | 291,382 | | | | 506,852 | |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (68,747 | ) | | | (29,624 | ) |
| C-Class | | | (13,093 | ) | | | (20,378 | ) |
| P-Class | | | (38,729 | ) | | | (46,774 | ) |
| Institutional Class | | | (74,751 | ) | | | (168,247 | ) |
| Total distributions to shareholders | | | (195,320 | ) | | | (265,023 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 1,765,430 | | | | 250,425 | |
| C-Class | | | — | | | | 51,677 | |
| P-Class | | | 17,441 | | | | 273,654 | |
| Institutional Class | | | 1,894,619 | | | | 6,558,028 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 66,073 | | | | 27,331 | |
| C-Class | | | 13,068 | | | | 20,350 | |
| P-Class | | | 37,803 | | | | 45,762 | |
| Institutional Class | | | 74,336 | | | | 167,793 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (381,188 | ) | | | (357,743 | ) |
| C-Class | | | (92,977 | ) | | | (471,976 | ) |
| P-Class | | | (269,470 | ) | | | (588,498 | ) |
| Institutional Class | | | (11,498,593 | ) | | | (1,244,024 | ) |
| Net increase (decrease) from capital share transactions | | | (8,373,458 | ) | | | 4,732,779 | |
| Net increase (decrease) in net assets | | | (8,277,396 | ) | | | 4,974,608 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 12,736,526 | | | | 7,761,918 | |
| End of year | | $ | 4,459,130 | | | $ | 12,736,526 | |
| Undistributed net investment income at end of year | | $ | 181,210 | | | $ | 185,505 | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 64,594 | | | | 9,471 | |
| C-Class | | | — | | | | 2,046 | |
| P-Class | | | 646 | | | | 10,369 | |
| Institutional Class | | | 69,249 | | | | 244,474 | |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 2,470 | | | | 1,044 | |
| C-Class | | | 522 | | | | 822 | |
| P-Class | | | 1,413 | | | | 1,747 | |
| Institutional Class | | | 2,721 | | | | 6,294 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (14,299 | ) | | | (13,552 | ) |
| C-Class | | | (3,697 | ) | | | (18,794 | ) |
| P-Class | | | (10,027 | ) | | | (22,397 | ) |
| Institutional Class | | | (416,787 | ) | | | (46,313 | ) |
| Net increase (decrease) in shares | | | (303,195 | ) | | | 175,211 | |
| 40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.45 | | | $ | 25.76 | | | $ | 26.82 | | | $ | 28.42 | | | $ | 27.56 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .07 | | | | (.07 | ) | | | .03 | | | | (.31 | ) | | | (.49 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .24 | | | | 1.63 | | | | (.72 | ) | | | (.09 | ) | | | 3.09 | |
| Total from investment operations | | | .31 | | | | 1.56 | | | | (.69 | ) | | | (.40 | ) | | | 2.60 | |
| Less distributions from: |
| Net investment income | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (.06 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (1.14 | ) | | | (1.74 | ) |
| Total distributions | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (1.20 | ) | | | (1.74 | ) |
| Net asset value, end of period | | $ | 25.96 | | | $ | 26.45 | | | $ | 25.76 | | | $ | 26.82 | | | $ | 28.42 | |
| |
| Total Returnb | | | 1.07 | % | | | 6.11 | % | | | (2.52 | %) | | | (1.18 | %) | | | 9.58 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 2,225 | | | $ | 872 | | | $ | 927 | | | $ | 1,371 | | | $ | 4,303 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.26 | % | | | (0.25 | %) | | | 0.11 | % | | | (1.10 | %) | | | (1.73 | %) |
| Total expensesc | | | 2.03 | % | | | 2.02 | % | | | 2.00 | % | | | 2.01 | % | | | 2.02 | % |
| Net expensesd | | | 1.91 | % | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 69 | % | | | 47 | % | | | 32 | % | | | 107 | % | | | 161 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 24.94 | | | $ | 24.52 | | | $ | 25.74 | | | $ | 27.53 | | | $ | 26.95 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.17 | ) | | | (.25 | ) | | | (.16 | ) | | | (.45 | ) | | | (.67 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .27 | | | | 1.54 | | | | (.69 | ) | | | (.14 | ) | | | 2.99 | |
| Total from investment operations | | | .10 | | | | 1.29 | | | | (.85 | ) | | | (.59 | ) | | | 2.32 | |
| Less distributions from: |
| Net investment income | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (.06 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (1.14 | ) | | | (1.74 | ) |
| Total distributions | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (1.20 | ) | | | (1.74 | ) |
| Net asset value, end of period | | $ | 24.24 | | | $ | 24.94 | | | $ | 24.52 | | | $ | 25.74 | | | $ | 27.53 | |
| |
| Total Returnb | | | 0.29 | % | | | 5.31 | % | | | (3.25 | %) | | | (1.92 | %) | | | 8.74 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 406 | | | $ | 497 | | | $ | 879 | | | $ | 1,230 | | | $ | 1,253 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.68 | %) | | | (0.98 | %) | | | (0.64 | %) | | | (1.68 | %) | | | (2.45 | %) |
| Total expensesc | | | 2.78 | % | | | 2.77 | % | | | 2.75 | % | | | 2.75 | % | | | 2.77 | % |
| Net expensesd | | | 2.66 | % | | | 2.64 | % | | | 2.65 | % | | | 2.65 | % | | | 2.65 | % |
| Portfolio turnover rate | | | 69 | % | | | 47 | % | | | 32 | % | | | 107 | % | | | 161 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
| 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* | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.45 | | | $ | 25.76 | | | $ | 26.82 | | | $ | 28.42 | | | $ | 27.57 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .02 | | | | (.06 | ) | | | .02 | | | | (.29 | ) | | | (.49 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .28 | | | | 1.62 | | | | (.71 | ) | | | (.11 | ) | | | 3.08 | |
| Total from investment operations | | | .30 | | | | 1.56 | | | | (.69 | ) | | | (.40 | ) | | | 2.59 | |
| Less distributions from: |
| Net investment income | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (.06 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (1.14 | ) | | | (1.74 | ) |
| Total distributions | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (1.20 | ) | | | (1.74 | ) |
| Net asset value, end of period | | $ | 25.95 | | | $ | 26.45 | | | $ | 25.76 | | | $ | 26.82 | | | $ | 28.42 | |
| |
| Total Returnb | | | 1.07 | % | | | 6.11 | % | | | (2.52 | %) | | | (1.18 | %) | | | 9.54 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 1,205 | | | $ | 1,439 | | | $ | 1,667 | | | $ | 3,318 | | | $ | 6,809 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.07 | % | | | (0.24 | %) | | | 0.09 | % | | | (1.05 | %) | | | (1.72 | %) |
| Total expensesc | | | 2.03 | % | | | 2.02 | % | | | 2.00 | % | | | 2.01 | % | | | 2.02 | % |
| Net expensesd | | | 1.91 | % | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % |
| Portfolio turnover rate | | | 69 | % | | | 47 | % | | | 32 | % | | | 107 | % | | | 161 | % |
| 42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EVENT DRIVEN AND DISTRESSED STRATEGIES FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Institutional Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014 | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 26.96 | | | $ | 26.18 | | | $ | 27.17 | | | $ | 28.71 | | | $ | 27.76 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | .04 | | | | —e | | | | .10 | | | | (.16 | ) | | | (.42 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | .32 | | | | 1.65 | | | | (.72 | ) | | | (.18 | ) | | | 3.11 | |
| Total from investment operations | | | .36 | | | | 1.65 | | | | (.62 | ) | | | (.34 | ) | | | 2.69 | |
| Less distributions from: |
| Net investment income | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (.06 | ) | | | — | |
| Net realized gains | | | — | | | | — | | | | — | | | | (1.14 | ) | | | (1.74 | ) |
| Total distributions | | | (.80 | ) | | | (.87 | ) | | | (.37 | ) | | | (1.20 | ) | | | (1.74 | ) |
| Net asset value, end of period | | $ | 26.52 | | | $ | 26.96 | | | $ | 26.18 | | | $ | 27.17 | | | $ | 28.71 | |
| |
| Total Returnb | | | 1.27 | % | | | 6.36 | % | | | (2.23 | %) | | | (0.96 | %) | | | 9.84 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 623 | | | $ | 9,929 | | | $ | 4,289 | | | $ | 3,746 | | | $ | 975 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | 0.14 | % | | | 0.01 | % | | | 0.37 | % | | | (0.57 | %) | | | (1.46 | %) |
| Total expensesc | | | 1.79 | % | | | 1.78 | % | | | 1.75 | % | | | 1.75 | % | | | 1.77 | % |
| Net expensesd | | | 1.65 | % | | | 1.65 | % | | | 1.65 | % | | | 1.65 | % | | | 1.65 | % |
| Portfolio turnover rate | | | 69 | % | | | 47 | % | | | 32 | % | | | 107 | % | | | 161 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Does not include expenses of the underlying funds in which the Fund invests. |
| d | | Net expense information reflects the expense ratios after expense waivers. |
| e | | 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 ANNUAL REPORT | 43 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Emerging Markets 2x Strategy Fund H-Class returned 42.95%, while the BNY Mellon Emerging Markets 50 ADR Index returned 23.39% over the same period. For comparison, the S&P 500 Index returned 13.99%.
For the period, Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index.
For the period, the sectors contributing the most to the performance of the underlying index were Information Technology and Financials. The sectors detracting the most from the return of the underlying index were Industrials and Utilities.
Among the stocks in the underlying benchmark which rose the most over the past year were Alibaba Group Holding Ltd, Petrobras SA, and Vale SA. Those which fell the most over the past year were BRF SA, Grupo Televisa SAB, and Korea Electric Power Corp (KEPCO).
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were factors in the fund’s positive performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | October 29, 2010 |
| C-Class | October 29, 2010 |
| H-Class | October 29, 2010 |
| 44 | THE RYDEX FUNDS ANNUAL REPORT | |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
COUNTRY DIVERSIFICATION
| Country | % Long Term Investments |
| China | 36% |
| Brazil | 18% |
| Taiwan, Province of China | 15% |
| India | 8% |
| Republic of Korea | 8% |
| Mexico | 5% |
| Cayman Islands | 3% |
| Other | 7% |
| Total Securities | 100% |
Cumulative Fund Performance*
| Ten Largest Holdings (% of Total Net Assets) |
| Alibaba Group Holding Ltd. ADR | 11.3% |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | 8.7% |
| Baidu, Inc. ADR | 3.3% |
| China Mobile Ltd. ADR | 2.7% |
| Itau Unibanco Holding S.A. ADR | 2.7% |
| Vale S.A. ADR | 2.4% |
| HDFC Bank Ltd. ADR | 2.2% |
| Banco Bradesco S.A. ADR | 1.9% |
| Infosys Ltd. ADR | 1.8% |
| Ambev S.A. ADR | 1.7% |
| Top Ten Total | 38.7% |
| | |
| “Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | Since Inception
(10/29/10) |
| A-Class Shares | 42.97% | 3.76% | (3.56%) |
| A-Class Shares with sales charge‡ | 36.19% | 2.76% | (4.19%) |
| C-Class Shares | 41.87% | 3.08% | (4.10%) |
| C-Class Shares with CDSC§ | 40.87% | 3.08% | (4.10%) |
| H-Class Shares | 42.95% | 3.68% | (3.56%) |
| BNY Mellon Emerging Markets 50 ADR Index | 23.39% | 5.20% | 1.97% |
| S&P 500 Index | 13.99% | 13.31% | 13.81% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| | THE RYDEX FUNDS ANNUAL REPORT | 45 |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| COMMON STOCKS† - 63.1% |
| | | | | | | |
| Communications - 25.9% |
| Alibaba Group Holding Ltd. ADR* | | | 19,074 | | | $ | 3,500,842 | |
| Baidu, Inc. ADR* | | | 4,539 | | | | 1,013,060 | |
| China Mobile Ltd. ADR | | | 18,299 | | | | 837,179 | |
| JD.com, Inc. ADR* | | | 12,835 | | | | 519,689 | |
| America Movil SAB de CV — Class L ADR | | | 19,320 | | | | 368,819 | |
| Ctrip.com International Ltd. ADR* | | | 6,673 | | | | 311,095 | |
| Chunghwa Telecom Company Ltd. ADR | | | 6,291 | | | | 244,468 | |
| Telekomunikasi Indonesia Persero Tbk PT ADR | | | 8,174 | | | | 215,957 | |
| SK Telecom Company Ltd. ADR | | | 5,893 | | | | 142,434 | |
| China Unicom Hong Kong Ltd. ADR | | | 10,128 | | | | 129,942 | |
| 58.com, Inc. ADR* | | | 1,500 | | | | 119,790 | |
| Grupo Televisa SAB ADR | | | 7,242 | | | | 115,582 | |
| Vipshop Holdings Ltd. ADR* | | | 6,340 | | | | 105,371 | |
| Telefonica Brasil S.A. ADR | | | 6,854 | | | | 105,278 | |
| Weibo Corp. ADR* | | | 861 | | | | 102,924 | |
| China Telecom Corporation Ltd. ADR | | | 2,297 | | | | 102,171 | |
| Mobile TeleSystems PJSC ADR | | | 8,434 | | | | 96,063 | |
| Total Communications | | | | | | | 8,030,664 | |
| | | | | | | | | |
| Technology - 12.5% |
| Taiwan Semiconductor Manufacturing Company Ltd. ADR | | | 61,797 | | | | 2,704,237 | |
| Infosys Ltd. ADR1 | | | 31,448 | | | | 561,347 | |
| NetEase, Inc. ADR | | | 1,224 | | | | 343,197 | |
| Advanced Semiconductor Engineering, Inc. ADR | | | 23,426 | | | | 170,073 | |
| Wipro Ltd. ADR | | | 17,965 | | | | 92,699 | |
| Total Technology | | | | | | | 3,871,553 | |
| | | | | | | | | |
| Financial - 8.7% |
| HDFC Bank Ltd. ADR | | | 6,961 | | | | 687,538 | |
| Banco Bradesco S.A. ADR | | | 50,552 | | | | 600,558 | |
| KB Financial Group, Inc. ADR | | | 6,574 | | | | 380,898 | |
| China Life Insurance Company Ltd. ADR | | | 24,630 | | | | 344,574 | |
| Shinhan Financial Group Company Ltd. ADR | | | 7,848 | | | | 332,755 | |
| ICICI Bank Ltd. ADR | | | 26,009 | | | | 230,179 | |
| Woori Bank ADR | | | 3,021 | | | | 124,979 | |
| Total Financial | | | | | | | 2,701,481 | |
| | | | | | | | | |
| Energy - 6.0% |
| CNOOC Ltd. ADR | | | 2,660 | | | | 393,334 | |
| China Petroleum & Chemical Corp. ADR | | | 4,222 | | | | 373,563 | |
| Petroleo Brasileiro S.A. ADR* | | | 24,635 | | | | 348,339 | |
| Sasol Ltd. ADR | | | 9,801 | | | | 333,528 | |
| PetroChina Company Ltd. ADR | | | 3,492 | | | | 243,532 | |
| Ultrapar Participacoes S.A. ADR | | | 7,183 | | | | 155,296 | |
| Total Energy | | | | | | | 1,847,592 | |
| | | | | | | | | |
| Basic Materials - 4.1% |
| Vale S.A. ADR | | | 57,722 | | | | 734,224 | |
| | | | 5,310 | | | | 418,693 | |
| Vedanta Ltd. ADR | | | 6,921 | | | | 121,602 | |
| Total Basic Materials | | | | | | | 1,274,519 | |
| | | | | | | | | |
| Consumer, Non-cyclical - 4.0% |
| Ambev S.A. ADR | | | 72,835 | | | | 529,510 | |
| Fomento Economico Mexicano SAB de CV ADR | | | 3,577 | | | | 327,045 | |
| TAL Education Group ADR | | | 4,741 | | | | 175,844 | |
| BeiGene Ltd. ADR* | | | 804 | | | | 135,072 | |
| BRF S.A. ADR* | | | 10,354 | | | | 71,650 | |
| Total Consumer, Non-cyclical | | | | | | | 1,239,121 | |
| | | | | | | | | |
| Industrial - 0.8% |
| Cemex SAB de CV ADR* | | | 24,105 | | | | 159,575 | |
| LG Display Company Ltd. ADR | | | 7,343 | | | | 88,850 | |
| Total Industrial | | | | | | | 248,425 | |
| | | | | | | | | |
| Utilities - 0.8% |
| Korea Electric Power Corp. ADR | | | 8,500 | | | | 130,815 | |
| Enel Americas S.A. ADR | | | 9,318 | | | | 108,275 | |
| Total Utilities | | | | | | | 239,090 | |
| | | | | | | | | |
| Consumer, Cyclical - 0.3% |
| Latam Airlines Group S.A. ADR | | | 6,323 | | | | 97,311 | |
| | | | | | | | | |
| Total Common Stocks | | | | | | | | |
| (Cost $18,394,737) | | | | | | | 19,549,756 | |
| | | | | | | | | |
| PREFERRED STOCKS† - 4.2% |
| Financial - 2.7% |
| Itau Unibanco Holding S.A. ADR | | | 53,466 | | | | 834,070 | |
| | | | | | | | | |
| Energy - 1.5% |
| Petroleo Brasileiro S.A. ADR * | | | 34,768 | | | | 451,636 | |
| Total Preferred Stocks | | | | | | | | |
| (Cost $1,119,692) | | | | | | | 1,285,706 | |
| | | | | | | | | |
| | | | Face
Amount | | | | | |
| | | | | | | | | |
| REPURCHASE AGREEMENTS††,2 - 29.5% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/183 | | $ | 6,882,495 | | | | 6,882,495 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/183 | | | 2,252,136 | | | | 2,252,136 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $9,134,631) | | | | | | | 9,134,631 | |
| 46 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| SCHEDULE OF INVESTMENTS (continued) | March 29, 2018 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| | | Shares | | | Value | |
| | | | | | | |
| SECURITIES LENDING COLLATERAL†,4 - 0.7% |
| Money Market Fund | | | | | | |
| First American Government Obligations Fund — Class Z, 1.49%5 | | | 221,465 | | | $ | 221,465 | |
| Total Securities Lending Collateral | | | | | | | | |
| (Cost $221,465) | | | | | | | 221,465 | |
| | | | | | | | | |
| Total Investments - 97.5% | | | | | | | | |
| (Cost $28,870,525) | | | | | | $ | 30,191,558 | |
| Other Assets & Liabilities, net - 2.5% | | | | | | | 788,095 | |
| Total Net Assets - 100.0% | | | | | | $ | 30,979,653 | |
| Futures Contracts |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and Unrealized
Gain | |
| Equity Futures Contracts Purchased† |
| MSCI EAFE Index Mini Futures Contracts | | | 42 | | | Jun 2018 | | $ | 2,494,170 | | | $ | 39,759 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and Unrealized
Gain | |
| OTC Equity Index Swap Agreements†† |
| Goldman Sachs International | | BNY Mellon Emerging Markets 50 ADR Index6 | | | 2.29 | % | | At Maturity | | 04/27/18 | | | 9,093 | | | $ | 25,802,420 | | | $ | 334,171 | |
| BNP Paribas | | BNY Mellon Emerging Markets 50 ADR Index6 | | | 2.39 | % | | At Maturity | | 04/30/18 | | | 4,533 | | | | 12,863,493 | | | | 154,083 | |
| | | | | | | | | | | | | | | | | $ | 38,665,913 | | | $ | 488,254 | |
| * | | Non-income producing security. |
| † | | Value determined based on Level 1 inputs — See Note 4. |
| †† | | Value determined based on Level 2 inputs — See Note 4. |
| 1 | | All or portion of this security is on loan at March 29, 2018 — 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 March 29, 2018. |
| 4 | | Securities lending collateral — See Note 7. |
| 5 | | Rate indicated is the 7 day yield as of March 29, 2018. |
| 6 | | Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. Rate indicated is the rate effective at March 29, 2018. |
| | | ADR — American Depositary Receipt |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 47 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| EMERGING MARKETS 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | | $ | 19,549,756 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | 19,549,756 | |
| Equity Futures Contracts | | | — | | | | 39,759 | | | | — | | | | — | | | | — | | | | 39,759 | |
| Equity Index Swap Agreements | | | — | | | | — | | | | — | | | | 488,254 | | | | — | | | | 488,254 | |
| Preferred Stocks | | | 1,285,706 | | | | — | | | | — | | | | — | | | | — | | | | 1,285,706 | |
| Repurchase Agreements | | | — | | | | — | | | | 9,134,631 | | | | — | | | | — | | | | 9,134,631 | |
| Securities Lending Collateral | | | 221,465 | | | | — | | | | — | | | | — | | | | — | | | | 221,465 | |
| Total Assets | | $ | 21,056,927 | | | $ | 39,759 | | | $ | 9,134,631 | | | $ | 488,254 | | | $ | — | | | $ | 30,719,571 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EMERGING MARKETS 2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES | |
| March 29, 2018 |
| Assets: | | | |
| Investments, at value - including $214,628 of securities loaned (cost $19,735,894) | | $ | 21,056,927 | |
| Repurchase agreements, at value (cost $9,134,631) | | | 9,134,631 | |
| Cash | | | 8,090 | |
| Segregated cash with broker | | | 88,400 | |
| Unrealized appreciation on swap agreements | | | 488,254 | |
| Receivables: |
| Fund shares sold | | | 1,558,147 | |
| Variation margin | | | 41,789 | |
| Interest | | | 1,367 | |
| Dividends | | | 291 | |
| Foreign taxes reclaim | | | 215 | |
| Securities lending income | | | 16 | |
| Total assets | | | 32,378,127 | |
| | | | | |
| Liabilities: |
| Payable for: |
| Fund shares redeemed | | | 809,889 | |
| Swap settlement | | | 332,699 | |
| Return of securities loaned | | | 221,465 | |
| Management fees | | | 15,319 | |
| Distribution and service fees | | | 4,597 | |
| Transfer agent and administrative fees | | | 4,255 | |
| Portfolio accounting fees | | | 2,553 | |
| Trustees’ fees* | | | 461 | |
| Miscellaneous | | | 7,236 | |
| Total liabilities | | | 1,398,474 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 30,979,653 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 36,108,825 | |
| Accumulated net investment loss | | | (28,110 | ) |
| Accumulated net realized loss on investments | | | (6,950,108 | ) |
| Net unrealized appreciation on investments | | | 1,849,046 | |
| Net assets | | $ | 30,979,653 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 3,187,304 | |
| Capital shares outstanding | | | 36,552 | |
| Net asset value per share | | $ | 87.20 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 91.55 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 522,453 | |
| Capital shares outstanding | | | 6,253 | |
| Net asset value per share | | $ | 83.55 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 27,269,896 | |
| Capital shares outstanding | | | 312,696 | |
| Net asset value per share | | $ | 87.21 | |
| STATEMENT OF OPERATIONS | |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Dividends (net of foreign withholding tax of $2,041) | | $ | 199,981 | |
| Interest | | | 73,252 | |
| Income from securities lending, net | | | 819 | |
| Total investment income | | | 274,052 | |
| | | | | |
| Expenses: |
| Management fees | | | 169,111 | |
| Distribution and service fees: |
| A-Class | | | 7,913 | |
| C-Class | | | 6,073 | |
| H-Class | | | 37,548 | |
| Transfer agent and administrative fees | | | 46,977 | |
| Portfolio accounting fees | | | 28,187 | |
| Custodian fees | | | 2,540 | |
| Trustees’ fees* | | | 1,236 | |
| Miscellaneous | | | 36,909 | |
| Total expenses | | | 336,494 | |
| Net investment loss | | | (62,442 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Investments | | | 1,185,031 | |
| Swap agreements | | | 2,679,651 | |
| Futures contracts | | | 87,912 | |
| Net realized gain | | | 3,952,594 | |
| Net change in unrealized appreciation (depreciation) on: |
| Investments | | | 936,966 | |
| Swap agreements | | | 497,198 | |
| Futures contracts | | | 49,142 | |
| Net change in unrealized appreciation (depreciation) | | | 1,483,306 | |
| Net realized and unrealized gain | | | 5,435,900 | |
| Net increase in net assets resulting from operations | | $ | 5,373,458 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (62,442 | ) | | $ | (121,807 | ) |
| Net realized gain on investments | | | 3,952,594 | | | | 4,636,273 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,483,306 | | | | (1,024,456 | ) |
| Net increase in net assets resulting from operations | | | 5,373,458 | | | | 3,490,010 | |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 6,131,324 | | | | 7,359,066 | |
| C-Class | | | 3,925,967 | | | | 9,705,258 | |
| H-Class | | | 373,113,720 | | | | 466,810,421 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (4,525,625 | ) | | | (10,731,054 | ) |
| C-Class | | | (3,883,376 | ) | | | (9,726,582 | ) |
| H-Class | | | (356,843,696 | ) | | | (476,717,148 | ) |
| Net increase (decrease) from capital share transactions | | | 17,918,314 | | | | (13,300,039 | ) |
| Net increase (decrease) in net assets | | | 23,291,772 | | | | (9,810,029 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 7,687,881 | | | | 17,497,910 | |
| End of year | | $ | 30,979,653 | | | $ | 7,687,881 | |
| Accumulated net investment loss at end of year | | $ | (28,110 | ) | | $ | (27,012 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 83,793 | | | | 150,599 | |
| C-Class | | | 54,710 | | | | 187,596 | |
| H-Class | | | 4,752,146 | | | | 9,608,705 | |
| Shares redeemed | | | | | | | | |
| A-Class | | | (57,545 | ) | | | (229,335 | ) |
| C-Class | | | (54,588 | ) | | | (187,698 | ) |
| H-Class | | | (4,549,243 | ) | | | (9,794,119 | ) |
| Net increase (decrease) in shares | | | 229,273 | | | | (264,252 | ) |
| 50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EMERGING MARKETS 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 60.99 | | | $ | 44.79 | | | $ | 60.50 | | | $ | 66.27 | | | $ | 73.59 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.24 | ) | | | (.48 | ) | | | (.23 | ) | | | (.37 | ) | | | (.54 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 26.45 | | | | 16.68 | | | | (14.83 | ) | | | (5.40 | ) | | | (6.78 | ) |
| Total from investment operations | | | 26.21 | | | | 16.20 | | | | (15.06 | ) | | | (5.77 | ) | | | (7.32 | ) |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 87.20 | | | $ | 60.99 | | | $ | 44.79 | | | $ | 60.50 | | | $ | 66.27 | |
| |
| Total Returnb | | | 42.97 | % | | | 36.17 | % | | | (24.84 | %) | | | (8.72 | %) | | | (9.96 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 3,187 | | | $ | 628 | | | $ | 3,988 | | | $ | 382 | | | $ | 744 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.30 | %) | | | (0.96 | %) | | | (0.48 | %) | | | (0.53 | %) | | | (0.82 | %) |
| Total expenses | | | 1.76 | % | | | 1.76 | % | | | 1.75 | % | | | 1.75 | % | | | 1.81 | % |
| Net expenses | | | 1.76 | % | | | 1.76 | % | | | 1.75 | % | | | 1.75 | % | | | 1.76 | % |
| Portfolio turnover rate | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % | | | 1,085 | % | | | 1,412 | % |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 58.90 | | | $ | 43.56 | | | $ | 59.37 | | | $ | 65.46 | | | $ | 72.92 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.61 | ) | | | (.79 | ) | | | (.74 | ) | | | (.73 | ) | | | (1.04 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 25.26 | | | | 16.13 | | | | (14.42 | ) | | | (5.36 | ) | | | (6.42 | ) |
| Total from investment operations | | | 24.65 | | | | 15.34 | | | | (15.16 | ) | | | (6.09 | ) | | | (7.46 | ) |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 83.55 | | | $ | 58.90 | | | $ | 43.56 | | | $ | 59.37 | | | $ | 65.46 | |
| |
| Total Returnb | | | 41.87 | % | | | 35.19 | % | | | (25.48 | %) | | | (9.32 | %) | | | (10.21 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 522 | | | $ | 361 | | | $ | 271 | | | $ | 1,287 | | | $ | 409 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.82 | %) | | | (1.55 | %) | | | (1.49 | %) | | | (0.99 | %) | | | (1.73 | %) |
| Total expenses | | | 2.56 | % | | | 2.50 | % | | | 2.46 | % | | | 2.48 | % | | | 2.66 | % |
| Net expenses | | | 2.56 | % | | | 2.50 | % | | | 2.46 | % | | | 2.48 | % | | | 2.61 | %c |
| Portfolio turnover rate | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % | | | 1,085 | % | | | 1,412 | % |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
| EMERGING MARKETS 2x STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | | | Year Ended
March 31,
2016 | | | Year Ended
March 31,
2015 | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 61.01 | | | $ | 44.84 | | | $ | 60.61 | | | $ | 66.37 | | | $ | 73.87 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.25 | ) | | | (.42 | ) | | | (.41 | ) | | | .20 | | | | (.34 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 26.45 | | | | 16.59 | | | | (14.71 | ) | | | (5.96 | ) | | | (7.16 | ) |
| Total from investment operations | | | 26.20 | | | | 16.17 | | | | (15.12 | ) | | | (5.76 | ) | | | (7.50 | ) |
| Less distributions from: |
| Net investment income | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Total distributions | | | — | | | | — | | | | (.65 | ) | | | — | | | | — | |
| Net asset value, end of period | | $ | 87.21 | | | $ | 61.01 | | | $ | 44.84 | | | $ | 60.61 | | | $ | 66.37 | |
| |
| Total Returnb | | | 42.95 | % | | | 36.04 | % | | | (24.88 | %) | | | (8.71 | %) | | | (10.19 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 27,270 | | | $ | 6,698 | | | $ | 13,238 | | | $ | 2,136 | | | $ | 4,719 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.32 | %) | | | (0.82 | %) | | | (0.76 | %) | | | 0.25 | % | | | (0.51 | %) |
| Total expenses | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % | | | 1.75 | % | | | 1.80 | % |
| Net expenses | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % | | | 1.75 | % | | | 1.74 | %c |
| Portfolio turnover rate | | | 1,006 | % | | | 2,568 | % | | | 2,874 | % | | | 1,085 | % | | | 1,412 | % |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Net expense information reflects the expense ratios after expense waivers. |
| d | | Reverse share split — Per share amounts for the year ended March 31, 2014 have been restated to reflect a 1:5 reverse share split effective February 21, 2014 |
| 52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
INVERSE EMERGING MARKETS 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 29, 2018, Inverse Emerging Markets 2x Strategy Fund H-Class returned -38.46%, while the BNY Mellon Emerging Markets 50 ADR Index returned 23.39% over the same period. For comparison, the S&P 500 Index returned 13.99%.
For the period, Inverse Emerging Markets 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the BNY Mellon Emerging Markets 50 ADR Index.
For the period, the sectors contributing the most to the performance of the underlying index were Information Technology and Financials. The sectors detracting the most from the return of the underlying index were Industrials and Utilities.
Among the stocks in the underlying benchmark which rose the most over the past year were Alibaba Group Holding Ltd, Petrobras SA, and Vale SA. Those which fell the most over the past year were BRF SA, Grupo Televisa SAB, and Korea Electric Power Corp (KEPCO).
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the most efficient manner possible and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the fund’s negative performance.
Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 6 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | October 29, 2010 |
| C-Class | October 29, 2010 |
| H-Class | October 29, 2010 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
| | THE RYDEX FUNDS ANNUAL REPORT | 53 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | 5 Year | Since Inception
(10/29/10) |
| A-Class Shares | (38.35%) | (19.46%) | (16.58%) |
| A-Class Shares with sales charge‡ | (41.28%) | (20.25%) | (17.12%) |
| C-Class Shares | (38.77%) | (20.06%) | (16.51%) |
| C-Class Shares with CDSC§ | (39.39%) | (20.06%) | (16.51%) |
| H-Class Shares | (38.46%) | (19.59%) | (16.67%) |
| BNY Mellon Emerging Markets 50 ADR Index | 23.39% | 5.20% | 1.97% |
| S&P 500 Index | 13.99% | 13.31% | 13.81% |
| * | | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The BNY Mellon Emerging Markets 50 ADR Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The graphs are based on A-Class shares |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%.and H-Class shares only; performance for C-Class shares will vary due to difFerences in fee structure. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 54 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 96.2% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/182 | | $ | 583,444 | | | $ | 583,444 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/182 | | | 190,919 | | | | 190,919 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $774,363) | | | | | | | 774,363 | |
| | | | | | | | | |
| Total Investments - 96.2% | | | | | | | | |
| (Cost $774,363) | | | | | | $ | 774,363 | |
| Other Assets & Liabilities, net - 3.8% | | | | | | | 30,453 | |
| Total Net Assets - 100.0% | | | | | | $ | 804,816 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Loss | |
| OTC Equity Index Swap Agreements Sold Short†† |
| BNP Paribas | | BNY Mellon Emerging Markets 50 ADR Index3 | | | (1.49 | %) | | At Maturity | | 04/30/18 | | | 148 | | | $ | 419,445 | | | $ | (7,343 | ) |
| Goldman Sachs International | | BNY Mellon Emerging Markets 50 ADR Index3 | | | (1.29 | %) | | At Maturity | | 04/27/18 | | | 418 | | | | 1,186,823 | | | | (14,245 | ) |
| | | | | | | | | | | | | | | | | $ | 1,606,268 | | | $ | (21,588 | ) |
| †† | | 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 March 29, 2018. |
| 3 | | Total Return based on Bank of New York Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. Rate indicated is the rate effective at March 29, 2018. |
| | | |
| | | See Sector Classification in Other Information section. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 55 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
The following table summarizes the inputs used to value the Fund’s investments at March 29, 2018 (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 | |
| Repurchase Agreements | | $ | — | | | $ | 774,363 | | | $ | — | | | $ | — | | | $ | 774,363 | |
| | | | | | | | | | | | | | | | | | | | | |
| 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 | | $ | — | | | $ | — | | | $ | 21,588 | | | $ | — | | | $ | 21,588 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES | |
| March 29, 2018 | |
| Assets: | | | |
| Repurchase agreements, at value (cost $774,363) | | $ | 774,363 | |
| Receivables: |
| Fund shares sold | | | 135,645 | |
| Swap settlement | | | 8,013 | |
| Interest | | | 115 | |
| Total assets | | | 918,136 | |
| | | | | |
| Liabilities: |
| Unrealized depreciation on swap agreements | | | 21,588 | |
| Payable for: |
| Fund shares redeemed | | | 90,420 | |
| Management fees | | | 339 | |
| Distribution and service fees | | | 106 | |
| Transfer agent and administrative fees | | | 94 | |
| Trustees’ fees* | | | 61 | |
| Portfolio accounting fees | | | 57 | |
| Miscellaneous | | | 655 | |
| Total liabilities | | | 113,320 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 804,816 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 18,518,698 | |
| Accumulated net investment loss | | | (6,722 | ) |
| Accumulated net realized loss on investments | | | (17,685,572 | ) |
| Net unrealized depreciation on investments | | | (21,588 | ) |
| Net assets | | $ | 804,816 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 42,945 | |
| Capital shares outstanding | | | 1,099 | |
| Net asset value per share | | $ | 39.08 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 41.04 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 18,531 | |
| Capital shares outstanding | | | 471 | |
| Net asset value per share | | $ | 39.34 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 743,340 | |
| Capital shares outstanding | | | 19,171 | |
| Net asset value per share | | $ | 38.77 | |
| STATEMENT OF OPERATIONS | |
| Year Ended March 29, 2018 | |
| Investment Income: | | | |
| Interest | | $ | 14,652 | |
| Total investment income | | | 14,652 | |
| | | | | |
| Expenses: |
| Management fees | | | 12,143 | |
| Distribution and service fees: |
| A-Class | | | 138 | |
| C-Class | | | 362 | |
| H-Class | | | 3,152 | |
| Transfer agent and administrative fees | | | 3,377 | |
| Portfolio accounting fees | | | 2,027 | |
| Custodian fees | | | 179 | |
| Trustees’ fees* | | | 130 | |
| Miscellaneous | | | 2,531 | |
| Total expenses | | | 24,039 | |
| Net investment loss | | | (9,387 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Swap agreements | | | (360,880 | ) |
| Futures contracts | | | (12,691 | ) |
| Net realized loss | | | (373,571 | ) |
| Net change in unrealized appreciation (depreciation) on: |
| Swap agreements | | | (28,330 | ) |
| Futures contracts | | | (648 | ) |
| Net change in unrealized appreciation (depreciation) | | | (28,978 | ) |
| Net realized and unrealized loss | | | (402,549 | ) |
| Net decrease in net assets resulting from operations | | $ | (411,936 | ) |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 57 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | |
| Net investment loss | | $ | (9,387 | ) | | $ | (54,342 | ) |
| Net realized loss on investments | | | (373,571 | ) | | | (38,162 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | (28,978 | ) | | | 51,297 | |
| Net decrease in net assets resulting from operations | | | (411,936 | ) | | | (41,207 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 678,533 | | | | 13,480,032 | |
| C-Class | | | 722,941 | | | | 9,025,499 | |
| H-Class | | | 96,279,514 | | | | 132,741,268 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (736,923 | ) | | | (13,425,091 | ) |
| C-Class | | | (761,962 | ) | | | (9,161,419 | ) |
| H-Class | | | (95,954,095 | ) | | | (158,785,532 | ) |
| Net increase (decrease) from capital share transactions | | | 228,008 | | | | (26,125,243 | ) |
| Net decrease in net assets | | | (183,928 | ) | | | (26,166,450 | ) |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 988,744 | | | | 27,155,194 | |
| End of year | | $ | 804,816 | | | $ | 988,744 | |
| Accumulated net investment loss at end of year | | $ | (6,722 | ) | | $ | (7,485 | ) |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 18,625 | | | | 130,919 | * |
| C-Class | | | 18,264 | | | | 113,460 | * |
| H-Class | | | 2,113,995 | | | | 1,618,259 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (18,196 | ) | | | (134,646 | )* |
| C-Class | | | (18,662 | ) | | | (116,168 | )* |
| H-Class | | | (2,108,958 | ) | | | (1,864,161 | )* |
| Net increase (decrease) in shares | | | 5,068 | | | | (252,337 | )* |
| * | | Capital share activity for the year ended March 31, 2017, has been restated to reflect a 1:6 reverse share split effective October 31, 2016. |
| 58 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 63.42 | | | $ | 101.83 | | | $ | 101.26 | | | $ | 110.02 | | | $ | 115.35 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.28 | ) | | | (1.42 | ) | | | (1.92 | ) | | | (1.74 | ) | | | (2.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (24.06 | ) | | | (36.99 | ) | | | 2.49 | | | | (7.02 | ) | | | (3.23 | ) |
| Total from investment operations | | | (24.34 | ) | | | (38.41 | ) | | | .57 | | | | (8.76 | ) | | | (5.33 | ) |
| Net asset value, end of period | | $ | 39.08 | | | $ | 63.42 | | | $ | 101.83 | | | $ | 101.26 | | | $ | 110.02 | |
| |
| Total Returnb | | | (38.35 | %) | | | (37.72 | %) | | | 0.53 | % | | | (7.96 | %) | | | (4.63 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 43 | | | $ | 42 | | | $ | 448 | | | $ | 62 | | | $ | 4,859 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.64 | %) | | | (1.50 | %) | | | (1.59 | %) | | | (1.74 | %) | | | (1.74 | %) |
| Total expenses | | | 1.76 | % | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.78 | % |
| Net expenses | | | 1.76 | % | | | 1.75 | % | | | 1.75 | % | | | 1.75 | % | | | 1.75 | %c |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014c,d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 64.21 | | | $ | 103.83 | | | $ | 104.23 | | | $ | 114.21 | | | $ | 120.45 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.74 | ) | | | (1.88 | ) | | | (2.82 | ) | | | (2.34 | ) | | | (3.12 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (24.13 | ) | | | (37.74 | ) | | | 2.42 | | | | (7.64 | ) | | | (3.12 | ) |
| Total from investment operations | | | (24.87 | ) | | | (39.62 | ) | | | (.40 | ) | | | (9.98 | ) | | | (6.24 | ) |
| Net asset value, end of period | | $ | 39.34 | | | $ | 64.21 | | | $ | 103.83 | | | $ | 104.23 | | | $ | 114.21 | |
| |
| Total Returnb | | | (38.77 | %) | | | (38.17 | %) | | | (0.29 | %) | | | (8.78 | %) | | | (5.23 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 19 | | | $ | 56 | | | $ | 371 | | | $ | 102 | | | $ | 262 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.46 | %) | | | (2.20 | %) | | | (2.44 | %) | | | (2.47 | %) | | | (2.44 | %) |
| Total expenses | | | 2.49 | % | | | 2.48 | % | | | 2.50 | % | | | 2.48 | % | | | 2.48 | % |
| Net expenses | | | 2.49 | % | | | 2.48 | % | | | 2.50 | % | | | 2.48 | % | | | 2.46 | %c |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
| INVERSE EMERGING MARKETS 2x STRATEGY FUND | |
| FINANCIAL HIGHLIGHTS (concluded) |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| H-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017d | | | Year Ended
March 31,
2016d | | | Year Ended
March 31,
2015d | | | Year Ended
March 31,
2014d | |
| Per Share Data | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 63.00 | | | $ | 101.28 | | | $ | 100.80 | | | $ | 109.97 | | | $ | 115.31 | |
| Income (loss) from investment operations: |
| Net investment income (loss)a | | | (.30 | ) | | | (1.23 | ) | | | (2.04 | ) | | | (1.68 | ) | | | (2.10 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | (23.93 | ) | | | (37.05 | ) | | | 2.52 | | | | (7.49 | ) | | | (3.24 | ) |
| Total from investment operations | | | (24.23 | ) | | | (38.28 | ) | | | .48 | | | | (9.17 | ) | | | (5.34 | ) |
| Net asset value, end of period | | $ | 38.77 | | | $ | 63.00 | | | $ | 101.28 | | | $ | 100.80 | | | $ | 109.97 | |
| |
| Total Returnb | | | (38.46 | %) | | | (37.80 | %) | | | 0.48 | % | | | (8.35 | %) | | | (4.63 | %) |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 743 | | | $ | 890 | | | $ | 26,336 | | | $ | 23,091 | | | $ | 5,815 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.68 | %) | | | (1.46 | %) | | | (1.65 | %) | | | (1.71 | %) | | | (1.74 | %) |
| Total expenses | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % | | | 1.73 | % | | | 1.78 | % |
| Net expenses | | | 1.77 | % | | | 1.76 | % | | | 1.74 | % | | | 1.73 | % | | | 1.76 | %c |
| Portfolio turnover rate | | | — | | | | — | | | | — | | | | — | | | | — | |
| a | | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
| b | | Total return does not reflect the impact of any applicable sales charges. |
| c | | Net expense information reflects the expense ratios after expense waivers. |
| d | | 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. |
| 60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 29, 2018 |
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.
The Emerging Markets Bond Fund H-Class returned 2.19% for the one-year period ended March 29, 2018. By comparison, the ICE Bank of America Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index returned 3.74% over the same period.
Increased global economic stability over the past year has led to the contraction of credit spreads across most emerging markets countries. In addition, the stabilization of oil prices has had a positive effect on the credit spread of countries with a high dependency on oil prices.
Panama, Malaysia, and Chile were among the countries which experienced the largest decreases in credit spreads. During this period, Lebanon was added to the Emerging Market credit default swap. Venezuela experienced a credit event (default) during this period and was removed from the Emerging Market credit default swap.
Derivatives in the Fund were used to help provide efficient exposure to the emerging markets bond market and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
| Inception Dates: |
| A-Class | October 8, 2013 |
| C-Class | October 8, 2013 |
| H-Class | October 8, 2013 |
The fund invests principally in derivative instruments such as swap agreements and futures contracts.
| | THE RYDEX FUNDS ANNUAL REPORT | 61 |
| PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 29, 2018 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 29, 2018
| | 1 Year | Since Inception
(10/08/13) |
| A-Class Shares | 2.18% | 1.56% |
| A-Class Shares with sales charge‡ | (2.68%) | 0.46% |
| C-Class Shares | 1.41% | 0.69% |
| C-Class Shares with CDSC§ | 0.41% | 0.69% |
| H-Class Shares | 2.19% | 1.46% |
| ICE Bank of America Merrill Lynch U.S. Dollar Emerging Markets Sovereign Plus Index | 3.74% | 5.68% |
| * | | 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 ICE 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure. |
| ‡ | | Fund returns are calculated using the maximum sales charge of 4.75%. |
| § | | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
| 62 | THE RYDEX FUNDS ANNUAL REPORT | |
| SCHEDULE OF INVESTMENTS | March 29, 2018 |
| EMERGING MARKETS BOND STRATEGY FUND | |
| | | Face
Amount | | | Value | |
| | | | | | | |
| REPURCHASE AGREEMENTS††,1 - 86.1% |
JPMorgan Chase & Co.
issued 03/29/18 at 1.80%
due 04/02/182 | | $ | 528,049 | | | $ | 528,049 | |
Bank of America Merrill Lynch
issued 03/29/18 at 1.78%
due 04/02/182 | | | 172,792 | | | | 172,792 | |
| Total Repurchase Agreements | | | | | | | | |
| (Cost $700,841) | | | | | | | 700,841 | |
| | | | | | | | | |
| Total Investments - 86.1% | | | | | | | | |
| (Cost $700,841) | | | | | | $ | 700,841 | |
| Other Assets & Liabilities, net - 13.9% | | | | | | | 113,317 | |
| Total Net Assets - 100.0% | | | | | | $ | 814,158 | |
| Futures Contracts |
| | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | Notional
Amount | | | Value and
Unrealized
Gain | |
| Interest Rate Futures Contracts Purchased† |
| U.S. Treasury 5 Year Note Futures Contracts | | | 4 | | | Jun 2018 | | $ | 457,907 | | | $ | 2,212 | |
| U.S. Treasury 10 Year Note Futures Contracts | | | 1 | | | Jun 2018 | | | 121,156 | | | | 1,139 | |
| | | | | | | | | $ | 579,063 | | | $ | 3,351 | |
| Total Return Swap Agreements |
| Counterparty | | Index | | Financing
Rate Pay
(Receive) | | | Payment
Frequency | | Maturity
Date | | Units | | | Notional
Amount | | | Value and
Unrealized
Gain | |
| OTC Credit Swap Agreements†† |
| Goldman Sachs International | | Powershares Emerging Markets Sovereign Debt Portfolio ETF Swap4 | | | 2.33 | % | | At Maturity | | 04/24/18 | | | 5,680 | | | $ | 160,382 | | | $ | 1,625 | |
| Goldman Sachs International | | iShares JPMorgan USD Emerging Markets Bond ETF Swap5 | | | 2.23 | % | | At Maturity | | 04/24/18 | | | 1,458 | | | | 164,518 | | | | 1,572 | |
| | | | | | | | | | | | | | | | | $ | 324,900 | | | $ | 3,197 | |
| Centrally Cleared Credit Default Swap Agreements Protection Sold††,3 |
| Counterparty | | Exchange | | | Index | | | Protection
Premium
Rate | | | Payment
Frequency | | Maturity
Date | | Notional
Amount | | | Value | | | Upfront
Premiums
Received | | | Unrealized
Gain | |
| Barclays Bank plc | | | ICE | | | | CDX.EM-29 Index | | | | 1.00 | % | | Quarterly | | 06/20/23 | | $ | 650,000 | | | $ | (11,417 | ) | | $ | (13,348 | ) | | $ | 1,931 | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
| SCHEDULE OF INVESTMENTS (concluded) | March 29, 2018 |
| EMERGING MARKETS BOND STRATEGY FUND | |
| † | | 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 | | All or a portion of this security is pledged as credit index swap collateral at March 29, 2018. |
| 3 | | Credit Default Swaps — See Note 2. |
| 4 | | Total Return based on Power Shares Emerging Markets Sovereign Debt Portfolio +/- financing at a variable rate. Rate indicated is rate effective at March 29, 2018. |
| 5 | | Total Return based on iShares JP Morgan USD Emerging Markets Bond ETF +/- financing at a variable rate. Rate indicated is rate effective at March 29, 2018. |
| | | CDX.EM-29 Index — Credit Default Swap Emerging Markets Series 29 Index |
| | | 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 March 29, 2018 (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 | | $ | — | | | $ | — | | | $ | — | | | $ | 1,931 | | | $ | — | | | $ | 1,931 | |
| Credit Index Swap Agreements | | | — | | | | — | | | | — | | | | 3,197 | | | | — | | | | 3,197 | |
| Interest Rate Futures Contracts | | | — | | | | 3,351 | | | | — | | | | — | | | | — | | | | 3,351 | |
| Repurchase Agreements | | | — | | | | — | | | | 700,841 | | | | — | | | | — | | | | 700,841 | |
| Total Assets | | $ | — | | | $ | 3,351 | | | $ | 700,841 | | | $ | 5,128 | | | $ | — | | | $ | 709,320 | |
| * | | 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 year ended March 29, 2018, there were no transfers between levels.
| 64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EMERGING MARKETS BOND STRATEGY FUND | |
| STATEMENT OF ASSETS AND LIABILITIES | |
| March 29, 2018 | |
| Assets: |
| Repurchase agreements, at value (cost $700,841) | | $ | 700,841 | |
| Segregated cash with broker | | | 123,451 | |
| Unrealized appreciation on swap agreements | | | 3,197 | |
| Receivables: |
| Variation margin on futures contracts | | | 750 | |
| Variation margin on credit default swap agreements | | | 1,123 | |
| Protection fees on credit default swaps | | | 217 | |
| Interest | | | 105 | |
| Fund shares sold | | | 27 | |
| Total assets | | | 829,711 | |
| | | | | |
| Liabilities: |
| Unamortized upfront premiums received on credit default swaps | | | 13,348 | |
| Payable for: |
| Fund shares redeemed | | | 818 | |
| Management fees | | | 541 | |
| Distribution and service fees | | | 234 | |
| Transfer agent and administrative fees | | | 181 | |
| Portfolio accounting fees | | | 108 | |
| Trustees’ fees* | | | 27 | |
| Swap settlement | | | 18 | |
| Miscellaneous | | | 278 | |
| Total liabilities | | | 15,553 | |
| Commitments and contingent liabilities (Note 11) | | | — | |
| Net assets | | $ | 814,158 | |
| | | | | |
| Net assets consist of: |
| Paid in capital | | $ | 916,108 | |
| Distributions in excess of net investment income | | | (15,471 | ) |
| Accumulated net realized loss on investments | | | (94,958 | ) |
| Net unrealized appreciation on investments | | | 8,479 | |
| Net assets | | $ | 814,158 | |
| | | | | |
| A-Class: |
| Net assets | | $ | 116,296 | |
| Capital shares outstanding | | | 1,584 | |
| Net asset value per share | | $ | 73.42 | |
| Maximum offering price per share (Net asset value divided by 95.25%) | | $ | 77.07 | |
| | | | | |
| C-Class: |
| Net assets | | $ | 82,458 | |
| Capital shares outstanding | | | 1,176 | |
| Net asset value per share | | $ | 70.12 | |
| | | | | |
| H-Class: |
| Net assets | | $ | 615,404 | |
| Capital shares outstanding | | | 8,432 | |
| Net asset value per share | | $ | 72.98 | |
| STATEMENT OF OPERATIONS | |
| Year Ended March 29, 2018 | |
| Investment Income: |
| Interest | | $ | 10,072 | |
| Total investment income | | | 10,072 | |
| | | | | |
| Expenses: |
| Management fees | | | 9,076 | |
| Distribution and service fees: |
| A-Class | | | 354 | |
| C-Class | | | 1,546 | |
| H-Class | | | 2,289 | |
| Transfer agent and administrative fees | | | 3,027 | |
| Portfolio accounting fees | | | 1,817 | |
| Custodian fees | | | 159 | |
| Trustees’ fees* | | | 73 | |
| Miscellaneous | | | 1,943 | |
| Total expenses | | | 20,284 | |
| Net investment loss | | | (10,212 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): |
| Net realized gain (loss) on: |
| Swap agreements | | | 28,832 | |
| Futures contracts | | | (19,165 | ) |
| Net realized gain | | | 9,667 | |
| Net change in unrealized appreciation (depreciation) on: |
| Swap agreements | | | 4,730 | |
| Futures contracts | | | 1,662 | |
| Net change in unrealized appreciation (depreciation) | | | 6,392 | |
| Net realized and unrealized gain | | | 16,059 | |
| Net increase in net assets resulting from operations | | $ | 5,847 | |
| * | | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
| EMERGING MARKETS BOND STRATEGY FUND | |
| STATEMENTS OF CHANGES IN NET ASSETS |
| | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment loss | | $ | (10,212 | ) | | $ | (79,467 | ) |
| Net realized gain on investments | | | 9,667 | | | | 53,964 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 6,392 | | | | (9,101 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 5,847 | | | | (34,604 | ) |
| | | | | | | | | |
| Distributions to shareholders from: | | | | | | | | |
| Net investment income | | | | | | | | |
| A-Class | | | (168 | ) | | | (62,397 | ) |
| C-Class | | | (303 | ) | | | (5,813 | ) |
| H-Class | | | (1,182 | ) | | | (31,424 | ) |
| Net realized gains | | | | | | | | |
| A-Class | | | — | | | | (8,051 | ) |
| C-Class | | | — | | | | (642 | ) |
| H-Class | | | — | | | | (24,807 | ) |
| Total distributions to shareholders | | | (1,653 | ) | | | (133,134 | ) |
| | | | | | | | | |
| Capital share transactions: | | | | | | | | |
| Proceeds from sale of shares | | | | | | | | |
| A-Class | | | 130,039 | | | | 46,123,639 | |
| C-Class | | | 183,393 | | | | 129,666 | |
| H-Class | | | 5,454,762 | | | | 20,306,109 | |
| Distributions reinvested | | | | | | | | |
| A-Class | | | 83 | | | | 66,839 | |
| C-Class | | | 303 | | | | 5,889 | |
| H-Class | | | 1,137 | | | | 54,879 | |
| Cost of shares redeemed | | | | | | | | |
| A-Class | | | (129,561 | ) | | | (46,053,913 | ) |
| C-Class | | | (194,341 | ) | | | (170,836 | ) |
| H-Class | | | (5,310,619 | ) | | | (20,219,716 | ) |
| Net increase from capital share transactions | | | 135,196 | | | | 242,556 | |
| Net increase in net assets | | | 139,390 | | | | 74,818 | |
| | | | | | | | | |
| Net assets: | | | | | | | | |
| Beginning of year | | | 674,768 | | | | 599,950 | |
| End of year | | $ | 814,158 | | | $ | 674,768 | |
| Distributions in excess of net investment income | | $ | (15,471 | ) | | $ | — | |
| | | | | | | | | |
| Capital share activity: | | | | | | | | |
| Shares sold | | | | | | | | |
| A-Class | | | 1,777 | | | | 601,198 | * |
| C-Class | | | 2,590 | | | | 1,803 | * |
| H-Class | | | 73,804 | | | | 273,867 | * |
| Shares issued from reinvestment of distributions | | | | | | | | |
| A-Class | | | 1 | | | | 963 | * |
| C-Class | | | 4 | | | | 88 | * |
| H-Class | | | 15 | | | | 778 | * |
| Shares redeemed | | | | | | | | |
| A-Class | | | (1,760 | ) | | | (604,151 | )* |
| C-Class | | | (2,721 | ) | | | (2,423 | )* |
| H-Class | | | (71,986 | ) | | | (270,980 | )* |
| Net increase in shares | | | 1,724 | | | | 1,143 | * |
| * | | Capital share activity for year presented through March 31, 2017, has been restated to reflect a 1:4 reverse share split effective November 7, 2016 — See Note 11. |
| 66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| EMERGING MARKETS BOND STRATEGY FUND | |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| A-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Period Ended
March 31,
2014a,c | |
| 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)b | | | (.55 | ) | | | (.91 | ) | | | 1.12 | | | | (1.44 | ) | | | (.84 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.13 | | | | 3.87 | | | | 2.23 | | | | (3.76 | ) | | | 1.52 | |
| Total from investment operations | | | 1.58 | | | | 2.96 | | | | 3.35 | | | | (5.20 | ) | | | .68 | |
| Less distributions from: |
| Net investment income | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net realized gains | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net asset value, end of period | | $ | 73.42 | | | $ | 71.93 | | | $ | 72.75 | | | $ | 81.52 | | | $ | 100.68 | |
| |
| Total Returnd | | | 2.18 | % | | | 4.62 | % | | | 5.13 | % | | | (5.31 | %) | | | 0.72 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 116 | | | $ | 113 | | | $ | 259 | | | $ | 39 | | | $ | 499 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.74 | %) | | | (1.19 | %) | | | 1.59 | % | | | (1.50 | %) | | | (1.78 | %) |
| Total expenses | | | 1.58 | % | | | 1.58 | % | | | 1.58 | % | | | 1.71 | % | | | 1.83 | % |
| Portfolio turnover rate | | | — | | | | 733 | % | | | 21,555 | % | | | 655 | % | | | — | |
| C-Class | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Period Ended
March 31,
2014a,c | |
| 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)b | | | (1.06 | ) | | | (1.10 | ) | | | (1.00 | ) | | | (1.80 | ) | | | (1.12 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.05 | | | | 3.56 | | | | 3.31 | | | | (4.26 | ) | | | 1.49 | |
| Total from investment operations | | | .99 | | | | 2.46 | | | | 2.31 | | | | (6.06 | ) | | | .37 | |
| Less distributions from: |
| Net investment income | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net realized gains | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net asset value, end of period | | $ | 70.12 | | | $ | 69.22 | | | $ | 70.54 | | | $ | 80.35 | | | $ | 100.37 | |
| |
| Total Returnd | | | 1.41 | % | | | 4.09 | % | | | 3.73 | % | | | (6.19 | %) | | | 0.40 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 82 | | | $ | 90 | | | $ | 129 | | | $ | 34 | | | $ | 10 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (1.49 | %) | | | (1.54 | %) | | | (1.33 | %) | | | (1.85 | %) | | | (2.34 | %) |
| Total expenses | | | 2.34 | % | | | 2.33 | % | | | 2.32 | % | | | 2.24 | % | | | 2.39 | % |
| Portfolio turnover rate | | | — | | | | 733 | % | | | 21,555 | % | | | 655 | % | | | — | |
| SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
| 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 | | Year Ended
March 29,
2018 | | | Year Ended
March 31,
2017c | | | Year Ended
March 31,
2016c | | | Year Ended
March 31,
2015c | | | Period Ended
March 31,
2014a,c | |
| 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)b | | | (.55 | ) | | | (.28 | ) | | | (.44 | ) | | | (1.56 | ) | | | (.76 | ) |
| Net gain (loss) on investments (realized and unrealized) | | | 2.11 | | | | 3.38 | | | | 3.57 | | | | (4.03 | ) | | | 1.49 | |
| Total from investment operations | | | 1.56 | | | | 3.10 | | | | 3.13 | | | | (5.59 | ) | | | .73 | |
| Less distributions from: |
| Net investment income | | | (.09 | ) | | | (3.70 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net realized gains | | | — | | | | (.08 | ) | | | — | | | | — | | | | — | |
| Total distributions | | | (.09 | ) | | | (3.78 | ) | | | (12.12 | ) | | | (13.96 | ) | | | — | |
| Net asset value, end of period | | $ | 72.98 | | | $ | 71.51 | | | $ | 72.19 | | | $ | 81.18 | | | $ | 100.73 | |
| |
| Total Returnd | | | 2.19 | % | | | 4.85 | % | | | 4.82 | % | | | (5.74 | %) | | | 0.80 | % |
| Ratios/Supplemental Data |
| Net assets, end of period (in thousands) | | $ | 615 | | | $ | 472 | | | $ | 212 | | | $ | 153 | | | $ | 5,580 | |
| Ratios to average net assets: |
| Net investment income (loss) | | | (0.75 | %) | | | (0.38 | %) | | | (0.55 | %) | | | (1.64 | %) | | | (1.62 | %) |
| Total expenses | | | 1.58 | % | | | 1.54 | % | | | 1.56 | % | | | 1.74 | % | | | 1.64 | % |
| Portfolio turnover rate | | | — | | | | 733 | % | | | 21,555 | % | | | 655 | % | | | — | |
| a | | Since commencement of operations: October 8, 2013. 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 | | 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. |
| d | | Total return does not reflect the impact of any applicable sales charges and has not been annualized. |
| 68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
| NOTES TO FINANCIAL STATEMENTS |
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 March 29, 2018, 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 and Institutional Class shares had been issued by the Funds.
The Emerging Markets 2x Strategy Fund, Inverse Emerging Markets 2x Strategy Fund, and Emerging Markets Bond Strategy 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
March 29, 2018 represents the last day during the Funds’ annual period on which the New York Stock Exchange (“NYSE”) was open for trading. The Funds’ financial statements have been presented through that date to maintain consistency with the Funds’ NAV calculations used for shareholder transactions.
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 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.
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 March 29, 2018, 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 69 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 (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 or liability’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 reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the 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.
| 70 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
(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.
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 Translation
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 March 29, 2018, 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 Real Estate Investment Trusts (“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 1.68% at March 29, 2018.
| | THE RYDEX FUNDS ANNUAL REPORT | 71 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
(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 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 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.
| 72 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Funds’ use and volume of futures on a quarterly basis:
| | | | | Average Notional Amount | |
| Fund | | Use | | Long | | | Short | |
| Event Driven and Distressed Strategies Fund | | Index exposure, Duration, Liquidity | | $ | 4,653,478 | | | $ | — | |
| Emerging Markets 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 750,719 | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | — | | | | 43,639 | |
| Emerging Markets Bond Strategy Fund | | Index exposure, Duration, Leverage, Liquidity | | | 653,191 | | | | — | |
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. 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 and custom basket 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 Amount | |
| Fund | | Use | | Long | | | Short | |
| Long Short Equity Fund | | Index exposure, Liquidity | | $ | 23,164,249 | | | $ | 33,938,470 | |
| Event Driven and Distressed Strategies Fund | | Index exposure, Liquidity | | | 2,048,339 | | | | — | |
| Emerging Markets 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | 24,986,721 | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | Index exposure, Leverage, Liquidity | | | — | | | | 2,023,905 | |
| Emerging Markets Bond Strategy Fund | | Index exposure, Duration, Leverage, Liquidity | | | 479,647 | | | | — | |
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 ANNUAL REPORT | 73 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
| | | | | Average Notional Amount | |
| Fund | | Use | | Long | | | Short | |
| Event Driven and Distressed Strategies Fund | | Duration, Index exposure, Liquidity | | $ | — | | | $ | 4,732,299 | |
| Emerging Markets Bond Strategy Fund | | Duration, Index exposure, Leverage, Liquidity | | | — | | | | 745,750 | |
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 March 29, 2018:
| 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 March 29, 2018:
| Asset Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 29, 2018 | |
| Event Driven and Distressed Strategies Fund | | $ | — | | | $ | — | | | $ | 9,542 | | | $ | — | | | $ | 9,542 | |
| Emerging Markets 2x Strategy Fund | | | 39,759 | | | | 488,254 | | | | — | | | | — | | | | 528,013 | |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 3,351 | | | | 5,128 | | | | 8,479 | |
| Liability Derivative Investments Value |
| Fund | | Futures
Equity
Risk* | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk* | | | Swaps
Credit
Risk* | | | Total Value at
March 29, 2018 | |
| Long Short Equity Fund | | $ | — | | | $ | 1,595,009 | | | $ | — | | | $ | — | | | $ | 1,595,009 | |
| Event Driven and Distressed Strategies Fund | | | — | | | | 19,157 | | | | — | | | | 2,616 | | | | 21,773 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | 21,588 | | | | — | | | | — | | | | 21,588 | |
| * | | Includes cumulative appreciation (depreciation) as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 29, 2018:
| 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 |
| 74 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 29, 2018:
| Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
| Long Short Equity Fund | | $ | 3,211 | | | $ | 946,416 | | | $ | — | | | $ | — | | | $ | 949,627 | |
| Event Driven and Distressed Strategies Fund | | | 83,001 | | | | 104,572 | | | | (140,064 | ) | | | 266,580 | | | | 314,088 | |
| Emerging Markets 2x Strategy Fund | | | 87,912 | | | | 2,679,651 | | | | — | | | | — | | | | 2,767,653 | |
| Inverse Emerging Markets 2x Strategy Fund | | | (12,691 | ) | | | (360,880 | ) | | | — | | | | — | | | | (373,571 | ) |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | (19,165 | ) | | | 28,832 | | | | 9,667 | |
| Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations |
| Fund | | Futures
Equity
Risk | | | Swaps
Equity
Risk | | | Futures
Interest Rate
Risk | | | Swaps
Credit
Risk | | | Total | |
| Long Short Equity Fund | | $ | (2,656 | ) | | $ | (1,595,009 | ) | | $ | — | | | $ | — | | | $ | (1,597,665 | ) |
| Event Driven and Distressed Strategies Fund | | | (6,275 | ) | | | (19,157 | ) | | | 7,700 | | | | (16,855 | ) | | | (34,587 | ) |
| Emerging Markets 2x Strategy Fund | | | 49,142 | | | | 497,198 | | | | — | | | | — | | | | 546,340 | |
| Inverse Emerging Markets 2x Strategy Fund | | | (648 | ) | | | (28,330 | ) | | | — | | | | — | | | | (28,978 | ) |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 1,662 | | | | 4,730 | | | | 6,392 | |
In conjunction with the use of short sale 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 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 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 75 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypotheticated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. 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.
| 76 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (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 | |
| Emerging Markets 2x Strategy Fund | | Swap equity contracts | | $ | 488,254 | | | $ | — | | | $ | 488,254 | | | $ | — | | | $ | — | | | $ | 488,254 | |
| Emerging Markets Bond Strategy Fund | | Swap equity contracts | | | 3,197 | | | | — | | | | 3,197 | | | | — | | | | — | | | | 3,197 | |
| | | | | | | | | | | | | | 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 | |
| Event Driven and Distressed Strategies Fund | | Swap equity contracts | | $ | 19,157 | | | $ | — | | | $ | 19,157 | | | $ | (19,157 | ) | | $ | — | | | $ | — | |
| Inverse Emerging Markets 2x Strategy Fund | | Swap equity contracts | | | 21,588 | | | | — | | | | 21,588 | | | | (14,245 | ) | | | — | | | | 7,343 | |
| Long Short Equity Fund | | Swap equity contracts | | | 1,595,009 | | | | — | | | | 1,595,009 | | | | (1,595,009 | ) | | | — | | | | — | |
| 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 March 29, 2018. 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.
| Fund | | Counterparty/Clearing Agent | | Asset Type | | Cash Pledged | | | Cash Received | |
| Emerging Markets 2x Strategy Fund | | Goldman Sachs Group | | Futures contracts | | $ | 88,400 | | | $ | — | |
| | | Goldman Sachs Group Total | | | | | 88,400 | | | | — | |
| Emerging Markets 2x Strategy Fund Total | | | | | 88,400 | | | | — | |
| Emerging Markets Bond Strategy Fund | | Barclays Bank plc | | Credit Default Swaps agreements | | | 119,445 | | | | — | |
| | | Barclays Bank plc Total | | | | | 119,445 | | | | — | |
| | | Goldman Sachs Group | | Credit Default Swaps agreements | | | 8 | | | | — | |
| | | | | Futures contracts | | | 3,190 | | | | — | |
| | | Goldman Sachs Group Total | | | | | 3,198 | | | | — | |
| Emerging Markets Bond Strategy Fund Total | | | 122,643 | | | | — | |
| Event Driven and Distressed Strategies Fund | | Barclays Bank plc | | Credit Default Swaps agreements | | | — | | | | 9,830 | |
| | | Barclays Bank plc Total | | | | | — | | | | 9,830 | |
| | | Goldman Sachs Group | | Credit Default Swaps agreements | | | 29 | | | | — | |
| | | | | Futures contracts | | | 10,080 | | | | — | |
| | | Goldman Sachs Group Total | | | | | 10,109 | | | | — | |
| Event Driven and Distressed Strategies Fund Total | | | 10,109 | | | | 9,830 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 77 |
| NOTES TO FINANCIAL STATEMENTS (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 – Investment Advisory Agreement and Other Agreements
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% |
| Inverse Emerging Markets 2x Strategy Fund | 0.90% |
| Emerging Markets Bond Strategy Fund | 0.75% |
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, P-Class, and Institutional Class shares (excluding interest, taxes, brokerage commissions, acquired fund fees and expenses, dividends on securities sold short, and extraordinary
| 78 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (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.
For the year ended March 29, 2018, GFD retained sales charges of $173,191 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees 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. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. As securities lending agent, U.S. Bank is responsible for executing the lending of portfolio securities to creditworthy borrowers. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s 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 March 29, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and
Terms of Agreement | | Face
Value | | | Repurchase
Price | | | Collateral | | Par
Value | | | Fair
Value | |
| JPMorgan Chase & Co. | | | | | | | | U.S Treasury Notes | | | | | | |
| 1.80% | | | | | | | | 1.38% - 2.75% | | | | | | |
| Due 04/02/18 | | $ | 208,198,841 | | | $ | 208,240,481 | | | 04/15/20 - 05/15/25 | | $ | 208,076,600 | | | $ | 207,119,552 | |
| | | | | | | | | | | U.S. TIP Notes | | | | | | | | |
| | | | | | | | | | | 0.13% | | | | | | | | |
| | | | | | | | | | | 04/15/20 | | | 4,654,400 | | | | 4,908,055 | |
| | | | | | | | | | | U.S. Treasury Bonds | | | | | | | | |
| | | | | | | | | | | 3.00% - 8.00% | | | | | | | | |
| | | | | | | | | | | 11/15/21/- 05/15/45 | | | 329,500 | | | | 335,239 | |
| | | | | | | | | | | | | | | | | | 212,362,846 | |
| | | | | | | | | | | | | | | | | | | |
| Bank of America Merrill Lynch | | | | | | | | | | U.S. Treasury Notes | | | | | | | | |
| 1.78% | | | | | | | | | | 1.63% | | | | | | | | |
| Due 04/02/18 | | | 68,128,219 | | | | 68,141,693 | | | 06/30/20 - 07/31/20 | | | 70,403,800 | | | | 69,490,837 | |
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
| | THE RYDEX FUNDS ANNUAL REPORT | 79 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
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 their 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 March 29, 2018, 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 | | $ | 87,885 | | | $ | (87,885 | ) | | $ | — | | | $ | 88,245 | | | $ | — | | | $ | 88,245 | |
| Event Driven and Distressed Strategies Fund | | | 441,105 | | | | (441,105 | ) | | | — | | | | 453,533 | | | | — | | | | 453,533 | |
| Emerging Markets 2x Strategy Fund | | | 214,628 | | | | (214,628 | ) | | | — | | | | 221,465 | | | | — | | | | 221,465 | |
| (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 or federal excise 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 tax character of distributions paid during the year ended March 29, 2018 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return of
Capital | | | Total
Distributions | |
| Long Short Equity Fund | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | 195,320 | | | | — | | | | — | | | | 195,320 | |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | — | |
| Emerging Markets Bond Strategy Fund | | | 1,653 | | | | — | | | | — | | | | 1,653 | |
| 80 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributions paid during the year ended March 31, 2017 was as follows:
| Fund | | Ordinary
Income | | | Long-Term
Capital Gain | | | Return of
Capital | | | Total
Distributions | |
| Long Short Equity Fund | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | 265,023 | | | | — | | | | — | | | | 265,023 | |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | | | | — | |
| Emerging Markets Bond Strategy Fund | | | 133,134 | | | | — | | | | — | | | | 133,134 | |
Note: For federal income tax purposes, short-term capital gain distributions are treated as ordinary income distributions.
The tax components of accumulated earnings/(deficit) as of March 29, 2018 were as follows:
| Fund | | Undistributed
Ordinary
Income | | | Undistributed
Long-Term
Capital Gain | | | Net Unrealized
Appreciation
(Depreciation) | | | Accumulated
Capital and
Other Losses | | | Other
Temporary
Differences | | | Total | |
| Long Short Equity Fund | | $ | — | | | $ | — | | | $ | (1,966,168 | ) | | $ | (10,761 | ) | | | — | | | $ | (1,976,929 | ) |
| Event Driven and Distressed Strategies Fund | | | 182,963 | | | | — | | | | (55,437 | ) | | | (496,132 | ) | | | — | | | | (368,606 | ) |
| Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | 1,115,089 | | | | (6,244,261 | ) | | | — | | | | (5,129,172 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | (21,588 | ) | | | (17,692,294 | ) | | | — | | | | (17,713,882 | ) |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | | | | 5,129 | | | | (107,079 | ) | | | — | | | | (101,950 | ) |
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of March 29, 2018, capital loss carryforwards for the Funds were as follows:
| | Unlimited | | | | |
| Fund | | Short-Term | | | Long-Term | | | | Total
Capital Loss
Carryforward | |
| Long Short Equity Fund | | $ | — | | | $ | — | | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | (396,780 | ) | | | (99,352 | ) | | | (496,132 | ) |
| Emerging Markets 2x Strategy Fund | | | (4,872,943 | ) | | | (1,343,208 | ) | | | (6,216,151 | ) |
| Inverse Emerging Markets 2x Strategy Fund | | | (16,825,402 | ) | | | (860,170 | ) | | | (17,685,572 | ) |
| Emerging Markets Bond Strategy Fund | | | — | | | | (91,608 | ) | | | (91,608 | ) |
For the year ended March 29, 2018, the following capital loss carryforward amounts expired or were utilized:
| Fund | | Expired | | | Utilized | | | Total | |
| Long Short Equity Fund | | $ | 12,572,017 | | | $ | 6,805,910 | | | $ | 19,377,927 | |
| Event Driven and Distressed Strategies Fund | | | — | | | | 254,141 | | | | 254,141 | |
| Emerging Markets 2x Strategy Fund | | | — | | | | 4,439,584 | | | | 4,439,584 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | | | | — | |
| Emerging Markets Bond Strategy Fund | | | — | | | | 14,935 | | | | 14,935 | |
| | THE RYDEX FUNDS ANNUAL REPORT | 81 |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to investments in swaps, losses deferred due to wash sales, investments in partnerships, distributions in connection with redemption of fund shares, the “mark-to-market” of certain derivatives, and the “mark-to-market,” recharacterization, or disposition of certain Passive Foreign Investment Companies (PFICs). Additional differences may result from the tax treatment of net operating losses, qualified late year loss deferrals, and the expiration of capital loss carryforward amounts. To the extent these differences are permanent, reclassifications are made to the appropriate capital accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
The following adjustments were made on the Statements of Assets and Liabilities as of March 29, 2018 for permanent book/tax differences:
| Fund | | Paid In
Capital | | | Undistributed
Net Investment
Income/(Loss) | | | Accumulated
Net Realized
Gain/(Loss) | |
| Long Short Equity Fund | | $ | (12,672,289 | ) | | $ | 100,009 | | | $ | 12,572,280 | |
| Event Driven and Distressed Strategies Fund | | | (2,647 | ) | | | 180,773 | | | | (178,126 | ) |
| Emerging Markets 2x Strategy Fund | | | (61,344 | ) | | | 61,344 | | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | (10,150 | ) | | | 10,150 | | | | — | |
| Emerging Markets Bond Strategy Fund | | | — | | | | (3,606 | ) | | | 3,606 | |
At March 29, 2018, 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) | |
| Long Short Equity Fund | | $ | 32,896,414 | | | $ | 860,646 | | | $ | (2,826,814 | ) | | $ | (1,966,168 | ) |
| Event Driven and Distressed Strategies Fund | | | 4,844,003 | | | | 111,339 | | | | (166,776 | ) | | | (55,437 | ) |
| Emerging Markets 2x Strategy Fund | | | 29,564,724 | | | | 1,121,819 | | | | (6,730 | ) | | | 1,115,089 | |
| Inverse Emerging Markets 2x Strategy Fund | | | 774,363 | | | | — | | | | (21,588 | ) | | | (21,588 | ) |
| Emerging Markets Bond Strategy Fund | | | 700,841 | | | | 5,129 | | | | — | | | | 5,129 | |
Pursuant to Federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 29, 2018, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2018:
| Fund | | Ordinary | | | Capital | |
| Long Short Equity Fund | | $ | (10,761 | ) | | $ | — | |
| Event Driven and Distressed Strategies Fund | | | — | | | | — | |
| Emerging Markets 2x Strategy Fund | | | (28,110 | ) | | | — | |
| Inverse Emerging Markets 2x Strategy Fund | | | (6,722 | ) | | | — | |
| Emerging Markets Bond Strategy Fund | | | (15,471 | ) | | | — | |
| 82 | THE RYDEX FUNDS ANNUAL REPORT | |
| NOTES TO FINANCIAL STATEMENTS (continued) |
Note 9 – Securities Transactions
For the year ended March 29, 2018, 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 | | $ | 121,739,989 | | | $ | 113,927,434 | |
| Event Driven and Distressed Strategies Fund | | | 5,182,122 | | | | 10,634,366 | |
| Emerging Markets 2x Strategy Fund | | | 131,572,741 | | | | 115,969,605 | |
| Inverse Emerging Markets 2x Strategy Fund | | | — | | | | — | |
| Emerging Markets Bond Strategy Fund | | | — | | | | — | |
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 year ended March 29, 2018, 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 | | $ | 1,342,298 | | | $ | 276,249 | | | $ | 2,910 | |
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 2.26% for the year ended March 29, 2018. The Funds did not have any borrowings outstanding under this agreement at March 29, 2018.
The average daily balances borrowed for the year ended March 29, 2018, were as follows:
| Fund | | Average Daily Balance | |
| Long Short Equity Fund | | $ | 2,296 | |
| Event Driven and Distressed Strategies Fund | | | 3,548 | |
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 RYDEX FUNDS ANNUAL REPORT | 83 |
| NOTES TO FINANCIAL STATEMENTS (concluded) |
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 April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. The court has not yet ruled on the motion.
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. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The District Court has not yet ruled on that request.
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.
| 84 | THE RYDEX FUNDS ANNUAL REPORT | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
To the Shareholders of 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 and the Board of Trustees of Rydex Series Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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 (collectively referred to as the “Funds”), ( five of the funds constituting Rydex Series Funds (the “Trust”)), including the schedules of investments, as of March 29, 2018, and the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (five of the funds constituting Rydex Series Funds) at March 29, 2018, the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual Fund constituting
the Rydex Series Funds | Statement of
operations | Statements of
changes in net assets | Financial
Highlights |
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 | For the year ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 | For each of the five years in the period ended March 29, 2018 |
| Rydex Emerging Markets Bond Strategy Fund | For the year ended March 29, 2018 | For each of the two years in the period ended March 29, 2018 | For each of the four years in the period ended March 29, 2018 and the period from October 8, 2013 through March 31, 2014 |
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
| | THE RYDEX FUNDS ANNUAL REPORT | 85 |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (concluded) |
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 29, 2018, by correspondence with the custodian, transfer agent, and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Guggenheim investment companies since 1979.
Tysons, Virginia
May 25, 2018
| 86 | THE RYDEX FUNDS ANNUAL REPORT | |
| OTHER INFORMATION (Unaudited) |
Federal Income Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
In January 2019, shareholders will be advised on IRS Form 1099 DIV or substitute 1099 DIV as to the federal tax status of the distributions received by shareholders in the calendar year 2018.
The Funds’ investment income (dividend income plus short-term gains, if any) qualifies as follows:
Of the taxable ordinary income distributions paid during the fiscal year ending March 29, 2018, the following funds had the corresponding percentages qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief and Reconciliation Act of 2003 or for the dividends received deduction for corporations. See the qualified dividend income and dividend received deduction columns, respectively, in the table below.
Additionally, of the taxable ordinary income distributions paid during the fiscal year ended March 29, 2018, the following funds had the corresponding percentages qualify as interest related dividends and qualified short-term capital gains as permitted by IRC Section 871(k)(1) and IRC Section 871(k)(2), respectively. See qualified interest income and qualified short-term capital gain columns, respectively, in the table below.
| Fund | Qualified
Dividend
Income | Dividend
Received
Deduction | Qualified
Interest
Income | Qualified
Short-Term
Capital Gain |
| Long Short Equity Fund | 0.00% | 0.00% | 0.00% | 0.00% |
| Event Driven and Distressed Strategies Fund | 3.42% | 3.10% | 0.00% | 0.00% |
| Emerging Markets 2x Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% |
| Inverse Emerging Markets 2x Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% |
| Emerging Markets Bond Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% |
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 Fund’s 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 Fund 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. The Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Fund usually classifies 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 Fund’s 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.
| | THE RYDEX FUNDS ANNUAL REPORT | 87 |
| 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 | | | | |
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present). Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 158 | None. |
| INDEPENDENT TRUSTEES | | | |
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 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). | 110 | 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 Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | 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. | 110 | Epiphany Funds (2) (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. | Retired. | 110 | None. |
| 88 | THE RYDEX FUNDS 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 - concluded | | |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1997 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired. Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | 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; and Member of the Governance and Nominating Committee from 2017 to present. | Retired Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
| | THE RYDEX FUNDS ANNUAL REPORT | 89 |
| 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 (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); and Director and Chairman, Advisory Research Center, Inc. (2006-present). Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), 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. |
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, Mutual Fund Administration of 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). Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); 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). |
Mark E. Mathiasen (1978) | Secretary (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); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present). Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); 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). |
| 90 | THE RYDEX FUNDS 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, Mutual Fund Administration for 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 (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); 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. |
| ** | | This Trustee is an “interested person” (as defined in Section 2 (a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
| *** | | 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 ANNUAL REPORT | 91 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, 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.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
| | ● | We use your information in connection with servicing your accounts. |
| | ● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
| | ● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
| | ● | We use information for security purposes. We may use your information to protect our company and our customers. |
| | ● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
| 92 | THE RYDEX FUNDS ANNUAL REPORT | |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
| | ● | We use information as otherwise permitted by law, as we may notify you. |
| | ● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
| | THE RYDEX FUNDS ANNUAL REPORT | 93 |
| GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
| 94 | THE RYDEX FUNDS ANNUAL REPORT | |
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Item 2. Code of Ethics.
The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that it has at least one audit committee financial expert serving on its audit committee (the “Audit Committee”), Werner Keller. Mr. Keller is “independent,” meaning that he is not an “interested person” of the Registrant (as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended) and he does not accept any consulting, advisory, or other compensatory fee from the Registrant (except in his capacity as a Board or committee member).
Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees: The aggregate Audit Fees billed by the registrant’s principal accountant for professional services rendered for the audit of the annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the fiscal years ended March 29, 2018 and March 31, 2017 were $867,833 and $823,418, respectively.
(b) Audit-Related Fees: The aggregate Audit-Related Fees billed by the registrant’s principal accountant for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item for the fiscal years ended March 29, 2018 and March 31, 2017 were $0 and $0, respectively.
The aggregate fees billed in the Reporting Periods for assurance and related services by the principal accountant to the registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant (“Service Affiliates”) which required pre-approval by the Audit Committee which related to the review of the transfer agent function for the fiscal years ended March 29, 2018 and March 31, 2017 were $0 and $0, respectively.
(c) Tax Fees: The aggregate Tax Fees billed by the registrant’s principal accountant for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended March 29, 2018 and March 31, 2017 were $453,793 and $398,564, respectively.
(d) All Other Fees: The aggregate All Other Fees billed by the registrant’s principal accountant for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item, for the fiscal years ended March 29, 2018 and March 31, 2017 were $0 and $0, respectively.
(e) Audit Committee Pre-Approval Policies and Procedures. The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) Non-Audit Fees. The aggregate non-audit fees billed by the registrant’s accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $453,793 and $466,137, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant’s principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant.
(h) Auditor Independence. The registrant’s Audit Committee was provided with information relating to the provision of non-audit services by Ernst & Young, LLP to the registrant’s investment adviser (not including any sub adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed End Management Investment Companies.
Not Applicable
Item 13. Exhibits.
(a)(1) The registrant’s code of ethics pursuant to Item 2 of Form N-CSR is attached.
(a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant’s President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Rydex Series Funds | |
| | | |
| By (Signature and Title)* | /s/ Amy J. Lee | |
| | Amy J. Lee, President | |
| | | |
| Date | June 6, 2018 | |
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 | June 6, 2018 | |
| | | |
| By (Signature and Title)* | /s/ John L. Sullivan | |
| | John L. Sullivan, Chief Financial Officer and Treasurer | |
| | | |
| Date | June 6, 2018 | |
| * | Print the name and title of each signing officer under his or her signature. |
